inflation index curve

financepy.market.curves.inflation_index_curve

Class

InflationIndexCurve

InflationIndexCurve(
    index_dts: list,
    index_values: list | numpy.ndarray,
    lag_in_months: int = 3,
) -> None

This is a curve calculated from a set of dates and CPI-like numbers. It should start at the issue date of the bond (or index). It also requires a lag in months. Here is a reference to the CPI curve used for TIPS. https://www.treasury.gov/about/organizational-structure/offices/Domestic-Finance/Documents/tips-presentation.pdf

Methods

index_value


index_value(
    self,
    dt: Date,
)

Calculate index value by interpolating the CPI curve

index_ratio


index_ratio(
    self,
    dt: Date,
)

Calculate index value by interpolating the CPI curve

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