quantlib.termstructures.yields.zero_spreaded_term_structure.

ZeroSpreadedTermStructure

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

Bases: YieldTermStructure

Attributes:
day_counter
extrapolation
max_date
max_time
reference_date
settlement_days

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.