quantlib.util.rates

Copyright (C) 2013, Enthought Inc Copyright (C) 2013, Patrick Henaff

This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.

Functions

flat_rate(forward, daycounter)	Create a flat yield curve, with rate defined according to the specified day-count convention.
make_rate_helper(label, rate, dt_obs[, currency])	Wrapper for deposit and swaps rate helpers makers For Swaps: assume USD swap fixed rates vs.
make_term_structure(rates, dt_obs)	rates is a dictionary-like structure with labels as keys and rates (decimal) as values.
zero_rate(term_structure, days, dt_settlement)	Compute zero-coupon rate, continuous ACT/365 from settlement date to given maturity expressed in calendar days Return - array of maturity dates - array of zero-coupon rates