Zero Rates Discount Curve
financepy.market.curves.zero_rates_discount_curve
Classes
ZeroRatesDiscountCurve
ZeroRatesDiscountCurve(anchor_dt: financepy.utils.date.Date, zero_dts: list, zero_rates: list | numpy.ndarray, freq_type: financepy.utils.frequency.FrequencyTypes = <FrequencyTypes.ANNUAL: 1>, curve_dc_type: financepy.utils.day_count.DayCountTypes = <DayCountTypes.ACT_365F: 7>, interp_type: financepy.market.curves.interpolator.InterpTypes = <InterpTypes.FLAT_FWD_RATES: 1>) -> None
Inherits from: DiscountCurve
This is a curve calculated from a set of dates and zero rates. As we
have rates as inputs, we need to specify the corresponding compounding
frequency. Also to go from rates and dates to discount factors we need to
compute the year fraction correctly and for this we require a day count
convention. Finally, we need to interpolate the zero rate for the times
between the zero rates given and for this we must specify an interpolation
convention. The class inherits methods from DiscountCurve.
Methods
bump_parallel
bump_parallel(self, bump_size: float)
Return a new curve with all quoted zero rates bumped in parallel.
plot
plot(self, title, times: numpy.ndarray = None, ymin: float = None, ymax: float = None, filename: str = None)
Display discount curve.
Generated automatically from the FinancePy source code.
Do not edit this file manually.