ibor dual curve

financepy.market.curves.ibor_dual_curve

Class

IborDualCurve

IborDualCurve(
    anchor_dt: Date,
    discount_curve: DiscountCurve,
    ibor_deposits: list,
    ibor_fras: list,
    ibor_swaps: list,
    interp_type: InterpTypes = <InterpTypes.FLAT_FWD_RATES: 1>,
    curve_dc_type: DayCountTypes = <DayCountTypes.ACT_365F: 7>,
    check_refit_flag: bool = False,
) -> None

Inherits from: DiscountCurve

Constructs an index curve as implied by the prices of Ibor deposits, FRAs and IRS. Discounting is assumed to be at a discount rate that is an input and usually derived from OIS rates.

Methods

build_curve


build_curve(
    self,
)

Build curve based on interpolation.

check_refit


check_refit(
    self,
    depo_tol,
    fra_tol,
    swap_tol,
)

Ensure that the Ibor curve refits the calibration instruments.

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