_IndexParams

class rateslib.periods.parameters._IndexParams(*, _index_method, _index_lag, _index_base, _index_fixings, _index_base_date, _index_reference_date, _index_only)

Bases: object

Parameters for Period cashflows adjusted under some indexation.

Parameters:

• _index_method (IndexMethod) – The interpolation method, or otherwise, to determine index values from reference dates.

• _index_lag (int) – The indexation lag, in months, applied to the determination of index values.

• _index_base (float, Dual, Dual2, Variable, optional) – The specific value set of the base index value. If not given and index_fixings is a str fixings identifier that will be used to determine the base index value.

• _index_fixings (float, Dual, Dual2, Variable, Series, str, optional) – The index value for the reference date. If a scalar value this is used directly. If a string identifier will link to the central fixings object and data loader.

• _index_base_date (datetime, optional) – The reference date for determining the base index value. Not required if _index_base value is given directly.

• _index_reference_date (datetime, optional) – The reference date for determining the index value. Not required if _index_fixings is given as a scalar value.

• _index_only (bool, optional) – A flag which determines non-payment of notional on supported Periods.

Attributes Summary

index_base	The IndexFixing associated with the index base date.
index_fixing	The IndexFixing associated with the index reference date.
index_lag	The indexation lag, in months, applied to the determination of index values.
index_method	The IndexMethod to determine index values from reference dates.
index_only	A flag which determines non-payment of notional on supported Periods.

Methods Summary

index_ratio([index_curve])	Calculate the index ratio for the Period, including the numerator and denominator.
try_index_base([index_curve])	Determine the index base value from fixing or forecast curve, with lazy error raising.
try_index_ratio([index_curve])	Replicates index_ratio() with lazy error raising.
try_index_value([index_curve])	Determine the index reference value from fixing or forecast curve, with lazy error raising.

Attributes Documentation

index_base

The IndexFixing associated with the index base date.

index_fixing

The IndexFixing associated with the index reference date.

index_lag

The indexation lag, in months, applied to the determination of index values.

index_method

The IndexMethod to determine index values from reference dates.

index_only

A flag which determines non-payment of notional on supported Periods.

Methods Documentation

index_ratio(index_curve=NoInput.blank)

Calculate the index ratio for the Period, including the numerator and denominator.

\[I(m) = \frac{I_{val}(m)}{I_{base}}\]

Parameters:

index_curve (_BaseCurve, optional) – The curve from which index values are forecast if required.

Return type:

tuple[float, Dual, Dual2, Variable] for the ratio, numerator, denominator.

try_index_base(index_curve=NoInput.blank)

Determine the index base value from fixing or forecast curve, with lazy error raising.

Parameters:

index_curve (_BaseCurve, optional) – The curve from which index values are forecast if required.

Return type:

Result[float, Dual, Dual2, Variable]

try_index_ratio(index_curve=NoInput.blank)

Replicates index_ratio() with lazy error raising.

Return type:

Result[tuple[float, Dual, Dual2, Variable]] for the ratio, numerator, denominator.

try_index_value(index_curve=NoInput.blank)

Determine the index reference value from fixing or forecast curve, with lazy error raising.

Parameters:

index_curve (_BaseCurve, optional) – The curve from which index values are forecast if required.

Return type:

Result[float, Dual, Dual2, Variable]