API Documentation¶

Interpolation¶

`interpolation.interpolation`
`interpolation.no`
`interpolation.left`
`interpolation.constant`
`interpolation.flat`
`interpolation.right`
`interpolation.flat`
`interpolation.nearest`
`interpolation.zero`

class interpolation.constant(x_list=[], y_list=[])[source]¶: Bases: interpolation.left

class interpolation.flat(y=0.0)[source]¶: Bases: interpolation.interpolation

class interpolation.interpolation(x_list=[], y_list=[])[source]¶

Bases: object

classmethod from_dict(xy_dict)[source]¶

update(x_list=[], y_list=[])[source]¶: update interpolation data :param list(float) x_list: x values :param list(float) y_list: y values

class interpolation.left(x_list=[], y_list=[])[source]¶: Bases: interpolation.interpolation

class interpolation.linear(x_list=[], y_list=[])[source]¶: Bases: interpolation.interpolation

class interpolation.nearest(x_list=[], y_list=[])[source]¶: Bases: interpolation.interpolation

class interpolation.no(x_list=[], y_list=[])[source]¶: Bases: interpolation.interpolation

class interpolation.right(x_list=[], y_list=[])[source]¶: Bases: interpolation.interpolation

class interpolation.zero(x_list=[], y_list=[])[source]¶: Bases: interpolation.interpolation

Curve¶

`curve.Curve`	Curve object to build function
`curve.DateCurve`
`curve.RateCurve`
`curve.DiscountFactorCurve`
`curve.ZeroRateCurve`
`curve.CashRateCurve`
`curve.ShortRateCurve`
`curve.CreditCurve`	generic curve for default probabilities (under construction)
`curve.SurvivalProbabilityCurve`
`curve.FlatIntensityCurve`
`curve.ForwardSurvivalRate`
`curve.HazardRateCurve`

class curve.CashRateCurve(x_list, y_list, y_inter=None, origin=None, day_count=None, forward_tenor=None)[source]¶

Bases: curve.RateCurve

get_cash_rate(start, stop=None, step=None)[source]¶

get_discount_factor(start, stop)[source]¶

get_storage_type(x)[source]¶

class curve.CreditCurve(x_list, y_list, y_inter=None, origin=None, day_count=None, forward_tenor=None)[source]¶

Bases: curve.RateCurve

generic curve for default probabilities (under construction)

get_flat_intensity(start, stop)[source]¶

get_forward_survival_rate(start, stop=None, step=None)[source]¶

get_hazard_rate(start, shift=None)[source]¶

get_survival_prob(start, stop)[source]¶

class curve.Curve(x_list=None, y_list=None, y_inter=None)[source]¶

Bases: object

Curve object to build function

Parameters:

x_list (list(float)) – source values
y_list (list(float)) – target values
y_inter (list(interpolation.interpolation)) – interpolation function on x_list (optional) or triple of (left, mid, right) interpolation functions with left for x < x_list[0] (as default triple.right is used) right for x > x_list][-1] (as default interpolation.constant is used) mid else (as default interpolation.linear is used)

Curve object to build function $f:R \rightarrow R, x \mapsto y$ from finite point vectors $x$ and $y$ using piecewise various interpolation functions.

domain¶

shifted(delta=0.0)[source]¶

update(x_list=[], y_list=[])[source]¶

curve.DAY_COUNT(start, end)¶

class curve.DateCurve(x_list, y_list, y_inter=None, origin=None, day_count=None)[source]¶

Bases: curve.Curve

domain¶

to_curve()[source]¶

update(x_list=[], y_list=[])[source]¶

class curve.DiscountFactorCurve(x_list, y_list, y_inter=None, origin=None, day_count=None, forward_tenor=None)[source]¶

Bases: curve.RateCurve

get_discount_factor(start, stop)[source]¶

get_storage_type(x)[source]¶

class curve.FlatIntensityCurve(x_list, y_list, y_inter=None, origin=None, day_count=None, forward_tenor=None)[source]¶: Bases: curve.CreditCurve

class curve.ForwardSurvivalRate(x_list, y_list, y_inter=None, origin=None, day_count=None, forward_tenor=None)[source]¶: Bases: curve.CreditCurve

class curve.HazardRateCurve(x_list, y_list, y_inter=None, origin=None, day_count=None, forward_tenor=None)[source]¶: Bases: curve.CreditCurve

class curve.RateCurve(x_list, y_list, y_inter=None, origin=None, day_count=None, forward_tenor=None)[source]¶

Bases: curve.DateCurve

classmethod cast(other)[source]¶

get_cash_rate(start, stop=None, step=None)[source]¶

get_discount_factor(start, stop)[source]¶

get_short_rate(start, shift='1D')[source]¶

get_storage_type(x)[source]¶

get_swap_annuity(date_list)[source]¶

get_swap_leg_valuation(date_list, flow_list)[source]¶

get_zero_rate(start, stop)[source]¶

class curve.ShortRateCurve(x_list, y_list, y_inter=None, origin=None, day_count=None, forward_tenor=None)[source]¶

