Interest rate yield curve packages
Project description
PyCurve Python Package
Object oriented with a main Class Curve wich allows user to gather a yield curve with two arrays, maturity and yield.
User can use this market curve and then use this curve in order to do stochastics or interpolation. Simple to get rate, or discount factor from different method.
Allows user to interpolate Yield curve with different models :
- Linear Interpolation
- Cubic Spline Interpolation
- Nelson Siegel
- Nelson Siegel Svensson
- Bjork Christensen
- Bjork Christensen Augmented
Allows User to generate stochastic process under Vasicek and Hull and white
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