curve fits

financepy.market.curves.curve_fits

Types

CurveFitTypes

No description available.

Members

CUBIC_POLYNOMIAL = 1

QUARTIC_POLYNOMIAL = 2

QUINTIC_POLYNOMIAL = 3

NELSON_SIEGEL = 4

NELSON_SIEGEL_SVENSSON = 5

BSPLINE = 6

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.

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