Rates.ConstantDiscountRateCurveFactory

Classes

CalendarTimeMeasure(base_date: datetime.date)	Class to compute the duration in years between two dates using a 365 days per yer convention.
ConstantDiscountRateCurveFactory(...)	Class to create a discount rate curve corresponding to a constant instantaneous interest rate.
RateCurveId(id)	Container class to identify a discount rate curve.
RawDiscountRateCurve(...)	Container class to describe a discount rate curve.
date	date(year, month, day) –> date object
timedelta	Difference between two datetime values.

class Rates.ConstantDiscountRateCurveFactory.ConstantDiscountRateCurveFactory(value_date: datetime.date)

Class to create a discount rate curve corresponding to a constant instantaneous interest rate.

Parameters:

value_date : Date

The quotation date corresponding to the discount rate curve.

Methods

build((periodicity: datetime.timedelta, ...)

Create a discount rate curve corresponding to a constant instantaneous interest rate.

build(periodicity: datetime.timedelta, end_date: datetime.date, interest_rate: float) → Rates.RawDiscountRateCurve.RawDiscountRateCurve

Create a discount rate curve corresponding to a constant instantaneous interest rate.

Parameters:

periodicity : timedelta

The discretization of the discount rate curve in terms of duration.

end_date : date

The last maturity of the discount rate curve.

interest_rate : float

The constant instantaneous interest rate.

Examples

>>> from Rates.ConstantDiscountRateCurveFactory import ConstantDiscountRateCurveFactory
>>> from datetime import date
>>> from datetime import timedelta
>>> value_date = date(2017,5,7)
>>> rate_curve_factory = ConstantDiscountRateCurveFactory(value_date)
>>> periodicity = timedelta(days=90)
>>> end_date = date(2019,5,7)
>>> interest_rate = 0.01
>>> rate_curve = rate_curve_factory.build(periodicity, end_date, interest_rate)
>>> print(rate_curve.discount_factors[2])
0.992630032118