derivitec.core.client.DerivitecClient.get_discount_curves

DerivitecClient.get_discount_curves(currencies=None, market_dates=None, market_data_environment_name=None, descriptors=None)[source]

Get discount curves for some currencies and market dates.

Parameters:

  • currencies (list of str) – The currencies

  • market_dates (list of datetime.datetime) – The market dates.

  • market_data_environment_name (str) – The market data environment name (optional with default Organisation Level Environment)

  • descriptors (list of derivitec.market_data.types.DiscountCurveDescriptor) – The descriptors

Return type:

derivitec.market_data.response.ApiGetDiscountCurvesResponse

Code

>>> descriptors = [DiscountCurveDescriptor(currency="USD", curve_name="Fx")]
>>> market_data_environment_name = "Example Market Data Environment"
>>> discount_curves = client.get_discount_curves(descriptors=descriptors, market_dates=market_dates, market_data_environment_name= market_data_environment_name)