_CurveMeta

class rateslib.curves._CurveMeta(_calendar, _convention, _modifier, _index_base, _index_lag, _collateral, _credit_discretization, _credit_recovery_rate)

Bases: object

A container of meta data associated with a _BaseCurve used to make calculations.

Attributes Summary

calendar	Settlement calendar used to determine fixing dates and tenor end dates.
collateral	The currency(ies) identified as being the collateral choice for DFs associated with the Curve.
convention	Day count convention for determining rates and interpolation.
credit_discretization	A parameter for numerically solving the integral for a Credit Protection Period.
credit_recovery_rate	The recovery rate applied to Credit Protection Period cashflows.
index_base	The index value associated with the initial node date of the Curve.
index_lag	The number of months by which curve nodes are lagged to determine index values.
modifier	Modification rule for adjusting non-business tenor end dates.

Methods Summary

to_json()

Serialize this object to JSON format.

Attributes Documentation

calendar

Settlement calendar used to determine fixing dates and tenor end dates.

collateral

The currency(ies) identified as being the collateral choice for DFs associated with the Curve.

convention

Day count convention for determining rates and interpolation.

credit_discretization

A parameter for numerically solving the integral for a Credit Protection Period.

credit_recovery_rate

The recovery rate applied to Credit Protection Period cashflows.

index_base

The index value associated with the initial node date of the Curve.

index_lag

The number of months by which curve nodes are lagged to determine index values.

modifier

Modification rule for adjusting non-business tenor end dates.

Methods Documentation

to_json()

Serialize this object to JSON format.

The object can be deserialized using the from_json() method.

Return type:

str