InterestRateFix

class sigtech.framework.instruments.fixes.InterestRateFix

Baseclasses: Fix

A class representing an interest rate fixing instrument.

property data_source_all

Data sources of the instrument.

isda_rate_definition: str

cal_tenor()

Adjusted tenor of the instrument including '1BD' or 'EOM' identifiers.

day_count()

Day count, e.g.: 'ACT/ACT', 'ACT/360', 'ACT/365F'.

due_time()

Time when the instrument is expected to be delivered.

fixing_delay()

Fixing delay.

fixing_value_dates(start, end, frequency='1BD') → tuple[pandas.core.indexes.datetimes.DatetimeIndex, pandas.core.indexes.datetimes.DatetimeIndex]

function returning fix and value dates

holidays()

List of holiday calendars for this instrument.

tenor()

Tenor of the instrument.

timezone()

Time zone for the instrument.

value_adjust_holidays()

Holiday calendars used for value adjustment.