quantlib.termstructures.yields.forward_curve.
LogLinearInterpolatedForwardCurve¶
- class LogLinearInterpolatedForwardCurve(list dates, vector[Rate] forwards, DayCounter day_counter, Calendar cal=Calendar())¶
Bases:
YieldTermStructure
YieldTermStructure based on interpolation of discountFactors
- Parameters:
- dates
list
ofDate
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`
- dates
- Attributes:
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.