quantlib.termstructures.yields.zero_spreaded_term_structure.

ZeroSpreadedTermStructure

class ZeroSpreadedTermStructure(HandleYieldTermStructure h, Quote spread, Compounding comp=Compounding.Continuous, Frequency freq=NoFrequency)

Bases: YieldTermStructure

Attributes:

calendar

Calendar: calendar

day_counter

DayCounter: day counter

extrapolation

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

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

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.