Time Module¶

Date and Time¶

Date¶

class pyquantlib.Date¶

Bases: pybind11_object

Date class for date algebra and calendar operations.

static endOfMonth(d: Date) → Date¶: Last day of the month to which the given date belongs.

static from_date(arg0: object) → Date¶

static isEndOfMonth(d: Date) → bool¶: Whether a date is the last day of its month.

static isLeap(y: SupportsInt | SupportsIndex) → bool¶: Whether the given year is a leap one.

static isStartOfMonth(d: Date) → bool¶: Whether a date is the first day of its month.

static maxDate() → Date¶: Latest allowed date.

static minDate() → Date¶: Earliest allowed date.

static nextWeekday(d: Date, w: Weekday) → Date¶: Next given weekday following the given date.

static nthWeekday(n: SupportsInt | SupportsIndex, w: Weekday, m: Month, y: SupportsInt | SupportsIndex) → Date¶: The n-th given weekday in the given month and year.

static startOfMonth(d: Date) → Date¶: First day of the month to which the given date belongs.

static todaysDate() → Date¶: Today’s date.

__init__(*args, **kwargs)¶

Overloaded function.

__init__() -> None

Default constructor returning a null date.

__init__(serialNumber: SupportsInt | SupportsIndex) -> None

Constructor taking a serial number as given by Excel.

__init__(d: SupportsInt | SupportsIndex, m: Month, y: SupportsInt | SupportsIndex) -> None

Constructor taking day, month, year.

__init__(arg0: object) -> None

dayOfMonth() → int¶

dayOfYear() → int¶

month() → Month¶

serialNumber() → int¶

to_date() → object¶

weekday() → Weekday¶

year() → int¶

Period¶

class pyquantlib.Period¶

Bases: pybind11_object

Time period represented by length and units.

__init__(*args, **kwargs)¶

Overloaded function.

__init__() -> None
__init__(length: SupportsInt | SupportsIndex, units: TimeUnit) -> None
__init__(frequency: Frequency) -> None
__init__(arg0: str) -> None

Create Period from a string like ‘3M’, ‘2Y’, etc.

frequency() → Frequency¶

length() → int¶

normalize() → None¶

normalized() → Period¶

units() → TimeUnit¶

TimeGrid¶

class pyquantlib.TimeGrid¶

Bases: pybind11_object

Time grid for discretized models.

__init__(*args, **kwargs)¶

Overloaded function.

__init__() -> None

Default constructor.

__init__(end: SupportsFloat | SupportsIndex, steps: SupportsInt | SupportsIndex) -> None

Constructs a regularly spaced time grid.

__init__(times: collections.abc.Sequence[SupportsFloat | SupportsIndex]) -> None

Constructs from mandatory time points.

__init__(times: collections.abc.Sequence[SupportsFloat | SupportsIndex], steps: SupportsInt | SupportsIndex) -> None

Constructs from mandatory time points with minimum steps.

at(i: SupportsInt | SupportsIndex) → float¶: Returns the time at index i with bounds checking.

back() → float¶: Returns the last time.

closestIndex(t: SupportsFloat | SupportsIndex) → int¶: Returns the index of the time closest to t.

closestTime(t: SupportsFloat | SupportsIndex) → float¶: Returns the time on the grid closest to t.

dt(i: SupportsInt | SupportsIndex) → float¶: Returns the time step dt(i) = t(i+1) - t(i).

empty() → bool¶: Returns true if the grid is empty.

front() → float¶: Returns the first time (t=0).

index(t: SupportsFloat | SupportsIndex) → int¶: Returns the index i such that grid[i] = t.

mandatoryTimes() → list[float]¶: Returns the mandatory time points.

size() → int¶: Returns the number of time points.

Calendars¶

Calendar¶

class pyquantlib.Calendar¶

Bases: pybind11_object

Calendar class for determining business days and holidays for a given market.

