Cash Flows Module¶

Cash Flows¶

SimpleCashFlow¶

class pyquantlib.SimpleCashFlow¶

Bases: CashFlow

Simple cash flow paying a fixed amount on a given date.

__init__(amount: SupportsFloat | SupportsIndex, date: Date) → None¶: Constructs a cash flow with the given amount and date.

cf = ql.SimpleCashFlow(1000.0, ql.Date(15, 6, 2026))
print(cf.amount())  # 1000.0
print(cf.date())    # June 15th, 2026

Redemption¶

class pyquantlib.Redemption¶

Bases: SimpleCashFlow

Bond redemption payment.

__init__(amount: SupportsFloat | SupportsIndex, date: Date) → None¶: Constructs a redemption with the given amount and date.

AmortizingPayment¶

class pyquantlib.AmortizingPayment¶

Bases: SimpleCashFlow

Amortizing payment cash flow.

__init__(amount: SupportsFloat | SupportsIndex, date: Date) → None¶: Constructs an amortizing payment with the given amount and date.

Coupons¶

FixedRateCoupon¶

class pyquantlib.FixedRateCoupon¶

Bases: Coupon

Coupon paying a fixed interest rate.

__init__(*args, **kwargs)¶

Overloaded function.

__init__(paymentDate: Date, nominal: SupportsFloat | SupportsIndex, interestRate: InterestRate, accrualStartDate: Date, accrualEndDate: Date, refPeriodStart: Date = <Date: null date>, refPeriodEnd: Date = <Date: null date>, exCouponDate: Date = <Date: null date>) -> None

Constructs a fixed-rate coupon from an InterestRate.

__init__(paymentDate: Date, nominal: SupportsFloat | SupportsIndex, rate: SupportsFloat | SupportsIndex, dayCounter: DayCounter, accrualStartDate: Date, accrualEndDate: Date, refPeriodStart: Date = <Date: null date>, refPeriodEnd: Date = <Date: null date>, exCouponDate: Date = <Date: null date>) -> None

Constructs a fixed-rate coupon from rate and day counter.

interestRate() → InterestRate¶: Returns the interest rate.

coupon = ql.FixedRateCoupon(
    payment_date, nominal, rate, day_counter, accrual_start, accrual_end
)
print(coupon.amount())
print(coupon.rate())

FloatingRateCoupon¶

class pyquantlib.FloatingRateCoupon¶

Bases: Coupon

Coupon paying a variable index-based rate.

__init__(paymentDate: Date, nominal: SupportsFloat | SupportsIndex, startDate: Date, endDate: Date, fixingDays: SupportsInt | SupportsIndex, index: QuantLib::InterestRateIndex, gearing: SupportsFloat | SupportsIndex = 1.0, spread: SupportsFloat | SupportsIndex = 0.0, refPeriodStart: Date = <Date: null date>, refPeriodEnd: Date = <Date: null date>, dayCounter: object = None, isInArrears: bool = False, exCouponDate: Date = <Date: null date>) → None¶: Constructs a floating-rate coupon.

adjustedFixing() → float¶: Returns the convexity-adjusted fixing.

convexityAdjustment() → float¶: Returns the convexity adjustment.

fixingDate() → Date¶: Returns the fixing date.

fixingDays() → int¶: Returns the number of fixing days.

gearing() → float¶: Returns the index gearing.

index() → QuantLib::InterestRateIndex¶: Returns the floating index.

indexFixing() → float¶: Returns the fixing of the underlying index.

isInArrears() → bool¶: Returns whether the coupon fixes in arrears.

pricer() → base.FloatingRateCouponPricer¶: Returns the coupon pricer.

setPricer(pricer: base.FloatingRateCouponPricer) → None¶: Sets the coupon pricer.

spread() → float¶: Returns the spread over the index fixing.

Base class for coupons paying a variable index-based rate.

coupon = ql.FloatingRateCoupon(
    payment_date, nominal, start_date, end_date,
    fixingDays=2, index=euribor6m, gearing=1.0, spread=0.005
)
print(coupon.gearing())     # 1.0
print(coupon.spread())      # 0.005
print(coupon.fixingDate())

IborCoupon¶

class pyquantlib.IborCoupon¶

Bases: FloatingRateCoupon

Coupon paying a Libor-type index.

__init__(paymentDate: Date, nominal: SupportsFloat | SupportsIndex, startDate: Date, endDate: Date, fixingDays: SupportsInt | SupportsIndex, index: QuantLib::IborIndex, gearing: SupportsFloat | SupportsIndex = 1.0, spread: SupportsFloat | SupportsIndex = 0.0, refPeriodStart: Date = <Date: null date>, refPeriodEnd: Date = <Date: null date>, dayCounter: object = None, isInArrears: bool = False, exCouponDate: Date = <Date: null date>) → None¶: Constructs an Ibor coupon.

fixingDate() → Date¶: Returns the fixing date.

fixingEndDate() → Date¶: Returns the end of the deposit period underlying the coupon fixing.

fixingMaturityDate() → Date¶: Returns the end of the deposit period underlying the fixing.

fixingValueDate() → Date¶: Returns the start of the deposit period underlying the fixing.

iborIndex() → QuantLib::IborIndex¶: Returns the Ibor index.

spanningTime() → float¶: Returns the period underlying the coupon fixing as a year fraction.

Coupon paying a Libor-type index (e.g., Euribor, USD LIBOR).

coupon = ql.IborCoupon(
    payment_date, 1e6, start_date, end_date,
    2, euribor6m
)
print(coupon.fixingDate())
print(coupon.fixingValueDate())

OvernightIndexedCoupon¶

class pyquantlib.OvernightIndexedCoupon¶

Bases: FloatingRateCoupon

Coupon paying the compounded daily overnight rate.

__init__(paymentDate: Date, nominal: SupportsFloat | SupportsIndex, startDate: Date, endDate: Date, overnightIndex: QuantLib::OvernightIndex, gearing: SupportsFloat | SupportsIndex = 1.0, spread: SupportsFloat | SupportsIndex = 0.0, refPeriodStart: Date = <Date: null date>, refPeriodEnd: Date = <Date: null date>, dayCounter: object = None, telescopicValueDates: bool = False, averagingMethod: RateAveraging.Type = <Type.Compound: 1>, lookbackDays: object = None, lockoutDays: SupportsInt | SupportsIndex = 0, applyObservationShift: bool = False) → None¶: Constructs an overnight indexed coupon.

applyObservationShift() → bool¶: Returns whether observation shift is applied.

averagingMethod() → RateAveraging.Type¶: Returns the averaging method.

dt() → list[float]¶: Returns the accrual periods.

fixingDates() → list[Date]¶: Returns the fixing dates for the rates to be compounded.

indexFixings() → list[float]¶: Returns the fixings to be compounded.

lockoutDays() → int¶: Returns the number of lockout days.

valueDates() → list[Date]¶: Returns the value dates for the rates to be compounded.

Coupon paying the compounded (or simple average) daily overnight rate.

coupon = ql.OvernightIndexedCoupon(
    payment_date, 10e6, start_date, end_date,
    overnight_index, spread=0.001,
    averagingMethod=ql.RateAveraging.Type.Compound
)

CmsCoupon¶

class pyquantlib.CmsCoupon¶

Bases: FloatingRateCoupon

Coupon paying a CMS swap rate.

__init__(paymentDate: Date, nominal: SupportsFloat | SupportsIndex, startDate: Date, endDate: Date, fixingDays: SupportsInt | SupportsIndex, index: QuantLib::SwapIndex, gearing: SupportsFloat | SupportsIndex = 1.0, spread: SupportsFloat | SupportsIndex = 0.0, refPeriodStart: Date = <Date: null date>, refPeriodEnd: Date = <Date: null date>, dayCounter: object = None, isInArrears: bool = False, exCouponDate: Date = <Date: null date>) → None¶: Constructs a CMS coupon.

swapIndex() → QuantLib::SwapIndex¶: Returns the underlying swap index.

