Index

A

annually_compounding() (in module yieldcurves.compounding)

B

Bachelier (class in yieldcurves.optionpricing) bachelier() (yieldcurves.OptionPricingCurve class method) BASEDATE (yieldcurves.DateCurve attribute) binary() (yieldcurves.optionpricing.Bachelier method) (yieldcurves.optionpricing.Black76 method) (yieldcurves.optionpricing.DisplacedBlack76 method) (yieldcurves.optionpricing.Intrinsic method) (yieldcurves.optionpricing.OptionPricingFormula method) binary_call() (yieldcurves.OptionPricingCurve method) binary_call_delta() (yieldcurves.OptionPricingCurve method) binary_call_gamma() (yieldcurves.OptionPricingCurve method) binary_call_theta() (yieldcurves.OptionPricingCurve method) binary_call_vega() (yieldcurves.OptionPricingCurve method) binary_delta() (yieldcurves.optionpricing.Bachelier method) (yieldcurves.optionpricing.Black76 method) (yieldcurves.optionpricing.DisplacedBlack76 method) (yieldcurves.optionpricing.Intrinsic method) (yieldcurves.optionpricing.OptionPricingFormula method) binary_gamma() (yieldcurves.optionpricing.Bachelier method) (yieldcurves.optionpricing.Black76 method) (yieldcurves.optionpricing.DisplacedBlack76 method) (yieldcurves.optionpricing.Intrinsic method) (yieldcurves.optionpricing.OptionPricingFormula method)

binary_put() (yieldcurves.OptionPricingCurve method) binary_put_delta() (yieldcurves.OptionPricingCurve method) binary_put_gamma() (yieldcurves.OptionPricingCurve method) binary_put_theta() (yieldcurves.OptionPricingCurve method) binary_put_vega() (yieldcurves.OptionPricingCurve method) binary_theta() (yieldcurves.optionpricing.DisplacedBlack76 method) (yieldcurves.optionpricing.Intrinsic method) (yieldcurves.optionpricing.OptionPricingFormula method) binary_vega() (yieldcurves.optionpricing.Bachelier method) (yieldcurves.optionpricing.Black76 method) (yieldcurves.optionpricing.DisplacedBlack76 method) (yieldcurves.optionpricing.Intrinsic method) (yieldcurves.optionpricing.OptionPricingFormula method) Black76 (class in yieldcurves.optionpricing) black76() (yieldcurves.OptionPricingCurve class method)

C

call() (yieldcurves.OptionPricingCurve method) call_delta() (yieldcurves.OptionPricingCurve method) call_gamma() (yieldcurves.OptionPricingCurve method) call_theta() (yieldcurves.OptionPricingCurve method) call_vega() (yieldcurves.OptionPricingCurve method)

cash() (yieldcurves.YieldCurve.from_cash_rates method) compounding_factor() (in module yieldcurves.compounding) compounding_rate() (in module yieldcurves.compounding) continuous_compounding() (in module yieldcurves.compounding) continuous_rate() (in module yieldcurves.compounding)

D

daily_compounding() (in module yieldcurves.compounding) DateCurve (class in yieldcurves) delta() (yieldcurves.optionpricing.Bachelier method) (yieldcurves.optionpricing.Black76 method) (yieldcurves.optionpricing.DisplacedBlack76 method) (yieldcurves.optionpricing.Intrinsic method) (yieldcurves.optionpricing.OptionPricingFormula method)

DELTA_SCALE (yieldcurves.OptionPricingCurve attribute) DELTA_SHIFT (yieldcurves.OptionPricingCurve attribute) details() (yieldcurves.OptionPricingCurve method) df() (yieldcurves.YieldCurve.from_df method) displaced_black76() (yieldcurves.OptionPricingCurve class method) DisplacedBlack76 (class in yieldcurves.optionpricing) download() (yieldcurves.NelsonSiegelSvensson class method) downloads (yieldcurves.NelsonSiegelSvensson attribute)

F

forward() (yieldcurves.OptionPricingCurve method)

from_interpolation() (yieldcurves.DateCurve class method)