__init__() → None¶

addHoliday(d: Date) → None¶: Adds a date to the set of holidays for the given calendar.

addedHolidays() → set[Date]¶: Returns the set of added holidays for the given calendar.

adjust(d: Date, convention: BusinessDayConvention = <BusinessDayConvention.Following: 0>) → Date¶: Adjusts a non-business day to the appropriate nearby business day.

advance(*args, **kwargs)¶

Overloaded function.

advance(d: Date, n: SupportsInt | SupportsIndex, unit: TimeUnit, convention: BusinessDayConvention = <BusinessDayConvention.Following: 0>, endOfMonth: bool = False) -> Date

Advances the date by the given number of time units.

advance(d: Date, period: Period, convention: BusinessDayConvention = <BusinessDayConvention.Following: 0>, endOfMonth: bool = False) -> Date

Advances the date by the given period.

businessDayList(from_: Date, to: Date) → list[Date]¶: Returns the business days between two dates.

businessDaysBetween(from_: Date, to: Date, includeFirst: bool = True, includeLast: bool = False) → int¶: Calculates the number of business days between two dates.

empty() → bool¶: Returns whether or not the calendar is initialized.

endOfMonth(d: Date) → Date¶: Last business day of the month to which the given date belongs.

holidayList(from_: Date, to: Date, includeWeekEnds: bool = False) → list[Date]¶: Returns the holidays between two dates.

isBusinessDay(d: Date) → bool¶: Returns True if the date is a business day.

isEndOfMonth(d: Date) → bool¶: Returns True if the date is on or after the last business day of its month.

isHoliday(d: Date) → bool¶: Returns True if the date is a holiday.

isStartOfMonth(d: Date) → bool¶: Returns True if the date is on or before the first business day of its month.

isWeekend(w: Weekday) → bool¶: Returns True if the weekday is part of the weekend.

name() → str¶: Returns the name of the calendar.

removeHoliday(d: Date) → None¶: Removes a date from the set of holidays for the given calendar.

removedHolidays() → set[Date]¶: Returns the set of removed holidays for the given calendar.

resetAddedAndRemovedHolidays() → None¶: Clear the set of added and removed holidays.

startOfMonth(d: Date) → Date¶: First business day of the month to which the given date belongs.

import pyquantlib as ql

target = ql.TARGET()
us = ql.UnitedStates(ql.UnitedStates.NYSE)

date = ql.Date(25, 12, 2025)
print(target.isBusinessDay(date))  # False (Christmas)

next_bd = target.adjust(date, ql.Following)

Available Calendars¶

Region	Calendars
Multi-national	`TARGET`, `WeekendsOnly`, `NullCalendar`, `JointCalendar`, `BespokeCalendar`
Americas	`UnitedStates`, `Canada`, `Brazil`, `Mexico`, `Argentina`, `Chile`
Europe	`UnitedKingdom`, `Germany`, `France`, `Italy`, `Switzerland`, `Sweden`, `Norway`, `Denmark`, `Finland`, `Poland`, `CzechRepublic`, `Hungary`, `Romania`, `Russia`, `Ukraine`, `Turkey`, `Iceland`, `Austria`, `Slovakia`
Asia-Pacific	`Japan`, `China`, `HongKong`, `Singapore`, `Australia`, `NewZealand`, `India`, `SouthKorea`, `Taiwan`, `Indonesia`, `Thailand`
Middle East/Africa	`SaudiArabia`, `Israel`, `SouthAfrica`, `Botswana`

UnitedStates Variants¶

NYSE, GovernmentBond, SOFR, FederalReserve

UnitedKingdom Variants¶

Exchange, Metals, Settlement

Day Counters¶

DayCounter¶

class pyquantlib.DayCounter¶

Bases: pybind11_object

Day counter base class, providing methods for time period calculations according to market conventions.

