Indexes Module¶

Indexes represent market rates used for floating-rate instruments.

Abstract Base Classes¶

The following abstract classes are available in pyquantlib.base:

Index¶

Base class for all indexes.

Key methods:

name(): Returns the index name
fixingCalendar(): Returns the calendar for fixing dates
isValidFixingDate(date): Checks if a date is a valid fixing date
fixing(date): Returns the fixing for a given date
addFixing(date, value): Adds a historical fixing

InterestRateIndex¶

Base class for interest rate indexes (e.g., LIBOR, EURIBOR, SOFR).

Additional methods:

familyName(): Returns the index family name
tenor(): Returns the index tenor
currency(): Returns the index currency
dayCounter(): Returns the day counter
fixingDays(): Returns the number of fixing days

from pyquantlib.base import Index, InterestRateIndex

IBOR Indexes¶

IborIndex¶

class pyquantlib.IborIndex¶

Bases: InterestRateIndex

Base class for IBOR indexes (e.g. Euribor, Libor).

__init__(*args, **kwargs)¶

Overloaded function.

__init__(familyName: str, tenor: Period, settlementDays: SupportsInt | SupportsIndex, currency: Currency, fixingCalendar: Calendar, convention: BusinessDayConvention, endOfMonth: bool, dayCounter: DayCounter) -> None

Constructs an IBOR index without forwarding curve.

__init__(familyName: str, tenor: Period, settlementDays: SupportsInt | SupportsIndex, currency: Currency, fixingCalendar: Calendar, convention: BusinessDayConvention, endOfMonth: bool, dayCounter: DayCounter, h: QuantLib::Handle<QuantLib::YieldTermStructure>) -> None

Constructs an IBOR index with forwarding term structure handle.

__init__(familyName: str, tenor: Period, settlementDays: SupportsInt | SupportsIndex, currency: Currency, fixingCalendar: Calendar, convention: BusinessDayConvention, endOfMonth: bool, dayCounter: DayCounter, forwardingTermStructure: QuantLib::YieldTermStructure) -> None

Constructs an IBOR index with forwarding term structure.

businessDayConvention() → BusinessDayConvention¶: Returns the business day convention.

clone(forwardingTermStructure: QuantLib::Handle<QuantLib::YieldTermStructure>) → IborIndex¶: Returns a copy linked to a different forwarding curve.

endOfMonth() → bool¶: Returns True if end-of-month adjustment applies.

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

Euribor¶

class pyquantlib.Euribor¶

Bases: IborIndex

Euribor index fixed by the ECB.

__init__(*args, **kwargs)¶

Overloaded function.

__init__(tenor: Period) -> None

Constructs Euribor index with given tenor.

__init__(tenor: Period, h: QuantLib::Handle<QuantLib::YieldTermStructure>) -> None

Constructs Euribor index with forwarding term structure handle.

__init__(tenor: Period, forwardingTermStructure: QuantLib::YieldTermStructure) -> None

Constructs Euribor index with forwarding term structure.

euribor6m = ql.Euribor(ql.Period(6, ql.Months), curve)

Overnight Indexes¶

Sofr¶

class pyquantlib.Sofr¶

Bases: OvernightIndex

Secured Overnight Financing Rate (SOFR) index.

__init__(*args, **kwargs)¶

Overloaded function.

__init__() -> None

Constructs SOFR without forwarding curve.

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

Constructs SOFR with forwarding term structure handle.

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

Constructs SOFR with forwarding term structure.

Secured Overnight Financing Rate (USD).

sofr = ql.Sofr()           # without curve
sofr = ql.Sofr(curve)      # with forwarding curve

Eonia¶

class pyquantlib.Eonia¶

Bases: OvernightIndex

Euro Overnight Index Average (EONIA) rate fixed by the ECB.

__init__(*args, **kwargs)¶

Overloaded function.

__init__() -> None

Constructs Eonia without forwarding curve.

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

Constructs Eonia with forwarding term structure handle.

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

Constructs Eonia with forwarding term structure.

Euro Overnight Index Average (EONIA) rate fixed by the ECB.

eonia = ql.Eonia()           # without curve
eonia = ql.Eonia(curve)      # with forwarding curve

Estr¶

class pyquantlib.Estr¶

Bases: OvernightIndex

Euro Short-Term Rate (ESTR) index.

__init__(*args, **kwargs)¶

Overloaded function.

__init__() -> None

Constructs ESTR without forwarding curve.

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

Constructs ESTR with forwarding term structure handle.

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

Constructs ESTR with forwarding term structure.

Euro Short-Term Rate (EUR).

estr = ql.Estr(curve)

Sonia¶

class pyquantlib.Sonia¶

Bases: OvernightIndex

Sterling Overnight Index Average (SONIA) rate.

__init__(*args, **kwargs)¶

Overloaded function.

__init__() -> None

Constructs SONIA without forwarding curve.

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

Constructs SONIA with forwarding term structure handle.

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

Constructs SONIA with forwarding term structure.

