Ibor Benchmarks Report
financepy.products.rates.ibor_benchmarks_report
Functions
benchmarks_report
benchmarks_report(benchmarks, value_dt: financepy.utils.date.Date, discount_curve: financepy.market.curves.discount_curve.DiscountCurve, index_curve: financepy.market.curves.discount_curve.DiscountCurve = None, include_objects=False)
Generate a DataFrame with one row per benchmark. A benchmark is any object that
has a function valuation_details(...) that returns a dictionary of the right shape.
Allowed benchmarks at the moment are depos, fras and swaps. Various useful
information is reported. This is a bit slow so do not use in performance-critical
spots
dataframe_to_benchmarks
dataframe_to_benchmarks(df: pandas.core.frame.DataFrame, asof_date: financepy.utils.date.Date, calendar_type: financepy.utils.calendar.CalendarTypes)
Crete IborBenchmarks from a dataframe. The dataframe should have at least these columns
with these sample inputs:
type start_dt maturity_dt dc_type notional contract_rate fixed_leg_type fixed_freq_type
0 IborDeposit 06-OCT-2001 09-OCT-2001 ACT_360 100.0 0.042 NaN NaN
1 IborFRA 09-JAN-2002 09-APR-2002 ACT_360 100.0 0.042 PAY NaN
2 IborSwap 09-OCT-2001 09-OCT-2002 THIRTY_E_360_ISDA 1000000 0.042 PAY SEMI_ANNUAL
start_dt and maturity_dt could be Date, string convertible to Tenor, or datetime
Args:
df (pd.DataFrame): dataframe as bove, with benchmark info
asof_date (Date): if start_dt is a tenor string, asof_date is used as an anchor for that
calendar_type (CalendarTypes): What calendar to use
Returns:
dict: Keys are benchmark types as in df['type'], values are lists of benchmarks of that type
ibor_benchmarks_report
ibor_benchmarks_report(ibor_curve: financepy.products.rates.ibor_single_curve.IborSingleCurve, include_objects=False)
Generate a DataFrame with one row per bechmark used in constructing a given
ibor_curve. Various useful information is reported. This is a bit slow so do
not use in performance-critical spots
Generated automatically from the FinancePy source code.
Do not edit this file manually.