quantlib.termstructures.yields.forward_curve.

BackwardFlatInterpolatedForwardCurve

class BackwardFlatInterpolatedForwardCurve(list dates, vector[Rate] forwards, DayCounter day_counter, Calendar cal=Calendar())

Bases: YieldTermStructure

YieldTermStructure based on interpolation of discountFactors

Parameters:
dateslist of Date

list of dates

forwards: :obj:`list` of float

corresponding list of forwards

day_counter: :class:`~quantlib.time.daycounter.DayCounter`
cal: :class:`~quantlib.time.calendar.Calendar`
Attributes:
data

list of curve data

dates

list of curve dates

day_counter
extrapolation
forwards
max_date
max_time
nodes
reference_date
settlement_days
times

list of curve times

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)

zero_rate(self, d, ...)

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