Coupon paying a CMS (Constant Maturity Swap) rate.

coupon = ql.CmsCoupon(
    payment_date, 1e6, start_date, end_date,
    2, swap_index
)

Capped/Floored Coupons¶

CappedFlooredCoupon¶

class pyquantlib.CappedFlooredCoupon¶

Bases: FloatingRateCoupon

Capped and/or floored floating-rate coupon.

__init__(underlying: FloatingRateCoupon, cap: object = None, floor: object = None) → None¶: Constructs from an underlying coupon with optional cap/floor.

cap() → float¶: Returns the cap rate.

convexityAdjustment() → float¶: Returns the convexity adjustment.

effectiveCap() → float¶: Returns the effective cap of fixing.

effectiveFloor() → float¶: Returns the effective floor of fixing.

floor() → float¶: Returns the floor rate.

isCapped() → bool¶: Returns whether the coupon is capped.

isFloored() → bool¶: Returns whether the coupon is floored.

rate() → float¶: Returns the capped/floored rate.

setPricer(pricer: base.FloatingRateCouponPricer) → None¶: Sets the coupon pricer.

underlying() → FloatingRateCoupon¶: Returns the underlying floating-rate coupon.

Wraps a floating-rate coupon with optional cap and/or floor. Use None for absent cap or floor.

underlying = ql.IborCoupon(payment_date, 1e6, start, end, 2, euribor6m)
cf = ql.CappedFlooredCoupon(underlying, cap=0.05, floor=0.01)
print(cf.isCapped(), cf.isFloored())  # True True
print(cf.effectiveCap(), cf.effectiveFloor())

CappedFlooredIborCoupon¶

class pyquantlib.CappedFlooredIborCoupon¶

Bases: CappedFlooredCoupon

Capped/floored Ibor coupon.

__init__(paymentDate: Date, nominal: SupportsFloat | SupportsIndex, startDate: Date, endDate: Date, fixingDays: SupportsInt | SupportsIndex, index: QuantLib::IborIndex, gearing: SupportsFloat | SupportsIndex = 1.0, spread: SupportsFloat | SupportsIndex = 0.0, cap: object = None, floor: object = None, refPeriodStart: Date = <Date: null date>, refPeriodEnd: Date = <Date: null date>, dayCounter: object = None, isInArrears: bool = False, exCouponDate: Date = <Date: null date>) → None¶: Constructs a capped/floored Ibor coupon.

Convenience class that builds a capped/floored Ibor coupon in a single constructor.

CappedFlooredCmsCoupon¶

class pyquantlib.CappedFlooredCmsCoupon¶

Bases: CappedFlooredCoupon

Capped/floored CMS coupon.

__init__(paymentDate: Date, nominal: SupportsFloat | SupportsIndex, startDate: Date, endDate: Date, fixingDays: SupportsInt | SupportsIndex, index: QuantLib::SwapIndex, gearing: SupportsFloat | SupportsIndex = 1.0, spread: SupportsFloat | SupportsIndex = 0.0, cap: object = None, floor: object = None, refPeriodStart: Date = <Date: null date>, refPeriodEnd: Date = <Date: null date>, dayCounter: object = None, isInArrears: bool = False, exCouponDate: Date = <Date: null date>) → None¶: Constructs a capped/floored CMS coupon.

Convenience class that builds a capped/floored CMS coupon in a single constructor.

Digital Coupons¶

DigitalCoupon¶

class pyquantlib.DigitalCoupon¶

Bases: FloatingRateCoupon

Floating-rate coupon with digital call/put option.

__init__(underlying: FloatingRateCoupon, callStrike: object = None, callPosition: PositionType = <PositionType.Long: 0>, isCallITMIncluded: bool = False, callDigitalPayoff: object = None, putStrike: object = None, putPosition: PositionType = <PositionType.Long: 0>, isPutITMIncluded: bool = False, putDigitalPayoff: object = None, replication: object = None, nakedOption: bool = False) → None¶: Constructs a digital coupon.

callDigitalPayoff() → float¶: Returns the call digital payoff.

callOptionRate() → float¶: Returns the call option rate.

callStrike() → float¶: Returns the call strike.

convexityAdjustment() → float¶: Returns the convexity adjustment.

hasCall() → bool¶: Returns whether the coupon has a call.

hasCollar() → bool¶: Returns whether the coupon has a collar.

hasPut() → bool¶: Returns whether the coupon has a put.

isLongCall() → bool¶: Returns whether the call position is long.

isLongPut() → bool¶: Returns whether the put position is long.

putDigitalPayoff() → float¶: Returns the put digital payoff.

putOptionRate() → float¶: Returns the put option rate.

putStrike() → float¶: Returns the put strike.

rate() → float¶: Returns the coupon rate.

setPricer(pricer: base.FloatingRateCouponPricer) → None¶: Sets the coupon pricer.

underlying() → FloatingRateCoupon¶: Returns the underlying floating-rate coupon.

Floating-rate coupon with embedded digital (binary) call and/or put option.

dc = ql.DigitalCoupon(underlying, callStrike=0.04, putStrike=0.02)
print(dc.hasCall(), dc.hasPut(), dc.hasCollar())  # True True True

DigitalIborCoupon¶

class pyquantlib.DigitalIborCoupon¶

Bases: DigitalCoupon

Ibor coupon with digital call/put option.

__init__(underlying: IborCoupon, callStrike: object = None, callPosition: PositionType = <PositionType.Long: 0>, isCallATMIncluded: bool = False, callDigitalPayoff: object = None, putStrike: object = None, putPosition: PositionType = <PositionType.Long: 0>, isPutATMIncluded: bool = False, putDigitalPayoff: object = None, replication: object = None, nakedOption: bool = False) → None¶: Constructs a digital Ibor coupon.

Digital coupon specialized for Ibor underlyings.

DigitalCmsCoupon¶

class pyquantlib.DigitalCmsCoupon¶

Bases: DigitalCoupon

CMS coupon with digital call/put option.

__init__(underlying: CmsCoupon, callStrike: object = None, callPosition: PositionType = <PositionType.Long: 0>, isCallATMIncluded: bool = False, callDigitalPayoff: object = None, putStrike: object = None, putPosition: PositionType = <PositionType.Long: 0>, isPutATMIncluded: bool = False, putDigitalPayoff: object = None, replication: object = None, nakedOption: bool = False) → None¶: Constructs a digital CMS coupon.

Digital coupon specialized for CMS underlyings.

DigitalIborLeg¶

class pyquantlib.DigitalIborLeg¶

Bases: pybind11_object

Helper class for building a leg of digital Ibor coupons.

