Ibor Single Curve Par Shocker
financepy.market.curves.ibor_single_curve_par_shocker
Classes
IborSingleCurveParShocker
IborSingleCurveParShocker(base_curve: financepy.market.curves.ibor_single_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.array | 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
Generated automatically from the FinancePy source code.
Do not edit this file manually.