Indexes

Interest-rate and inflation indexes.

indexes

Runtime source shim for the native itofin.indexes submodule.

The real itofin.indexes is a compiled submodule registered into sys.modules by the extension (see crates/itofin-py/src/lib.rs); it wins at import time, so nothing here runs. This file exists only so static type checkers resolve from itofin.indexes import ... from indexes.pyi without a reportMissingModuleSource warning.

Auto-generated by scripts/gen_submodule_shims.py from indexes.pyi; do not edit or delete by hand.

Currency

An ISO 4217 currency specification.

Only the four named currencies the core provides are exposed; the general constructor is omitted, as the core ports only the currencies its indexes need and the full catalogue is deferred there.

eur staticmethod

eur() -> Currency

Return the European Euro.

Returns:

Name	Type	Description
Currency	Currency	The euro, ISO code "EUR".

usd staticmethod

usd() -> Currency

Return the U.S. dollar.

Returns:

Name	Type	Description
Currency	Currency	The U.S. dollar, ISO code "USD".

gbp staticmethod

gbp() -> Currency

Return the British pound sterling.

Returns:

Name	Type	Description
Currency	Currency	The pound sterling, ISO code "GBP".

jpy staticmethod

jpy() -> Currency

Return the Japanese yen.

Returns:

Name	Type	Description
Currency	Currency	The yen, ISO code "JPY".

code

code() -> str

Return the ISO 4217 three-letter code.

Returns:

Name	Type	Description
str	str	The three-letter code, e.g. "EUR".

IborIndex

IborIndex(family_name: str, tenor: Period, settlement_days: int, currency: Currency, fixing_calendar: Calendar, convention: BusinessDayConvention, end_of_month: bool, day_counter: DayCounter, forwarding: YieldTermStructure | None, settings: Settings)

A general Inter-Bank-Offered-Rate index, spelling out every convention.

The form for an index outside the named families (the USD-3M IsdaIbor the ISDA CDS curve bootstraps off, say). Pass forwarding=None to build it over an empty handle, the form the bootstrap rate helpers need.

It is the base of Euribor, and every Ibor-index consumer takes this type and accepts either: the deposit, swap, FRA and futures rate helpers, and the swap, swap-index, optionlet-volatility, cap/floor and swaption-helper facades. The OIS helper is not one of them; it takes the overnight Estr, which is not an IborIndex.

Build an index spelling out every convention the core constructor takes.

The index fixes settlement_days before its value date on the fixing calendar, rolls to maturity under convention and end_of_month, accrues on day_counter and forecasts off forwarding.

Parameters:

Name	Type	Description	Default
family_name	str	The index family the fixings are stored under.	required
tenor	Period	The index tenor, normalized at construction.	required
settlement_days	int	The business days between the fixing date and the value date.	required
currency	Currency	The currency the index is quoted in.	required
fixing_calendar	Calendar	The calendar the fixing and value dates roll on.	required
convention	BusinessDayConvention	The convention applied when rolling the value date to maturity.	required
end_of_month	bool	Whether the maturity roll keeps to month ends.	required
day_counter	DayCounter	The day count the index accrues on.	required
forwarding	YieldTermStructure | None	The curve fixings are forecast off; None builds the index over an empty handle, the form the bootstrap rate helpers need.	required
settings	Settings	The explicit settings supplying the evaluation date and the stored fixings.	required

fixing

fixing(fixing_date: Date, forecast_todays_fixing: bool) -> float

Return the index fixing for fixing_date.

Forecast off the forwarding curve for a future date, or read from the stored fixings for a past one.

Parameters:

Name	Type	Description	Default
fixing_date	Date	The date the fixing is read or forecast for.	required
forecast_todays_fixing	bool	Whether a fixing dated today is forecast rather than looked up.	required

Returns:

Name	Type	Description
float	float	The fixing rate.

Raises:

Type	Description
ItofinError	If the fixing date is not a valid one, the evaluation date is unset, a past fixing is missing from the store, or the forwarding handle is empty on a forecast.

value_date

value_date(fixing_date: Date) -> Date

Return the value date of the loan fixed on fixing_date.

