quantlib.market.market.IborMarket

class IborMarket(name, market, **kwargs)

Bases: FixedIncomeMarket

__init__(name, market, **kwargs)

Methods

__init__(name, market, **kwargs)
add_bond_quote(clean_price, coupons, tenor, ...)	Add a bond quote to the market.
bootstrap_term_structure([interpolator])
create_fixed_float_swap(settlement_date, ...)	Create a fixed-for-float swap given: - settlement date - length in years - additional arguments to modify market default parameters
discount(date_maturity[, extrapolate])
set_bonds(dt_obs, quotes)	Supply the market with a set of bond quotes.
set_quotes(dt_obs, quotes)

Attributes

calendar
fixed_leg_convention
fixed_leg_daycount
fixed_leg_period
max_date
name
reference_date
settlement_days
termstructure_daycounter

add_bond_quote(clean_price, coupons, tenor, issue_date, maturity)

Add a bond quote to the market.

Parameters:

• clean_price (real) – Clean price of the bond.

• coupons (real or list(real)) – Interest rates paid by the bond.

• tenor (str) – Tenor of the bond.

• issue_date (Date instance) – Issue date and maturity of the bond.

• maturity (Date instance) – Issue date and maturity of the bond.

create_fixed_float_swap(settlement_date, length, fixed_rate, floating_spread, **kwargs)

Create a fixed-for-float swap given: - settlement date - length in years - additional arguments to modify market default parameters

set_bonds(dt_obs, quotes)

Supply the market with a set of bond quotes.

The quotes parameter must be a list of quotes of the form (clean_price, coupons, tenor, issue_date, maturity). For more information about the format of the individual fields, see the documentation for add_bond_quote.