Last updated: 2023-03-16.
Module: tf_quant_finance.experimental.instruments#
Instruments.
Classes#
class AverageType: Averaging types.
class Bond: Represents a batch of fixed coupon bonds.
class CMSCashflowStream: Represents a batch of cashflows indexed to a CMS rate.
class CMSCouponSpecs: CMSCouponSpecs data.
class CMSSwap: Represents a batch of CMS Swaps.
class CapAndFloor: Represents a batch of Caps and/or Floors.
class DayCountConvention: Day count conventions for accrual.
class EurodollarFutures: Represents a collection of Eurodollar futures contracts.
class FixedCashflowStream: Represents a batch of fixed stream of cashflows.
class FixedCouponSpecs: FixedCouponSpecs data.
class FloatCouponSpecs: FloatCouponSpecs data.
class FloatingCashflowStream: Represents a batch of cashflows indexed to a floating rate.
class FloatingRateNote: Represents a batch of floating rate notes.
class ForwardRateAgreement: Represents a batch of Forward Rate Agreements (FRA).
class InterestRateMarket: InterestRateMarket data.
class InterestRateModelType: Models for pricing interest rate derivatives.
class InterestRateSwap: Represents a batch of Interest Rate Swaps (IRS).
class OvernightIndexLinkedFutures: Represents a collection of futures linked to an average of overnight rates.
class RateCurve: Represents an interest rate curve.
class Swaption: Represents a batch of European Swaptions.
Functions#
ratecurve_from_discounting_function(...): Returns RateCurve object using the supplied function for discounting.