Sterling Overnight Index Average (GBP).

sonia = ql.Sonia(curve)

Swap Indexes¶

SwapIndex¶

class pyquantlib.SwapIndex¶

Bases: InterestRateIndex

Swap rate index.

__init__(*args, **kwargs)¶

Overloaded function.

__init__(familyName: str, tenor: Period, settlementDays: SupportsInt | SupportsIndex, currency: Currency, fixingCalendar: Calendar, fixedLegTenor: Period, fixedLegConvention: BusinessDayConvention, fixedLegDayCounter: DayCounter, iborIndex: IborIndex) -> None

Constructs a swap index.

__init__(familyName: str, tenor: Period, settlementDays: SupportsInt | SupportsIndex, currency: Currency, fixingCalendar: Calendar, fixedLegTenor: Period, fixedLegConvention: BusinessDayConvention, fixedLegDayCounter: DayCounter, iborIndex: IborIndex, discountingTermStructure: QuantLib::Handle<QuantLib::YieldTermStructure>) -> None

Constructs a swap index with discounting term structure.

__init__(familyName: str, tenor: Period, settlementDays: SupportsInt | SupportsIndex, currency: Currency, fixingCalendar: Calendar, fixedLegTenor: Period, fixedLegConvention: BusinessDayConvention, fixedLegDayCounter: DayCounter, iborIndex: IborIndex, discountCurve: QuantLib::YieldTermStructure) -> None

Constructs a swap index with discounting curve.

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

exogenousDiscount() → bool¶: Returns true if using exogenous discounting.

fixedLegConvention() → BusinessDayConvention¶: Returns the fixed leg business day convention.

fixedLegTenor() → Period¶: Returns the fixed leg tenor.

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

iborIndex() → IborIndex¶: Returns the IBOR index.

underlyingSwap(fixingDate: Date) → object¶: Returns the underlying swap for a given fixing date.

euribor6m = ql.Euribor(ql.Period(6, ql.Months), curve)
swap_index = ql.SwapIndex(
    "EurSwap", ql.Period(5, ql.Years), 2,
    ql.EURCurrency(), ql.TARGET(),
    ql.Period(1, ql.Years), ql.Unadjusted,
    ql.Thirty360(ql.Thirty360.BondBasis), euribor6m,
)

OvernightIndexedSwapIndex¶

class pyquantlib.OvernightIndexedSwapIndex¶

Bases: SwapIndex

OIS swap rate index.

__init__(familyName: str, tenor: Period, settlementDays: SupportsInt | SupportsIndex, currency: Currency, overnightIndex: OvernightIndex, telescopicValueDates: bool = False, averagingMethod: RateAveraging.Type = <Type.Compound: 1>) → None¶: Constructs an OIS swap rate index.

overnightIndex() → object¶: Returns the overnight index.

estr = ql.Estr(curve)
ois_index = ql.OvernightIndexedSwapIndex(
    "EstrSwap", ql.Period(1, ql.Years), 2,
    ql.EURCurrency(), estr,
)

Concrete Swap Index Subclasses¶

Standard market swap indexes with pre-configured conventions.

EuriborSwapIsdaFixA¶

class pyquantlib.EuriborSwapIsdaFixA¶

Bases: SwapIndex

Euribor swap rate (ISDA fix A).

__init__(*args, **kwargs)¶

Overloaded function.

__init__(tenor: Period) -> None

Constructs with given tenor.

__init__(tenor: Period, h: QuantLib::Handle<QuantLib::YieldTermStructure>) -> None

Constructs with forwarding term structure handle.

__init__(tenor: Period, forwarding: QuantLib::Handle<QuantLib::YieldTermStructure>, discounting: QuantLib::Handle<QuantLib::YieldTermStructure>) -> None

Constructs with forwarding and discounting term structure handles.

__init__(tenor: Period, forwardingTermStructure: QuantLib::YieldTermStructure) -> None

Constructs with forwarding term structure.

__init__(tenor: Period, forwardingTermStructure: QuantLib::YieldTermStructure, discountingTermStructure: QuantLib::YieldTermStructure) -> None

Constructs with forwarding and discounting term structures.

EuriborSwapIsdaFixB¶

class pyquantlib.EuriborSwapIsdaFixB¶

Bases: SwapIndex

Euribor swap rate (ISDA fix B).

__init__(*args, **kwargs)¶

Overloaded function.

__init__(tenor: Period) -> None

Constructs with given tenor.

__init__(tenor: Period, h: QuantLib::Handle<QuantLib::YieldTermStructure>) -> None

Constructs with forwarding term structure handle.

__init__(tenor: Period, forwarding: QuantLib::Handle<QuantLib::YieldTermStructure>, discounting: QuantLib::Handle<QuantLib::YieldTermStructure>) -> None

Constructs with forwarding and discounting term structure handles.

__init__(tenor: Period, forwardingTermStructure: QuantLib::YieldTermStructure) -> None

Constructs with forwarding term structure.

__init__(tenor: Period, forwardingTermStructure: QuantLib::YieldTermStructure, discountingTermStructure: QuantLib::YieldTermStructure) -> None

Constructs with forwarding and discounting term structures.