__init__(schedule: Schedule, index: QuantLib::IborIndex) → None¶: Constructs from a schedule and Ibor index.

build() → list[base.CashFlow]¶: Builds and returns the leg of cash flows.

inArrears(flag: bool = True) → DigitalIborLeg¶

withCallATM(flag: bool = True) → DigitalIborLeg¶

withCallPayoffs(*args, **kwargs)¶

Overloaded function.

withCallPayoffs(payoff: SupportsFloat | SupportsIndex) -> DigitalIborLeg
withCallPayoffs(payoffs: collections.abc.Sequence[SupportsFloat | SupportsIndex]) -> DigitalIborLeg

withCallStrikes(*args, **kwargs)¶

Overloaded function.

withCallStrikes(strike: SupportsFloat | SupportsIndex) -> DigitalIborLeg
withCallStrikes(strikes: collections.abc.Sequence[SupportsFloat | SupportsIndex]) -> DigitalIborLeg

withFixingDays(*args, **kwargs)¶

Overloaded function.

withFixingDays(fixingDays: SupportsInt | SupportsIndex) -> DigitalIborLeg
withFixingDays(fixingDays: collections.abc.Sequence[SupportsInt | SupportsIndex]) -> DigitalIborLeg

withGearings(*args, **kwargs)¶

Overloaded function.

withGearings(gearing: SupportsFloat | SupportsIndex) -> DigitalIborLeg
withGearings(gearings: collections.abc.Sequence[SupportsFloat | SupportsIndex]) -> DigitalIborLeg

withLongCallOption(type: PositionType) → DigitalIborLeg¶

withLongPutOption(type: PositionType) → DigitalIborLeg¶

withNakedOption(nakedOption: bool = True) → DigitalIborLeg¶

withNotionals(*args, **kwargs)¶

Overloaded function.

withNotionals(nominal: SupportsFloat | SupportsIndex) -> DigitalIborLeg
withNotionals(nominals: collections.abc.Sequence[SupportsFloat | SupportsIndex]) -> DigitalIborLeg

withPaymentAdjustment(convention: BusinessDayConvention) → DigitalIborLeg¶

withPaymentDayCounter(dayCounter: DayCounter) → DigitalIborLeg¶

withPutATM(flag: bool = True) → DigitalIborLeg¶

withPutPayoffs(*args, **kwargs)¶

Overloaded function.

withPutPayoffs(payoff: SupportsFloat | SupportsIndex) -> DigitalIborLeg
withPutPayoffs(payoffs: collections.abc.Sequence[SupportsFloat | SupportsIndex]) -> DigitalIborLeg

withPutStrikes(*args, **kwargs)¶

Overloaded function.

withPutStrikes(strike: SupportsFloat | SupportsIndex) -> DigitalIborLeg
withPutStrikes(strikes: collections.abc.Sequence[SupportsFloat | SupportsIndex]) -> DigitalIborLeg

withReplication(replication: DigitalReplication) → DigitalIborLeg¶

withSpreads(*args, **kwargs)¶

Overloaded function.

withSpreads(spread: SupportsFloat | SupportsIndex) -> DigitalIborLeg
withSpreads(spreads: collections.abc.Sequence[SupportsFloat | SupportsIndex]) -> DigitalIborLeg

Fluent builder for a leg of digital Ibor coupons.

leg = ql.DigitalIborLeg(schedule, euribor6m) \
    .withNotionals(1e6) \
    .withCallStrikes(0.04) \
    .withLongCallOption(ql.PositionType.Long) \
    .withReplication(ql.DigitalReplication()) \
    .build()

DigitalCmsLeg¶

class pyquantlib.DigitalCmsLeg¶

Bases: pybind11_object

Helper class for building a leg of digital CMS coupons.

__init__(schedule: Schedule, index: QuantLib::SwapIndex) → None¶: Constructs from a schedule and swap index.

build() → list[base.CashFlow]¶: Builds and returns the leg of cash flows.

inArrears(flag: bool = True) → DigitalCmsLeg¶

withCallATM(flag: bool = True) → DigitalCmsLeg¶

withCallPayoffs(*args, **kwargs)¶

Overloaded function.

withCallPayoffs(payoff: SupportsFloat | SupportsIndex) -> DigitalCmsLeg
withCallPayoffs(payoffs: collections.abc.Sequence[SupportsFloat | SupportsIndex]) -> DigitalCmsLeg

withCallStrikes(*args, **kwargs)¶

Overloaded function.

withCallStrikes(strike: SupportsFloat | SupportsIndex) -> DigitalCmsLeg
withCallStrikes(strikes: collections.abc.Sequence[SupportsFloat | SupportsIndex]) -> DigitalCmsLeg

withFixingDays(*args, **kwargs)¶

Overloaded function.

withFixingDays(fixingDays: SupportsInt | SupportsIndex) -> DigitalCmsLeg
withFixingDays(fixingDays: collections.abc.Sequence[SupportsInt | SupportsIndex]) -> DigitalCmsLeg

withGearings(*args, **kwargs)¶

Overloaded function.

withGearings(gearing: SupportsFloat | SupportsIndex) -> DigitalCmsLeg
withGearings(gearings: collections.abc.Sequence[SupportsFloat | SupportsIndex]) -> DigitalCmsLeg

withLongCallOption(type: PositionType) → DigitalCmsLeg¶

withLongPutOption(type: PositionType) → DigitalCmsLeg¶

withNakedOption(nakedOption: bool = True) → DigitalCmsLeg¶

withNotionals(*args, **kwargs)¶

Overloaded function.

withNotionals(nominal: SupportsFloat | SupportsIndex) -> DigitalCmsLeg
withNotionals(nominals: collections.abc.Sequence[SupportsFloat | SupportsIndex]) -> DigitalCmsLeg

withPaymentAdjustment(convention: BusinessDayConvention) → DigitalCmsLeg¶

withPaymentDayCounter(dayCounter: DayCounter) → DigitalCmsLeg¶

withPutATM(flag: bool = True) → DigitalCmsLeg¶

withPutPayoffs(*args, **kwargs)¶

Overloaded function.

withPutPayoffs(payoff: SupportsFloat | SupportsIndex) -> DigitalCmsLeg
withPutPayoffs(payoffs: collections.abc.Sequence[SupportsFloat | SupportsIndex]) -> DigitalCmsLeg

withPutStrikes(*args, **kwargs)¶

Overloaded function.

withPutStrikes(strike: SupportsFloat | SupportsIndex) -> DigitalCmsLeg
withPutStrikes(strikes: collections.abc.Sequence[SupportsFloat | SupportsIndex]) -> DigitalCmsLeg

withReplication(replication: DigitalReplication) → DigitalCmsLeg¶

withSpreads(*args, **kwargs)¶

Overloaded function.

withSpreads(spread: SupportsFloat | SupportsIndex) -> DigitalCmsLeg
withSpreads(spreads: collections.abc.Sequence[SupportsFloat | SupportsIndex]) -> DigitalCmsLeg

Fluent builder for a leg of digital CMS coupons. Same API as DigitalIborLeg but takes a SwapIndex.

ReplicationType¶

class pyquantlib.ReplicationType¶

Bases: pybind11_object

Digital option replication strategy.

Members:

Sub : Sub-replication (lower bound).

Central : Central replication.

Super : Super-replication (upper bound).

__init__(value: SupportsInt | SupportsIndex) → None¶

Central = <ReplicationType.Central: 1>¶

Sub = <ReplicationType.Sub: 0>¶

Super = <ReplicationType.Super: 2>¶

ReplicationType.name -> str

property value¶

Value	Description
`Sub`	Sub-replication (lower bound)
`Central`	Central replication
`Super`	Super-replication (upper bound)

DigitalReplication¶

class pyquantlib.DigitalReplication¶

Bases: pybind11_object

Digital option replication configuration.

__init__(replicationType: ReplicationType = <ReplicationType.Central: 1>, gap: SupportsFloat | SupportsIndex = 0.0001) → None¶: Constructs with replication type and gap.

gap() → float¶: Returns the gap size.

replicationType() → ReplicationType¶: Returns the replication type.

Configuration for digital option replication strategy.

repl = ql.DigitalReplication(ql.ReplicationType.Central, gap=1e-4)

Coupon Pricers¶

BlackIborCouponPricer¶

class pyquantlib.BlackIborCouponPricer¶

Bases: FloatingRateCouponPricer

Black-formula pricer for capped/floored Ibor coupons.

__init__(*args, **kwargs)¶

Overloaded function.

__init__() -> None

Constructs with no optionlet volatility.

__init__(volatility: QuantLib::Handle<QuantLib::OptionletVolatilityStructure>) -> None

Constructs with optionlet volatility.

Black-formula pricer for Ibor coupons. Attach to a leg with setCouponPricer.

pricer = ql.BlackIborCouponPricer()
ql.setCouponPricer(floating_leg, pricer)

LinearTsrPricer¶

class pyquantlib.LinearTsrPricer¶

Bases: CmsCouponPricer, MeanRevertingPricer

CMS coupon pricer using linear terminal swap rate model.

