_FloatRateParams

class rateslib.periods.parameters._FloatRateParams(*, _fixing_method, _method_param, _fixing_series, _fixing_frequency, _float_spread, _spread_compound_method, _rate_fixing)

Bases: object

Parameters for a Period containing a floating rate.

Parameters:

• _fixing_method (FloatFixingMethod) – The FloatFixingMethod describing the determination of the floating rate for the period.

• _method_param (int) – A specific parameter that is used by the specific fixing_method.

• _fixing_series (FloatRateSeries,) – The FloatRateSeries of the FloatRateIndex defining the specific interest rate index and some of its calculation parameters.

• _fixing_frequency (Frequency,) – The Frequency of the FloatRateIndex.

• _float_spread (float, Dual, Dual2, Variable) – The amount (in bps) added to the rate in the period rate determination.

• _spread_compound_method (SpreadCompoundMethod) – The SpreadCompoundMethod used in the calculation of the period rate when combining a _float_spread. Used only with RFR type fixing_method.

• _rate_fixing (IBORFixing, IBORStubFixing, RFRFixing) – The appropriate rate fixing class that is used to determine if known, published values are available for the Period.

Attributes Summary

accrual_end	The accrual end date for the Period.
accrual_start	The accrual start date for the Period.
fixing_calendar	The calendar of the FloatRateIndex.
fixing_convention	The day count Convention of the FloatRateIndex.
fixing_date	The relevant date of the (first) rate fixing for the Period.
fixing_frequency	The date Frequency of the FloatRateIndex.
fixing_identifier	The string identifier provided to rate_fixings to construct a Fixings object.
fixing_index	The FloatRateIndex assoociated with the determination of the floating rate for the Period.
fixing_method	The FloatFixingMethod defining the determination of the floating rate for the period.
fixing_modifier	The date Adjuster of the FloatRateIndex.
fixing_series	The FloatRateSeries of the FloatRateIndex.
float_spread	The amount (in bps) added to the rate in the period rate determination.
method_param	A parameter used by the fixing_method.
rate_fixing	The IBORFixing, IBORStubFixing, or RFRFixing appropriate for the Period.
spread_compound_method	The SpreadCompoundMethod used in the calculation.

Attributes Documentation

accrual_end

The accrual end date for the Period.

Final fixing dates (or IBOR stub weights) will be measured relative to this date under appropriate calendars and method_param.

accrual_start

The accrual start date for the Period.

Fixing dates will be measured relative to this date under appropriate calendars and method_param

fixing_calendar

The calendar of the FloatRateIndex.

fixing_convention

The day count Convention of the FloatRateIndex.

fixing_date

The relevant date of the (first) rate fixing for the Period.

fixing_frequency

The date Frequency of the FloatRateIndex.

fixing_identifier

The string identifier provided to rate_fixings to construct a Fixings object.

fixing_index

The FloatRateIndex assoociated with the determination of the floating rate for the Period.

fixing_method

The FloatFixingMethod defining the determination of the floating rate for the period.

fixing_modifier

The date Adjuster of the FloatRateIndex.

fixing_series

The FloatRateSeries of the FloatRateIndex.

float_spread

The amount (in bps) added to the rate in the period rate determination.

method_param

A parameter used by the fixing_method.

rate_fixing

The IBORFixing, IBORStubFixing, or RFRFixing appropriate for the Period.

spread_compound_method

The SpreadCompoundMethod used in the calculation.