`finpricing.utils.interpolator`#

Module Contents#

Classes#

`InterpTypes`	Generic enumeration.
`CurveInterpolator`
`Interpolator`

class finpricing.utils.interpolator.InterpTypes[source]#

Bases: enum.Enum

Generic enumeration.

Derive from this class to define new enumerations.

FLAT_FWD_RATES = 1#

class finpricing.utils.interpolator.CurveInterpolator[source]#

class finpricing.utils.interpolator.Interpolator(times, dfs, method: InterpTypes = InterpTypes.FLAT_FWD_RATES)[source]#

Bases: CurveInterpolator

property times#

property dfs#

__repr__() → str[source]#: Return repr(self).

validate() → None[source]#: Validate input data

eval(t: float) → float[source]#

Evaluate discount factor at time t

Parameters:: t (float) – time (fraction of year)
Returns:: interpolated discount factor
Return type:: float