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Diffstat (limited to 'python/yieldcurve.py')
| -rw-r--r-- | python/yieldcurve.py | 18 |
1 files changed, 9 insertions, 9 deletions
diff --git a/python/yieldcurve.py b/python/yieldcurve.py index 3eb8bf95..ba454d76 100644 --- a/python/yieldcurve.py +++ b/python/yieldcurve.py @@ -209,15 +209,15 @@ if __name__=="__main__": import matplotlib.pyplot as plt ts = YC() cal = calendar_from_name('USA') - p1 = Period('1Mo') - p2 = Period('2Mo') - p3 = Period('3Mo') - p6 = Period('6Mo') - p12 = Period('12Mo') - sched = Schedule(ts.reference_date, ts.reference_date+Period('5Yr'), Period('3Mo'), cal) + p1 = Period('1M') + p2 = Period('2M') + p3 = Period('3M') + p6 = Period('6M') + p12 = Period('12M') + sched = Schedule(ts.reference_date, ts.reference_date+Period('5Y'), Period('3M'), cal) days = [pydate_from_qldate(d) for d in sched] - f3 = [ts.forward_rate(d, d+p3, Actual360(), 0).rate for d in sched] - f6 = [ts.forward_rate(d, d+p6, Actual360(), 0).rate for d in sched] - f2 = [ts.forward_rate(d, d+p2, Actual360(), 0).rate for d in sched] + f3 = [ts.forward_rate(d, d + p3, Actual360(), 0).rate for d in sched] + f6 = [ts.forward_rate(d, d + p6, Actual360(), 0).rate for d in sched] + f2 = [ts.forward_rate(d, d + p2, Actual360(), 0).rate for d in sched] plt.plot(days, f2, days, f3, days, f6) |