IBORFixing#

class rateslib.data.fixings.IBORFixing(*, rate_index, accrual_start, date=NoInput.blank, value=NoInput.blank, identifier=NoInput.blank)#

Bases: _BaseFixing

A rate fixing value referencing a tenor-IBOR type calculation.

Parameters:

rate_index (FloatRateIndex) – The parameters associated with the floating rate index.
accrual_start (datetime) – The start accrual date for the period of the floating rate.
date (datetime) – The date of relevance for the fixing, which is its publication date. This can be determined by a lag parameter of the rate_index measured from the accrual_start.
value (float, Dual, Dual2, Variable, optional) – The initial value for the fixing to adopt. Most commonly this is not given and it is determined from a timeseries of published FX rates.
identifier (str, optional) – The string name of the timeseries to be loaded by the Fixings object.

Examples

In [1]: fixings.add("EURIBOR_3M", Series(index=[dt(2000, 1, 3), dt(2000, 2, 4)], data=[1.651, 1.665]))

In [2]: ibor_fix = IBORFixing(
   ...:     accrual_start=dt(2000, 1, 5),
   ...:     identifier="Euribor_3m",
   ...:     rate_index=FloatRateIndex(frequency="Q", series="eur_ibor")
   ...: )
   ...: 

In [3]: ibor_fix.date
Out[3]: datetime.datetime(2000, 1, 3, 0, 0)

In [4]: ibor_fix.value
Out[4]: np.float64(1.651)

Attributes Summary

`accrual_end`	The end accrual date for the defined period of the floating rate.
`accrual_start`	The start accrual date for the defined period of the floating rate.
`date`	The date of relevance for the fixing, e.g. the publication date of an IBORFixing.
`identifier`	The string name of the timeseries to be loaded by the Fixings object.
`index`	The definitions for the `FloatRateIndex` of the fixing.
`series`	The `FloatRateSeries` for defining the fixing.
`value`	The fixing value.

Methods Summary

reset([state])

Sets the value attribute to NoInput, which allows it to be redetermined from a timeseries.

Attributes Documentation

accrual_end#: The end accrual date for the defined period of the floating rate.

accrual_start#: The start accrual date for the defined period of the floating rate.

date#: The date of relevance for the fixing, e.g. the publication date of an IBORFixing.

identifier#: The string name of the timeseries to be loaded by the Fixings object.

index#: The definitions for the FloatRateIndex of the fixing.

series#: The FloatRateSeries for defining the fixing.

value#

The fixing value.

If this value is rateslib.enums.generics.NoInput, then each request will attempt a lookup from a timeseries to obtain a new fixing value.

Once this value is determined it is restated indefinitely, unless _BaseFixing.reset() is called.

Methods Documentation

reset(state=NoInput.blank)#

Sets the value attribute to NoInput, which allows it to be redetermined from a timeseries.

Examples

In [1]: fx_fixing1 = FXFixing(publication=dt(2021, 1, 1), fx_index="eurusd", identifier="A")

In [2]: fx_fixing2 = FXFixing(publication=dt(2021, 1, 1), fx_index="gbpusd", identifier="B")

In [3]: fixings.add("A_eurusd", Series(index=[dt(2021, 1, 1)], data=[1.1]), state=100)

In [4]: fixings.add("B_gbpusd", Series(index=[dt(2021, 1, 1)], data=[1.4]), state=200)

# data is populated from the available Series
In [5]: fx_fixing1.value
Out[5]: np.float64(1.1)

In [6]: fx_fixing2.value
Out[6]: np.float64(1.4)

# fixings are reset according to the data state
In [7]: fx_fixing1.reset(state=100)

In [8]: fx_fixing2.reset(state=100)

# only the private data for fixing1 is removed because of its link to the data state
In [9]: fx_fixing1._value
Out[9]: <NoInput.blank: 0>

In [10]: fx_fixing2._value
Out[10]: np.float64(1.4)

Parameters:: state (int, optional) – If given only fixings whose state matches this value will be reset. If no state is given then the value will be reset.
Return type:: None

IBORFixing#

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