Skip to content

Rate#

Represents the risk-free interest rate structure.

This can be a single constant rate or a full term structure.

Parameters:

Name Type Description Default
rate float | Callable[[float], float]
  • If a float, represents a constant risk-free rate for all maturities.
  • If a callable, it should be a function that takes a maturity (t) and returns the continuously compounded zero rate for that maturity. Example: lambda t: 0.02 + 0.01 * t
 required
Source code in src/quantfin/atoms/rate.py 
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
@dataclass(frozen=True, slots=True)
class Rate:
    """
    Represents the risk-free interest rate structure.

    This can be a single constant rate or a full term structure.

    Parameters
    ----------
    rate : float | Callable[[float], float]
        - If a float, represents a constant risk-free rate for all maturities.
        - If a callable, it should be a function that takes a maturity (t)
          and returns the continuously compounded zero rate for that maturity.
          Example: `lambda t: 0.02 + 0.01 * t`
    """

    rate: float | Callable[[float], float]

    def get_rate(self, t: float = 0) -> float:
        """
        Get the interest rate for a specific maturity.

        Parameters
        ----------
        t : float, optional
            The time (maturity) for which to get the rate. This is only
            used if the rate is a term structure (callable). Default is 0.

        Returns
        -------
        float
            The continuously compounded risk-free rate.
        """
        if callable(self.rate):
            return self.rate(t)
        return self.rate

get_rate(t: float = 0) -> float #

Get the interest rate for a specific maturity.

Parameters:

Name Type Description Default
t float

The time (maturity) for which to get the rate. This is only used if the rate is a term structure (callable). Default is 0.

 0

Returns:

Type Description
float

The continuously compounded risk-free rate.
Source code in src/quantfin/atoms/rate.py 
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
def get_rate(self, t: float = 0) -> float:
    """
    Get the interest rate for a specific maturity.

    Parameters
    ----------
    t : float, optional
        The time (maturity) for which to get the rate. This is only
        used if the rate is a term structure (callable). Default is 0.

    Returns
    -------
    float
        The continuously compounded risk-free rate.
    """
    if callable(self.rate):
        return self.rate(t)
    return self.rate