FloatRateIndex#

class rateslib.data.fixings.FloatRateIndex(frequency, series)#

Bases: object

Define the parameters of a specific interest rate index.

Parameters:

frequency (Frequency or str) – The specific tenor of the interest rate index.
series (Series or str) – The general parameters applied to any tenor of this particular interest rate series.

Examples

None

Attributes Summary

`calendar`	The calendar associated with the publication of the interest rate index.
`convention`	The `Convention` associated with the publication of the interest rate index.
`eom`	Whether the interest rate index adopts an end of month convention.
`frequency`	The specific tenor of the interest rate index.
`lag`	The lag for the determining the publication date of the interest rate index.
`modifier`	The `Adjuster` associated with the end accrual day of the interest rate index.
`series`	The general parameters applied to any tenor of this particular interest rate series.

Attributes Documentation

calendar#: The calendar associated with the publication of the interest rate index.

convention#: The Convention associated with the publication of the interest rate index.

eom#: Whether the interest rate index adopts an end of month convention.

frequency#: The specific tenor of the interest rate index.

lag#: The lag for the determining the publication date of the interest rate index.

modifier#: The Adjuster associated with the end accrual day of the interest rate index.

series#: The general parameters applied to any tenor of this particular interest rate series.