Pwf Onf Discount Curve
financepy.market.curves.pwf_onf_discount_curve
Classes
PWFONFDiscountCurve
PWFONFDiscountCurve(value_dt: financepy.utils.date.Date, knot_dts: list, onfwd_rates: list | numpy.ndarray, curve_dc_type: financepy.utils.day_count.DayCountTypes = <DayCountTypes.ACT_365F: 7>) -> None
Inherits from: DiscountCurve
Curve with piece-wise flat instantaneous (ON) fwd rates. Curve
is made up of a series of sections with each having a flat instantaneous
forward rate. The default compounding assumption is continuous. The
class inherits methods from DiscountCurve.
Methods
brick_wall_curve
brick_wall_curve(cls, value_dt: financepy.utils.date.Date, start_dt: financepy.utils.date.Date, end_dt: financepy.utils.date.Date, level: float = 0.0001)
Generate a discount curve of the shape
f(t) = level*1_{startdate < t <= enddate}
where f(.) is the instantaneous forward rate
Mostly useful for applying bumps to other discount_curve's,
see composite_discount_curve.py
Args:
value_dt (Date): valuation date for the discount_curve
start_dt (Date): start of the non-zero ON forward rate
end_dt (Date): end of the non-zero ON forward rate
level (float, optional): ON forward rate between the
start and end dates. Defaults to 1.0*G_BASIS_POINT.
Returns:
DiscountCurve: discount curve of the required shape
flat_curve
flat_curve(cls, value_dt: financepy.utils.date.Date, level: float = 0.0001)
No description available.
df_t
df_t(self, t: float | numpy.ndarray)
Return discount factors given a single or vector of times in years.
The discount factor depends on the rate and this in turn depends on its
compounding frequency and it defaults to continuous compounding. It
also depends on the day count convention.
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.