interpolator

financepy.market.curves.interpolator

Types

InterpTypes

No description available.

Members

FLAT_FWD_RATES = 1

LINEAR_DISCOUNT = 2

LINEAR_ZERO_RATES = 3

LINEAR_ONFWD_RATES = 4

FINCUBIC_ZERO_RATES = 5

NATCUBIC_LOG_DISCOUNT = 6

NATCUBIC_ZERO_RATES = 7

PCHIP_ZERO_RATES = 8

PCHIP_LOG_DISCOUNT = 9

TENSION_ZERO_RATES = 10

MONOTONE_CONVEX = 11

Class

Interpolator

Interpolator(
    interpolator_type: 'InterpTypes',
    **kwargs: 'dict',
) -> 'None'

Discount-factor interpolator. The class separates fitting from evaluation: * ``fit`` validates and stores the market knots, and builds any expensive spline representation once. * ``interpolate`` performs the cheapest possible evaluation path for the selected interpolation type.

Methods

fit


fit(
    self,
    times: 'np.ndarray',
    dfs: 'np.ndarray',
) -> 'None'

No description available.

interpolate


interpolate(
    self,
    t: 'Union[float, np.ndarray]',
)

No description available.

suitable_for_bootstrap


suitable_for_bootstrap(
    cls,
    interp_type: 'InterpTypes',
) -> 'bool'

No description available.

Functions

interpolate


interpolate(
    t: 'Union[float, np.ndarray]',
    times: 'np.ndarray',
    dfs: 'np.ndarray',
    method: 'int',
)

Fast stand-alone discount-factor interpolation. This compatibility wrapper supports the original three Numba-backed methods: flat forwards, linear forwards and linear zero rates.

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