The fixing date moved forward by the index's fixing days on the fixing calendar.

Parameters:

Name	Type	Description	Default
fixing_date	Date	The fixing date to advance.	required

Returns:

Name	Type	Description
Date	Date	The value date.

Raises:

Type	Description
ItofinError	If fixing_date is not a business day on the fixing calendar.

fixing_date

fixing_date(value_date: Date) -> Date

Return the fixing date of the loan starting on value_date.

The value date moved back by the index's fixing days, the inverse of value_date.

Parameters:

Name	Type	Description	Default
value_date	Date	The value date to step back from.	required

Returns:

Name	Type	Description
Date	Date	The fixing date.

maturity_date

maturity_date(value_date: Date) -> Date

Return the maturity of the loan starting on value_date.

The value date rolled on by the index tenor under the index's own convention and end-of-month flag.

Parameters:

Name	Type	Description	Default
value_date	Date	The date the loan starts on.	required

Returns:

Name	Type	Description
Date	Date	The maturity date.

tenor

tenor() -> Period

Return the index tenor, normalized at construction.

Returns:

Name	Type	Description
Period	Period	The index tenor.

day_counter

day_counter() -> DayCounter

Return the day counter the index accrues on.

Returns:

Name	Type	Description
DayCounter	DayCounter	The index day count.

fixing_calendar

fixing_calendar() -> Calendar

Return the calendar the fixing and value dates roll on.

Returns:

Name	Type	Description
Calendar	Calendar	The fixing calendar.

business_day_convention

business_day_convention() -> BusinessDayConvention

Return the convention applied when rolling the value date to maturity.

Returns:

Name	Type	Description
BusinessDayConvention	BusinessDayConvention	The stored convention.

end_of_month

end_of_month() -> bool

Return whether the maturity roll keeps to month ends.

Returns:

Name	Type	Description
bool	bool	True if the roll is end-of-month.

name

name() -> str

Return the composed index name, e.g. "Euribor6M Actual/360".

Returns:

Name	Type	Description
str	str	The name the fixings are stored under.

currency

currency() -> Currency

Return the currency the index is quoted in.

Returns:

Name	Type	Description
Currency	Currency	The index currency.

Euribor

Euribor(tenor: Period, curve: YieldTermStructure | None, settings: Settings)

Bases: IborIndex

The Euribor IBOR index family.

A subclass of IborIndex, so a Euribor is accepted wherever the general index is. It retains its own clone of the index the base holds - the same object, not a rebuild - so its own fixing reads exactly what the base reads.

Build a Euribor index of the given tenor.

Parameters:

Name	Type	Description	Default
tenor	Period	The index tenor.	required
curve	YieldTermStructure | None	The forwarding curve; None builds the index over an empty handle, the form the bootstrap rate helpers need.	required
settings	Settings	The explicit settings supplying the evaluation date and the stored fixings.	required

Raises:

Type	Description
ItofinError	If tenor is a daily tenor, which needs the dedicated daily-tenor constructor the core keeps separate.

three_months staticmethod

three_months(curve: YieldTermStructure, settings: Settings) -> Euribor

Return the 3-month Euribor index forwarding off curve.

Parameters:

Name	Type	Description	Default
curve	YieldTermStructure	The forwarding curve.	required
settings	Settings	The explicit settings supplying the evaluation date and the stored fixings.	required

Returns:

Name	Type	Description
Euribor	Euribor	The Euribor3M index.

six_months staticmethod

six_months(curve: YieldTermStructure, settings: Settings) -> Euribor

Return the 6-month Euribor index forwarding off curve.

Parameters:

Name	Type	Description	Default
curve	YieldTermStructure	The forwarding curve.	required
settings	Settings	The explicit settings supplying the evaluation date and the stored fixings.	required

Returns:

Name	Type	Description
Euribor	Euribor	The Euribor6M index.

fixing

fixing(fixing_date: Date, forecast_todays_fixing: bool) -> float

Return the index fixing for fixing_date.

Forecast off the forwarding curve for a future date, or read from the stored fixings for a past one.

