quantlib.mlab.term_structure.zbt_libor_yield

zbt_libor_yield(instruments, yields, pricing_date, basis='Actual/Actual (Bond)', compounding_freq='Continuous', maturity_dates=None)

Bootstrap a zero-coupon curve from libor rates and swap yields

Args:

instruments: list of instruments, of the form Libor?M for Libor rates

and Swap?Y for swap rates

yields: market rates pricing_date: the date where market data is observed. Settlement

is by default 2 days after pricing_date

Optional:

compounding_frequency: … of zero-coupon rates. By default:

‘Continuous’

Returns:

zero_rate: zero-coupon rate maturity_date: … of corresponding rate