DefaultFixingsLoader#

class rateslib.data.loader.DefaultFixingsLoader#

Bases: _BaseFixingsLoader

The _BaseFixingsLoader implemented by default.

This loader searches a particular local directory for CSV files.

Attributes Summary

`directory`	The local directory in which data CSV files may be located.
`loaded`	A dictionary of the (state id, timeseries, data range) keyed by identifiers.

Methods Summary

`add`(name, series[, state])	Add a timeseries to the data loader directly from Python.
`get_stub_ibor_fixings`(value_start_date, ...)	Return the tenors available in the `Fixings` object for determining an IBOR type stub period.
`pop`(name)	Remove a timeseries from the data loader.

Attributes Documentation

directory#: The local directory in which data CSV files may be located.

loaded#: A dictionary of the (state id, timeseries, data range) keyed by identifiers.

Methods Documentation

add(name, series, state=NoInput.blank)#

Add a timeseries to the data loader directly from Python.

Parameters:

name (str) – The string identifier for the timeseries.
series (Series[DualTypes]) – The timeseries to add to static data.

Return type:

None

Examples

In [1]: ts = Series(index=[dt(2000, 1, 1)], data=[666.0])

In [2]: fixings.add("my_timeseries", ts)

In [3]: fixings["my_timeseries"]
Out[3]: 
(-4215404932798160582,
 reference_date
 2000-01-01    666.0
 Name: rate, dtype: float64,
 (Timestamp('2000-01-01 00:00:00'), Timestamp('2000-01-01 00:00:00')))

In [4]: fixings.pop("my_timeseries")
Out[4]: 
reference_date
2000-01-01    666.0
Name: rate, dtype: float64

get_stub_ibor_fixings(value_start_date, value_end_date, fixing_date, fixing_calendar, fixing_modifier, fixing_identifier)#

Return the tenors available in the Fixings object for determining an IBOR type stub period.

Parameters:

value_start_date (datetime) – The value start date of the IBOR period.
value_end_date (datetime) – The value end date of the current stub period.
fixing_date (datetime) – The index date to examine from the fixing series.
fixing_calendar (Cal, UnionCal, NamedCal,) – The calendar to derive IBOR value end dates.
fixing_modifier (Adjuster) – The date adjuster to derive IBOR value end dates.
fixing_identifier (str) – The fixing name, prior to the addition of tenor, e.g. “EUR_EURIBOR”

Return type:

tuple of list[string tenors] and list[evaluated end dates]

pop(name)#

Remove a timeseries from the data loader.

Parameters:: name (str) – The string identifier for the timeseries.
Return type:: Series[DualTypes] or None

Notes

If the name does not exist None will be returned.

DefaultFixingsLoader#

This Page