Parameters:

Name	Type	Description	Default
fixing_date	Date	The date the fixing is read or forecast for.	required
forecast_todays_fixing	bool	Whether a fixing dated today is forecast rather than looked up.	required

Returns:

Name	Type	Description
float	float	The fixing rate.

Raises:

Type	Description
ItofinError	If the fixing date is not a valid one, the evaluation date is unset, a past fixing is missing from the store, or the forwarding handle is empty on a forecast.

UsdLibor

UsdLibor(tenor: Period, curve: YieldTermStructure | None, settings: Settings)

Bases: IborIndex

The USD Libor index family.

A subclass of IborIndex, so a USD Libor is accepted wherever the general index is. It retains its own clone of the index the base holds - the same object, not a rebuild - so its own fixing reads exactly what the base reads.

Build a USD Libor index of the given tenor.

Parameters:

Name	Type	Description	Default
tenor	Period	The index tenor.	required
curve	YieldTermStructure | None	The forwarding curve; None builds the index over an empty handle, the form the bootstrap rate helpers need.	required
settings	Settings	The explicit settings supplying the evaluation date and the stored fixings.	required

Raises:

Type	Description
ItofinError	If tenor is a daily tenor, which needs a dedicated daily-tenor constructor the core has not ported.

fixing

fixing(fixing_date: Date, forecast_todays_fixing: bool) -> float

Return the index fixing for fixing_date.

Forecast off the forwarding curve for a future date, or read from the stored fixings for a past one.

Parameters:

Name	Type	Description	Default
fixing_date	Date	The date the fixing is read or forecast for.	required
forecast_todays_fixing	bool	Whether a fixing dated today is forecast rather than looked up.	required

Returns:

Name	Type	Description
float	float	The fixing rate.

Raises:

Type	Description
ItofinError	If the fixing date is not a valid one, the evaluation date is unset, a past fixing is missing from the store, or the forwarding handle is empty on a forecast.

JpyLibor

JpyLibor(tenor: Period, curve: YieldTermStructure | None, settings: Settings)

Bases: IborIndex

The JPY Libor index family.

A subclass of IborIndex, so a JPY Libor is accepted wherever the general index is. It retains its own clone of the index the base holds - the same object, not a rebuild - so its own fixing reads exactly what the base reads.

Build a JPY Libor index of the given tenor.

Parameters:

Name	Type	Description	Default
tenor	Period	The index tenor.	required
curve	YieldTermStructure | None	The forwarding curve; None builds the index over an empty handle, the form the bootstrap rate helpers need.	required
settings	Settings	The explicit settings supplying the evaluation date and the stored fixings.	required

Raises:

Type	Description
ItofinError	If tenor is a daily tenor, which needs a dedicated daily-tenor constructor the core has not ported.

fixing

fixing(fixing_date: Date, forecast_todays_fixing: bool) -> float

Return the index fixing for fixing_date.

Forecast off the forwarding curve for a future date, or read from the stored fixings for a past one.

Parameters:

Name	Type	Description	Default
fixing_date	Date	The date the fixing is read or forecast for.	required
forecast_todays_fixing	bool	Whether a fixing dated today is forecast rather than looked up.	required

Returns:

Name	Type	Description
float	float	The fixing rate.

Raises:

Type	Description
ItofinError	If the fixing date is not a valid one, the evaluation date is unset, a past fixing is missing from the store, or the forwarding handle is empty on a forecast.

GbpLibor

GbpLibor(tenor: Period, curve: YieldTermStructure | None, settings: Settings)

Bases: IborIndex

The GBP Libor index family.

A subclass of IborIndex, so a GBP Libor is accepted wherever the general index is. It retains its own clone of the index the base holds - the same object, not a rebuild - so its own fixing reads exactly what the base reads.

Build a GBP Libor index of the given tenor.

Parameters:

Name	Type	Description	Default
tenor	Period	The index tenor.	required
curve	YieldTermStructure | None	The forwarding curve; None builds the index over an empty handle, the form the bootstrap rate helpers need.	required
settings	Settings	The explicit settings supplying the evaluation date and the stored fixings.	required

Raises:

Type	Description
ItofinError	If tenor is a daily tenor, which needs a dedicated daily-tenor constructor the core has not ported.

fixing

fixing(fixing_date: Date, forecast_todays_fixing: bool) -> float

Return the index fixing for fixing_date.