EuriborSwapIfrFix¶

class pyquantlib.EuriborSwapIfrFix¶

Bases: SwapIndex

Euribor swap rate (IFR fix).

__init__(*args, **kwargs)¶

Overloaded function.

__init__(tenor: Period) -> None

Constructs with given tenor.

__init__(tenor: Period, h: QuantLib::Handle<QuantLib::YieldTermStructure>) -> None

Constructs with forwarding term structure handle.

__init__(tenor: Period, forwarding: QuantLib::Handle<QuantLib::YieldTermStructure>, discounting: QuantLib::Handle<QuantLib::YieldTermStructure>) -> None

Constructs with forwarding and discounting term structure handles.

__init__(tenor: Period, forwardingTermStructure: QuantLib::YieldTermStructure) -> None

Constructs with forwarding term structure.

__init__(tenor: Period, forwardingTermStructure: QuantLib::YieldTermStructure, discountingTermStructure: QuantLib::YieldTermStructure) -> None

Constructs with forwarding and discounting term structures.

EurLiborSwapIsdaFixA¶

class pyquantlib.EurLiborSwapIsdaFixA¶

Bases: SwapIndex

EUR LIBOR swap rate (ISDA fix A).

__init__(*args, **kwargs)¶

Overloaded function.

__init__(tenor: Period) -> None

Constructs with given tenor.

__init__(tenor: Period, h: QuantLib::Handle<QuantLib::YieldTermStructure>) -> None

Constructs with forwarding term structure handle.

__init__(tenor: Period, forwarding: QuantLib::Handle<QuantLib::YieldTermStructure>, discounting: QuantLib::Handle<QuantLib::YieldTermStructure>) -> None

Constructs with forwarding and discounting term structure handles.

__init__(tenor: Period, forwardingTermStructure: QuantLib::YieldTermStructure) -> None

Constructs with forwarding term structure.

__init__(tenor: Period, forwardingTermStructure: QuantLib::YieldTermStructure, discountingTermStructure: QuantLib::YieldTermStructure) -> None

Constructs with forwarding and discounting term structures.

EurLiborSwapIsdaFixB¶

class pyquantlib.EurLiborSwapIsdaFixB¶

Bases: SwapIndex

EUR LIBOR swap rate (ISDA fix B).

__init__(*args, **kwargs)¶

Overloaded function.

__init__(tenor: Period) -> None

Constructs with given tenor.

__init__(tenor: Period, h: QuantLib::Handle<QuantLib::YieldTermStructure>) -> None

Constructs with forwarding term structure handle.

__init__(tenor: Period, forwarding: QuantLib::Handle<QuantLib::YieldTermStructure>, discounting: QuantLib::Handle<QuantLib::YieldTermStructure>) -> None

Constructs with forwarding and discounting term structure handles.

__init__(tenor: Period, forwardingTermStructure: QuantLib::YieldTermStructure) -> None

Constructs with forwarding term structure.

__init__(tenor: Period, forwardingTermStructure: QuantLib::YieldTermStructure, discountingTermStructure: QuantLib::YieldTermStructure) -> None

Constructs with forwarding and discounting term structures.

EurLiborSwapIfrFix¶

class pyquantlib.EurLiborSwapIfrFix¶

Bases: SwapIndex

EUR LIBOR swap rate (IFR fix).

__init__(*args, **kwargs)¶

Overloaded function.

__init__(tenor: Period) -> None

Constructs with given tenor.

__init__(tenor: Period, h: QuantLib::Handle<QuantLib::YieldTermStructure>) -> None

Constructs with forwarding term structure handle.

__init__(tenor: Period, forwarding: QuantLib::Handle<QuantLib::YieldTermStructure>, discounting: QuantLib::Handle<QuantLib::YieldTermStructure>) -> None

Constructs with forwarding and discounting term structure handles.

__init__(tenor: Period, forwardingTermStructure: QuantLib::YieldTermStructure) -> None

Constructs with forwarding term structure.

__init__(tenor: Period, forwardingTermStructure: QuantLib::YieldTermStructure, discountingTermStructure: QuantLib::YieldTermStructure) -> None

Constructs with forwarding and discounting term structures.

UsdLiborSwapIsdaFixAm¶

class pyquantlib.UsdLiborSwapIsdaFixAm¶

Bases: SwapIndex

USD LIBOR swap rate (ISDA fix AM).

__init__(*args, **kwargs)¶

Overloaded function.

__init__(tenor: Period) -> None

Constructs with given tenor.

__init__(tenor: Period, h: QuantLib::Handle<QuantLib::YieldTermStructure>) -> None

Constructs with forwarding term structure handle.

__init__(tenor: Period, forwarding: QuantLib::Handle<QuantLib::YieldTermStructure>, discounting: QuantLib::Handle<QuantLib::YieldTermStructure>) -> None

Constructs with forwarding and discounting term structure handles.

__init__(tenor: Period, forwardingTermStructure: QuantLib::YieldTermStructure) -> None

Constructs with forwarding term structure.

