MarketIndex

class quantsupport.market.MarketIndex

A market index: rate indices (SOFR, ESTR, …), equity underlyings, FX pairs, collateral curves and custom indices.

Plain rate indices are available as class constants (MarketIndex.SOFR); parameterised variants are built with MarketIndex.equity, MarketIndex.fx_pair, MarketIndex.collateral and MarketIndex.other.

Use the named class values or parse(); no value constructor is exposed.

Source declaration

Methods

static collateral(currency: Currency | str, collateral_currency: Currency | str) → MarketIndex

Identify a collateral-dependent discount curve.

Parameters:

• currency (Currency or str) – Cashflow currency, as an enum or case-insensitive supported ISO code.

• collateral_currency (Currency or str) – CSA collateral currency, as an enum or case-insensitive supported ISO code.

Returns:

Curve identity for cashflows in currency collateralized in collateral_currency.

Return type:

MarketIndex

static credit(name: str) → MarketIndex

Identify a reference entity’s credit curve.

Parameters:

name (str) – Reference-entity identifier, retained verbatim.

Returns:

Credit index for the named entity.

Return type:

MarketIndex

static equity(name: str) → MarketIndex

Identify an equity underlying.

Parameters:

name (str) – Equity identifier retained verbatim for market-data lookup.

Returns:

Equity index carrying the supplied identifier.

Return type:

MarketIndex

static fx_pair(base: Currency | str, quote: Currency | str) → MarketIndex

Identify a directed FX pair.

Parameters:

• base (Currency or str) – Base currency as an enum or case-insensitive supported ISO code.

• quote (Currency or str) – Quote currency as an enum or case-insensitive supported ISO code; must differ from base.

Returns:

Pair whose spot is quote-currency units per one base-currency unit.

Return type:

MarketIndex

static other(name: str) → MarketIndex

Identify a custom market-data index.

Parameters:

name (str) – Custom lookup identifier, retained verbatim.

Returns:

Custom index carrying the supplied name.

Return type:

MarketIndex

static parse(s: str) → MarketIndex

Parse a fieldless market-index member.

Parameters:

s (str) – Case-insensitive class-constant name, such as "SOFR" or "EURIBOR3m". Parameterized equity, credit, FX, collateral, and custom variants must be built with their dedicated factories.

Returns:

Matching fieldless index.

Return type:

MarketIndex

Class Attributes

AONIA: ClassVar[MarketIndex]

BBSW1m: ClassVar[MarketIndex]

BBSW2m: ClassVar[MarketIndex]

BBSW3m: ClassVar[MarketIndex]

BBSW4m: ClassVar[MarketIndex]

BBSW6m: ClassVar[MarketIndex]

BKBM1m: ClassVar[MarketIndex]

BKBM2m: ClassVar[MarketIndex]

BKBM3m: ClassVar[MarketIndex]

BKBM4m: ClassVar[MarketIndex]

BKBM6m: ClassVar[MarketIndex]

CDI: ClassVar[MarketIndex]

CORRA: ClassVar[MarketIndex]

DESTR: ClassVar[MarketIndex]

ESTR: ClassVar[MarketIndex]

EURIBOR12m: ClassVar[MarketIndex]

EURIBOR1m: ClassVar[MarketIndex]

EURIBOR1w: ClassVar[MarketIndex]

EURIBOR3m: ClassVar[MarketIndex]

EURIBOR6m: ClassVar[MarketIndex]

FedFunds: ClassVar[MarketIndex]

ICP: ClassVar[MarketIndex]

KOFR: ClassVar[MarketIndex]

NIBOR12m: ClassVar[MarketIndex]

NIBOR1m: ClassVar[MarketIndex]

NIBOR3m: ClassVar[MarketIndex]

NIBOR6m: ClassVar[MarketIndex]

NOWA: ClassVar[MarketIndex]

NZONIA: ClassVar[MarketIndex]

SARON: ClassVar[MarketIndex]

SHIBOR12m: ClassVar[MarketIndex]

SHIBOR1d: ClassVar[MarketIndex]

SHIBOR1m: ClassVar[MarketIndex]

SHIBOR1w: ClassVar[MarketIndex]

SHIBOR2w: ClassVar[MarketIndex]

SHIBOR3m: ClassVar[MarketIndex]

SHIBOR6m: ClassVar[MarketIndex]

SOFR: ClassVar[MarketIndex]

SOFRCompounded: ClassVar[MarketIndex]

SONIA: ClassVar[MarketIndex]

SWESTR: ClassVar[MarketIndex]

TIBOR3m: ClassVar[MarketIndex]

TIBOR6m: ClassVar[MarketIndex]

TONAR: ClassVar[MarketIndex]

TermSOFR12m: ClassVar[MarketIndex]

TermSOFR1m: ClassVar[MarketIndex]

TermSOFR3m: ClassVar[MarketIndex]

TermSOFR6m: ClassVar[MarketIndex]

VIX: ClassVar[MarketIndex]

ZARONIA: ClassVar[MarketIndex]