Forecast off the forwarding curve for a future date, or read from the stored fixings for a past one.

Parameters:

Name	Type	Description	Default
fixing_date	Date	The date the fixing is read or forecast for.	required
forecast_todays_fixing	bool	Whether a fixing dated today is forecast rather than looked up.	required

Returns:

Name	Type	Description
float	float	The fixing rate.

Raises:

Type	Description
ItofinError	If the fixing date is not a valid one, the evaluation date is unset, a past fixing is missing from the store, or the forwarding handle is empty on a forecast.

EurLibor

EurLibor(tenor: Period, curve: YieldTermStructure | None, settings: Settings)

Bases: IborIndex

The EUR Libor index family, the Euro ICE Libor fixed in London.

Three calendars, not one: fixing dates roll on the joint UK-Exchange plus TARGET calendar while value and maturity dates roll on TARGET alone. A subclass of IborIndex, so a EUR Libor is accepted wherever the general index is, and the base half carries the three-calendar roll rather than a single-calendar approximation of it. It retains its own clone of the index the base holds - the same object, not a rebuild - so its own fixing reads exactly what the base reads.

Build a EUR Libor index of the given tenor.

Parameters:

Name	Type	Description	Default
tenor	Period	The index tenor.	required
curve	YieldTermStructure | None	The forwarding curve; None builds the index over an empty handle, the form the bootstrap rate helpers need.	required
settings	Settings	The explicit settings supplying the evaluation date and the stored fixings.	required

Raises:

Type	Description
ItofinError	If tenor is a daily tenor, which needs a dedicated daily-tenor constructor the core has not ported.

fixing

fixing(fixing_date: Date, forecast_todays_fixing: bool) -> float

Return the index fixing for fixing_date.

Forecast off the forwarding curve for a future date, or read from the stored fixings for a past one.

Parameters:

Name	Type	Description	Default
fixing_date	Date	The date the fixing is read or forecast for.	required
forecast_todays_fixing	bool	Whether a fixing dated today is forecast rather than looked up.	required

Returns:

Name	Type	Description
float	float	The fixing rate.

Raises:

Type	Description
ItofinError	If the fixing date is not a valid one, the evaluation date is unset, a past fixing is missing from the store, or the forwarding handle is empty on a forecast.

CustomIborIndex

CustomIborIndex(family_name: str, tenor: Period, settlement_days: int, currency: Currency, fixing_calendar: Calendar, value_calendar: Calendar, maturity_calendar: Calendar, convention: BusinessDayConvention, end_of_month: bool, day_counter: DayCounter, forwarding: YieldTermStructure | None, settings: Settings)

Bases: IborIndex

An Ibor index with three separate calendars.

The general form of what EurLibor configures: fixing dates roll back on the value calendar and adjust Preceding on the fixing calendar, value dates advance on the value calendar, and maturity dates advance on the maturity calendar. Passing the same calendar three times reproduces a plain IborIndex, so this is the escape hatch for a Libor-like index outside the named families. A subclass of IborIndex, so it is accepted wherever the general index is, and the base half carries the three-calendar roll.

Build a three-calendar Ibor index.

Parameters:

Name	Type	Description	Default
family_name	str	The family name the composed index name is built from.	required
tenor	Period	The index tenor.	required
settlement_days	int	The business days between a fixing and its value date.	required
currency	Currency	The currency the index is quoted in.	required
fixing_calendar	Calendar	The calendar fixing dates are adjusted Preceding on.	required
value_calendar	Calendar	The calendar value dates are advanced on.	required
maturity_calendar	Calendar	The calendar maturity dates are advanced on.	required
convention	BusinessDayConvention	The convention the roll to maturity applies.	required
end_of_month	bool	Whether the maturity roll keeps to month ends.	required
day_counter	DayCounter	The day counter the index accrues on.	required
forwarding	YieldTermStructure | None	The forwarding curve; None builds the index over an empty handle, the form the bootstrap rate helpers need.	required
settings	Settings	The explicit settings supplying the evaluation date and the stored fixings.	required

fixing

fixing(fixing_date: Date, forecast_todays_fixing: bool) -> float

Return the index fixing for fixing_date.