__init__(tenor: Period, forwardingTermStructure: QuantLib::YieldTermStructure, discountingTermStructure: QuantLib::YieldTermStructure) -> None

Constructs with forwarding and discounting term structures.

UsdLiborSwapIsdaFixPm¶

class pyquantlib.UsdLiborSwapIsdaFixPm¶

Bases: SwapIndex

USD LIBOR swap rate (ISDA fix PM).

__init__(*args, **kwargs)¶

Overloaded function.

__init__(tenor: Period) -> None

Constructs with given tenor.

__init__(tenor: Period, h: QuantLib::Handle<QuantLib::YieldTermStructure>) -> None

Constructs with forwarding term structure handle.

__init__(tenor: Period, forwarding: QuantLib::Handle<QuantLib::YieldTermStructure>, discounting: QuantLib::Handle<QuantLib::YieldTermStructure>) -> None

Constructs with forwarding and discounting term structure handles.

__init__(tenor: Period, forwardingTermStructure: QuantLib::YieldTermStructure) -> None

Constructs with forwarding term structure.

__init__(tenor: Period, forwardingTermStructure: QuantLib::YieldTermStructure, discountingTermStructure: QuantLib::YieldTermStructure) -> None

Constructs with forwarding and discounting term structures.

JpyLiborSwapIsdaFixAm¶

class pyquantlib.JpyLiborSwapIsdaFixAm¶

Bases: SwapIndex

JPY LIBOR swap rate (ISDA fix AM).

__init__(*args, **kwargs)¶

Overloaded function.

__init__(tenor: Period) -> None

Constructs with given tenor.

__init__(tenor: Period, h: QuantLib::Handle<QuantLib::YieldTermStructure>) -> None

Constructs with forwarding term structure handle.

__init__(tenor: Period, forwarding: QuantLib::Handle<QuantLib::YieldTermStructure>, discounting: QuantLib::Handle<QuantLib::YieldTermStructure>) -> None

Constructs with forwarding and discounting term structure handles.

__init__(tenor: Period, forwardingTermStructure: QuantLib::YieldTermStructure) -> None

Constructs with forwarding term structure.

__init__(tenor: Period, forwardingTermStructure: QuantLib::YieldTermStructure, discountingTermStructure: QuantLib::YieldTermStructure) -> None

Constructs with forwarding and discounting term structures.

JpyLiborSwapIsdaFixPm¶

class pyquantlib.JpyLiborSwapIsdaFixPm¶

Bases: SwapIndex

JPY LIBOR swap rate (ISDA fix PM).

__init__(*args, **kwargs)¶

Overloaded function.

__init__(tenor: Period) -> None

Constructs with given tenor.

__init__(tenor: Period, h: QuantLib::Handle<QuantLib::YieldTermStructure>) -> None

Constructs with forwarding term structure handle.

__init__(tenor: Period, forwarding: QuantLib::Handle<QuantLib::YieldTermStructure>, discounting: QuantLib::Handle<QuantLib::YieldTermStructure>) -> None

Constructs with forwarding and discounting term structure handles.

__init__(tenor: Period, forwardingTermStructure: QuantLib::YieldTermStructure) -> None

Constructs with forwarding term structure.

__init__(tenor: Period, forwardingTermStructure: QuantLib::YieldTermStructure, discountingTermStructure: QuantLib::YieldTermStructure) -> None

Constructs with forwarding and discounting term structures.

GbpLiborSwapIsdaFix¶

class pyquantlib.GbpLiborSwapIsdaFix¶

Bases: SwapIndex

GBP LIBOR swap rate (ISDA fix).

__init__(*args, **kwargs)¶

Overloaded function.

__init__(tenor: Period) -> None

Constructs with given tenor.

__init__(tenor: Period, h: QuantLib::Handle<QuantLib::YieldTermStructure>) -> None

Constructs with forwarding term structure handle.

__init__(tenor: Period, forwarding: QuantLib::Handle<QuantLib::YieldTermStructure>, discounting: QuantLib::Handle<QuantLib::YieldTermStructure>) -> None

Constructs with forwarding and discounting term structure handles.

__init__(tenor: Period, forwardingTermStructure: QuantLib::YieldTermStructure) -> None

Constructs with forwarding term structure.

__init__(tenor: Period, forwardingTermStructure: QuantLib::YieldTermStructure, discountingTermStructure: QuantLib::YieldTermStructure) -> None

Constructs with forwarding and discounting term structures.

ChfLiborSwapIsdaFix¶

class pyquantlib.ChfLiborSwapIsdaFix¶

Bases: SwapIndex

CHF LIBOR swap rate (ISDA fix).

__init__(*args, **kwargs)¶

Overloaded function.

__init__(tenor: Period) -> None

Constructs with given tenor.

__init__(tenor: Period, h: QuantLib::Handle<QuantLib::YieldTermStructure>) -> None

Constructs with forwarding term structure handle.

__init__(tenor: Period, forwarding: QuantLib::Handle<QuantLib::YieldTermStructure>, discounting: QuantLib::Handle<QuantLib::YieldTermStructure>) -> None

Constructs with forwarding and discounting term structure handles.