__init__(*args, **kwargs)¶

Overloaded function.

__init__(swaptionVol: QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>, meanReversion: QuoteHandle, couponDiscountCurve: object = None, settings: LinearTsrPricerSettings = <LinearTsrPricerSettings object at 0x7f252f3fa170>) -> None

Constructs with explicit handles.

__init__(swaptionVol: QuantLib::SwaptionVolatilityStructure, meanReversion: base.Quote, couponDiscountCurve: object = None, settings: LinearTsrPricerSettings = <LinearTsrPricerSettings object at 0x7f253436b770>) -> None

Constructs from shared pointers (handles created internally).

capletPrice(effectiveCap: SupportsFloat | SupportsIndex) → float¶: Returns the caplet price.

capletRate(effectiveCap: SupportsFloat | SupportsIndex) → float¶: Returns the caplet rate.

floorletPrice(effectiveFloor: SupportsFloat | SupportsIndex) → float¶: Returns the floorlet price.

floorletRate(effectiveFloor: SupportsFloat | SupportsIndex) → float¶: Returns the floorlet rate.

meanReversion() → float¶: Returns the mean reversion value.

setMeanReversion(meanReversion: QuoteHandle) → None¶: Sets the mean reversion handle.

swapletPrice() → float¶: Returns the swaplet price.

swapletRate() → float¶: Returns the swaplet rate.

Linear Terminal Swap Rate pricer for CMS coupons.

pricer = ql.LinearTsrPricer(swaption_vol, mean_reversion)
ql.setCouponPricer(cms_leg, pricer)

LinearTsrPricerSettings¶

class pyquantlib.LinearTsrPricerSettings¶

Bases: pybind11_object

Settings for LinearTsrPricer integration bounds.

__init__() → None¶: Constructs default settings (RateBound strategy).

withBSStdDevs(*args, **kwargs)¶

Overloaded function.

withBSStdDevs(stdDevs: SupportsFloat | SupportsIndex = 3.0) -> LinearTsrPricerSettings

Sets Black-Scholes std devs strategy with default bounds.

withBSStdDevs(stdDevs: SupportsFloat | SupportsIndex, lowerRateBound: SupportsFloat | SupportsIndex, upperRateBound: SupportsFloat | SupportsIndex) -> LinearTsrPricerSettings

Sets Black-Scholes std devs strategy with explicit bounds.

withPriceThreshold(*args, **kwargs)¶

Overloaded function.

withPriceThreshold(priceThreshold: SupportsFloat | SupportsIndex = 1e-08) -> LinearTsrPricerSettings

Sets price threshold strategy with default bounds.

withPriceThreshold(priceThreshold: SupportsFloat | SupportsIndex, lowerRateBound: SupportsFloat | SupportsIndex, upperRateBound: SupportsFloat | SupportsIndex) -> LinearTsrPricerSettings

Sets price threshold strategy with explicit bounds.

withRateBound(lowerRateBound: SupportsFloat | SupportsIndex = 0.0, upperRateBound: SupportsFloat | SupportsIndex = 2.0) → LinearTsrPricerSettings¶: Sets rate bound strategy with explicit bounds.

withVegaRatio(*args, **kwargs)¶

Overloaded function.

withVegaRatio(vegaRatio: SupportsFloat | SupportsIndex = 0.01) -> LinearTsrPricerSettings

Sets vega ratio strategy with default bounds.

withVegaRatio(vegaRatio: SupportsFloat | SupportsIndex, lowerRateBound: SupportsFloat | SupportsIndex, upperRateBound: SupportsFloat | SupportsIndex) -> LinearTsrPricerSettings

Sets vega ratio strategy with explicit bounds.

LinearTsrPricerStrategy¶

class pyquantlib.LinearTsrPricerStrategy¶

Bases: pybind11_object

Integration boundary determination strategy.

Members:

RateBound

VegaRatio

PriceThreshold

BSStdDevs

__init__(value: SupportsInt | SupportsIndex) → None¶

BSStdDevs = <LinearTsrPricerStrategy.BSStdDevs: 3>¶

PriceThreshold = <LinearTsrPricerStrategy.PriceThreshold: 2>¶

RateBound = <LinearTsrPricerStrategy.RateBound: 0>¶

VegaRatio = <LinearTsrPricerStrategy.VegaRatio: 1>¶

LinearTsrPricerStrategy.name -> str

property value¶

YieldCurveModel¶

class pyquantlib.YieldCurveModel¶

Bases: pybind11_object

Yield curve model for CMS convexity adjustment.

Members:

Standard

ExactYield

ParallelShifts

NonParallelShifts

__init__(value: SupportsInt | SupportsIndex) → None¶

ExactYield = <YieldCurveModel.ExactYield: 1>¶

NonParallelShifts = <YieldCurveModel.NonParallelShifts: 3>¶

ParallelShifts = <YieldCurveModel.ParallelShifts: 2>¶

Standard = <YieldCurveModel.Standard: 0>¶

YieldCurveModel.name -> str

property value¶

Value	Description
`Standard`	Standard yield curve model
`ExactYield`	Exact yield model
`ParallelShifts`	Parallel shifts model
`NonParallelShifts`	Non-parallel shifts model

HaganPricer¶

class pyquantlib.HaganPricer¶

Bases: CmsCouponPricer, MeanRevertingPricer

CMS coupon pricer using Hagan static replication.

__init__(*args, **kwargs)¶

capletPrice(effectiveCap: SupportsFloat | SupportsIndex) → float¶: Returns the caplet price.

capletRate(effectiveCap: SupportsFloat | SupportsIndex) → float¶: Returns the caplet rate.

floorletPrice(effectiveFloor: SupportsFloat | SupportsIndex) → float¶: Returns the floorlet price.

floorletRate(effectiveFloor: SupportsFloat | SupportsIndex) → float¶: Returns the floorlet rate.

meanReversion() → float¶: Returns the mean reversion value.

setMeanReversion(meanReversion: QuoteHandle) → None¶: Sets the mean reversion handle.

swapletRate() → float¶: Returns the swaplet rate.

Abstract base class for Hagan-style CMS coupon pricers using static replication. Inherits from both CmsCouponPricer and MeanRevertingPricer.

AnalyticHaganPricer¶

class pyquantlib.AnalyticHaganPricer¶

Bases: HaganPricer

Analytic CMS coupon pricer using Hagan formula.

__init__(*args, **kwargs)¶

Overloaded function.

__init__(swaptionVol: QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>, modelOfYieldCurve: YieldCurveModel, meanReversion: QuoteHandle) -> None

Constructs with explicit handles.

__init__(swaptionVol: QuantLib::SwaptionVolatilityStructure, modelOfYieldCurve: YieldCurveModel, meanReversion: base.Quote) -> None

Constructs from shared pointers (handles created internally).

Analytic CMS coupon pricer based on the Hagan formula.

pricer = ql.AnalyticHaganPricer(
    swaption_vol, ql.YieldCurveModel.Standard, mean_reversion
)
ql.setCouponPricer(cms_leg, pricer)

NumericHaganPricer¶

class pyquantlib.NumericHaganPricer¶

Bases: HaganPricer

Numeric CMS coupon pricer using Hagan integration.

__init__(*args, **kwargs)¶

Overloaded function.

__init__(swaptionVol: QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>, modelOfYieldCurve: YieldCurveModel, meanReversion: QuoteHandle, lowerLimit: SupportsFloat | SupportsIndex = 0.0, upperLimit: SupportsFloat | SupportsIndex = 1.0, precision: SupportsFloat | SupportsIndex = 1e-06, hardUpperLimit: SupportsFloat | SupportsIndex = 1.7976931348623157e+308) -> None

Constructs with explicit handles.

