Ns Discount Curve
financepy.market.curves.ns_discount_curve
Classes
NSDiscountCurve
NSDiscountCurve(anchor_dt: financepy.utils.date.Date, beta_0: float, beta_1: float, beta_2: float, tau: float, curve_dc_type: financepy.utils.day_count.DayCountTypes = <DayCountTypes.ACT_365F: 7>) -> None
Inherits from: DiscountCurve
Implementation of Nelson-Siegel parametrisation of a discount curve.
The internal rate is a continuously compounded rate but you can calculate
alternative frequencies by providing a corresponding compounding frequency.
A day count convention is needed to ensure that dates are converted to the
correct time in years. The class inherits methods from DiscountCurve.
Methods
ns_cc_zero_rate
ns_cc_zero_rate(self, times: float | numpy.ndarray)
Zero rate for Nelson-Siegel curve parametrisation. This means that
the t vector must use the curve day count.
df_t
df_t(self, t: float | list | numpy.ndarray)
Return discount factors for scalar or vector times.
bump_parallel
bump_parallel(self, bump_size: float)
Adjust the continuously compounded forward rates by a perturbation
upward equal to the bump size and return a curve object with this bumped
curve. This is used for interest rate risk.
Generated automatically from the FinancePy source code.
Do not edit this file manually.