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buckets

Basel IRRBB time buckets per SRP 31.98 Table 3.

Classes:

  • TimeBucket –

    A single IRRBB repricing time bucket.

Functions:

  • assign_bucket –

    Return the index of the IRRBB bucket for the given remaining years to repricing.

TimeBucket

Bases: NamedTuple

A single IRRBB repricing time bucket.

assign_bucket 

assign_bucket(remaining_years: float) -> int

Return the index of the IRRBB bucket for the given remaining years to repricing.

Buckets use half-open intervals (lower, upper] so that boundary values such as exactly 8.0 years fall into the 7Y-8Y bucket rather than 8Y-9Y. The overnight bucket (index 0) is a special case: it captures zero and any value up to and including its upper bound (i.e. [0, upper]).

Negative or zero values are assigned to the overnight bucket (index 0).