_BaseFixingsLoader#

class rateslib.data.loader._BaseFixingsLoader#

Bases: object

Abstract base class to allow custom implementations of a fixings data loader.

Notes

This class requires an implementation of __getitem__, which should accept an identifier and return a 3-tuple. The 3-tuple should include;

an integer representing the state id of the loaded data, i.e. its hash or pseudo-hash.
the data itself as a Series indexed by daily datetimes.
a 2-tuple of datetimes indicating the min and max of the timeseries index.

If a valid Series object cannot be loaded for the identifier then this method is required to raise a ValeuError.

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.

Methods Documentation

abstract 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]: 
(8299168255252050875,
 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]

abstract 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.

_BaseFixingsLoader#

This Page