Pwf Discount Curve
financepy.market.curves.pwf_discount_curve
Classes
PWFDiscountCurve
PWFDiscountCurve(anchor_dt: financepy.utils.date.Date, zero_dts: list[financepy.utils.date.Date], zero_rates: list | numpy.ndarray, freq_type: financepy.utils.frequency.FrequencyTypes = <FrequencyTypes.CONTINUOUS: 99>, curve_dc_type: financepy.utils.day_count.DayCountTypes = <DayCountTypes.ACT_365F: 7>) -> None
Inherits from: DiscountCurve
Curve is made up of a series of zero rates sections with each having
a piecewise flat zero rate. The default compounding assumption is
continuous. The class inherits methods from DiscountCurve.
Methods
pwf_cc_zero_rate
pwf_cc_zero_rate(self, times: float | numpy.ndarray | list)
The piecewise flat cc zero rate is selected and returned.
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.