tf_quant_finance.rates.analytics.forwards.forward_rates

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Last updated: 2023-03-16.

tf_quant_finance.rates.analytics.forwards.forward_rates#

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Computes forward rates from daycount fractions and discount factors.

tf_quant_finance.rates.analytics.forwards.forward_rates(
    df_start_dates, df_end_dates, daycount_fractions, dtype=None, name=None
)

Example#

# Discount factors at start dates
df_start_dates = [[0.95, 0.9, 0.75], [0.95, 0.99, 0.85]]
# Discount factors at end dates
df_end_dates = [[0.8, 0.6, 0.5], [0.8, 0.9, 0.5]]
# Daycount fractions between the dates
daycount_fractions = [[0.5, 1.0, 2], [0.6, 0.4, 4.0]]
# Expected:
#  [[0.375 , 0.5   , 0.25  ],
#   [0.3125, 0.25  , 0.175 ]]
forward_rates(df_start_dates, df_end_dates, daycount_fractions,
              dtype=tf.float64)

Args:#

  • df_start_dates: A real Tensor representing discount factors at the start dates.

  • df_end_dates: A real Tensor representing discount factors at the end dates.

  • daycount_fractions: A real Tensor representing year fractions for the coupon accrual.

  • dtype: tf.Dtype. If supplied the dtype for the input and output Tensors. Default value: None which maps to the default dtype inferred from df_start_dates.

  • name: Python str. The name to give to the ops created by this function. Default value: None which maps to ‘forward_rates’.

Returns:

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