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Diffstat (limited to 'python/yieldcurve.py')
| -rw-r--r-- | python/yieldcurve.py | 6 |
1 files changed, 4 insertions, 2 deletions
diff --git a/python/yieldcurve.py b/python/yieldcurve.py index ba454d76..934d5bc4 100644 --- a/python/yieldcurve.py +++ b/python/yieldcurve.py @@ -206,15 +206,17 @@ def build_curves(currency="USD"): if __name__=="__main__": #evaluation_date = Date(29, 4, 2014) Settings.instance().evaluation_date = today() + import matplotlib.pyplot as plt - ts = YC() + helpers = rate_helpers("USD") + ts = YC(helpers) cal = calendar_from_name('USA') 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) + sched = Schedule.from_rule(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] |