__init__(swaptionVol: QuantLib::SwaptionVolatilityStructure, modelOfYieldCurve: YieldCurveModel, meanReversion: base.Quote, lowerLimit: SupportsFloat | SupportsIndex = 0.0, upperLimit: SupportsFloat | SupportsIndex = 1.0, precision: SupportsFloat | SupportsIndex = 1e-06, hardUpperLimit: SupportsFloat | SupportsIndex = 1.7976931348623157e+308) -> None

Constructs from shared pointers (handles created internally).

lowerLimit() → float¶: Returns the lower integration limit.

stdDeviations() → float¶: Returns the number of standard deviations for upper limit.

upperLimit() → float¶: Returns the upper integration limit.

Numeric CMS coupon pricer using Hagan integration with configurable limits.

pricer = ql.NumericHaganPricer(
    swaption_vol, ql.YieldCurveModel.Standard, mean_reversion,
    lowerLimit=0.0, upperLimit=1.0, precision=1e-6
)

CompoundingOvernightIndexedCouponPricer¶

class pyquantlib.CompoundingOvernightIndexedCouponPricer¶

Bases: FloatingRateCouponPricer

Pricer for compounded overnight indexed coupons.

__init__() → None¶: Constructs a compounding overnight pricer.

swapletRate() → float¶: Returns the compounded swaplet rate.

Pricer for compounded overnight indexed coupons.

ArithmeticAveragedOvernightIndexedCouponPricer¶

class pyquantlib.ArithmeticAveragedOvernightIndexedCouponPricer¶

Bases: FloatingRateCouponPricer

Pricer for arithmetically averaged overnight indexed coupons.

__init__(*args, **kwargs)¶

Overloaded function.

__init__(meanReversion: SupportsFloat | SupportsIndex = 0.03, volatility: SupportsFloat | SupportsIndex = 0.0, byApprox: bool = False) -> None

Constructs with convexity adjustment parameters.

__init__(byApprox: bool) -> None

Constructs with approximation flag (no convexity adjustment).

swapletRate() → float¶: Returns the averaged swaplet rate.

Pricer for arithmetically averaged overnight indexed coupons with optional convexity adjustment.

# Default (no convexity adjustment)
pricer = ql.ArithmeticAveragedOvernightIndexedCouponPricer()

# With convexity adjustment parameters
pricer = ql.ArithmeticAveragedOvernightIndexedCouponPricer(
    meanReversion=0.03, volatility=0.01, byApprox=False
)

BlackCompoundingOvernightIndexedCouponPricer¶

class pyquantlib.BlackCompoundingOvernightIndexedCouponPricer¶

Bases: CompoundingOvernightIndexedCouponPricer

Black pricer for capped/floored compounded overnight coupons.

__init__(*args, **kwargs)¶

Overloaded function.

__init__() -> None

Constructs without optionlet volatility.

__init__(v: QuantLib::Handle<QuantLib::OptionletVolatilityStructure>, effectiveVolatilityInput: bool = False) -> None

Constructs with optionlet volatility and effective vol flag.

Black pricer for capped/floored compounded overnight coupons.

BlackAveragingOvernightIndexedCouponPricer¶

class pyquantlib.BlackAveragingOvernightIndexedCouponPricer¶

Bases: ArithmeticAveragedOvernightIndexedCouponPricer

Black pricer for capped/floored averaged overnight coupons.

__init__(*args, **kwargs)¶

Overloaded function.

__init__() -> None

Constructs without optionlet volatility.

__init__(v: QuantLib::Handle<QuantLib::OptionletVolatilityStructure>, effectiveVolatilityInput: bool = False) -> None

Constructs with optionlet volatility and effective vol flag.

Black pricer for capped/floored averaged overnight coupons. Requires RateAveraging.Type.Simple.

setCouponPricer¶

pyquantlib.setCouponPricer(*args, **kwargs)¶

Overloaded function.

setCouponPricer(leg: collections.abc.Sequence[base.CashFlow], pricer: base.FloatingRateCouponPricer) -> None

Sets the coupon pricer for all floating-rate coupons in the leg.

setCouponPricer(leg: collections.abc.Sequence[base.CashFlow], pricer: base.InflationCouponPricer) -> None

Sets the coupon pricer for all inflation coupons in the leg.

Also accepts inflation coupon pricers for legs containing YoYInflationCoupon cashflows.

Leg Builders¶

FixedRateLeg¶

class pyquantlib.FixedRateLeg¶

Bases: pybind11_object

Helper class for building a leg of fixed-rate coupons.

__init__(schedule: Schedule) → None¶: Constructs a FixedRateLeg from a schedule.

build() → list[base.CashFlow]¶: Builds and returns the leg of cash flows.

withCouponRates(*args, **kwargs)¶

Overloaded function.

withCouponRates(rate: SupportsFloat | SupportsIndex, dayCounter: DayCounter, compounding: Compounding = <Compounding.Simple: 0>, frequency: Frequency = <Frequency.Annual: 1>) -> FixedRateLeg
withCouponRates(interestRate: InterestRate) -> FixedRateLeg
withCouponRates(rates: collections.abc.Sequence[SupportsFloat | SupportsIndex], dayCounter: DayCounter, compounding: Compounding = <Compounding.Simple: 0>, frequency: Frequency = <Frequency.Annual: 1>) -> FixedRateLeg
withCouponRates(interestRates: collections.abc.Sequence[InterestRate]) -> FixedRateLeg

withExCouponPeriod(period: Period, calendar: Calendar, convention: BusinessDayConvention, endOfMonth: bool = False) → FixedRateLeg¶

withFirstPeriodDayCounter(dayCounter: DayCounter) → FixedRateLeg¶

withLastPeriodDayCounter(dayCounter: DayCounter) → FixedRateLeg¶

withNotionals(*args, **kwargs)¶

Overloaded function.

withNotionals(nominal: SupportsFloat | SupportsIndex) -> FixedRateLeg
withNotionals(nominals: collections.abc.Sequence[SupportsFloat | SupportsIndex]) -> FixedRateLeg

withPaymentAdjustment(convention: BusinessDayConvention) → FixedRateLeg¶

withPaymentCalendar(calendar: Calendar) → FixedRateLeg¶

withPaymentLag(lag: SupportsInt | SupportsIndex) → FixedRateLeg¶

leg = ql.FixedRateLeg(schedule) \
    .withNotionals(1000000.0) \
    .withCouponRates(0.05, ql.Actual365Fixed()) \
    .build()

for cf in leg:
    print(f"{cf.date()}: {cf.amount():.2f}")

IborLeg¶

class pyquantlib.IborLeg¶

Bases: pybind11_object

Helper class for building a leg of Ibor coupons.

