ibor single curve smoothing calibrator
financepy.products.rates.ibor_single_curve_smoothing_calibrator
Class
IborSingleCurveSmoothingCalibrator
IborSingleCurveSmoothingCalibrator(
ibor_curve: IborSingleCurve,
) -> None
Non-parametric fitting of a curve with smoothness. We use dfs
for all coupon (cashflow) dates as input variables and impose a smoothness
penalty on (at the moment) an approximation to the second derivative of the
yields (zero rates). With non-zero smoothness penalty the fit to
the benchmarks is not exact.
Methods
fit
fit(
self,
smoothness = 1e-06,
report_progress = False,
) -> IborSingleCurve
fit the curve with a given smoothness
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Do not edit this file manually.