quantlib.termstructures.yields.flat_forward.FlatForward

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

Bases: YieldTermStructure

Flat intereste-rate curve

Parameters:

  • refererence_date (quantlib.time.date.Date or None) – Reference date used by the curve. If None, the user must provide the settlement days.

  • forward (quantlib.quote.Quote or float) – The forward value used by the curve.

  • daycounter (quantlib.time.daycounter.DayCounter) – The day counter used by the curve.

  • settlement_days (int) – The settlement days used by this curve. If a reference date is given, this parameter is not used.

  • calendar (quantlib.time.calendar.Calendar) – The calendar used by the curve if created with the settlement days.

  • compounding (int (default: Continuous)) – The type of compounding used by this curve.

  • frequency (int (default: Annual)) – The frequency used by this curve.

__init__(*args, **kwargs)

Methods

__init__(*args, **kwargs)

discount(self, value, bool extrapolate=False)

forward_rate(self, d1, d2, ...)

Returns the forward interest rate between two dates or times.

link_to(self, YieldTermStructure structure, ...)

time_from_reference(self, Date dt)

zero_rate(self, d, ...)

Returns the implied zero-yield rate for the given date.

Attributes

day_counter

extrapolation

max_date

max_time

reference_date

settlement_days