__init__() → None¶: Default (null) day counter constructor.

dayCount(d1: Date, d2: Date) → int¶: Returns the number of days between two dates.

empty() → bool¶: Returns True if the day counter is not initialized.

name() → str¶: Returns the name of the day counter.

yearFraction(d1: Date, d2: Date, refPeriodStart: Date = <Date: null date>, refPeriodEnd: Date = <Date: null date>) → float¶: Returns the period between two dates as a fraction of year.

dc = ql.Actual365Fixed()
start = ql.Date(1, 6, 2025)
end = ql.Date(1, 12, 2025)
yf = dc.yearFraction(start, end)  # ~0.5

Available Day Counters¶

Day Counter	Description
`Actual360`	Actual/360
`Actual365Fixed`	Actual/365 (Fixed)
`Actual364`	Actual/364
`Actual366`	Actual/366
`ActualActual`	Actual/Actual (various conventions)
`Thirty360`	30/360 (various conventions)
`Thirty365`	30/365
`Business252`	Business/252
`OneDayCounter`	Returns 1 for any period
`SimpleDayCounter`	Simple day counter

Schedules¶

Schedule¶

class pyquantlib.Schedule¶

Bases: pybind11_object

Payment schedule for a financial instrument.

__init__(*args, **kwargs)¶

Overloaded function.

__init__(dates: collections.abc.Sequence[Date], calendar: Calendar = <NullCalendar object at 0x7f252f3d7330>, convention: BusinessDayConvention = <BusinessDayConvention.Unadjusted: 4>, terminationDateConvention: BusinessDayConvention | None = None, tenor: Period | None = None, rule: DateGeneration.Rule | None = None, endOfMonth: bool | None = None, isRegular: collections.abc.Sequence[bool] = []) -> None
__init__(effectiveDate: Date, terminationDate: Date, tenor: Period, calendar: Calendar, convention: BusinessDayConvention, terminationDateConvention: BusinessDayConvention, rule: DateGeneration.Rule, endOfMonth: bool, firstDate: Date = <Date: null date>, nextToLastDate: Date = <Date: null date>) -> None
__init__() -> None

after(arg0: Date) → Schedule¶

at(arg0: SupportsInt | SupportsIndex) → Date¶

back() → Date¶

businessDayConvention() → BusinessDayConvention¶

calendar() → Calendar¶

date(arg0: SupportsInt | SupportsIndex) → Date¶

dates() → list[Date]¶

empty() → bool¶

endDate() → Date¶

endOfMonth() → bool¶

front() → Date¶

hasEndOfMonth() → bool¶

hasIsRegular() → bool¶

hasRule() → bool¶

hasTenor() → bool¶

hasTerminationDateBusinessDayConvention() → bool¶

isRegular(*args, **kwargs)¶

Overloaded function.

isRegular(arg0: SupportsInt | SupportsIndex) -> bool
isRegular() -> list[bool]

lower_bound(date: Date = <Date: null date>) → __gnu_cxx::__normal_iterator<QuantLib::Date const*, std::vector<QuantLib::Date, std::allocator<QuantLib::Date> > >¶

nextDate(arg0: Date) → Date¶

previousDate(arg0: Date) → Date¶

rule() → DateGeneration.Rule¶

startDate() → Date¶

tenor() → Period¶

terminationDateBusinessDayConvention() → BusinessDayConvention¶

until(arg0: Date) → Schedule¶

MakeSchedule¶

class pyquantlib.MakeSchedule(effectiveDate=None, terminationDate=None, *, forwards=False, backwards=False, **kwargs)[source]¶

Bases:

Build a Schedule from keyword arguments.

Parameters:

effectiveDate (Date, optional) – Start date of the schedule.
terminationDate (Date, optional) – End date of the schedule.
forwards (bool) – Use forward date generation.
backwards (bool) – Use backward date generation.
**kwargs – Builder options mapped to with* methods (e.g. tenor, frequency, calendar, convention, rule, …).

Return type:

Schedule

schedule = ql.MakeSchedule() \
    .fromDate(today) \
    .to(today + ql.Period("5Y")) \
    .withFrequency(ql.Semiannual) \
    .withCalendar(ql.TARGET()) \
    .withConvention(ql.ModifiedFollowing) \
    .value()

Enumerations¶

TimeUnit¶

class pyquantlib.TimeUnit¶

Bases: pybind11_object

Units used to describe time periods.

