`finpricing.market.survival_curve_ns`#

Module Contents#

Classes#

`SurvivalCurve`
`SurvivalCurveNelsonSiegel`

class finpricing.market.survival_curve_ns.SurvivalCurve(anchor_date)[source]#

survival(date: finpricing.utils.date.Date | datetime.date)[source]#

class finpricing.market.survival_curve_ns.SurvivalCurveNelsonSiegel(anchor_date: finpricing.utils.date.Date | datetime.date, pivot_dates: list[finpricing.utils.date.Date | datetime.date], params: list[float] = None)[source]#

Bases: SurvivalCurve

static f(t, a)[source]#

static f_integral(t, a)[source]#

hazard_rates(t: float) → float[source]#

survival(date: finpricing.utils.date.Date | datetime.date)[source]#

getSurvivalCurve(params: list[float])[source]#: create a new survival curve with the same anchor date and pivot dates but different parameters