Rates.RawDiscountRateCurve¶

Classes

`List`	Methods
`RateCurveId`(id)	Container class to identify a discount rate curve.
`RawDiscountRateCurve`(...)	Container class to describe a discount rate curve.

class Rates.RawDiscountRateCurve.RawDiscountRateCurve(rate_curve_id: Rates.RateCurveId.RateCurveId, durations: typing.List[float], discount_factors: typing.List[float])[source]¶

Container class to describe a discount rate curve.

Parameters:

rate_curve_id : RateCurveId

Name of the discount rate curve.

durations : List[float]

The discretization of the discount rate curve in terms of durations

discount_factors : List[float]

The values of the discount factors for each duration

Examples

>>> from Rates.RateCurveId import RateCurveId
>>> from Rates.RawDiscountRateCurve import RawDiscountRateCurve
>>> import numpy as np
>>> rate_curve_id = RateCurveId("USD-LIBOR")
>>> durations = np.array([0.0,1.0,2.0,3.0])
>>> discounts = np.array([1.0,0.98,0.87,0.75])
>>> raw_discount_rate_curve = RawDiscountRateCurve(rate_curve_id, durations, discounts)
>>> print(raw_discount_rate_curve.discount_factors[2])
0.87

Attributes

`discount_factors`
`durations`
`rate_curve_id`