hagan west monotone convex

financepy.market.curves.hagan_west_monotone_convex

Hagan-West monotone-convex interpolation (Hagan and West, 2008, §6).

Class

HaganWestMonotoneConvex

HaganWestMonotoneConvex(
    times,
    dfs,
)

Build exact-knot discount factors from continuous interpolated forwards. Input times include zero, and the first discount factor equals one. Negative rates are permitted; extrapolation uses a flat terminal instantaneous forward.

Methods

forward_rate


forward_rate(
    self,
    time,
)

Continuous instantaneous forward rate.

discount_factor


discount_factor(
    self,
    time,
)

Discount factor consistent with market DF knots.

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