derivitec.core.client.DerivitecClient.get_convenience_yield

DerivitecClient.get_convenience_yield(curve, start_mat, end_mats)

Get the convenience yield. This can be called from the client or it can be called directly from any DiscountFactorCallable derived class instance with discount_curve.DiscountFactor(start_mat, end_mats).

Code

Parameters:

• curve (DiscountCurve) – The convenience curve.

• start_mat (int) – The start maturity.

• end_mats (list of ints) – The end maturities.

Return type:

list of float