__init__(schedule: Schedule, index: QuantLib::IborIndex) → None¶: Constructs an IborLeg from a schedule and index.

build() → list[base.CashFlow]¶: Builds and returns the leg of cash flows.

inArrears(flag: bool = True) → IborLeg¶

withCaps(*args, **kwargs)¶

Overloaded function.

withCaps(cap: SupportsFloat | SupportsIndex) -> IborLeg
withCaps(caps: collections.abc.Sequence[SupportsFloat | SupportsIndex]) -> IborLeg

withExCouponPeriod(period: Period, calendar: Calendar, convention: BusinessDayConvention, endOfMonth: bool = False) → IborLeg¶

withFixingDays(*args, **kwargs)¶

Overloaded function.

withFixingDays(fixingDays: SupportsInt | SupportsIndex) -> IborLeg
withFixingDays(fixingDays: collections.abc.Sequence[SupportsInt | SupportsIndex]) -> IborLeg

withFloors(*args, **kwargs)¶

Overloaded function.

withFloors(floor: SupportsFloat | SupportsIndex) -> IborLeg
withFloors(floors: collections.abc.Sequence[SupportsFloat | SupportsIndex]) -> IborLeg

withGearings(*args, **kwargs)¶

Overloaded function.

withGearings(gearing: SupportsFloat | SupportsIndex) -> IborLeg
withGearings(gearings: collections.abc.Sequence[SupportsFloat | SupportsIndex]) -> IborLeg

withNotionals(*args, **kwargs)¶

Overloaded function.

withNotionals(nominal: SupportsFloat | SupportsIndex) -> IborLeg
withNotionals(nominals: collections.abc.Sequence[SupportsFloat | SupportsIndex]) -> IborLeg

withPaymentAdjustment(convention: BusinessDayConvention) → IborLeg¶

withPaymentCalendar(calendar: Calendar) → IborLeg¶

withPaymentDayCounter(dayCounter: DayCounter) → IborLeg¶

withPaymentLag(lag: SupportsInt | SupportsIndex) → IborLeg¶

withSpreads(*args, **kwargs)¶

Overloaded function.

withSpreads(spread: SupportsFloat | SupportsIndex) -> IborLeg
withSpreads(spreads: collections.abc.Sequence[SupportsFloat | SupportsIndex]) -> IborLeg

withZeroPayments(flag: bool = True) → IborLeg¶

leg = ql.IborLeg(schedule, euribor6m) \
    .withNotionals(1e6) \
    .withSpreads(0.005) \
    .build()

OvernightLeg¶

class pyquantlib.OvernightLeg¶

Bases: pybind11_object

Helper class for building a leg of overnight indexed coupons.

__init__(schedule: Schedule, overnightIndex: QuantLib::OvernightIndex) → None¶: Constructs an OvernightLeg from a schedule and overnight index.

build() → list[base.CashFlow]¶: Builds and returns the leg of cash flows.

withAveragingMethod(averagingMethod: RateAveraging.Type) → OvernightLeg¶

withGearings(*args, **kwargs)¶

Overloaded function.

withGearings(gearing: SupportsFloat | SupportsIndex) -> OvernightLeg
withGearings(gearings: collections.abc.Sequence[SupportsFloat | SupportsIndex]) -> OvernightLeg

withLockoutDays(lockoutDays: SupportsInt | SupportsIndex) → OvernightLeg¶

withLookbackDays(lookbackDays: SupportsInt | SupportsIndex) → OvernightLeg¶

withNotionals(*args, **kwargs)¶

Overloaded function.

withNotionals(nominal: SupportsFloat | SupportsIndex) -> OvernightLeg
withNotionals(nominals: collections.abc.Sequence[SupportsFloat | SupportsIndex]) -> OvernightLeg

withObservationShift(applyObservationShift: bool = True) → OvernightLeg¶

withPaymentAdjustment(convention: BusinessDayConvention) → OvernightLeg¶

withPaymentCalendar(calendar: Calendar) → OvernightLeg¶

withPaymentDayCounter(dayCounter: DayCounter) → OvernightLeg¶

withPaymentLag(lag: SupportsInt | SupportsIndex) → OvernightLeg¶

withSpreads(*args, **kwargs)¶

Overloaded function.

withSpreads(spread: SupportsFloat | SupportsIndex) -> OvernightLeg
withSpreads(spreads: collections.abc.Sequence[SupportsFloat | SupportsIndex]) -> OvernightLeg

withTelescopicValueDates(telescopicValueDates: bool) → OvernightLeg¶

leg = ql.OvernightLeg(schedule, overnight_index) \
    .withNotionals(10e6) \
    .withSpreads(0.001) \
    .withAveragingMethod(ql.RateAveraging.Type.Compound) \
    .build()

CmsLeg¶

class pyquantlib.CmsLeg¶

Bases: pybind11_object

Helper class for building a leg of CMS coupons.

__init__(schedule: Schedule, swapIndex: QuantLib::SwapIndex) → None¶: Constructs a CmsLeg from a schedule and swap index.

build() → list[base.CashFlow]¶: Builds and returns the leg of cash flows.

inArrears(flag: bool = True) → CmsLeg¶

withCaps(*args, **kwargs)¶

Overloaded function.

withCaps(cap: SupportsFloat | SupportsIndex) -> CmsLeg
withCaps(caps: collections.abc.Sequence[SupportsFloat | SupportsIndex]) -> CmsLeg

withExCouponPeriod(period: Period, calendar: Calendar, convention: BusinessDayConvention, endOfMonth: bool = False) → CmsLeg¶

withFixingDays(*args, **kwargs)¶

Overloaded function.

withFixingDays(fixingDays: SupportsInt | SupportsIndex) -> CmsLeg
withFixingDays(fixingDays: collections.abc.Sequence[SupportsInt | SupportsIndex]) -> CmsLeg

withFloors(*args, **kwargs)¶

Overloaded function.

withFloors(floor: SupportsFloat | SupportsIndex) -> CmsLeg
withFloors(floors: collections.abc.Sequence[SupportsFloat | SupportsIndex]) -> CmsLeg

withGearings(*args, **kwargs)¶

Overloaded function.

withGearings(gearing: SupportsFloat | SupportsIndex) -> CmsLeg
withGearings(gearings: collections.abc.Sequence[SupportsFloat | SupportsIndex]) -> CmsLeg

withNotionals(*args, **kwargs)¶

Overloaded function.

withNotionals(nominal: SupportsFloat | SupportsIndex) -> CmsLeg
withNotionals(nominals: collections.abc.Sequence[SupportsFloat | SupportsIndex]) -> CmsLeg

withPaymentAdjustment(convention: BusinessDayConvention) → CmsLeg¶

withPaymentDayCounter(dayCounter: DayCounter) → CmsLeg¶

withSpreads(*args, **kwargs)¶

Overloaded function.

withSpreads(spread: SupportsFloat | SupportsIndex) -> CmsLeg
withSpreads(spreads: collections.abc.Sequence[SupportsFloat | SupportsIndex]) -> CmsLeg

withZeroPayments(flag: bool = True) → CmsLeg¶

leg = ql.CmsLeg(schedule, swap_index) \
    .withNotionals(1e6) \
    .withSpreads(0.001) \
    .build()

BMA Coupons¶

AverageBMACoupon¶

class pyquantlib.AverageBMACoupon¶

Bases: FloatingRateCoupon

Coupon paying the weighted average of BMA fixings.

__init__(paymentDate: Date, nominal: SupportsFloat | SupportsIndex, startDate: Date, endDate: Date, index: QuantLib::BMAIndex, gearing: SupportsFloat | SupportsIndex = 1.0, spread: SupportsFloat | SupportsIndex = 0.0, refPeriodStart: Date = <Date: null date>, refPeriodEnd: Date = <Date: null date>, dayCounter: object = None) → None¶: Constructs an average BMA coupon.

fixingDates() → list[Date]¶: Returns the fixing dates to be averaged.

indexFixings() → list[float]¶: Returns the index fixings to be averaged.

Coupon paying the weighted average of BMA fixings.

AverageBMALeg¶

class pyquantlib.AverageBMALeg¶

Bases: pybind11_object

Builder for a sequence of average BMA coupons.

__init__(schedule: Schedule, index: QuantLib::BMAIndex) → None¶: Constructs an AverageBMALeg builder.

leg() → list[base.CashFlow]¶: Builds and returns the leg.

withGearings(*args, **kwargs)¶

Overloaded function.

withGearings(gearing: SupportsFloat | SupportsIndex) -> AverageBMALeg

Sets a single gearing.

withGearings(gearings: collections.abc.Sequence[SupportsFloat | SupportsIndex]) -> AverageBMALeg

Sets gearing schedule.

withNotionals(*args, **kwargs)¶

Overloaded function.

withNotionals(notional: SupportsFloat | SupportsIndex) -> AverageBMALeg

Sets a single notional.

withNotionals(notionals: collections.abc.Sequence[SupportsFloat | SupportsIndex]) -> AverageBMALeg

Sets notional schedule.

withPaymentAdjustment(convention: BusinessDayConvention) → AverageBMALeg¶: Sets payment business day convention.

withPaymentDayCounter(dayCounter: DayCounter) → AverageBMALeg¶: Sets payment day counter.

withSpreads(*args, **kwargs)¶

Overloaded function.

withSpreads(spread: SupportsFloat | SupportsIndex) -> AverageBMALeg

Sets a single spread.

withSpreads(spreads: collections.abc.Sequence[SupportsFloat | SupportsIndex]) -> AverageBMALeg

Sets spread schedule.

