diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/yieldcurve.py | 6 |
1 files changed, 3 insertions, 3 deletions
diff --git a/python/yieldcurve.py b/python/yieldcurve.py index bdd36768..7f27fe67 100644 --- a/python/yieldcurve.py +++ b/python/yieldcurve.py @@ -72,9 +72,9 @@ if __name__=="__main__": p12 = Period('12Mo') sched = Schedule(ts.reference_date, ts.reference_date+Period('5Yr'), Period('3Mo'), cal) days = [qldate_to_pydate(day) for day in sched] - f3 = [ts.forward_rate(d, d+p3, Actual360()).rate for d in sched] - f6 = [ts.forward_rate(d, d+p6, Actual360()).rate for d in sched] - f2 = [ts.forward_rate(d, d+p2, Actual360()).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) plt.show() |