__init__(tenor: Period, forwardingTermStructure: QuantLib::YieldTermStructure) -> None

Constructs with forwarding term structure.

__init__(tenor: Period, forwardingTermStructure: QuantLib::YieldTermStructure, discountingTermStructure: QuantLib::YieldTermStructure) -> None

Constructs with forwarding and discounting term structures.

swap_index = ql.EuriborSwapIsdaFixA(ql.Period(5, ql.Years))
swap_index = ql.EuriborSwapIsdaFixA(ql.Period(5, ql.Years), forwarding_curve)
swap_index = ql.EuriborSwapIsdaFixA(ql.Period(5, ql.Years), forwarding_curve, discounting_curve)

BMA Index¶

BMAIndex¶

class pyquantlib.BMAIndex¶

Bases: InterestRateIndex

Bond Market Association index (tax-exempt reference rate).

__init__(*args, **kwargs)¶

Overloaded function.

__init__() -> None

Constructs a BMA index without a forwarding curve.

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

Constructs a BMA index from yield curve handle.

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

Constructs from yield curve (handle created internally).

fixingSchedule(start: Date, end: Date) → Schedule¶: Returns the fixing schedule between two dates.

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

isValidFixingDate(fixingDate: Date) → bool¶: Returns true if the date is a valid BMA fixing date.

Bond Market Association index (tax-exempt municipal reference rate). Fixes weekly on Wednesdays.

bma = ql.BMAIndex()              # without forwarding curve
bma = ql.BMAIndex(curve)         # with forwarding curve
sched = bma.fixingSchedule(start, end)

Swap Spread Index¶

SwapSpreadIndex¶

class pyquantlib.SwapSpreadIndex¶

Bases: InterestRateIndex

Index for the spread between two swap rates.

__init__(familyName: str, swapIndex1: SwapIndex, swapIndex2: SwapIndex, gearing1: SupportsFloat | SupportsIndex = 1.0, gearing2: SupportsFloat | SupportsIndex = -1.0) → None¶: Constructs a swap spread index.

gearing1() → float¶: Returns the gearing for the first index.

gearing2() → float¶: Returns the gearing for the second index.

swapIndex1() → SwapIndex¶: Returns the first swap index.

swapIndex2() → SwapIndex¶: Returns the second swap index.

Spread between two swap rate indexes with configurable gearings.

idx1 = ql.EuriborSwapIsdaFixA(ql.Period("2Y"), curve)
idx2 = ql.EuriborSwapIsdaFixA(ql.Period("10Y"), curve)
spread = ql.SwapSpreadIndex("CMS2s10s", idx1, idx2)
# Custom gearings: 0.5 * idx1 - 0.5 * idx2
spread = ql.SwapSpreadIndex("Weighted", idx1, idx2, 0.5, -0.5)

Equity Indexes¶

EquityIndex¶

class pyquantlib.EquityIndex¶

Bases: Index

Base class for equity indexes.

__init__(*args, **kwargs)¶

Overloaded function.

__init__(name: str, fixingCalendar: Calendar, currency: Currency) -> None

Constructs an equity index without curves or spot.

__init__(name: str, fixingCalendar: Calendar, currency: Currency, interest: QuantLib::Handle<QuantLib::YieldTermStructure>, dividend: QuantLib::Handle<QuantLib::YieldTermStructure>, spot: QuoteHandle) -> None

Constructs an equity index with term structure handles.

__init__(name: str, fixingCalendar: Calendar, currency: Currency, interest: QuantLib::YieldTermStructure, dividend: QuantLib::YieldTermStructure, spot: base.Quote) -> None

Constructs an equity index (handles created internally).

clone(interest: QuantLib::Handle<QuantLib::YieldTermStructure>, dividend: QuantLib::Handle<QuantLib::YieldTermStructure>, spot: QuoteHandle) → EquityIndex¶: Returns a copy linked to different curves or spot.

currency() → Currency¶: Returns the index currency.

equityDividendCurve() → QuantLib::Handle<QuantLib::YieldTermStructure>¶: Returns the dividend curve handle.

equityInterestRateCurve() → QuantLib::Handle<QuantLib::YieldTermStructure>¶: Returns the interest rate curve handle.

forecastFixing(fixingDate: Date) → float¶: Returns the forecast fixing for the given date.

spot() → QuoteHandle¶: Returns the spot quote handle.

Equity index for total return swap pricing. Supports interest rate and dividend curves.

eq_index = ql.EquityIndex("SPX", ql.UnitedStates(ql.UnitedStates.NYSE),
                           ql.USDCurrency())

# With term structures
eq_index = ql.EquityIndex("SPX", ql.UnitedStates(ql.UnitedStates.NYSE),
                           ql.USDCurrency(), interest_ts, dividend_ts, spot)

Regions¶

Regions identify the geographic area for inflation indexes.

Region¶

class pyquantlib.Region¶

Bases: pybind11_object

Geographic region for inflation indexes.

