Ois Curve
financepy.market.curves.ois_curve
Classes
OISCurve
OISCurve(anchor_dt: financepy.utils.date.Date, ois_deposits: list, ois_fras: list, ois_swaps: list, interp_type: financepy.market.curves.interpolator.InterpTypes = <InterpTypes.FLAT_FWD_RATES: 1>, check_refit_flag: bool = False, curve_dc_type: financepy.utils.day_count.DayCountTypes = <DayCountTypes.ACT_365F: 7>) -> None
Inherits from: DiscountCurve
Constructs a discount curve as implied by the prices of Overnight
Index Rate swaps. The curve date is the date on which we are
performing the valuation based on the information available on the
curve date. Typically it is the date on which an amount of 1 unit paid
has a present value of 1. This class inherits from DiscountCurve
and so it has all of the methods that that class has.
The construction of the curve is assumed to depend on just the OIS curve,
i.e. it does not include information from Ibor-OIS basis swaps. For this
reason I call it a one-curve.
Methods
times
Accessor for the internal array of times (in years) from the anchor date.
Returns
-------
np.ndarray
Copy of the internal times array.
dfs
Accessor for the internal array of discount factors corresponding to times.
Returns
-------
np.ndarray
Copy of the internal discount factors array.
build_curve
build_curve(self)
Build curve based on interpolation.
check_refit
check_refit(self, fra_tol, swap_tol)
Ensure that the Libor curve refits the calibration instruments.
We omit deposits as these are fitted exactly in the bootstrap.
Generated automatically from the FinancePy source code.
Do not edit this file manually.