Builder for a sequence of average BMA coupons.

bma = ql.BMAIndex(curve)
leg = ql.AverageBMALeg(schedule, bma) \
    .withNotionals(1e6) \
    .leg()

Settings¶

IborCouponSettings¶

class pyquantlib.IborCouponSettings¶

Bases: pybind11_object

Per-session settings for IborCoupon class.

static instance() → IborCouponSettings¶: Returns the singleton instance.

__init__(*args, **kwargs)¶

createAtParCoupons() → None¶: Switches to par coupon creation.

createIndexedCoupons() → None¶: Switches to indexed coupon creation.

usingAtParCoupons() → bool¶: Returns whether par coupons are being used.

Controls whether IborCoupons are created as par or indexed coupons.

settings = ql.IborCouponSettings.instance()
settings.createAtParCoupons()    # default
settings.createIndexedCoupons()  # alternative

Inflation Coupons¶

InflationCoupon¶

class pyquantlib.base.InflationCoupon¶

Bases: Coupon

Abstract base class for inflation coupons.

__init__(*args, **kwargs)¶

accruedAmount(date: Date) → float¶: Returns the accrued amount at the given date.

amount() → float¶: Returns the coupon amount.

dayCounter() → DayCounter¶: Returns the day counter.

fixingDate() → Date¶: Returns the fixing date.

fixingDays() → int¶: Returns the number of fixing days.

index() → QuantLib::InflationIndex¶: Returns the inflation index.

indexFixing() → float¶: Returns the index fixing.

observationLag() → Period¶: Returns the observation lag.

price(discountingCurve: QuantLib::Handle<QuantLib::YieldTermStructure>) → float¶: Returns the present value given a discounting curve.

pricer() → QuantLib::InflationCouponPricer¶: Returns the inflation coupon pricer.

rate() → float¶: Returns the coupon rate.

setPricer(pricer: QuantLib::InflationCouponPricer) → None¶: Sets the inflation coupon pricer.

Abstract base class for coupons linked to an inflation index.

ZeroInflationCashFlow¶

class pyquantlib.ZeroInflationCashFlow¶

Bases: CashFlow

Cash flow dependent on a zero-inflation index ratio.

__init__(notional: SupportsFloat | SupportsIndex, index: QuantLib::ZeroInflationIndex, observationInterpolation: QuantLib::CPI::InterpolationType, startDate: Date, endDate: Date, observationLag: Period, paymentDate: Date, growthOnly: bool = False) → None¶: Constructs a zero-inflation cash flow.

baseDate() → Date¶: Returns the base date.

baseFixing() → float¶: Returns the base fixing.

fixingDate() → Date¶: Returns the fixing date.

growthOnly() → bool¶: Returns whether only growth is paid.

indexFixing() → float¶: Returns the index fixing.

notional() → float¶: Returns the notional.

observationInterpolation() → QuantLib::CPI::InterpolationType¶: Returns the observation interpolation type.

zeroInflationIndex() → QuantLib::ZeroInflationIndex¶: Returns the zero-inflation index.

Cash flow paying the zero-inflation rate between two dates.

YoYInflationCoupon¶

class pyquantlib.YoYInflationCoupon¶

Bases: InflationCoupon

Year-on-year inflation coupon.

__init__(paymentDate: Date, nominal: SupportsFloat | SupportsIndex, startDate: Date, endDate: Date, fixingDays: SupportsInt | SupportsIndex, index: QuantLib::YoYInflationIndex, observationLag: Period, interpolation: QuantLib::CPI::InterpolationType, dayCounter: DayCounter, gearing: SupportsFloat | SupportsIndex = 1.0, spread: SupportsFloat | SupportsIndex = 0.0, refPeriodStart: Date = <Date: null date>, refPeriodEnd: Date = <Date: null date>) → None¶: Constructs a YoY inflation coupon.

adjustedFixing() → float¶: Returns the adjusted fixing.

gearing() → float¶: Returns the gearing.

interpolation() → QuantLib::CPI::InterpolationType¶: Returns the interpolation type.

spread() → float¶: Returns the spread.

yoyIndex() → QuantLib::YoYInflationIndex¶: Returns the YoY inflation index.

Coupon paying the year-on-year inflation rate.

CappedFlooredYoYInflationCoupon¶

class pyquantlib.CappedFlooredYoYInflationCoupon¶

Bases: YoYInflationCoupon

Capped and/or floored YoY inflation coupon.

__init__(*args, **kwargs)¶

Overloaded function.

__init__(underlying: YoYInflationCoupon, cap: object = None, floor: object = None) -> None

Constructs from an underlying YoY inflation coupon.

__init__(paymentDate: Date, nominal: SupportsFloat | SupportsIndex, startDate: Date, endDate: Date, fixingDays: SupportsInt | SupportsIndex, index: QuantLib::YoYInflationIndex, observationLag: Period, interpolation: QuantLib::CPI::InterpolationType, dayCounter: DayCounter, gearing: SupportsFloat | SupportsIndex = 1.0, spread: SupportsFloat | SupportsIndex = 0.0, cap: object = None, floor: object = None, refPeriodStart: Date = <Date: null date>, refPeriodEnd: Date = <Date: null date>) -> None

Constructs a capped/floored YoY inflation coupon.

cap() → float¶: Returns the cap rate.

effectiveCap() → float¶: Returns the effective cap of the fixing.

effectiveFloor() → float¶: Returns the effective floor of the fixing.

floor() → float¶: Returns the floor rate.

isCapped() → bool¶: Returns True if the coupon is capped.

isFloored() → bool¶: Returns True if the coupon is floored.

Year-on-year inflation coupon with cap and/or floor.

yoyInflationLeg¶

class pyquantlib.yoyInflationLeg¶

Bases: pybind11_object

Builder for year-on-year inflation legs.

__init__(schedule: Schedule, calendar: Calendar, index: QuantLib::YoYInflationIndex, observationLag: Period, interpolation: QuantLib::CPI::InterpolationType) → None¶: Constructs a yoyInflationLeg builder.

build() → list[base.CashFlow]¶: Builds and returns the leg of cash flows.

withCaps(*args, **kwargs)¶

Overloaded function.

withCaps(cap: SupportsFloat | SupportsIndex) -> yoyInflationLeg
withCaps(caps: collections.abc.Sequence[SupportsFloat | SupportsIndex]) -> yoyInflationLeg

withFixingDays(*args, **kwargs)¶

Overloaded function.

withFixingDays(fixingDays: SupportsInt | SupportsIndex) -> yoyInflationLeg
withFixingDays(fixingDays: collections.abc.Sequence[SupportsInt | SupportsIndex]) -> yoyInflationLeg

withFloors(*args, **kwargs)¶

Overloaded function.

withFloors(floor: SupportsFloat | SupportsIndex) -> yoyInflationLeg
withFloors(floors: collections.abc.Sequence[SupportsFloat | SupportsIndex]) -> yoyInflationLeg

withGearings(*args, **kwargs)¶

Overloaded function.

withGearings(gearing: SupportsFloat | SupportsIndex) -> yoyInflationLeg
withGearings(gearings: collections.abc.Sequence[SupportsFloat | SupportsIndex]) -> yoyInflationLeg

withNotionals(*args, **kwargs)¶

Overloaded function.

