ns discount curve

financepy.market.curves.ns_discount_curve

Class

NSDiscountCurve

NSDiscountCurve(
    anchor_dt: Date,
    beta_0: float,
    beta_1: float,
    beta_2: float,
    tau: float,
    curve_dc_type: 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,
)

No description available.

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