python中金融包_Python finance包_程序模块 - PyPI - Python中文网

Instantiate:>>> import finance

>>> ns = finance.yieldcurves.NelsonSiegel(0.061, -0.01, -0.0241, 0.275)

See the settings:>>> ns

Nelson Siegel (level=0.061, slope=-0.01, curvature=-0.0241, scale=0.275)

Get the discountfactors at times 1, 2, 5, 10:>>> times = [1, 2, 5, 10]

>>> ns(times)

DecimalVector([0.9517121708497056177816078083, 0.9072377300179418172521412527, 0.7844132592062346545344544940, 0.6008958407659500402742872859])

Get the zero coupon rate at time 5 and 7>>> r5, r7 = ns.zero_coupon_rate([5, 7])

>>> r5, r7

(Decimal('0.049762403554685553400657196'), Decimal('0.050625188777310061599365592'))

Get the forward rate between time 5 and 7>>> f5_7 = ns.discrete_forward_rate(5, 7)

>>> f5_7

Decimal('0.052785255470657667493924028')