Forecast off the forwarding curve for a future date, or read from the stored fixings for a past one.

Parameters:

Name	Type	Description	Default
fixing_date	Date	The date the fixing is read or forecast for.	required
forecast_todays_fixing	bool	Whether a fixing dated today is forecast rather than looked up.	required

Returns:

Name	Type	Description
float	float	The fixing rate.

Raises:

Type	Description
ItofinError	If the fixing date is not a valid one, the evaluation date is unset, a past fixing is missing from the store, or the forwarding handle is empty on a forecast.

OvernightIndex

The base of the overnight index families.

Abstract: it has no constructor, because the core builds an overnight index only through a family factory such as Estr. It exists so OISRateHelper and MakeOis name one type and accept any family. The fixing accessor stays on the family facade; lifting it here is deferred.

Estr

Estr(curve: YieldTermStructure | None, settings: Settings)

Bases: OvernightIndex

The Euro Short-Term Rate overnight index.

A subclass of OvernightIndex, so an ESTR index is accepted wherever the general overnight index is. It retains its own clone of the index the base holds - the same object, not a rebuild - so a facade typed on either half reads exactly the same core index.

Build an ESTR index forwarding off curve.

Infallible, unlike the Euribor constructor: the overnight tenor is fixed to one day by the base rather than taken from the caller.

Parameters:

Name	Type	Description	Default
curve	YieldTermStructure | None	The forwarding curve; None builds the index over an empty forwarding handle, the form the OIS bootstrap needs.	required
settings	Settings	The explicit settings supplying the evaluation date and the stored fixings.	required

fixing

fixing(fixing_date: Date, forecast_todays_fixing: bool) -> float

Return the index fixing for fixing_date.

Forecast off the forwarding curve for a future date, or read from the stored fixings for a past one.

Parameters:

Name	Type	Description	Default
fixing_date	Date	The date the fixing is read or forecast for.	required
forecast_todays_fixing	bool	Whether a fixing dated today is forecast rather than looked up.	required

Returns:

Name	Type	Description
float	float	The fixing rate.

Raises:

Type	Description
ItofinError	If the fixing date is not a valid one, the evaluation date is unset, a past fixing is missing from the store, or the forwarding handle is empty on a forecast.

SwapIndex

SwapIndex(family_name: str, tenor: Period, settlement_days: int, currency: Currency, calendar: Calendar, fixed_leg_tenor: Period, fixed_leg_convention: BusinessDayConvention, fixed_leg_day_counter: DayCounter, ibor_index: IborIndex, settings: Settings)

The index whose fixing is the fair rate of an on-the-fly vanilla swap, assembled from the index tenor, the forecasting Ibor index and the fixed-leg conventions.

The swap is assembled off the value date the fixing date implies. The swaption volatility cubes take two of these (a long and a short base) and read the at-the-money forward off them, so this is the index the cube facades stack on rather than one priced with directly.

The currency is inert for every ported consumer, so currency() reading it back off the core index is the only place it shows. Deferred (visible): the clone family (re-curving / re-tenoring) is deferred in the core itself.

Build a swap index forecasting and discounting off one curve.

Both legs use the ibor index's forwarding curve. The index registers with that index, so a relinked curve notifies observers.

Parameters:

Name	Type	Description	Default
family_name	str	The index family the fixings are stored under.	required
tenor	Period	The tenor of the underlying swap.	required
settlement_days	int	The business days between the fixing date and the swap's start.	required
currency	Currency	The index currency, inert for every ported consumer and read back only by currency().	required
calendar	Calendar	The calendar the swap's dates roll on.	required
fixed_leg_tenor	Period	The fixed leg's payment tenor.	required
fixed_leg_convention	BusinessDayConvention	The fixed leg's business-day convention.	required
fixed_leg_day_counter	DayCounter	The fixed leg's day count.	required
ibor_index	IborIndex	The index forecasting the floating leg, whose forwarding curve also discounts.	required
settings	Settings	The explicit settings supplying the evaluation date and the stored fixings.	required

with_exogenous_discount staticmethod

with_exogenous_discount(family_name: str, tenor: Period, settlement_days: int, currency: Currency, calendar: Calendar, fixed_leg_tenor: Period, fixed_leg_convention: BusinessDayConvention, fixed_leg_day_counter: DayCounter, ibor_index: IborIndex, discount: YieldTermStructure, settings: Settings) -> SwapIndex

Build a swap index discounting off a separate curve.

