Core Module¶

Settings¶

Global repository for run-time library settings.

ql.Settings is exported as the singleton instance, allowing direct property access.

Properties¶

Property	Type	Description
`evaluationDate`	`Date`	The evaluation date for pricing calculations
`includeReferenceDateEvents`	`bool`	Whether events on the reference date are included
`includeTodaysCashFlows`	`bool` or `None`	Whether to include today’s cash flows
`enforcesTodaysHistoricFixings`	`bool`	Whether to enforce historic fixings for today

Methods¶

Method	Description
`instance()`	Returns the singleton instance
`setEvaluationDate(date)`	Sets the evaluation date
`anchorEvaluationDate()`	Prevents the evaluation date from advancing automatically
`resetEvaluationDate()`	Resets evaluation date to today and allows automatic advancement

Example¶

import pyquantlib as ql

# Set evaluation date
ql.Settings.evaluationDate = ql.Date(15, 6, 2025)

# Anchor the date (prevents automatic advancement)
ql.Settings.anchorEvaluationDate()

# Configure cash flow settings
ql.Settings.includeReferenceDateEvents = True
ql.Settings.includeTodaysCashFlows = True
ql.Settings.enforcesTodaysHistoricFixings = False

# Reset to today with automatic advancement
ql.Settings.resetEvaluationDate()

Tip

Both ql.Settings.evaluationDate and ql.Settings.instance().evaluationDate work identically.

Interest Rate¶

InterestRate¶

class pyquantlib.InterestRate¶

Bases: pybind11_object

Interest rate with compounding algebra.

static impliedRate(*args, **kwargs)¶

Overloaded function.

impliedRate(compound: SupportsFloat | SupportsIndex, dayCounter: DayCounter, compounding: Compounding, frequency: Frequency, time: SupportsFloat | SupportsIndex) -> InterestRate

Implied rate from a compound factor over a time period.

impliedRate(compound: SupportsFloat | SupportsIndex, dayCounter: DayCounter, compounding: Compounding, frequency: Frequency, startDate: Date, endDate: Date, refStart: Date = <Date: null date>, refEnd: Date = <Date: null date>) -> InterestRate

Implied rate from a compound factor between two dates.

__init__(*args, **kwargs)¶

Overloaded function.

__init__() -> None

Default constructor returning a null interest rate.

__init__(rate: SupportsFloat | SupportsIndex, dayCounter: DayCounter, compounding: Compounding, frequency: Frequency) -> None

Construct an interest rate with the given parameters.

compoundFactor(*args, **kwargs)¶

Overloaded function.

compoundFactor(time: SupportsFloat | SupportsIndex) -> float

Compound factor for a given time period.

compoundFactor(startDate: Date, endDate: Date, refStart: Date = <Date: null date>, refEnd: Date = <Date: null date>) -> float

Compound factor between two dates.

compounding() → Compounding¶: Returns the compounding convention.

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

discountFactor(*args, **kwargs)¶

Overloaded function.

discountFactor(time: SupportsFloat | SupportsIndex) -> float

Discount factor for a given time period.

discountFactor(startDate: Date, endDate: Date, refStart: Date = <Date: null date>, refEnd: Date = <Date: null date>) -> float

Discount factor between two dates.

equivalentRate(*args, **kwargs)¶

Overloaded function.

equivalentRate(compounding: Compounding, frequency: Frequency, time: SupportsFloat | SupportsIndex) -> InterestRate

Equivalent rate with different compounding over a time period.

equivalentRate(dayCounter: DayCounter, compounding: Compounding, frequency: Frequency, startDate: Date, endDate: Date, refStart: Date = <Date: null date>, refEnd: Date = <Date: null date>) -> InterestRate

Equivalent rate with different compounding between two dates.

frequency() → Frequency¶: Returns the compounding frequency.

isNull() → bool¶: Returns true if the rate is null (uninitialized).

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

rate = ql.InterestRate(0.05, ql.Actual365Fixed(), ql.Compounded, ql.Annual)
df = rate.discountFactor(1.0)
equivalent = rate.equivalentRate(ql.Continuous, ql.NoFrequency, 1.0)

Rounding¶

class pyquantlib.Rounding¶

Bases: pybind11_object

Basic rounding convention.

class Type¶

Bases: pybind11_object

Rounding type enumeration.

Members:

None_ : No rounding.

Up : Round up.

Down : Round down.

Closest : Round to the closest.

Floor : Round to the largest integer not greater than x.

Ceiling : Round to the smallest integer not less than x.

