quantlib.termstructures.yields.flat_forward.

FlatForward

class FlatForward(Date reference_date=None, forward=None, DayCounter daycounter=None, Natural settlement_days=0, Calendar calendar=None, Compounding compounding=Compounding.Continuous, Frequency frequency=Annual)

Bases: YieldTermStructure

Flat interest-rate curve.

This class creates a flat forward rate term structure.

Parameters:

reference_dateDate, optional

The reference date for the curve.

forwardQuote or float

The forward rate.

daycounterDayCounter

The day counter for the curve.

settlement_daysint, optional

The number of settlement days, used if reference_date is not provided.

calendarCalendar, optional

The calendar for settlement days, used if reference_date is not provided.

compoundingCompounding, optional

The compounding convention. Defaults to Continuous.

frequencyFrequency, optional

The compounding frequency. Defaults to Annual.

Attributes:

calendar

Calendar: calendar

day_counter

DayCounter: day counter

extrapolation

max_date

Date: the latest date for which the curve can return values

max_time

Time: the latest time for which the curve can return values

reference_date

Date: the date at which discount = 1.0 and/or variance = 0.0

settlement_days

int: number of settlement days used for reference date calculation

Methods

discount(self, value, bool extrapolate=False)
forward_rate(self, d1, d2, ...)	Returns the forward interest rate between two dates or times.
time_from_reference(self, Date dt)	date/time conversion
zero_rate(self, d, ...)	Returns the implied zero-yield rate for the given date.