quantlib.termstructures.yields.forward_curve.LinearInterpolatedForwardCurve

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

Bases: YieldTermStructure

YieldTermStructure based on interpolation of discountFactors

Parameters:

• dates (list of Date) – list of dates

• forwards (list of float) – corresponding list of forwards

• day_counter (DayCounter)

• cal (Calendar)

__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

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

data

list of curve data

dates

list of curve dates

times

list of curve times