_BaseFixing#

class rateslib.data.fixings._BaseFixing(*, date, value=NoInput.blank, identifier=NoInput.blank)#

Bases: object

Abstract base class for core financial fixing implementation.

Parameters:

date (datetime) – The date of relevance for the financial fixing, e.g. the publication date for an IBORFixing or the reference date for an IndexFixing.
value (float, Dual, Dual2, Variable, optional) – The initial value for the fixing to adopt. Most commonly this is not given and it is determined from a timeseries.
identifier (str, optional) – The string name of the timeseries to be loaded by the Fixings object.

Attributes Summary

`date`	The date of relevance for the fixing, e.g. the publication date of an IBORFixing.
`identifier`	The string name of the timeseries to be loaded by the Fixings object.
`value`	The fixing value.

Methods Summary

reset([state])

Sets the value attribute to NoInput, which allows it to be redetermined from a timeseries.

Attributes Documentation

date#: The date of relevance for the fixing, e.g. the publication date of an IBORFixing.

identifier#: The string name of the timeseries to be loaded by the Fixings object.

value#

The fixing value.

If this value is rateslib.enums.generics.NoInput, then each request will attempt a lookup from a timeseries to obtain a new fixing value.

Once this value is determined it is restated indefinitely, unless _BaseFixing.reset() is called.

Methods Documentation

reset(state=NoInput.blank)#

Sets the value attribute to NoInput, which allows it to be redetermined from a timeseries.

Examples

In [11]: fx_fixing1 = FXFixing(publication=dt(2021, 1, 1), fx_index="eurusd", identifier="A")

In [12]: fx_fixing2 = FXFixing(publication=dt(2021, 1, 1), fx_index="gbpusd", identifier="B")

In [13]: fixings.add("A_eurusd", Series(index=[dt(2021, 1, 1)], data=[1.1]), state=100)

In [14]: fixings.add("B_gbpusd", Series(index=[dt(2021, 1, 1)], data=[1.4]), state=200)

# data is populated from the available Series
In [15]: fx_fixing1.value
Out[15]: np.float64(1.1)

In [16]: fx_fixing2.value
Out[16]: np.float64(1.4)

# fixings are reset according to the data state
In [17]: fx_fixing1.reset(state=100)

In [18]: fx_fixing2.reset(state=100)

# only the private data for fixing1 is removed because of its link to the data state
In [19]: fx_fixing1._value
Out[19]: <NoInput.blank: 0>

In [20]: fx_fixing2._value
Out[20]: np.float64(1.4)

Parameters:: state (int, optional) – If given only fixings whose state matches this value will be reset. If no state is given then the value will be reset.
Return type:: None

_BaseFixing#

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