bond bootstrap discount curve

financepy.market.curves.bond_bootstrap_discount_curve

Class

BondBootstrapDiscountCurve

BondBootstrapDiscountCurve(
    anchor_dt: Date,
    bonds: list,
    clean_prices: list | numpy.ndarray,
    interp_type: InterpTypes = <InterpTypes.FLAT_FWD_RATES: 1>,
    curve_dc_type: DayCountTypes = <DayCountTypes.ACT_365F: 7>,
    check_refit_flag: bool = False,
    do_build: bool = True,
) -> None

Inherits from: DiscountCurve

Class to do bootstrap exact fitting of the bond discount curve.

Methods

build_curve


build_curve(
    self,
    **kwargs,
)

Build curve based on interpolation. Not all interpolators are suitable for the bootstrap/1d solver, only those that are local, where the value of df[i] does not affect discount factors for t<=t[i-1]

check_refit


check_refit(
    self,
    bond_tol,
)

Ensure that the Bond curve refits the calibration instruments.

plot_zero_rates


plot_zero_rates(
    self,
    title: str,
)

Display yield curve.

plot_fwd_rates


plot_fwd_rates(
    self,
    title: str,
)

Display yield curve.

Generated automatically from the FinancePy source code. Do not edit this file manually.