def __init__(
self,
terms,
continuousCompoundedRates,
day_counter=ql.Actual360(),
calendar=ql.NullCalendar(),
interpolation=ql.BackwardFlat(),
):
today = ql.Settings.getEvaluationDate(ql.Settings.instance())
self.terms = terms
self.dates = [
ql.WeekendsOnly().advance(today, ql.Period(term), ql.ModifiedFollowing)
for term in ["0d"] + terms
]
self.rates = [continuousCompoundedRates[0]] + continuousCompoundedRates
self.yts = ql.ForwardCurve(
self.dates, self.rates, day_counter, calendar, interpolation
)
ql.Settings.instance().evaluationDate = today
settlementDate = ql.TARGET().advance(today, ql.Period(2, ql.Days))
rts = [
0.03145, 0.03145, 0.0278373626373627, 0.0253076923076923,
0.0249373626373629
]
dts = [
settlementDate,
ql.Date(1, 2, 2020),
ql.Date(1, 5, 2020),
ql.Date(1, 8, 2020),
ql.Date(1, 11, 2020)
]
c = ql.ForwardCurve(dts, rts, ql.Actual360(), ql.NullCalendar(),
ql.BackwardFlat())
df = [c.discount(d) for d in dts]
print(df)
for i in range(len(rts) - 1):
r_simple = ql.InterestRate(rts[i + 1], ql.Actual360(), ql.Simple, ql.Once)
t = ql.Actual360().yearFraction(dts[i], dts[i + 1])
r_continuous = r_simple.equivalentRate(ql.Continuous, ql.NoFrequency, t)
rts[i + 1] = r_continuous.rate()
# set rate for the first node
rts[0] = rts[1]
c = ql.ForwardCurve(dts, rts, ql.Actual360(), ql.NullCalendar(),
ql.BackwardFlat())
df = [c.discount(d) for d in dts]
print(df)
"Actual360": ql.Actual360(),
"Actual365Fixed": ql.Actual365Fixed(),
"ActualActual": ql.ActualActual,
"Actual365NoLeap": ql.Actual365NoLeap(),
"Business252": ql.Business252(),
"Thirty360": ql.Thirty360(),
}
CALENDARS = {
"NullCalendar": ql.NullCalendar(),
"BespokeCalendar": ql.BespokeCalendar("CALENDAR_NAME"),
"JointCalendar": ql.JointCalendar,
}
INTERPOLATION_METHODS = {
"BackwardFlat": ql.BackwardFlat(),
"ForwardFlat": ql.ForwardFlat(),
"MonotonicLogCubic": ql.MonotonicLogCubic(),
"Linear": ql.Linear(),
"LogLinear": ql.LogLinear(),
"Cubic": ql.Cubic(),
"MonotonicCubic": ql.MonotonicCubic(),
"DefaultLogCubic": ql.DefaultLogCubic(),
"SplineCubic": ql.SplineCubic(),
"Kruger": ql.Kruger(),
"KrugerLog": ql.KrugerLog(),
"KrugerCubic": ql.KrugerCubic,
"FritschButlandCubic": ql.FritschButlandCubic,
"ConvexMonotone": ql.ConvexMonotone(),
"CubicNaturalSpline": ql.CubicNaturalSpline,
"LogCubicNaturalSpline": ql.LogCubicNaturalSpline,
