yieldcurves 0.2.1

A Python library for financial yield curves.

Python library yieldcurves

A Python library for financial yield curves. Typical banking business methods are provided like interpolation, compounding, discounting and fx.

Example Usage

>>> from yieldcurves import YieldCurve
>>> from yieldcurves.interpolation import linear

>>> time_grid = [0, 2]
>>> rate_grid = [.03, .05]
>>> curve = linear(time_grid, rate_grid)
>>> yc = YieldCurve(curve)
>>> yc.zero(0, 1)
0.040000000000000036

>>> yc.df(0, 1)
0.9607894391523232

Or use datetime

>>> from yieldcurves import DateCurve
>>> from datetime import date

>>> start = date(2013, 1, 1)
>>> mid = date(2014, 1, 1)
>>> end = date(2015, 1, 1)

>>> dc = DateCurve.from_interpolation([start, end], [.03, .05], origin=start)
>>> dc.zero(start, mid)
0.03999999999999998

>>> dc.df(start, mid)
0.9608157444936446

The framework works fine with native datetime but we recommend businessdate package for more convenient functionality to roll out date schedules.

>>> from businessdate import BusinessDate, BusinessSchedule

So, build a date schedule.

>>> today = BusinessDate(20201031)
>>> schedule = BusinessSchedule(today, today + "8q", step="1q")
>>> schedule
[BusinessDate(20201031), BusinessDate(20210131), BusinessDate(20210430), BusinessDate(20210731), BusinessDate(20211031), BusinessDate(20220131), BusinessDate(20220430), BusinessDate(20220731), BusinessDate(20221031)]

Documentation

More documentation available at http://yieldcurves.readthedocs.io

Install

The latest stable version can always be installed or updated via pip:

$ pip install yieldcurves

Development Version

The latest development version can be installed directly from GitHub:

$ pip install --upgrade git+https://github.com/sonntagsgesicht/yieldcurves.git

Contributions

Issues and Pull Requests are always welcome.

License

Code and documentation are available according to the Apache Software License (see LICENSE).