quantlib.termstructures.yields.piecewise_yield_curve.ForwardRateLogLinearPiecewiseYieldCurve

class ForwardRateLogLinearPiecewiseYieldCurve(Natural settlement_days, Calendar calendar, list helpers, DayCounter daycounter, LogLinear i=LogLinear(), Real accuracy=1e-12)

Bases: YieldTermStructure

__init__()

Floating yield curve

updating evaluation_date in Settings will change the reference_date.

Parameters:

• settlement_days (int) – The settlement date

• calendar (quantlib.time.calendar.Calendar) – curve’s calendar

• helpers (list of quantlib.termstructures.rate_helpers.RateHelper) – a list of rate helpers used to create the curve

• day_counter (quantlib.time.day_counter.DayCounter) – the day counter used by this curve

• accuracy (double (default 1e-12)) – the tolerance

Methods

__init__	Floating yield curve
discount(self, value, bool extrapolate=False)
forward_rate(self, d1, d2, ...)	Returns the forward interest rate between two dates or times.
from_reference_date(cls, ...)	Fixed reference_date yield curve
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
max_date
max_time
nodes
reference_date
settlement_days
times	list of curve times
trait

data

list of curve data

dates

list of curve dates

classmethod from_reference_date(cls, Date reference_date, list helpers, DayCounter daycounter, LogLinear i=LogLinear(), Real accuracy=1e-12)

Fixed reference_date yield curve

Parameters:

• reference_date (quantlib.time.date.Date) – The curve’s reference date

• calendar (quantlib.time.calendar.Calendar) – curve’s calendar

• helpers (list of quantlib.termstructures.rate_helpers.RateHelper) – a list of rate helpers used to create the curve

• day_counter (quantlib.time.day_counter.DayCounter) – the day counter used by this curve

• accuracy (double (default 1e-12)) – the tolerance

times

list of curve times