FloatRateSeries

class rateslib.data.fixings.FloatRateSeries(lag, calendar, modifier, convention, eom, zero_float_period_stub=NoInput.blank, tenors=NoInput.blank)

Bases: object

Define the general parameters of multiple tenors of an interest rate series.

Parameters:

• lag (int, required) – The number of business days by which the fixing date is lagged to the accrual start date.

• calendar (Calendar, str required) – The calendar associated with the floating rate’s date determination.

• modifier (Adjuster, str, required) – The Adjuster associated with the end accrual day of the floating rate’s date.

• convention (Convention, str, required) – The day count Convention associated with the floating rate.

• eom (bool, required) – Whether the interest rate index natively adopts EoM roll preference or not.

• tenors (list[str], optional) – The official list of tenor indexes published by this series.

• zero_float_period_stub (StubInference, str, optional (set as ‘ShortBack’)) – The stub inference parameter that is used to steer schedule construction when this series is used as part of a FloatLeg composed of ZeroFloatPeriod.

Attributes Summary

calendar	The fixing calendar for the rate series.
convention	The day count Convention associated with the fixing.
eom	Whether end of month date rolling is applied to date calculations for the fixing series.
lag	The number of business days before accrual start that the fixing is published according to calendar.
modifier	The date Adjuster used for date adjustment of the tenor.
tenors	A list of tenors that are published by this interest rate series.
zero_float_period_stub	StubInference used when a fixing tenor does not divide into the frequency of a compounded ZeroFloatPeriod.

Attributes Documentation

calendar

The fixing calendar for the rate series.

convention

The day count Convention associated with the fixing.

eom

Whether end of month date rolling is applied to date calculations for the fixing series.

lag

The number of business days before accrual start that the fixing is published according to calendar.

modifier

The date Adjuster used for date adjustment of the tenor.

tenors

A list of tenors that are published by this interest rate series.

zero_float_period_stub

StubInference used when a fixing tenor does not divide into the frequency of a compounded ZeroFloatPeriod.