Members:

Days

Weeks

Months

Years

Hours

Minutes

Seconds

Milliseconds

Microseconds

__init__(value: SupportsInt | SupportsIndex) → None¶

Days = <TimeUnit.Days: 0>¶

Hours = <TimeUnit.Hours: 4>¶

Microseconds = <TimeUnit.Microseconds: 8>¶

Milliseconds = <TimeUnit.Milliseconds: 7>¶

Minutes = <TimeUnit.Minutes: 5>¶

Months = <TimeUnit.Months: 2>¶

Seconds = <TimeUnit.Seconds: 6>¶

Weeks = <TimeUnit.Weeks: 1>¶

Years = <TimeUnit.Years: 3>¶

TimeUnit.name -> str

property value¶

Weekday¶

class pyquantlib.Weekday¶

Bases: pybind11_object

Days of the week enumeration.

Members:

Sunday

Monday

Tuesday

Wednesday

Thursday

Friday

Saturday

Sun

Mon

Tue

Wed

Thu

Fri

Sat

__init__(value: SupportsInt | SupportsIndex) → None¶

Fri = <Weekday.Friday: 6>¶

Friday = <Weekday.Friday: 6>¶

Mon = <Weekday.Monday: 2>¶

Monday = <Weekday.Monday: 2>¶

Sat = <Weekday.Saturday: 7>¶

Saturday = <Weekday.Saturday: 7>¶

Sun = <Weekday.Sunday: 1>¶

Sunday = <Weekday.Sunday: 1>¶

Thu = <Weekday.Thursday: 5>¶

Thursday = <Weekday.Thursday: 5>¶

Tue = <Weekday.Tuesday: 3>¶

Tuesday = <Weekday.Tuesday: 3>¶

Wed = <Weekday.Wednesday: 4>¶

Wednesday = <Weekday.Wednesday: 4>¶

Weekday.name -> str

property value¶

Month¶

class pyquantlib.Month¶

Bases: pybind11_object

Month names enumeration.

Members:

January

February

March

April

May

June

July

August

September

October

November

December

Jan

Feb

Mar

Apr

Jun

Jul

Aug

Sep

Oct

Nov

Dec

__init__(value: SupportsInt | SupportsIndex) → None¶

Apr = <Month.April: 4>¶

April = <Month.April: 4>¶

Aug = <Month.August: 8>¶

August = <Month.August: 8>¶

Dec = <Month.December: 12>¶

December = <Month.December: 12>¶

Feb = <Month.February: 2>¶

February = <Month.February: 2>¶

Jan = <Month.January: 1>¶

January = <Month.January: 1>¶

Jul = <Month.July: 7>¶

July = <Month.July: 7>¶

Jun = <Month.June: 6>¶

June = <Month.June: 6>¶

Mar = <Month.March: 3>¶

March = <Month.March: 3>¶

May = <Month.May: 5>¶

Nov = <Month.November: 11>¶

November = <Month.November: 11>¶

Oct = <Month.October: 10>¶

October = <Month.October: 10>¶

Sep = <Month.September: 9>¶

September = <Month.September: 9>¶

Month.name -> str

property value¶

BusinessDayConvention¶

class pyquantlib.BusinessDayConvention¶

Bases: pybind11_object

Conventions for adjusting dates that fall on non-business days.

Members:

Following : Choose the first business day after the given holiday.

ModifiedFollowing : Choose the first business day after the holiday unless it belongs to a different month, in which case choose the first before.

Preceding : Choose the first business day before the given holiday.

ModifiedPreceding : Choose the first business day before the holiday unless it belongs to a different month, in which case choose the first after.

Unadjusted : Do not adjust.

HalfMonthModifiedFollowing : Choose the first business day after the holiday unless that day crosses mid-month (15th) or end of month, then choose before.

Nearest : Choose the nearest business day. If equidistant, default to following.

__init__(value: SupportsInt | SupportsIndex) → None¶

Following = <BusinessDayConvention.Following: 0>¶

HalfMonthModifiedFollowing = <BusinessDayConvention.HalfMonthModifiedFollowing: 5>¶

ModifiedFollowing = <BusinessDayConvention.ModifiedFollowing: 1>¶

ModifiedPreceding = <BusinessDayConvention.ModifiedPreceding: 3>¶

Nearest = <BusinessDayConvention.Nearest: 6>¶

Preceding = <BusinessDayConvention.Preceding: 2>¶

Unadjusted = <BusinessDayConvention.Unadjusted: 4>¶

BusinessDayConvention.name -> str

property value¶

Convention	Description
`Unadjusted`	Do not adjust
`Following`	Next business day
`ModifiedFollowing`	Next business day unless different month, then previous
`Preceding`	Previous business day
`ModifiedPreceding`	Previous business day unless different month, then next

DateGeneration¶

class pyquantlib.DateGeneration¶

Bases: pybind11_object

Date generation rules for Schedule construction.

class Rule¶

Bases: pybind11_object

Members:

Backward : Backward from termination date to effective date.

