pwf discount curve

financepy.market.curves.pwf_discount_curve

Class

PWFDiscountCurve

PWFDiscountCurve(
    anchor_dt: Date,
    zero_dts: list[financepy.utils.date.Date],
    zero_rates: list | numpy.ndarray,
    freq_type: FrequencyTypes = <FrequencyTypes.CONTINUOUS: 99>,
    curve_dc_type: 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,
)

No description available.

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