derivitec.core.client.DerivitecClient.get_discount_factors

DerivitecClient.get_discount_factors(curve, start_mat, end_mats)[source]

Get discount factors from a curve. 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).

Parameters:

  • curve (derivitec.market_data.types.DiscountCurve) – The discount curve.

  • start_mat (int) – The starting maturity.

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

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

Return type:

derivitec.market_data.response.ApiGetDiscountFactorsResponse

Code

>>> currencies = ["USD"]
>>> discount_curves = client.get_discount_curves(currencies,  market_dates)
>>> curve = discount_curves[0]
>>> start_mat = 10
>>> end_mats = [10, 20, 30]
>>> client.get_discount_factors(curve, start_mat, end_mats)
>>> curve.DiscountFactor(start_mat, end_mats)