The floating leg is still forecast off the ibor index's forwarding curve, but discounting uses discount. The index registers with both.

Parameters:

Name	Type	Description	Default
family_name	str	The index family the fixings are stored under.	required
tenor	Period	The tenor of the underlying swap.	required
settlement_days	int	The business days between the fixing date and the swap's start.	required
currency	Currency	The index currency, inert for every ported consumer and read back only by currency().	required
calendar	Calendar	The calendar the swap's dates roll on.	required
fixed_leg_tenor	Period	The fixed leg's payment tenor.	required
fixed_leg_convention	BusinessDayConvention	The fixed leg's business-day convention.	required
fixed_leg_day_counter	DayCounter	The fixed leg's day count.	required
ibor_index	IborIndex	The index forecasting the floating leg.	required
discount	YieldTermStructure	The separate curve both legs are discounted on.	required
settings	Settings	The explicit settings supplying the evaluation date and the stored fixings.	required

Returns:

Name	Type	Description
SwapIndex	SwapIndex	The index discounting off the exogenous curve.

fixing

fixing(fixing_date: Date, forecast_todays_fixing: bool = False) -> float

Return the underlying swap's fair rate for fixing_date.

This is the at-the-money forward the volatility cubes read.

Parameters:

Name	Type	Description	Default
fixing_date	Date	The date the underlying swap is struck off.	required
forecast_todays_fixing	bool	Whether a fixing dated today is forecast rather than looked up.	False

Returns:

Name	Type	Description
float	float	The fair rate of the underlying swap.

Raises:

Type	Description
ItofinError	If the forwarding handle is empty, the evaluation date is unset, or the fixing date is invalid.

currency

currency() -> Currency

Return the index currency, read back off the core index.

Returns:

Name	Type	Description
Currency	Currency	The currency the index was built with.

fixed_leg_tenor

fixed_leg_tenor() -> Period

Return the fixed leg's payment tenor.

Returns:

Name	Type	Description
Period	Period	The fixed-leg tenor.

exogenous_discount

exogenous_discount() -> bool

Return whether the index discounts off a separate curve.

Returns:

Name	Type	Description
bool	bool	True if the index was built by with_exogenous_discount.

CpiInterpolationType

How a CPI observation interpolates between the index fixings bracketing it.

Flat reads the fixing of the lagged period outright; Linear advances from it to the next period's fixing by how far the observation date has run into its own period. The core's deprecated AsIndex variant is not ported and so has no counterpart here.

ZeroInflationIndex

A price index publishing one level per period, reading back either a stored figure or a forecast off its inflation curve.

The curve is reached through a relinkable handle the index owns, so an index can be built before the curve it forecasts off exists. The handle starts empty and a forecast before any link raises ItofinError; link_to fills it.

uk_rpi staticmethod

uk_rpi(settings: Settings) -> ZeroInflationIndex

Return the UK Retail Price Index: monthly, one-month availability lag.

Parameters:

Name	Type	Description	Default
settings	Settings	The explicit settings supplying the evaluation date and the stored fixings.	required

Returns:

Name	Type	Description
ZeroInflationIndex	ZeroInflationIndex	The "UK RPI" index, over an empty curve handle.

uk_hicp staticmethod

uk_hicp(settings: Settings) -> ZeroInflationIndex

Return the UK harmonised index of consumer prices.

Parameters:

Name	Type	Description	Default
settings	Settings	The explicit settings supplying the evaluation date and the stored fixings.	required

Returns:

Name	Type	Description
ZeroInflationIndex	ZeroInflationIndex	The UK HICP index, over an empty curve handle.

eu_hicp staticmethod

eu_hicp(settings: Settings) -> ZeroInflationIndex

Return the euro-area harmonised index of consumer prices.

