pwl discount curve

financepy.market.curves.pwl_discount_curve

Class

PWLDiscountCurve

PWLDiscountCurve(
    value_dt: Date,
    zero_dts: Date | list,
    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 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,
)

No description available.

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