Ibor Single Curve Smoothing Calibrator
financepy.products.rates.ibor_single_curve_smoothing_calibrator
Classes
IborSingleCurveSmoothingCalibrator
IborSingleCurveSmoothingCalibrator(ibor_curve: financepy.products.rates.ibor_single_curve.IborSingleCurve)
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) -> financepy.products.rates.ibor_single_curve.IborSingleCurve
fit the curve with a given smoothness
Generated automatically from the FinancePy source code.
Do not edit this file manually.