diff options
| -rw-r--r-- | python/yieldcurve.py | 13 |
1 files changed, 10 insertions, 3 deletions
diff --git a/python/yieldcurve.py b/python/yieldcurve.py index 79366cef..3d26fd02 100644 --- a/python/yieldcurve.py +++ b/python/yieldcurve.py @@ -160,15 +160,22 @@ def roll_yc(yc, forward_date): return YieldCurve.from_discount_factors(forward_date, dates, dfs, 'ACT/365F') -def YC(helpers=None, currency="USD", MarkitData=None, evaluation_date=None): +def YC(helpers=None, currency="USD", MarkitData=None, evaluation_date=None, + fixed=False): if helpers is None: helpers = rate_helpers(currency, MarkitData, evaluation_date) calendar = WeekendsOnly() if evaluation_date: settings = Settings() settings.evaluation_date = Date.from_datetime(evaluation_date) - return PiecewiseYieldCurve(BootstrapTrait.Discount, Interpolator.LogLinear, - 0, calendar, helpers, Actual365Fixed()) + if fixed: + return PiecewiseYieldCurve.from_reference_date( + BootstrapTrait.Discount, Interpolator.LogLinear, + settings.evaluation_date, helpers, Actual365Fixed()) + else: + return PiecewiseYieldCurve(BootstrapTrait.Discount, + Interpolator.LogLinear, + 0, calendar, helpers, Actual365Fixed()) def jpYC(effective_date, currency="USD", MarkitData=None): |