_ProxyCurveInterpolator#

class rateslib.curves._ProxyCurveInterpolator(_fx_forwards, _cash, _collateral)#

Bases: object

A container for data relating to interpolating the DFs of a ProxyCurve.

Attributes Summary

`cash`	The currency of the cashflows.
`cash_index`	The index of the cash currency in the `FXForwards` object.
`cash_pair`	A pair constructed from the cash currency
`collateral`	The currency of the collateral assuming PAI.
`collateral_index`	The index of the collateral currency in the `FXForwards` object.
`collateral_pair`	A pair constructed from the collateral currency
`fx_forwards`	The `FXForwards` object containing `FXRates` and `Curve` objects.
`pair`	A pair of currencies representing the cashflow and collateral.

Attributes Documentation

cash#: The currency of the cashflows.

cash_index#: The index of the cash currency in the FXForwards object.

cash_pair#: A pair constructed from the cash currency

collateral#: The currency of the collateral assuming PAI.

collateral_index#: The index of the collateral currency in the FXForwards object.

collateral_pair#: A pair constructed from the collateral currency

fx_forwards#: The FXForwards object containing FXRates and Curve objects.

pair#: A pair of currencies representing the cashflow and collateral.