Python library *yieldcurves*
----------------------------
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A Python library for financial yield curves.
Typical banking business methods are provided like interpolation, compounding,
discounting and fx.
Example Usage
-------------
>>> from curves.interpolation import linear
>>> from yieldcurves import YieldCurve
>>> time_grid = [0, 2]
>>> rate_grid = [.03, .05]
>>> curve = linear(time_grid, rate_grid)
>>> yc = YieldCurve(curve)
>>> yc.zero(0, 1)
0.040000000000000036
>>> yc.df(0, 1)
0.9607894391523232
Or use `datetime <https://docs.python.org/3/library/datetime.html>`_
>>> from yieldcurves import DateCurve
>>> from datetime import date
>>> start = date(2013, 1, 1)
>>> mid = date(2014, 1, 1)
>>> end = date(2015, 1, 1)
>>> dc = DateCurve.from_interpolation([start, end], [.03, .05], origin=start)
>>> dc.zero(start, mid)
0.03999999999999998
>>> dc.df(start, mid)
0.9608157444936446
The framework works fine with native `datetime <https://docs.python.org/3/library/datetime.html>`_
but we recommend `businessdate <https://pypi.org/project/businessdate/>`_ package
for more convenient functionality to roll out date schedules.
>>> from businessdate import BusinessDate, BusinessSchedule
So, build a date schedule.
>>> today = BusinessDate(20201031)
>>> schedule = BusinessSchedule(today, today + "8q", step="1q")
>>> schedule
[BusinessDate(20201031), BusinessDate(20210131), BusinessDate(20210430), BusinessDate(20210731), BusinessDate(20211031), BusinessDate(20220131), BusinessDate(20220430), BusinessDate(20220731), BusinessDate(20221031)]
Documentation
-------------
More documentation available at
`https://yieldcurves.readthedocs.io <https://yieldcurves.readthedocs.io>`_
Install
-------
The latest stable version can always be installed or updated via pip:
.. code-block:: bash
$ pip install yieldcurves
Development Version
-------------------
The latest development version can be installed directly from GitHub:
.. code-block:: bash
$ pip install --upgrade git+https://github.com/sonntagsgesicht/yieldcurves.git
Contributions
-------------
.. _issues: https://github.com/sonntagsgesicht/yieldcurves/issues
.. __: https://github.com/sonntagsgesicht/yieldcurves/pulls
Issues_ and `Pull Requests`__ are always welcome.
License
-------
.. __: https://github.com/sonntagsgesicht/yieldcurves/raw/master/LICENSE
Code and documentation are available according to the Apache Software License (see LICENSE__).
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"description": "\n\nPython library *yieldcurves*\n----------------------------\n\n.. image:: https://github.com/sonntagsgesicht/yieldcurves/actions/workflows/python-package.yml/badge.svg\n :target: https://github.com/sonntagsgesicht/yieldcurves/actions/workflows/python-package.yml\n :alt: GitHubWorkflow\n\n.. image:: https://img.shields.io/readthedocs/yieldcurves\n :target: http://yieldcurves.readthedocs.io\n :alt: Read the Docs\n\n.. image:: https://img.shields.io/github/license/sonntagsgesicht/yieldcurves\n :target: https://github.com/sonntagsgesicht/yieldcurves/raw/master/LICENSE\n :alt: GitHub\n\n.. image:: https://img.shields.io/github/release/sonntagsgesicht/yieldcurves?label=github\n :target: https://github.com/sonntagsgesicht/yieldcurves/releases\n :alt: GitHub release\n\n.. image:: https://img.shields.io/pypi/v/yieldcurves\n :target: https://pypi.org/project/yieldcurves/\n :alt: PyPI Version\n\n.. image:: https://img.shields.io/pypi/pyversions/yieldcurves\n :target: https://pypi.org/project/yieldcurves/\n :alt: PyPI - Python Version\n\n.. image:: https://pepy.tech/badge/yieldcurves\n :target: https://pypi.org/project/yieldcurves/\n :alt: PyPI Downloads\n\nA Python library for financial yield curves.\nTypical banking business methods are provided like interpolation, compounding,\ndiscounting and fx.\n\n\nExample Usage\n-------------\n\n\n>>> from curves.interpolation import linear\n>>> from yieldcurves import YieldCurve\n\n>>> time_grid = [0, 2]\n>>> rate_grid = [.03, .05]\n>>> curve = linear(time_grid, rate_grid)\n>>> yc = YieldCurve(curve)\n>>> yc.zero(0, 1)\n0.040000000000000036\n\n>>> yc.df(0, 1)\n0.9607894391523232\n\n\nOr use `datetime <https://docs.python.org/3/library/datetime.html>`_\n\n>>> from yieldcurves import DateCurve\n>>> from datetime import date\n\n>>> start = date(2013, 1, 1)\n>>> mid = date(2014, 1, 1)\n>>> end = date(2015, 1, 1)\n\n\n>>> dc = DateCurve.from_interpolation([start, end], [.03, .05], origin=start)\n>>> dc.zero(start, mid)\n0.03999999999999998\n\n>>> dc.df(start, mid)\n0.9608157444936446\n\n\nThe framework works fine with native `datetime <https://docs.python.org/3/library/datetime.html>`_\nbut we recommend `businessdate <https://pypi.org/project/businessdate/>`_ package\nfor more convenient functionality to roll out date schedules.\n\n\n\n>>> from businessdate import BusinessDate, BusinessSchedule\n\nSo, build a date schedule.\n\n>>> today = BusinessDate(20201031)\n>>> schedule = BusinessSchedule(today, today + \"8q\", step=\"1q\")\n>>> schedule\n[BusinessDate(20201031), BusinessDate(20210131), BusinessDate(20210430), BusinessDate(20210731), BusinessDate(20211031), BusinessDate(20220131), BusinessDate(20220430), BusinessDate(20220731), BusinessDate(20221031)]\n\n\nDocumentation\n-------------\n\nMore documentation available at\n`https://yieldcurves.readthedocs.io <https://yieldcurves.readthedocs.io>`_\n\n\nInstall\n-------\n\nThe latest stable version can always be installed or updated via pip:\n\n.. code-block:: bash\n\n $ pip install yieldcurves\n\n\nDevelopment Version\n-------------------\n\nThe latest development version can be installed directly from GitHub:\n\n.. code-block:: bash\n\n $ pip install --upgrade git+https://github.com/sonntagsgesicht/yieldcurves.git\n\n\nContributions\n-------------\n\n.. _issues: https://github.com/sonntagsgesicht/yieldcurves/issues\n.. __: https://github.com/sonntagsgesicht/yieldcurves/pulls\n\nIssues_ and `Pull Requests`__ are always welcome.\n\n\nLicense\n-------\n\n.. __: https://github.com/sonntagsgesicht/yieldcurves/raw/master/LICENSE\n\nCode and documentation are available according to the Apache Software License (see LICENSE__).\n\n\n",
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