ibor single curve par shocker

financepy.market.curves.ibor_single_curve_par_shocker

Class

IborSingleCurveParShocker

IborSingleCurveParShocker(
    base_curve: IborSingleCurve,
) -> None

A class to apply par-rate, ie benchmark, bumps to a Libor curve. Takes a base curve and provides methods to apply bumps that return bumped curves

Methods

benchmarks_report


benchmarks_report(
    self,
)

Access the benchmarks report that we create when the shocker is initialized

n_benchmarks


n_benchmarks(
    self,
)

Total number of benchmarks

apply_bump_to_benchmark


apply_bump_to_benchmark(
    self,
    benchmark_idx: int,
    bump_size: float = 0.0001,
)

Apply a shock of a given size to a given bechmark. Indexing is per the benchmark report

apply_composite_bump


apply_composite_bump(
    self,
    bump_sizes: numpy.ndarray | list,
)

Apply a composite bump to base_curve. A composite bump is a list/array of bumps, one per bechmark Args: bump_sizes (Union[np.array, list]): a list/array of bump sizes, one per benchmark Returns: IborSingleCurve: A bumped curve

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