__init__(*args, **kwargs)¶

code() → str¶: Returns the ISO region code.

name() → str¶: Returns the region name.

CustomRegion¶

class pyquantlib.CustomRegion¶

Bases: Region

Custom region with user-defined name and code.

__init__(name: str, code: str) → None¶: Constructs a custom region.

region = ql.CustomRegion("Brazil", "BR")
print(region.name(), region.code())

Concrete Regions¶

Class	Name	Code
`AustraliaRegion`	Australia	AU
`EURegion`	EU	EU
`FranceRegion`	France	FR
`UKRegion`	UK	UK
`USRegion`	USA	US
`ZARegion`	South Africa	ZA

us = ql.USRegion()
print(us.name(), us.code())  # "USA" "US"

Inflation Indexes¶

InflationIndex¶

class pyquantlib.base.InflationIndex¶

Bases: Index

Abstract base class for inflation indexes.

__init__(familyName: str, region: Region, revised: bool, frequency: Frequency, availabilityLag: Period, currency: Currency) → None¶: Constructs an inflation index.

availabilityLag() → Period¶: Returns the availability lag.

currency() → Currency¶: Returns the currency.

familyName() → str¶: Returns the family name.

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

pastFixing(fixingDate: Date) → float¶: Returns the past fixing for the given date.

region() → Region¶: Returns the geographic region.

revised() → bool¶: Returns true if the index is revised after publication.

Base class for all inflation indexes. Provides familyName(), region(), revised(), frequency(), availabilityLag(), and currency().

CPI¶

class pyquantlib.CPI¶

Bases: pybind11_object

CPI interpolation methods and utilities.

class InterpolationType¶

Bases: pybind11_object

CPI interpolation type.

Members:

AsIndex : Same interpolation as the index.

Flat : Flat from previous fixing.

Linear : Linearly between bracketing fixings.

__init__(value: SupportsInt | SupportsIndex) → None¶

AsIndex = <InterpolationType.AsIndex: 0>¶

Flat = <InterpolationType.Flat: 1>¶

Linear = <InterpolationType.Linear: 2>¶

CPI.InterpolationType.name -> str

property value¶

static laggedFixing(index: QuantLib::ZeroInflationIndex, date: Date, observationLag: Period, interpolationType: CPI.InterpolationType) → float¶: Returns the lagged CPI fixing.

__init__(*args, **kwargs)¶

AsIndex = <InterpolationType.AsIndex: 0>¶

Flat = <InterpolationType.Flat: 1>¶

Linear = <InterpolationType.Linear: 2>¶

CPI interpolation types and the laggedFixing static method.

# Interpolation types
ql.CPI.AsIndex          # use index's built-in interpolation
ql.CPI.Flat             # flat (no interpolation within period)
ql.CPI.Linear           # linear interpolation between fixings

# Compute lagged fixing
fixing = ql.CPI.laggedFixing(index, date, observationLag, interpolation)

ZeroInflationIndex¶

class pyquantlib.ZeroInflationIndex¶

Bases: InflationIndex

Zero-coupon inflation index.

__init__(*args, **kwargs)¶

Overloaded function.

__init__(familyName: str, region: Region, revised: bool, frequency: Frequency, availabilityLag: Period, currency: Currency) -> None

Constructs a zero inflation index without a term structure.

__init__(familyName: str, region: Region, revised: bool, frequency: Frequency, availabilityLag: Period, currency: Currency, h: QuantLib::Handle<QuantLib::ZeroInflationTermStructure>) -> None

Constructs a zero inflation index with term structure handle.

__init__(familyName: str, region: Region, revised: bool, frequency: Frequency, availabilityLag: Period, currency: Currency, zeroInflationTermStructure: QuantLib::ZeroInflationTermStructure) -> None

Constructs a zero inflation index with term structure.

clone(h: QuantLib::Handle<QuantLib::ZeroInflationTermStructure>) → ZeroInflationIndex¶: Returns a copy linked to a different term structure.

lastFixingDate() → Date¶: Returns the last available fixing date.

zeroInflationTermStructure() → QuantLib::Handle<QuantLib::ZeroInflationTermStructure>¶: Returns the zero inflation term structure handle.

# Without term structure
idx = ql.ZeroInflationIndex("CPI", ql.USRegion(), False, ql.Monthly,
                            ql.Period(3, ql.Months), ql.USDCurrency())

# With term structure (hidden handle)
idx = ql.ZeroInflationIndex("CPI", ql.USRegion(), False, ql.Monthly,
                            ql.Period(3, ql.Months), ql.USDCurrency(),
                            zero_inflation_curve)

YoYInflationIndex¶

class pyquantlib.YoYInflationIndex¶

Bases: InflationIndex

Year-on-year inflation index.

__init__(*args, **kwargs)¶

Overloaded function.

__init__(underlyingIndex: ZeroInflationIndex) -> None

Constructs a year-on-year index as a ratio of a zero index.

__init__(underlyingIndex: ZeroInflationIndex, h: QuantLib::Handle<QuantLib::YoYInflationTermStructure>) -> None

Constructs a year-on-year index with term structure handle.

