benchmarks

Benchmark enums and QuantLib IborIndex subclass for variable-rate instruments.

Classes:

• BenchmarkFamily –

  Benchmark rate families supported by VariableRateLoan.

• PrimeIndex –

  U.S. Bank Prime Loan Rate modelled as a QuantLib IborIndex.

• PrincipalRepaymentMode –

  How principal is repaid over the loan's life.

BenchmarkFamily

Bases: Enum

Benchmark rate families supported by VariableRateLoan.

PrimeIndex

PrimeIndex(
    tenor: Period | None = None,
    forwarding: YieldTermStructureHandle | None = None,
)

Bases: IborIndex

U.S. Bank Prime Loan Rate modelled as a QuantLib IborIndex.

Prime is not an IBOR in the textbook sense, but QL's IborIndex machinery provides exactly what we need: a named benchmark with fixing/computation conventions and a fixing history that FloatingRateBond coupons can read.

Conventions

family name USDPrime tenor 1M (default; bond schedule controls actual reset) fixing days 0 (same-day fixing) fixing calendar U.S. Federal Reserve business days business-day convention ModifiedFollowing day counter Actual/365 Fixed

PrincipalRepaymentMode

Bases: Enum

How principal is repaid over the loan's life.