Poly Discount Curve
financepy.market.curves.poly_discount_curve
Classes
PolyDiscountCurve
PolyDiscountCurve(anchor_dt: financepy.utils.date.Date, coefficients: list | numpy.ndarray, curve_dc_type: financepy.utils.day_count.DayCountTypes = <DayCountTypes.ACT_365F: 7>) -> None
Inherits from: DiscountCurve
Zero Rate Curve of a specified frequency parametrised using an
arbitrary polynomial. The zero rate is assumed to be continuously
compounded. The degree of the polynomial is determined by the number
of coefficients supplied. We also need to specify a Day count
convention for time calculations. The class inherits all of the
methods from DiscountCurve.
Methods
poly_cc_zero_rate
poly_cc_zero_rate(self, times: float | numpy.ndarray)
Calculate cc zero rate to maturity date but with times as inputs.
This function is used internally and should be discouraged for external
use.
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.