Time

Calendars, day counters, dates, periods and schedules.

time

Runtime source shim for the native itofin.time submodule.

The real itofin.time 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.time import ... from time.pyi without a reportMissingModuleSource warning.

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

Date

Date(day: int, month: int, year: int)

A calendar date with a validation guard.

Every constructor and every arithmetic result is range-checked before the core is reached, so an out-of-range date is an error rather than a panic.

Build a date from its three components.

Parameters:

Name	Type	Description	Default
day	int	The day of the month, within the length of that month.	required
month	int	The month, from 1 to 12.	required
year	int	The year, from 1901 to 2199.	required

Raises:

Type	Description
ItofinError	If month is outside [1, 12], year is outside [1901, 2199], or day is outside the length of that month.

year property

year: int

The year.

month property

month: int

The month, from 1 to 12.

day property

day: int

The day of the month.

Period

Period(n: int, unit: str)

A signed length in one calendar unit (unit: Days, Weeks, Months, Years).

Build a period of n units.

Parameters:

Name	Type	Description	Default
n	int	The length, which may be negative.	required
unit	str	One of "Days", "Weeks", "Months", "Years".	required

Raises:

Type	Description
ItofinError	If unit is not one of the four accepted strings.

Calendar

A business-day calendar.

target staticmethod

target() -> Calendar

The TARGET calendar.

Returns:

Name	Type	Description
Calendar	Calendar	The TARGET business-day calendar.

null_calendar staticmethod

null_calendar() -> Calendar

The calendar holding no holidays at all.

Returns:

Name	Type	Description
Calendar	Calendar	The null calendar, on which every day is a business day.

weekends_only staticmethod

weekends_only() -> Calendar

The weekends-only calendar: Saturdays and Sundays are holidays and no other day is. The calendar the ISDA CDS conventions roll on.

It is not substitutable by the null calendar, which holds no holidays at all, nor by a national calendar, which adds public holidays.

Returns:

Name	Type	Description
Calendar	Calendar	The weekends-only calendar.

united_kingdom staticmethod

united_kingdom() -> Calendar

The UK settlement calendar. Only the Settlement market is exposed: the Exchange and Metals markets share an identical business-day rule in the core and differ solely in their name.

Returns:

Name	Type	Description
Calendar	Calendar	The UK settlement calendar.

adjust

adjust(date: Date, convention: BusinessDayConvention) -> Date

Roll a date to the nearest business day.

Parameters:

Name	Type	Description	Default
date	Date	The date to roll.	required
convention	BusinessDayConvention	The rolling rule to apply.	required

Returns:

Name	Type	Description
Date	Date	The adjusted date, unchanged when it is already a business day.

advance

advance(date: Date, n: int, unit: str, convention: BusinessDayConvention, end_of_month: bool) -> Date

Advance a date by n units and adjust the result.

Parameters:

Name	Type	Description	Default
date	Date	The date to advance from.	required
n	int	The number of units to advance, which may be negative.	required
unit	str	One of "Days", "Weeks", "Months", "Years".	required
convention	BusinessDayConvention	The rule the advanced date is rolled under.	required
end_of_month	bool	Keep the result on the month end when the starting date is one.	required

Returns:

Name	Type	Description
Date	Date	The advanced and adjusted date.

Raises:

Type	Description
ItofinError	If unit is not one of the four accepted strings.

DayCounter

A year-fraction convention.

actual360 staticmethod

actual360() -> DayCounter

The Actual/360 convention.

Returns:

Name	Type	Description
DayCounter	DayCounter	An Actual/360 day counter.

actual365_fixed staticmethod

actual365_fixed() -> DayCounter

The Actual/365 (Fixed) convention.

Returns:

Name	Type	Description
DayCounter	DayCounter	An Actual/365 (Fixed) day counter.

actual_actual_isda staticmethod

actual_actual_isda() -> DayCounter

The Actual/Actual (ISDA) convention.

Returns:

Name	Type	Description
DayCounter	DayCounter	An Actual/Actual day counter on the ISDA convention.

thirty360_bond_basis staticmethod

thirty360_bond_basis() -> DayCounter

The 30/360 (Bond Basis) convention.

Returns:

Name	Type	Description
DayCounter	DayCounter	A 30/360 day counter on the bond-basis convention.

year_fraction

year_fraction(d1: Date, d2: Date) -> float

The period [d1, d2] as a fraction of a year under this convention.

Parameters:

Name	Type	Description	Default
d1	Date	The start of the period.	required
d2	Date	The end of the period.	required

Returns:

Name	Type	Description
float	float	The year fraction between the two dates.

Frequency

A coupon or fixing frequency.

Only the variants the ported fixtures use are surfaced; new ones are appended, so the integer values of the existing variants are unchanged.

BusinessDayConvention

A holiday-rolling rule. Every core variant is covered; the four listed last are appended, so the integer values of the first three are unchanged.

DateGeneration

The rule a Schedule generates its dates by.

Backward and Forward roll from one end of the range to the other; Zero keeps only the two endpoints; the ThirdWednesday and Twentieth families snap the interior dates onto an IMM Wednesday or the twentieth of the month. A Schedule builds under the three CDS rules, but SpreadCdsHelper rejects them: their maturity comes from a core routine that is not ported yet.

Schedule

Schedule(start: Date, end: Date, frequency: Frequency, calendar: Calendar, convention: BusinessDayConvention, rule: DateGeneration = ..., termination_convention: BusinessDayConvention | None = None)

A sequence of coupon dates built through MakeSchedule.

termination_convention rolls the last date only, and defaults to convention. CDS conventions need the two to differ: a credit helper leaves its maturity unadjusted while paying Following.

Build the schedule.

Parameters:

Name	Type	Description	Default
start	Date	The effective date, which must be strictly before end.	required
end	Date	The termination date.	required
frequency	Frequency	The coupon frequency the interior dates are spaced at.	required
calendar	Calendar	The calendar the dates roll on.	required
convention	BusinessDayConvention	The rule every date but the last is rolled under.	required
rule	DateGeneration	The date-generation rule; defaults to Forward.	...
termination_convention	BusinessDayConvention | None	The rule the last date is rolled under; None applies convention to it as well.	None

Raises:

Type	Description
ItofinError	If start is not strictly before end.

size

size() -> int

The number of dates in the schedule.

Returns:

Name	Type	Description
int	int	The date count, one more than the number of periods.

date

date(i: int) -> Date

The i-th date in the schedule.

Parameters:

Name	Type	Description	Default
i	int	The zero-based index into the dates.	required

Returns:

Name	Type	Description
Date	Date	The date at that index.

Raises:

Type	Description
ItofinError	If i is out of range.

dates

dates() -> list[Date]

All the schedule dates.

Returns:

Type	Description
list[Date]	list[Date]: The dates in order, from the effective date to the termination date.

is_imm_date

is_imm_date(date: Date, main_cycle: bool = False) -> bool

Whether date is an IMM date.

An IMM date is the third Wednesday of the month, and of March, June, September or December only when main_cycle is set.

Parameters:

Name	Type	Description	Default
date	Date	The date to test.	required
main_cycle	bool	Restrict the test to the March/June/September/December cycle.	False

Returns:

Name	Type	Description
bool	bool	True when date is an IMM date under the selected cycle.

next_imm_date

next_imm_date(date: Date, main_cycle: bool = False) -> Date

The next IMM date strictly following date.

Parameters:

Name	Type	Description	Default
date	Date	The date to start from; the result is strictly after it.	required
main_cycle	bool	Restrict the result to the March/June/September/December cycle.	False

Returns:

Name	Type	Description
Date	Date	The next IMM date under the selected cycle.