tf_quant_finance.rates.SwapCurveBuilderResult

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Last updated: 2023-03-16.

tf_quant_finance.rates.SwapCurveBuilderResult#

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Swap curve calibration results.

tf_quant_finance.rates.SwapCurveBuilderResult(
    times, rates, discount_factors, initial_rates, converged, failed, iterations,
    objective_value
)

Attributes:#

  • times: Rank 1 real Tensor. Times for the computed rates.

  • rates: Rank 1 Tensor of the same dtype as times. The inferred zero rates.

  • discount_factors: Rank 1 Tensor of the same dtype as times. The inferred discount factors.

  • initial_rates: Rank 1 Tensor of the same dtype as times. The initial guess for the rates.

  • converged: Scalar boolean Tensor. Whether the procedure converged.

  • failed: Scalar boolean Tensor. Whether the procedure failed.

  • iterations: Scalar int32 Tensor. Number of iterations performed.

  • objective_value: Scalar real Tensor. The objective function at the optimal soultion.

Methods#

__eq__

__eq__(
    other
)

Method generated by attrs for class SwapCurveBuilderResult.

__ge__

__ge__(
    other
)

Method generated by attrs for class SwapCurveBuilderResult.

__gt__

__gt__(
    other
)

Method generated by attrs for class SwapCurveBuilderResult.

__iter__

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__iter__()

__le__

__le__(
    other
)

Method generated by attrs for class SwapCurveBuilderResult.

__len__

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__len__()

__lt__

__lt__(
    other
)

Method generated by attrs for class SwapCurveBuilderResult.

__ne__

__ne__(
    other
)

Method generated by attrs for class SwapCurveBuilderResult.

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