withNotionals(nominal: SupportsFloat | SupportsIndex) -> yoyInflationLeg
withNotionals(nominals: collections.abc.Sequence[SupportsFloat | SupportsIndex]) -> yoyInflationLeg

withPaymentAdjustment(convention: BusinessDayConvention) → yoyInflationLeg¶

withPaymentDayCounter(dayCounter: DayCounter) → yoyInflationLeg¶

withSpreads(*args, **kwargs)¶

Overloaded function.

withSpreads(spread: SupportsFloat | SupportsIndex) -> yoyInflationLeg
withSpreads(spreads: collections.abc.Sequence[SupportsFloat | SupportsIndex]) -> yoyInflationLeg

Builder class for constructing a leg of year-on-year inflation coupons.

leg = ql.yoyInflationLeg(schedule, calendar, yoy_index, observation_lag) \
    .withNotionals(1_000_000.0) \
    .withPaymentDayCounter(ql.Actual365Fixed()) \
    .build()

Inflation Coupon Pricers¶

InflationCouponPricer¶

class pyquantlib.base.InflationCouponPricer¶

Bases: Observer, Observable

Abstract base class for inflation coupon pricers.

__init__(*args, **kwargs)¶

Abstract base class for inflation coupon pricers.

YoYInflationCouponPricer¶

class pyquantlib.YoYInflationCouponPricer¶

Bases: InflationCouponPricer

Base pricer for YoY inflation coupons.

__init__(*args, **kwargs)¶

Overloaded function.

__init__() -> None

Constructs with no vol or nominal curve.

__init__(nominalTermStructure: QuantLib::Handle<QuantLib::YieldTermStructure>) -> None

Constructs with a nominal term structure.

__init__(capletVol: QuantLib::Handle<QuantLib::YoYOptionletVolatilitySurface>, nominalTermStructure: QuantLib::Handle<QuantLib::YieldTermStructure>) -> None

Constructs with caplet vol and nominal term structure.

__init__(nominalTermStructure: QuantLib::YieldTermStructure) -> None

Constructs with a nominal term structure (handle created internally).

capletVolatility() → QuantLib::Handle<QuantLib::YoYOptionletVolatilitySurface>¶: Returns the caplet volatility handle.

nominalTermStructure() → QuantLib::Handle<QuantLib::YieldTermStructure>¶: Returns the nominal term structure handle.

setCapletVolatility(capletVol: QuantLib::Handle<QuantLib::YoYOptionletVolatilitySurface>) → None¶: Sets the caplet volatility handle.

Base pricer for year-on-year inflation coupons.

BlackYoYInflationCouponPricer¶

class pyquantlib.BlackYoYInflationCouponPricer¶

Bases: YoYInflationCouponPricer

Black-formula pricer for YoY inflation coupons.

__init__(*args, **kwargs)¶

Overloaded function.

__init__() -> None

Constructs with no vol or nominal curve.

__init__(nominalTermStructure: QuantLib::Handle<QuantLib::YieldTermStructure>) -> None

Constructs with a nominal term structure.

__init__(capletVol: QuantLib::Handle<QuantLib::YoYOptionletVolatilitySurface>, nominalTermStructure: QuantLib::Handle<QuantLib::YieldTermStructure>) -> None

Constructs with caplet vol and nominal term structure.

Black-formula pricer for YoY inflation coupons (lognormal volatility).

UnitDisplacedBlackYoYInflationCouponPricer¶

class pyquantlib.UnitDisplacedBlackYoYInflationCouponPricer¶

Bases: YoYInflationCouponPricer

Unit-displaced Black pricer for YoY inflation coupons.

__init__(*args, **kwargs)¶

Overloaded function.

__init__() -> None

Constructs with no vol or nominal curve.

__init__(nominalTermStructure: QuantLib::Handle<QuantLib::YieldTermStructure>) -> None

Constructs with a nominal term structure.

__init__(capletVol: QuantLib::Handle<QuantLib::YoYOptionletVolatilitySurface>, nominalTermStructure: QuantLib::Handle<QuantLib::YieldTermStructure>) -> None

Constructs with caplet vol and nominal term structure.

Unit-displaced Black-formula pricer for YoY inflation coupons.

BachelierYoYInflationCouponPricer¶

class pyquantlib.BachelierYoYInflationCouponPricer¶

Bases: YoYInflationCouponPricer

Bachelier (normal) pricer for YoY inflation coupons.

__init__(*args, **kwargs)¶

Overloaded function.

__init__() -> None

Constructs with no vol or nominal curve.

__init__(nominalTermStructure: QuantLib::Handle<QuantLib::YieldTermStructure>) -> None

Constructs with a nominal term structure.

__init__(capletVol: QuantLib::Handle<QuantLib::YoYOptionletVolatilitySurface>, nominalTermStructure: QuantLib::Handle<QuantLib::YieldTermStructure>) -> None

Constructs with caplet vol and nominal term structure.

Bachelier (normal volatility) pricer for YoY inflation coupons.

pricer = ql.BlackYoYInflationCouponPricer(yoy_vol_handle)
ql.setCouponPricer(yoy_leg, pricer)

Dividends¶

FixedDividend¶

class pyquantlib.FixedDividend¶

Bases: Dividend

Fixed cash dividend.

__init__(amount: SupportsFloat | SupportsIndex, date: Date) → None¶: Constructs a fixed dividend.

amount() → float¶: Returns the dividend amount.

Fixed cash dividend.

div = ql.FixedDividend(2.50, ql.Date(15, 6, 2026))
print(div.amount())  # 2.5
print(div.date())    # June 15th, 2026

FractionalDividend¶

class pyquantlib.FractionalDividend¶

Bases: Dividend

Fractional (proportional) dividend.

__init__(*args, **kwargs)¶

Overloaded function.

__init__(rate: SupportsFloat | SupportsIndex, date: Date) -> None

Constructs a fractional dividend (rate only).

__init__(rate: SupportsFloat | SupportsIndex, nominal: SupportsFloat | SupportsIndex, date: Date) -> None

Constructs a fractional dividend with nominal.

nominal() → float¶: Returns the nominal value.

rate() → float¶: Returns the dividend rate.

Fractional (proportional) dividend: amount = rate * nominal.

div = ql.FractionalDividend(0.03, 100.0, ql.Date(15, 6, 2026))
print(div.rate())     # 0.03
print(div.nominal())  # 100.0

DividendVector¶

pyquantlib.DividendVector(dividendDates: collections.abc.Sequence[Date], dividends: collections.abc.Sequence[SupportsFloat | SupportsIndex]) → list[base.Dividend]¶: Builds a sequence of fixed dividends from dates and amounts.

Builds a sequence of fixed dividends from dates and amounts.

divs = ql.DividendVector(
    [ql.Date(15, 6, 2026), ql.Date(15, 12, 2026)],
    [2.50, 2.50],
)

Duration¶

DurationType¶

class pyquantlib.DurationType¶

Bases: pybind11_object

Duration calculation type.

Members:

Simple : Simple duration.

Macaulay : Macaulay duration.

Modified : Modified duration.

__init__(value: SupportsInt | SupportsIndex) → None¶

Macaulay = <DurationType.Macaulay: 1>¶

Modified = <DurationType.Modified: 2>¶

Simple = <DurationType.Simple: 0>¶

DurationType.name -> str

property value¶

Value	Description
`Simple`	Simple duration
`Macaulay`	Macaulay duration
`Modified`	Modified duration

Note

Abstract base classes CashFlow, Coupon, FloatingRateCouponPricer, MeanRevertingPricer, CmsCouponPricer, HaganPricer, InflationCoupon, and InflationCouponPricer are available in pyquantlib.base for isinstance checks and custom implementations.