linerapy 0.1.1

Linear Rates Quantitative Library package for Python

linerapy

A quantitative libary for linear interest rates - LineRaPy (Pronunciation: /ˈlɪniər paɪ/). A new type YieldCurve represents the yield curve. It can be constructed using the key rates, e.g. tenors and values.

Requirements

• Python 3.12+
• Windows / Linux

Installation

pip install linerapy

Usage

import linerapy

# Example - basic usage
obj_dict = {
    'id': 'USD SOFR',
    'value date': datetime.datetime(2026, 3, 20).date(),
    'currency': 'USD',
    'instruments': {
        'generator': [ 'USD SOFR SW', 'USD SOFR SW', 'USD SOFR SW', 'USD SOFR SW'],
        'tenor': [ '1M', '6M', '1Y', '2Y' ],
        'quote': [ 3.65, 3.65, 3.65, 3.65 ],
        'in use': [ True, True, True, True ]
    }
}

yield_curve = linerapy.YieldCurve(obj_dict)

print('Discount Factor:', yield_curve.df(datetime.datetime(2027, 3, 20).date()))

print('Date', 'Zero Rate', 'Discount Factor')
for d, r in zip(yield_curve.dates(), yield_curve.rates()):
    print(d, r, yield_curve.df(d))

API Reference

dates()

Returns the yield curve's dates.

Returns:

• list: List of dates.

Example:

>>> yield_curve_.dates()
[datetime.date(2026, 4, 28), datetime.date(2026, 9, 28), datetime.date(2027, 3, 26), datetime.date(2028, 3, 28)]

rates()

Returns the zero rates corresponding to the yield curve's dates.

Returns:

• list: List of zero rates.

Example:

>>> yield_curve_.rates()
[0.03694890857811573, 0.0366704955510695, 0.03634333943914385, 0.03634104468177242]

License

MIT License - see LICENSE for details.