Parameters:

Name	Type	Description	Default
settings	Settings	The explicit settings supplying the evaluation date and the stored fixings.	required

Returns:

Name	Type	Description
ZeroInflationIndex	ZeroInflationIndex	The EU HICP index, over an empty curve handle.

name

name() -> str

Return the index name, under which fixings are stored.

Returns:

Name	Type	Description
str	str	The name, e.g. "UK RPI".

add_fixing

add_fixing(fixing_date: Date, value: float) -> None

Record a published figure across the whole inflation period.

The figure is stored on every date of the period fixing_date falls in, so a later read on any day inside that period finds it.

Parameters:

Name	Type	Description	Default
fixing_date	Date	Any date inside the inflation period the figure describes.	required
value	float	The published index level.	required

Raises:

Type	Description
ItofinError	If the index frequency has no expressible inflation period, or a different figure is already stored on a date in that period.

fixing

fixing(fixing_date: Date, forecast_todays_fixing: bool = False) -> float

Return the fixing at fixing_date, stored or forecast off the linked curve.

Parameters:

Name	Type	Description	Default
fixing_date	Date	The date the level is read or forecast for.	required
forecast_todays_fixing	bool	Accepted and ignored, as in the core: needs_forecast alone decides between history and forecast.	False

Returns:

Name	Type	Description
float	float	The index level.

Raises:

Type	Description
ItofinError	If a date the store should cover has no figure, or a forecast is asked for with no curve linked.

last_fixing_date

last_fixing_date() -> Date

Return the first day of the period the latest stored figure describes.

Returns:

Name	Type	Description
Date	Date	The start of that inflation period.

Raises:

Type	Description
ItofinError	If the index has no fixing history.

link_to

link_to(curve: ZeroInflationTermStructure) -> None

Point the index at curve, so every forecast from here on compounds off it.

Takes the ZeroInflationTermStructure base, so any subclass links. It is the curve behind that facade's handle at call time that is stored, not the handle itself: relinking the facade afterwards leaves this index on the curve it was given, and a later link_to is how it moves.

Parameters:

Name	Type	Description	Default
curve	ZeroInflationTermStructure	The curve forecasts compound off.	required

Raises:

Type	Description
ItofinError	If curve somehow carries no link.

needs_forecast

needs_forecast(fixing_date: Date) -> bool

Return whether fixing_date has to be forecast rather than read from history.

Decided against the latest period that could have been published by the settings' evaluation date.

Parameters:

Name	Type	Description	Default
fixing_date	Date	The date in question.	required

Returns:

Name	Type	Description
bool	bool	True if the date has to be forecast off the curve.

Raises:

Type	Description
ItofinError	If the evaluation date is unset, or the index frequency has no expressible inflation period.

YoYInflationIndex

YoYInflationIndex(family_name: str, region_name: str, region_code: str, revised: bool, frequency: Frequency, availability_lag: Period, currency_name: str, currency_code: str, currency_numeric_code: int, currency_symbol: str, currency_fraction_symbol: str, currency_fractions_per_unit: int, settings: Settings)

An index publishing one year-on-year inflation rate per period, read back as a stored figure or forecast off its year-on-year curve.

Two forms. A ratio index (from_underlying) derives its rate from two ZeroInflationIndex fixings a year apart and owns no history of its own; a quoted one (the constructor) is published as a rate in its own right and keeps its own history through add_fixing.

Both forms link to a relinkable handle the index owns, so an index can be built before the curve it forecasts off exists. The handle starts empty and a forecast before any link raises ItofinError; link_to fills it.

The quoted constructor spells its region and currency out as their component fields: neither core type has a Python facade, and defaulting the currency metadata would put made-up values on the index.

Build a quoted year-on-year index, keeping its own fixing history.

The rate is published in its own right rather than derived from a price index, so fixings are filed here through add_fixing.

