Financial Market Building Blocks
Coerce to DiscountFactor
Coerce to InterestRate
ZeroCurve attributes as a data frame
Build a ZeroCurve from example data set
Create a CashFlow
CashIndex class
Build a Currency
Handy Currency constructors
CurrencyPair class
Handy CurrencyPair constructors
CurrencyPair methods
DiscountFactor operations
DiscountFactor class
fmbasics: Financial Market Building Blocks
IborIndex class
Standard IBOR
Index class checkers
Index date shifters
InterestRate operations
InterestRate class
Interpolate values from an object
Interpolate a ZeroCurve
Interpolate forward rates and discount factors
Interpolate zeros
Interpolation
Inherits from CashFlow
Inherits from Currency
Inherits from CurrencyPair class
Inherits from DiscountFactor
Inherits from InterestRate
Check Interpolation class
Inherits from MultiCurrencyMoney
Inherits from SingleCurrencyMoney
Inherits from ZeroCurve
Compounding frequencies
Get ISO
MultiCurrencyMoney
Standard ONIA
SingleCurrencyMoney
ZeroCurve class
Implements basic financial market objects like currencies, currency pairs, interest rates and interest rate indices. You will be able to use Benchmark instances of these objects which have been defined using their most common conventions or those defined by International Swap Dealer Association (ISDA, <https://www.isda.org>) legal documentation.
Useful links