Last updated: 2023-03-16.
Module: tf_quant_finance.rates#
Functions to handle rates.
Modules#
analytics module: Functions to handle rates.
constant_fwd module: Constant forward interpolation.
forwards module: Collection of functions to compute properties of forwards.
hagan_west module: Hagan West algorithm for rate interpolation and bootstrapping.
nelson_seigel_svensson module: Nelson Seigel Svensson interpolation.
Classes#
class SwapCurveBuilderResult: Swap curve calibration results.
Functions#
swap_curve_bootstrap(...): Constructs the zero swap curve using bootstrap method.
swap_curve_fit(...): Constructs the zero swap curve using optimization.