quantlib.termstructures.yields.piecewise_yield_curve.ZeroYieldBackwardFlatPiecewiseYieldCurve

class ZeroYieldBackwardFlatPiecewiseYieldCurve(Natural settlement_days, Calendar calendar, list helpers, DayCounter daycounter, BackwardFlat i=BackwardFlat(), 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

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, BackwardFlat i=BackwardFlat(), 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