Bootstrap Term Structure Model
Overview
A bootstrapped term structure is a term structure where the yields are various points along the
curve are recursively measured, and then a curve is fit to those points. The method of fit is typically
a
cubic spline.
(see
curve estimation)
Curve Types
The bootstrap.py file can bootstrap the following curves, given a set of datapoints. (inlcuding with a set of spreads)
Object Definitions
@dataclass
class BootstrapCurve(ts.TermStructureModel):
id: UUID = Field(default_factory=uuid4)
pass
@dataclass
class TreasuryCurve(BootstrapCurve):
data:list[Any] = Field(default_factory=list)
date: str | None = None
spreads:list[Any]|None = None
pass
@dataclass
class OisCurve(BootstrapCurve):
index:OvernightIndex|None = None
data:list[Any]|None = None
deposit_data:list[Any]|None = None
date:str|None = None
spreads:list[Any]|None = None
pass
@dataclass
class ContinuousZero(BootstrapCurve):
spreads:list[Any]|None = None
pass