Forward : Forward from effective date to termination date.

Zero : No intermediate dates between effective date and termination date.

ThirdWednesday : All dates but effective/termination are third Wednesday of their month.

ThirdWednesdayInclusive : All dates including effective/termination are third Wednesday of their month.

Twentieth : All dates but effective are the twentieth of their month (CDS in emerging markets).

TwentiethIMM : All dates but effective are the twentieth of an IMM month (CDS schedules).

OldCDS : Same as TwentiethIMM with unrestricted date ends (old CDS convention).

CDS : Credit derivatives standard rule since ‘Big Bang’ changes in 2009.

CDS2015 : Credit derivatives standard rule since December 20th, 2015.

__init__(value: SupportsInt | SupportsIndex) → None¶

Backward = <Rule.Backward: 0>¶

CDS = <Rule.CDS: 8>¶

CDS2015 = <Rule.CDS2015: 9>¶

Forward = <Rule.Forward: 1>¶

OldCDS = <Rule.OldCDS: 7>¶

ThirdWednesday = <Rule.ThirdWednesday: 3>¶

ThirdWednesdayInclusive = <Rule.ThirdWednesdayInclusive: 4>¶

Twentieth = <Rule.Twentieth: 5>¶

TwentiethIMM = <Rule.TwentiethIMM: 6>¶

Zero = <Rule.Zero: 2>¶

DateGeneration.Rule.name -> str

property value¶

__init__() → None¶

Backward = <Rule.Backward: 0>¶

CDS = <Rule.CDS: 8>¶

CDS2015 = <Rule.CDS2015: 9>¶

Forward = <Rule.Forward: 1>¶

OldCDS = <Rule.OldCDS: 7>¶

ThirdWednesday = <Rule.ThirdWednesday: 3>¶

ThirdWednesdayInclusive = <Rule.ThirdWednesdayInclusive: 4>¶

Twentieth = <Rule.Twentieth: 5>¶

TwentiethIMM = <Rule.TwentiethIMM: 6>¶

Zero = <Rule.Zero: 2>¶

Frequency¶

class pyquantlib.Frequency¶

Bases: pybind11_object

Frequency of events.

Members:

NoFrequency : Null frequency

Once : Only once, e.g., a zero-coupon

Annual : Once a year

Semiannual : Twice a year

EveryFourthMonth : Every fourth month

Quarterly : Every third month

Bimonthly : Every second month

Monthly : Once a month

EveryFourthWeek : Every fourth week

Biweekly : Every second week

Weekly : Once a week

Daily : Once a day

OtherFrequency : Some other unknown frequency

__init__(value: SupportsInt | SupportsIndex) → None¶

Annual = <Frequency.Annual: 1>¶

Bimonthly = <Frequency.Bimonthly: 6>¶

Biweekly = <Frequency.Biweekly: 26>¶

Daily = <Frequency.Daily: 365>¶

EveryFourthMonth = <Frequency.EveryFourthMonth: 3>¶

EveryFourthWeek = <Frequency.EveryFourthWeek: 13>¶

Monthly = <Frequency.Monthly: 12>¶

NoFrequency = <Frequency.NoFrequency: -1>¶

Once = <Frequency.Once: 0>¶

OtherFrequency = <Frequency.OtherFrequency: 999>¶

Quarterly = <Frequency.Quarterly: 4>¶

Semiannual = <Frequency.Semiannual: 2>¶

Weekly = <Frequency.Weekly: 52>¶

Frequency.name -> str

property value¶

Frequency	Periods per year
`Annual`	1
`Semiannual`	2
`Quarterly`	4
`Monthly`	12
`Weekly`	52
`Daily`	365