G

gamma() (yieldcurves.optionpricing.Bachelier method) (yieldcurves.optionpricing.Black76 method) (yieldcurves.optionpricing.DisplacedBlack76 method) (yieldcurves.optionpricing.Intrinsic method) (yieldcurves.optionpricing.OptionPricingFormula method)

H

HullWhite (class in yieldcurves) HullWhite.Curve (class in yieldcurves)

HullWhite.Fx (class in yieldcurves) HullWhite.Global (class in yieldcurves) hz() (yieldcurves.YieldCurve.from_hazard_rates method)

I

INNER (yieldcurves.optionpricing.DisplacedBlack76 attribute) Intrinsic (class in yieldcurves.optionpricing)

intrinsic() (yieldcurves.OptionPricingCurve class method) inverse() (yieldcurves.DateCurve method)

M

marginal() (yieldcurves.YieldCurve.from_marginal_probs method) marginal_pd() (yieldcurves.YieldCurve.from_marginal_pd method) module yieldcurves yieldcurves.compounding yieldcurves.optionpricing

monthly_compounding() (in module yieldcurves.compounding)

N

NelsonSiegelSvensson (class in yieldcurves)

O

OptionPricingCurve (class in yieldcurves)

OptionPricingFormula (class in yieldcurves.optionpricing)

P

pd() (yieldcurves.YieldCurve.from_pd method) periodic_compounding() (in module yieldcurves.compounding) periodic_rate() (in module yieldcurves.compounding) price() (yieldcurves.YieldCurve.from_prices method) prob() (yieldcurves.YieldCurve.from_probs method)

put() (yieldcurves.OptionPricingCurve method) put_delta() (yieldcurves.OptionPricingCurve method) put_gamma() (yieldcurves.OptionPricingCurve method) put_theta() (yieldcurves.OptionPricingCurve method) put_vega() (yieldcurves.OptionPricingCurve method)

Q

quarterly_compounding() (in module yieldcurves.compounding)

S

semi_compounding() (in module yieldcurves.compounding) short() (yieldcurves.NelsonSiegelSvensson method) (yieldcurves.YieldCurve.from_short_rates method)

simple_compounding() (in module yieldcurves.compounding) simple_rate() (in module yieldcurves.compounding) spot() (yieldcurves.NelsonSiegelSvensson method) swap() (yieldcurves.YieldCurve.from_swap_rates method)

T

theta() (yieldcurves.optionpricing.DisplacedBlack76 method) (yieldcurves.optionpricing.Intrinsic method) (yieldcurves.optionpricing.OptionPricingFormula method)

THETA_SCALE (yieldcurves.OptionPricingCurve attribute) THETA_SHIFT (yieldcurves.OptionPricingCurve attribute)

V

vega() (yieldcurves.optionpricing.Bachelier method) (yieldcurves.optionpricing.Black76 method) (yieldcurves.optionpricing.DisplacedBlack76 method) (yieldcurves.optionpricing.Intrinsic method) (yieldcurves.optionpricing.OptionPricingFormula method)

VEGA_SCALE (yieldcurves.OptionPricingCurve attribute) VEGA_SHIFT (yieldcurves.OptionPricingCurve attribute)

Y

year_fraction() (yieldcurves.DateCurve method) YieldCurve (class in yieldcurves) YieldCurve.from_cash_rates (class in yieldcurves) YieldCurve.from_df (class in yieldcurves) YieldCurve.from_hazard_rates (class in yieldcurves) YieldCurve.from_intensities (class in yieldcurves) YieldCurve.from_marginal_pd (class in yieldcurves) YieldCurve.from_marginal_probs (class in yieldcurves) YieldCurve.from_pd (class in yieldcurves) YieldCurve.from_prices (class in yieldcurves) YieldCurve.from_probs (class in yieldcurves)

YieldCurve.from_short_rates (class in yieldcurves) YieldCurve.from_spot_rates (class in yieldcurves) YieldCurve.from_swap_rates (class in yieldcurves) YieldCurve.from_zero_rates (class in yieldcurves) YieldCurveOperator (class in yieldcurves.operators) yieldcurves module yieldcurves.compounding module yieldcurves.optionpricing module

Z

zero() (yieldcurves.YieldCurve.from_zero_rates method)