Tutorial

To start with import the package.

>>> from yieldcurves import YieldCurve, DateCurve

Yield Curve Objects

Yield curves can be expressed in various ways. Each for different type of storing rate information and purpose.

There are three different types of usage of yield curves:

asset yield curve, interest rate curve and credit curves.

They meet all the same input, a continuous compounded yield curve, either as yield or spot rate curve, zero rate curve or intensity curve.

Their usage differs only in derived output like futur prices or discount factors or probabilities of default.

On the other hand yield curves can be constructed form those data, too.

The purpose of yieldcurves.yieldcurves.YieldCurve is to provide construction routines and calculation methods for all of those.