Curve Fits

financepy.market.curves.curve_fits

Classes

CurveFitBSpline


CurveFitBSpline(power=3, knot_years=None, t_max=50.0) -> None

Inherits from: CurveFitMethod

B-Spline curve fitting.

Methods

get_params


get_params(self)

No description available.

set_params


set_params(self, params)

No description available.

bounds

No description available.

interp_rate


interp_rate(self, t)

No description available.

CurveFitCubicPolynomial


CurveFitCubicPolynomial(power=3, t_scale=1.0) -> None

Inherits from: CurveFitMethod

Polynomial curve fitting.

Methods

interp_rate


interp_rate(self, t)

No description available.

get_params


get_params(self)

No description available.

set_params


set_params(self, params)

No description available.

bounds

No description available.

CurveFitMethod


CurveFitMethod()

Base class / marker for curve fit methods.

Methods

interp_rate


interp_rate(self, t)

No description available.

get_params


get_params(self)

No description available.

set_params


set_params(self, params)

No description available.

clone


clone(self)

No description available.

bounds

No description available.

CurveFitNelsonSiegel


CurveFitNelsonSiegel(beta1=0.03, beta2=-0.02, beta3=0.02, tau=2.0, bounds=None) -> None

Inherits from: CurveFitMethod

Nelson-Siegel parametric fit.

Methods

get_params


get_params(self)

No description available.

set_params


set_params(self, params)

No description available.

bounds

No description available.

interp_rate


interp_rate(self, t, beta_1=None, beta_2=None, beta_3=None, tau=None)

No description available.

CurveFitNelsonSiegelSvensson


CurveFitNelsonSiegelSvensson(beta1=0.03, beta2=-0.02, beta3=0.02, beta4=0.01, tau1=2.0, tau2=5.0, bounds=None) -> None

Inherits from: CurveFitMethod

Svensson (extended Nelson-Siegel) parametric fit.

Methods

get_params


get_params(self)

No description available.

set_params


set_params(self, params)

No description available.

bounds

No description available.

interp_rate


interp_rate(self, t, beta_1=None, beta_2=None, beta_3=None, beta_4=None, tau_1=None, tau_2=None)

No description available.

CurveFitQuarticPolynomial


CurveFitQuarticPolynomial(power=4, t_scale=1.0) -> None

Inherits from: CurveFitMethod

Polynomial curve fitting.

Methods

interp_rate


interp_rate(self, t)

No description available.

get_params


get_params(self)

No description available.

set_params


set_params(self, params)

No description available.

bounds

No description available.

CurveFitQuinticPolynomial


CurveFitQuinticPolynomial(power=5, t_scale=1.0) -> None

Inherits from: CurveFitMethod

Polynomial curve fitting.

Methods

interp_rate


interp_rate(self, t)

No description available.

get_params


get_params(self)

No description available.

set_params


set_params(self, params)

No description available.

bounds

No description available.

CurveFitTypes


CurveFitTypes(*values)

Inherits from: Enum

Create a collection of name/value pairs. Example enumeration: >>> class Color(Enum): ... RED = 1 ... BLUE = 2 ... GREEN = 3 Access them by: - attribute access: >>> Color.RED <Color.RED: 1> - value lookup: >>> Color(1) <Color.RED: 1> - name lookup: >>> Color['RED'] <Color.RED: 1> Enumerations can be iterated over, and know how many members they have: >>> len(Color) 3 >>> list(Color) [<Color.RED: 1>, <Color.BLUE: 2>, <Color.GREEN: 3>] Methods can be added to enumerations, and members can have their own attributes -- see the documentation for details.

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