Wilson Freitas
Wilson Freitas
Implement a memory for the compounded curve. Once the compound method has been called for the term structure, the next calls use the already computed values.
The terms in a term structure usually have the same `units`. So, once you have a term structure defined with terms in days you can only interpolate it using terms...
`forwardrate` method don't use interpolation, even when it is defined. So, only valid terms can be used with this method. Additionally: - `t1` and `t2` should be vectors - `t1`...
empty spotrate and empty curves are useful for bootstrap. ``` > spotrate(compounding='discrete', daycount='business/252', calendar=cal) discrete business/252 ANBIMA ```
Look for some IR Excel functions. https://support.google.com/docs/table/25273?hl=en
I need to create a daycount to specify fixed datetime intervals. For example, a spot rate is valid between 2 dates. So it depends on a calendar, but daycount doesn't...
enable the use of calendars from the project below https://github.com/gerrymanoim/exchange_calendars it is an implementation similar to what has been done to pandas_market_calendars.
`bizdays`, `current_days`, `adjust_next` and `adjust_previous` should be vectorized.
A project might set a specific option to bizdays. But in another part, it needs to change this option. This should be done locally with context managers. ```python from bizdays...
Add an option to create dates with given timezone. ``` python set_option('timezone', timezone.utc) ```