quantlib.market.market.FixedIncomeMarket

class FixedIncomeMarket(name)

Bases: Market

A Fixed Income Market

defined by: - a list of benchmarks instruments (deposits, FRA, swaps,

EuroDollar futures, bonds)

• a set of market conventions, needed to interpreted the quoted prices of benchmark instruments, and for computing derived quantities (yield curves)

This class models an homogeneous market: It is assumed that the market conventions for all fixed rate instruments, including swaps, are all consistent. The conventions may vary between the fixed rate instruments and the deposit instruments.

__init__(name)

Methods

__init__(name)

Attributes

name