__init__(value: SupportsInt | SupportsIndex) → None¶

Ceiling = <Type.Ceiling: 5>¶

Closest = <Type.Closest: 3>¶

Down = <Type.Down: 2>¶

Floor = <Type.Floor: 4>¶

None_ = <Type.None_: 0>¶

Up = <Type.Up: 1>¶

Rounding.Type.name -> str

property value¶

__init__(precision: SupportsInt | SupportsIndex, type: Rounding.Type = <Type.Closest: 3>, digit: SupportsInt | SupportsIndex = 5) → None¶: Creates a rounding convention.

property precision¶: Returns the precision.

property roundingDigit¶: Returns the rounding digit.

property type¶: Returns the rounding type.

UpRounding¶

class pyquantlib.UpRounding¶

Bases: Rounding

Up-rounding.

__init__(precision: SupportsInt | SupportsIndex, digit: SupportsInt | SupportsIndex = 5) → None¶

DownRounding¶

class pyquantlib.DownRounding¶

Bases: Rounding

Down-rounding.

__init__(precision: SupportsInt | SupportsIndex, digit: SupportsInt | SupportsIndex = 5) → None¶

ClosestRounding¶

class pyquantlib.ClosestRounding¶

Bases: Rounding

Closest-rounding.

__init__(precision: SupportsInt | SupportsIndex, digit: SupportsInt | SupportsIndex = 5) → None¶

CeilingTruncation¶

class pyquantlib.CeilingTruncation¶

Bases: Rounding

Ceiling truncation.

__init__(precision: SupportsInt | SupportsIndex, digit: SupportsInt | SupportsIndex = 5) → None¶

FloorTruncation¶

class pyquantlib.FloorTruncation¶

Bases: Rounding

Floor truncation.

__init__(precision: SupportsInt | SupportsIndex, digit: SupportsInt | SupportsIndex = 5) → None¶

Enumerations¶

class pyquantlib.Compounding¶

Bases: pybind11_object

Interest rate compounding rule.

Members:

Simple : 1 + r*t

Compounded : (1 + r)^t

Continuous : e^(r*t)

SimpleThenCompounded : Simple up to the first period, then Compounded.

CompoundedThenSimple : Compounded up to the first period, then Simple.

__init__(value: SupportsInt | SupportsIndex) → None¶

Compounded = <Compounding.Compounded: 1>¶

CompoundedThenSimple = <Compounding.CompoundedThenSimple: 4>¶

Continuous = <Compounding.Continuous: 2>¶

Simple = <Compounding.Simple: 0>¶

SimpleThenCompounded = <Compounding.SimpleThenCompounded: 3>¶

Compounding.name -> str

property value¶

Value	Description
`Simple`	\((1 + r \cdot t)\)
`Compounded`	\((1 + r/n)^{nt}\)
`Continuous`	\(e^{rt}\)
`SimpleThenCompounded`	Simple for \(t < 1/n\), then compounded
`CompoundedThenSimple`	Compounded for \(t \geq 1/n\), then simple

PositionType¶

class pyquantlib.PositionType¶

Bases: pybind11_object

Long or short position.

Members:

Long

Short

__init__(value: SupportsInt | SupportsIndex) → None¶

Long = <PositionType.Long: 0>¶

Short = <PositionType.Short: 1>¶

PositionType.name -> str

property value¶

Value	Description
`Long`	Long position
`Short`	Short position

ProtectionSide¶

class pyquantlib.ProtectionSide¶

Bases: pybind11_object

Protection buyer or seller.

Members:

Buyer : Protection buyer.

Seller : Protection seller.

__init__(value: SupportsInt | SupportsIndex) → None¶

Buyer = <ProtectionSide.Buyer: 0>¶

Seller = <ProtectionSide.Seller: 1>¶

ProtectionSide.name -> str

property value¶

Value	Description
`Buyer`	Protection buyer
`Seller`	Protection seller

CdsPricingModel¶

Value	Description
`Midpoint`	Mid-point engine
`ISDA`	ISDA standard engine

Constants¶

Constant	Description
`ql.EPSILON`	Machine epsilon for floating point
`ql.NullReal`	Null value for Real (indicates “no value”)
`ql.NullSize`	Null value for Size/Integer
`ql.MAX_REAL`	Maximum Real value
`ql.MIN_REAL`	Minimum Real value
`ql.MIN_POSITIVE_REAL`	Minimum positive Real value
`ql.MAX_INTEGER`	Maximum Integer value
`ql.MIN_INTEGER`	Minimum Integer value

if value == ql.NullReal:
    print("Value not available")