Qunatlib InterestRate Object

Arguments

  • rate (float): The interest rate in decimal form
  • dayCount (ql.DayCounter): Day count convention (e.g., ql.Actual360(), ql.ActualActual()).
  • compounding (ql.Compounding): Compounding type (e.g., ql.Simple, ql.Compounded, ql.Continuous).
  • frequency (ql.Frequency): Compounding frequency (e.g., ql.Annual, ql.Semiannual, ql.Monthly).

Compounding

  • .Compounded - Standard compounding based on the given frequency.
  • Simple - Simple interest
  • Continuous - Continuously compounded interest
  • SimpleThenCompounded - Uses simple interest up to the first period, and compounded thereafter.
  • CompoundedThenSimple - : Compounded interest up to the final period, and simple in the last period (commonly seen in US Treasury and Street Conventions).

Frequency

Frequency
  • ql.NoFrequency - No interest (or undefined frequency)
  • ql.Once - Paid once at maturity (e.g., for zero-coupon bonds)
  • ql.Annual - Once a year
  • ql.Semiannual - Twice a year
  • ql.EveryFourthMonth - Every 4 months (3 times a year)
  • ql.Quarterly - Four times a year
  • ql.Bimonthly - Every 2 months (6 times a year)
  • ql.Monthly - Once a month
  • ql.EveryFourthWeek - Every 4 weeks (13 times a year)
  • ql.Biweekly - Every 2 weeks (26 times a year)
  • ql.Weekly - Once a week (52 times a year)
  • ql.Daily - Once a day

Sample Code

import QuantLib as ql # Define 5% annual compounded rate using Actual/360 day counter annual_rate = 0.05 day_count = ql.Actual360() compounding = ql.Compounded frequency = ql.Annual # Instantiate InterestRate interest_rate = ql.InterestRate(annual_rate, day_count, compounding, frequency)

Contents