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:

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:

calendar

Calendar: calendar

data

list of curve data

dates

list of curve dates

day_counter

DayCounter: day counter

extrapolation

forwards

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

nodes

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

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)	date/time conversion
zero_rate(self, d, ...)	Returns the implied zero-yield rate for the given date.