__init__(underlyingIndex: ZeroInflationIndex, yoyInflationTermStructure: QuantLib::YoYInflationTermStructure) -> None

Constructs a year-on-year index with term structure.

__init__(familyName: str, region: Region, revised: bool, frequency: Frequency, availabilityLag: Period, currency: Currency) -> None

Constructs a quoted year-on-year index without a term structure.

__init__(familyName: str, region: Region, revised: bool, frequency: Frequency, availabilityLag: Period, currency: Currency, h: QuantLib::Handle<QuantLib::YoYInflationTermStructure>) -> None

Constructs a quoted year-on-year index with term structure handle.

__init__(familyName: str, region: Region, revised: bool, frequency: Frequency, availabilityLag: Period, currency: Currency, yoyInflationTermStructure: QuantLib::YoYInflationTermStructure) -> None

Constructs a quoted year-on-year index with term structure.

clone(h: QuantLib::Handle<QuantLib::YoYInflationTermStructure>) → YoYInflationIndex¶: Returns a copy linked to a different term structure.

interpolated() → bool¶: Returns true if the index interpolates between fixings.

lastFixingDate() → Date¶: Returns the last available fixing date.

ratio() → bool¶: Returns true if index is defined as a ratio of zero index fixings.

underlyingIndex() → ZeroInflationIndex¶: Returns the underlying zero inflation index (if ratio-based).

yoyInflationTermStructure() → QuantLib::Handle<QuantLib::YoYInflationTermStructure>¶: Returns the YoY inflation term structure handle.

# Ratio-based from a zero inflation index
yoy = ql.YoYInflationIndex(zero_index)

# Quoted year-on-year index
yoy = ql.YoYInflationIndex("YYUS", ql.USRegion(), False, False,
                           ql.Monthly, ql.Period(3, ql.Months),
                           ql.USDCurrency())

Concrete Inflation Indexes¶

US CPI¶

class pyquantlib.USCPI¶

Bases: ZeroInflationIndex

US Consumer Price Index.

__init__(*args, **kwargs)¶

Overloaded function.

__init__() -> None

Constructs USCPI without a term structure.

__init__(h: QuantLib::Handle<QuantLib::ZeroInflationTermStructure>) -> None

Constructs USCPI with a term structure handle.

__init__(zeroInflationTermStructure: QuantLib::ZeroInflationTermStructure) -> None

Constructs USCPI with a term structure.

class pyquantlib.YYUSCPI¶

Bases: YoYInflationIndex

Year-on-year US Consumer Price Index.

__init__(*args, **kwargs)¶

Overloaded function.

__init__() -> None

Constructs YYUSCPI without a term structure.

__init__(h: QuantLib::Handle<QuantLib::YoYInflationTermStructure>) -> None

Constructs YYUSCPI with a term structure handle.

__init__(yoyInflationTermStructure: QuantLib::YoYInflationTermStructure) -> None

Constructs YYUSCPI with a term structure.

cpi = ql.USCPI()                          # without term structure
cpi = ql.USCPI(zero_inflation_curve)      # with term structure

yy = ql.YYUSCPI()                         # without term structure
yy = ql.YYUSCPI(yoy_inflation_curve)      # with term structure

EU HICP¶

class pyquantlib.EUHICP¶

Bases: ZeroInflationIndex

EU Harmonised Index of Consumer Prices.

__init__(*args, **kwargs)¶

Overloaded function.

__init__() -> None

Constructs EUHICP without a term structure.

__init__(h: QuantLib::Handle<QuantLib::ZeroInflationTermStructure>) -> None

Constructs EUHICP with a term structure handle.

__init__(zeroInflationTermStructure: QuantLib::ZeroInflationTermStructure) -> None

Constructs EUHICP with a term structure.

class pyquantlib.EUHICPXT¶

Bases: ZeroInflationIndex

EU HICP Excluding Tobacco.

__init__(*args, **kwargs)¶

Overloaded function.

__init__() -> None

Constructs EUHICPXT without a term structure.

__init__(h: QuantLib::Handle<QuantLib::ZeroInflationTermStructure>) -> None

Constructs EUHICPXT with a term structure handle.

__init__(zeroInflationTermStructure: QuantLib::ZeroInflationTermStructure) -> None

Constructs EUHICPXT with a term structure.

class pyquantlib.YYEUHICP¶

Bases: YoYInflationIndex

Year-on-year EU HICP.

__init__(*args, **kwargs)¶

Overloaded function.

__init__() -> None

Constructs YYEUHICP without a term structure.

__init__(h: QuantLib::Handle<QuantLib::YoYInflationTermStructure>) -> None

Constructs YYEUHICP with a term structure handle.

__init__(yoyInflationTermStructure: QuantLib::YoYInflationTermStructure) -> None

Constructs YYEUHICP with a term structure.

class pyquantlib.YYEUHICPXT¶

Bases: YoYInflationIndex

Year-on-year EU HICP Excluding Tobacco.

__init__(*args, **kwargs)¶

Overloaded function.

