Bond Bootstrap Discount Curve
financepy.market.curves.bond_bootstrap_discount_curve
Classes
BondBootstrapDiscountCurve
BondBootstrapDiscountCurve(anchor_dt: financepy.utils.date.Date, bonds: list, clean_prices: list | numpy.ndarray, interp_type: financepy.market.curves.interpolator.InterpTypes = <InterpTypes.FLAT_FWD_RATES: 1>, curve_dc_type: financepy.utils.day_count.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.