:py:mod:`finpricing.model.bond_curve_solver`
============================================

.. py:module:: finpricing.model.bond_curve_solver


Module Contents
---------------

Classes
~~~~~~~

.. autoapisummary::

   finpricing.model.bond_curve_solver.BondCurveAnalyticsHelper
   finpricing.model.bond_curve_solver.PenaltyParameter
   finpricing.model.bond_curve_solver.BondCurveSolver




.. py:class:: BondCurveAnalyticsHelper(bonds)


   .. py:property:: recovery_rates


   .. py:property:: dirty_prices


   .. py:property:: discount_curves


   .. py:property:: survival_curves


   .. py:property:: settlement_dates


   .. py:property:: valuation_date


   .. py:property:: maturity_dates

      maturity dates of all bonds in the portfolio

   .. py:property:: maturity_span

      maximum maturity minus minimum maturity in years

   .. py:method:: setup(valuation_date: Union[datetime.date, finpricing.utils.date.Date] = None, dirty_prices: List[float] = None, discount_curves=None, survival_curves=None, recovery_rates=None, settlement_dates=None)

      setup the helper in one go


   .. py:method:: get_bond_bases(valuation_date: Union[datetime.date, finpricing.utils.date.Date] = None, dirty_prices: List[float] = None, survival_curves=None, basis_type: str = 'AdditiveZeroRates')



.. py:class:: PenaltyParameter


   .. py:attribute:: penalty_ridge_tuning
      :type: float
      :value: 0.0001

      

   .. py:attribute:: penalize_sample_size
      :type: bool
      :value: True

      

   .. py:attribute:: penalize_maturity_span
      :type: bool
      :value: True

      

   .. py:attribute:: penalize_inverted_curve
      :type: bool
      :value: True

      

   .. py:attribute:: penalty_inverted_tuning
      :type: float
      :value: 0.2

      

   .. py:attribute:: penalty_inverted_threshold
      :type: float
      :value: 0.01

      

   .. py:attribute:: median_dummy_curve_level
      :type: float
      :value: 0.009730434692816878

      


.. py:class:: BondCurveSolver(bondAnalyticsHelper: BondCurveAnalyticsHelper, initial_params=None, weights=None, penalty_params: PenaltyParameter = None)


   .. py:method:: getSurvivalCurveGenerator(bondAnalyticsHelper: BondCurveAnalyticsHelper)

      return a survival curve generator that can generate survival curves from parameters

      This is actually not a true generator, but a survival curve that has the method to recreate            a new survival curve with the same anchor date and pivot dates but different parameters.


   .. py:method:: get_euqal_weights()

      return a list of equal weights for all bonds


   .. py:method:: welsch_loss(x)
      :staticmethod:


   .. py:method:: get_penalty(params: List[float])


   .. py:method:: _get_tuning_scalar()


   .. py:method:: _get_hazard_rate_derivative_at_zero(params: List[float])


   .. py:method:: solve(dirty_prices: List[float] = None, weights: List[float] = None, params: List[float] = None)

      solve the best parameters for the survival curve that minimizes the weighted residuals


   .. py:method:: get_weighted_residuals_and_penalty(params: List[float], dirty_prices: List[float], weights: List[float], valuation_date: Union[datetime.date, finpricing.utils.date.Date] = None, basis_type: str = 'AdditiveZeroRates')