Last updated: 2023-03-16.
Module: tf_quant_finance.rates.hagan_west#
Hagan West algorithm for rate interpolation and bootstrapping.
Modules#
monotone_convex module: The monotone convex interpolation method.
Classes#
class CurveBuilderResult: Bond curve calibration results.
Functions#
bond_curve(...): Constructs the bond discount rate curve using the Hagan-West algorithm.