Parameters:

Name	Type	Description	Default
family_name	str	The index family the fixings are stored under.	required
region_name	str	The name of the region the index measures.	required
region_code	str	The region's code.	required
revised	bool	Whether the published figures are subject to revision.	required
frequency	Frequency	How often the index publishes.	required
availability_lag	Period	How long after a period ends its figure is published.	required
currency_name	str	The currency's name.	required
currency_code	str	The currency's ISO 4217 three-letter code.	required
currency_numeric_code	int	The currency's ISO 4217 numeric code.	required
currency_symbol	str	The currency's symbol.	required
currency_fraction_symbol	str	The symbol of the currency's fractional unit.	required
currency_fractions_per_unit	int	How many fractional units make one currency unit.	required
settings	Settings	The explicit settings supplying the evaluation date and the stored fixings.	required

from_underlying staticmethod

from_underlying(underlying: ZeroInflationIndex) -> YoYInflationIndex

Build a ratio index dividing a price index's figure by its figure a year earlier.

The metadata is inherited bar the family name, which is prefixed YYR_, so a "UK RPI" underlying yields "UK YYR_RPI"; fixings belong on the underlying.

Parameters:

Name	Type	Description	Default
underlying	ZeroInflationIndex	The price index whose consecutive figures the rate is derived from.	required

Returns:

Name	Type	Description
YoYInflationIndex	YoYInflationIndex	The ratio index, over an empty curve handle.

name

name() -> str

Return the index name, under which fixings are stored.

Returns:

Name	Type	Description
str	str	The name, e.g. "UK YYR_RPI".

ratio

ratio() -> bool

Return whether this index is the ratio of two price-index fixings.

Returns:

Name	Type	Description
bool	bool	True for a ratio index, False for a quoted rate.

underlying_index

underlying_index() -> ZeroInflationIndex | None

Return the price index a ratio index divides, None on a quoted one.

This is the very object from_underlying was handed, not a fresh facade around the same core index: a rebuilt one would carry a relinkable handle this index never sees, so linking it would silently forecast off nothing.

Returns:

Type	Description
ZeroInflationIndex | None	ZeroInflationIndex | None: The underlying price index, or None.

add_fixing

add_fixing(fixing_date: Date, value: float) -> None

Record a published year-on-year rate across the whole inflation period.

A ratio index reads the underlying's history, so filing here records a figure it will never consult.

Parameters:

Name	Type	Description	Default
fixing_date	Date	Any date inside the inflation period the rate describes.	required
value	float	The published year-on-year rate.	required

Raises:

Type	Description
ItofinError	If the index frequency has no expressible inflation period, or a different figure is already stored on a date in that period.

fixing

fixing(fixing_date: Date, forecast_todays_fixing: bool = False) -> float

Return the rate at fixing_date, stored or forecast off the linked curve.

Parameters:

Name	Type	Description	Default
fixing_date	Date	The date the rate is read or forecast for.	required
forecast_todays_fixing	bool	Accepted and ignored, as in the core: needs_forecast alone decides between history and forecast.	False

Returns:

Name	Type	Description
float	float	The year-on-year inflation rate.

Raises:

Type	Description
ItofinError	If a forecast is asked for with no curve linked.

last_fixing_date

last_fixing_date() -> Date

Return the first day of the period the latest figure on record describes.

Read off the underlying on a ratio index.

Returns:

Name	Type	Description
Date	Date	The start of that inflation period.

Raises:

Type	Description
ItofinError	If the index has no fixing history.

link_to

link_to(curve: YoYInflationTermStructure) -> None

Point the index at curve, so every forecast from here on reads it.

Takes the YoYInflationTermStructure base, so any subclass links. It is the curve behind that facade's handle at call time that is stored, not the handle itself.

Parameters:

Name	Type	Description	Default
curve	YoYInflationTermStructure	The curve forecasts are read off.	required

Raises:

Type	Description
ItofinError	If curve somehow carries no link.

needs_forecast

needs_forecast(fixing_date: Date) -> bool

Return whether fixing_date has to be forecast rather than read from history.

A ratio index defers the question to its underlying.

Parameters:

Name	Type	Description	Default
fixing_date	Date	The date in question.	required

Returns:

Name	Type	Description
bool	bool	True if the date has to be forecast off the curve.

Raises:

Type	Description
ItofinError	If the evaluation date is unset, or the index frequency has no expressible inflation period.