finpricing.market.discount_curve_zero

Module Contents

Classes

DiscountCurve
FlatForwardInterpolator
DiscountCurveZeroRates
DiscountCurveZeroShifted

class finpricing.market.discount_curve_zero.DiscountCurve

discount(date: finpricing.utils.date.Date | datetime.date)

discount factor for date

class finpricing.market.discount_curve_zero.FlatForwardInterpolator(anchor_date: finpricing.utils.date.Date | datetime.date, spot_date, dates, rates, day_counter, continuous_compounding)

run_continuous_flat_forward_rates()

“derive forward rates using ontinuous compounding

continuous_discount(dt)

“discount using continuous compounding

_annual_discount(rate, time)

run_annual_compounding()

derive forward rates using annual compounding

annual_discount(dt)

discount using annual compounding

eval(dt)

“evaluate discount factor for dt using the correct discounting method

class finpricing.market.discount_curve_zero.DiscountCurveZeroRates(anchor_date=None, dates: list[float] = None, rates: list[float] = None, spot_date=None, continuous_compounding: bool = True, interp_type=InterpTypes.FLAT_FWD_RATES, day_count_type: finpricing.utils.day_count.DayCountTypes = DayCountTypes.ACT_365)

Bases: DiscountCurve

discount(date: finpricing.utils.date.Date)

discount factor for date

class finpricing.market.discount_curve_zero.DiscountCurveZeroShifted(underlying_curve: DiscountCurveZeroRates, alpha: float, beta: float = 1.0, day_count_type: finpricing.utils.day_count.DayCountTypes = DayCountTypes.ACT_365)

discount(date: finpricing.utils.date.Date | datetime.date)

discount factor for date