Dual Curve
financepy.products.rates.dual_curve
Classes
IborDualCurve
IborDualCurve(anchor_dt: financepy.utils.date.Date, discount_curve: financepy.market.curves.discount_curve.DiscountCurve, ibor_deposits: list, ibor_fras: list, ibor_swaps: list, interp_type: financepy.utils.global_types.InterpTypes = <InterpTypes.FLAT_FWD_RATES: 1>, curve_dc_type: financepy.utils.day_count.DayCountTypes = <DayCountTypes.ACT_365F: 7>, check_refit_flag: bool = False)
Inherits from: DiscountCurve
Constructs an index curve as implied by the prices of Ibor
deposits, FRAs and IRS. Discounting is assumed to be at a discount rate
that is an input and usually derived from OIS rates.
Methods
build_curve
build_curve(self)
Build curve based on interpolation.
check_refit
check_refit(self, depo_tol, fra_tol, swap_tol)
Ensure that the Ibor curve refits the calibration instruments.
Generated automatically from the FinancePy source code.
Do not edit this file manually.