Pwl Discount Curve
financepy.market.curves.pwl_discount_curve
Classes
PWLDiscountCurve
PWLDiscountCurve(value_dt: financepy.utils.date.Date, zero_dts: financepy.utils.date.Date | list, 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 sections assumed to each have a
piece-wise linear zero rate. The zero rate has a specified frequency
which defaults to continuous. This curve inherits all of the extra methods
from DiscountCurve.
Methods
pwl_cc_zero_rate
pwl_cc_zero_rate(self, times: list | numpy.ndarray)
Calculate the piecewise linear cc zero rate. This is taken from the
initial inputs. A simple linear interpolation scheme is used. If the
user supplies a frequency type then a conversion is done.
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.