Bases: curve.RateCurve

get_short_rate(start, shift=None)[source]¶

get_storage_type(x)[source]¶

get_zero_rate(start, stop)[source]¶

class curve.SurvivalProbabilityCurve(x_list, y_list, y_inter=None, origin=None, day_count=None, forward_tenor=None)[source]¶: Bases: curve.DiscountFactorCurve, curve.CreditCurve

class curve.ZeroRateCurve(x_list, y_list, y_inter=None, origin=None, day_count=None, forward_tenor=None)[source]¶

Bases: curve.RateCurve

get_storage_type(x)[source]¶

get_zero_rate(start, stop)[source]¶

Fx Objects¶

`fx.FxCurve`	fx rate curve for currency pair
`fx.FxContainer`	FxDict factory object

class fx.FxContainer(currency, domestic_curve)[source]¶

Bases: dict

FxDict factory object

using triangulation over self.currency defined as a global container of fx information (mainly vs base currency)

today = businessdate()
curve = ZeroRateCurve([today], [.02])
container = FxContainer('USD', curve)
foreign = ZeroRateCurve([today], [.01])
container.add('EUR', foreign, 1.2)
fx_curve = container['USD', 'EUR']  # fx_curve is FxCurve
fx_dict = container['USD']  # fx_dict is dict of FxCurves containing fx_curve
container['USD']['EUR'](today) == container['USD', 'EUR'](today)  # True

Parameters:	currency – base currency of FxContainer domestic_curve (RateCurve) – base curve of FxContainer for discounting

add(foreign_currency, foreign_curve=None, fx_spot=1.0)[source]¶: adds contents to FxShelf. If curve is FxCurve or FxDict, spot should turn curve.currency into self.currency, else spot should turn currency into self.currency by N in EUR * spot = N in USD for currency = EUR and self.currency = USD

get_forward(domestic_currency, foreign_currency, value_date)[source]¶

get_fx_rate(domestic_currency, foreign_currency, value_date)[source]¶

class fx.FxCurve(x_list, y_list=None, y_inter=None, origin=None, day_count=None, domestic_curve=None, foreign_curve=None)[source]¶

Bases: curve.DateCurve

fx rate curve for currency pair

classmethod cast(fx_spot, domestic_curve=None, foreign_curve=None)[source]¶

creator method to build FxCurve

Parameters:	fx_spot (float) – fx spot rate domestic_curve (RateCurve) – domestic discount curve foreign_curve (RateCurve) – foreign discount curve
Returns:

get_fx_rate(value_date)[source]¶

Compounding¶

compounding.annually_compounding(rate_value, maturity_value)[source]¶

compounding.continuous_compounding(rate_value, maturity_value)[source]¶

compounding.continuous_rate(df, period_fraction)[source]¶

compounding.daily_compounding(rate_value, maturity_value)[source]¶

compounding.monthly_compounding(rate_value, maturity_value)[source]¶

compounding.periodic_compounding(rate_value, maturity_value, period_value)[source]¶

compounding.periodic_rate(df, period_fraction, frequency)[source]¶

compounding.quarterly_compounding(rate_value, maturity_value)[source]¶

compounding.semi_compounding(rate_value, maturity_value)[source]¶

compounding.simple_compounding(rate_value, maturity_value)[source]¶

compounding.simple_rate(df, period_fraction)[source]¶

Cashflow¶

`cashflow.CashFlowList`
`cashflow.AmortizingCashFlowList`
`cashflow.AnnuityCashFlowList`
`cashflow.RateCashFlowList`
`cashflow.MultiCashFlowList`
`cashflow.FixedLoan`
`cashflow.FloatLoan`
`cashflow.FixedFloatSwap`	ir swap that pays fixed and receives float.

class cashflow.AmortizingCashFlowList(pay_date_list, amount_list=None)[source]¶: Bases: cashflow.CashFlowList

class cashflow.AnnuityCashFlowList(pay_date_list, amount_list=None)[source]¶: Bases: cashflow.CashFlowList

class cashflow.CashFlowList(pay_date_list, amount_list=None)[source]¶

Bases: collections.OrderedDict

get_value(discount_curve, valuation_date=None)[source]¶

yield_to_maturity(valuation_date)[source]¶

class cashflow.FixedFloatSwap(date_list, fixed_rate, forward_curve, notional_list=None, day_count=None)[source]¶

Bases: cashflow.MultiCashFlowList

ir swap that pays fixed and receives float.

static gather_float_dates(date_list, notional_list, forward_tenor)[source]¶

get_par_rate(discount_curve, leg_int=0, err=1e-08)[source]¶

class cashflow.FixedLoan(legs)[source]¶: Bases: cashflow.MultiCashFlowList

class cashflow.FloatLoan(legs)[source]¶: Bases: cashflow.MultiCashFlowList

class cashflow.MultiCashFlowList(legs)[source]¶

Bases: cashflow.CashFlowList

interest_accrued(valuation_date)[source]¶

Parameters:	valuation_date –
Returns:
Return type:

class cashflow.RateCashFlowList(date_list, day_count, fixed_rate=0.0, forward_curve=None, notional_list=None)[source]¶

Bases: cashflow.CashFlowList

interest_accrued(valuation_date)[source]¶