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.