Periods#
The rateslib.periods
module creates Period objects that define ways to
describe single cashflows,
generated under various calculation methodologies. It is probably quite rare that
Periods will be instantiated directly, rather they form the components of
Legs, but none-the-less, this page describes their construction.
The following Periods are provided, click on the links for a full description of each Period type:
|
Abstract base class with common parameters for all |
|
Create a period defined with a fixed rate. |
|
Create a period defined with a floating rate index. |
|
Create a single cashflow amount on a payment date (effectively a CustomPeriod). |
|
Create a period defined with a real rate adjusted by an index. |
|
Create a cashflow defined with a real rate adjusted by an index. |
Common methods
Every Period type is endowed with the following the methods:
|
Return the NPV of the period object. |
Return the analytic delta of the period object. |
|
Return the properties of the period used in calculating cashflows. |
Special methods
FloatPeriod
types have specific methods to support
their specific functionality, such as:
Calculating the floating rate for the period. |
|
Return a DataFrame of fixing exposures. |
IndexFixedPeriod
and
IndexCashflow
types have specific methods to support
their specific functionality, such as:
Calculate the index ratio for the end date of the IndexPeriod. |