Bond Parametric Discount Curve
financepy.market.curves.bond_parametric_discount_curve
Classes
BondParametricDiscountCurve
BondParametricDiscountCurve(anchor_dt: financepy.utils.date.Date, bonds: list, clean_prices: list | numpy.ndarray, curve_fit_type: financepy.market.curves.curve_fits.CurveFitTypes, curve_dc_type: financepy.utils.day_count.DayCountTypes = <DayCountTypes.ACT_365F: 7>, do_build: bool = True) -> None
Inherits from: DiscountCurve
Fit a parametric discount curve to bond prices.
Methods
curve_fit
No description available.
build_curve
build_curve(self)
No description available.
df_t
df_t(self, t)
Function to calculate a discount factor from a time or a
vector of times. Discourage usage in favour of passing in dates.
bond_price_errors
bond_price_errors(self)
No description available.
bond_yield_errors
bond_yield_errors(self)
No description available.
rms_yield_error
rms_yield_error(self)
No description available.
rms_price_error
rms_price_error(self)
No description available.
plot_bond_yield_fit
plot_bond_yield_fit(self, title='Bond yield fit')
No description available.
plot_bond_yield_errors
plot_bond_yield_errors(self, title='Bond yield fit errors')
No description available.
plot_zero_rate
plot_zero_rate(self, title, ylabel='Zero Rate (%)')
No description available.
plot_fwd_rate
plot_fwd_rate(self, title, ylabel='Forward Rate (%)')
No description available.
Functions
f_fast
f_fast(params, *args)
No description available.
get_fit_bounds
get_fit_bounds(fit, n_params)
No description available.
Generated automatically from the FinancePy source code.
Do not edit this file manually.