IndexMixin

class rateslib.periods.IndexMixin

Bases: object

Abstract base class to include methods and properties related to indexed Periods.

Attributes Summary

currency
index_base
index_fixings
index_lag
index_method
payment
real_cashflow

Methods Summary

cashflow([curve])	float, Dual or Dual2 : The calculated value from rate, dcf and notional, adjusted for the index.
index_ratio([curve])	Calculate the index ratio for the end date of the IndexPeriod.
npv([curve, disc_curve, fx, base, local])	Return the cashflows of the IndexPeriod.

Attributes Documentation

currency = ''

index_base = 0

index_fixings = 0

index_lag = 0

index_method = ''

payment = datetime.datetime(1990, 1, 1, 0, 0)

real_cashflow

Methods Documentation

cashflow(curve=NoInput.blank)

float, Dual or Dual2 : The calculated value from rate, dcf and notional, adjusted for the index.

index_ratio(curve=NoInput.blank)

Calculate the index ratio for the end date of the IndexPeriod.

\[I(m) = \frac{I_{val}(m)}{I_{base}}\]

Parameters:

curve (IndexCurve) – The index curve from which index values are forecast.

Return type:

float, Dual, Dual2

npv(curve=NoInput.blank, disc_curve=NoInput.blank, fx=NoInput.blank, base=NoInput.blank, local=False)

Return the cashflows of the IndexPeriod. See BasePeriod.npv()