__init__() -> None

Constructs YYEUHICPXT without a term structure.

__init__(h: QuantLib::Handle<QuantLib::YoYInflationTermStructure>) -> None

Constructs YYEUHICPXT with a term structure handle.

__init__(yoyInflationTermStructure: QuantLib::YoYInflationTermStructure) -> None

Constructs YYEUHICPXT with a term structure.

UK RPI¶

class pyquantlib.UKRPI¶

Bases: ZeroInflationIndex

UK Retail Prices Index.

__init__(*args, **kwargs)¶

Overloaded function.

__init__() -> None

Constructs UKRPI without a term structure.

__init__(h: QuantLib::Handle<QuantLib::ZeroInflationTermStructure>) -> None

Constructs UKRPI with a term structure handle.

__init__(zeroInflationTermStructure: QuantLib::ZeroInflationTermStructure) -> None

Constructs UKRPI with a term structure.

class pyquantlib.YYUKRPI¶

Bases: YoYInflationIndex

Year-on-year UK Retail Prices Index.

__init__(*args, **kwargs)¶

Overloaded function.

__init__() -> None

Constructs YYUKRPI without a term structure.

__init__(h: QuantLib::Handle<QuantLib::YoYInflationTermStructure>) -> None

Constructs YYUKRPI with a term structure handle.

__init__(yoyInflationTermStructure: QuantLib::YoYInflationTermStructure) -> None

Constructs YYUKRPI with a term structure.

Australian CPI¶

class pyquantlib.AUCPI¶

Bases: ZeroInflationIndex

Australian Consumer Price Index.

__init__(*args, **kwargs)¶

Overloaded function.

__init__(frequency: Frequency, revised: bool) -> None

Constructs AUCPI without a term structure.

__init__(frequency: Frequency, revised: bool, h: QuantLib::Handle<QuantLib::ZeroInflationTermStructure>) -> None

Constructs AUCPI with a term structure handle.

__init__(frequency: Frequency, revised: bool, zeroInflationTermStructure: QuantLib::ZeroInflationTermStructure) -> None

Constructs AUCPI with a term structure.

class pyquantlib.YYAUCPI¶

Bases: YoYInflationIndex

Year-on-year Australian Consumer Price Index.

__init__(*args, **kwargs)¶

Overloaded function.

__init__(frequency: Frequency, revised: bool) -> None

Constructs YYAUCPI without a term structure.

__init__(frequency: Frequency, revised: bool, h: QuantLib::Handle<QuantLib::YoYInflationTermStructure>) -> None

Constructs YYAUCPI with a term structure handle.

__init__(frequency: Frequency, revised: bool, yoyInflationTermStructure: QuantLib::YoYInflationTermStructure) -> None

Constructs YYAUCPI with a term structure.

cpi = ql.AUCPI(ql.Quarterly, False)          # frequency and revised flag
cpi = ql.AUCPI(ql.Quarterly, False, zero_inflation_curve)

French HICP¶

class pyquantlib.FRHICP¶

Bases: ZeroInflationIndex

French Harmonised Index of Consumer Prices.

__init__(*args, **kwargs)¶

Overloaded function.

__init__() -> None

Constructs FRHICP without a term structure.

__init__(h: QuantLib::Handle<QuantLib::ZeroInflationTermStructure>) -> None

Constructs FRHICP with a term structure handle.

__init__(zeroInflationTermStructure: QuantLib::ZeroInflationTermStructure) -> None

Constructs FRHICP with a term structure.

class pyquantlib.YYFRHICP¶

Bases: YoYInflationIndex

Year-on-year French HICP.

__init__(*args, **kwargs)¶

Overloaded function.

__init__() -> None

Constructs YYFRHICP without a term structure.

__init__(h: QuantLib::Handle<QuantLib::YoYInflationTermStructure>) -> None

Constructs YYFRHICP with a term structure handle.

__init__(yoyInflationTermStructure: QuantLib::YoYInflationTermStructure) -> None

Constructs YYFRHICP with a term structure.

South African CPI¶

class pyquantlib.ZACPI¶

Bases: ZeroInflationIndex

South African Consumer Price Index.

__init__(*args, **kwargs)¶

Overloaded function.

__init__() -> None

Constructs ZACPI without a term structure.

__init__(h: QuantLib::Handle<QuantLib::ZeroInflationTermStructure>) -> None

Constructs ZACPI with a term structure handle.

__init__(zeroInflationTermStructure: QuantLib::ZeroInflationTermStructure) -> None

Constructs ZACPI with a term structure.

class pyquantlib.YYZACPI¶

Bases: YoYInflationIndex

Year-on-year South African Consumer Price Index.

__init__(*args, **kwargs)¶

Overloaded function.

__init__() -> None

Constructs YYZACPI without a term structure.

__init__(h: QuantLib::Handle<QuantLib::YoYInflationTermStructure>) -> None

Constructs YYZACPI with a term structure handle.

__init__(yoyInflationTermStructure: QuantLib::YoYInflationTermStructure) -> None

Constructs YYZACPI with a term structure.