nss discount curve

financepy.market.curves.nss_discount_curve

Class

NSSDiscountCurve

NSSDiscountCurve(
    anchor_dt: Date,
    beta_0: float,
    beta_1: float,
    beta_2: float,
    beta_3: float,
    tau_1: float,
    tau_2: float,
    curve_dc_type: DayCountTypes = <DayCountTypes.ACT_365F: 7>,
) -> None

Inherits from: DiscountCurve

Implementation of Nelson-Siegel-Svensson parametrisation of the zero rate curve. The zero rate is assumed to be continuously compounded. This can be changed when calling for zero rates. 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

nss_cc_zero_rate


nss_cc_zero_rate(
    self,
    times: float | numpy.ndarray,
)

Calculation of zero rates given a single time or a numpy vector of times. This function can return a single zero rate or a vector of zero rates. The compounding frequency must be provided.

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.