Rate class

RateKit.py

class Rate(object):
    ''' Abstract concept of a market rate '''

    def __init__(self, level, measure, periods):
        """Constructor
        
        Keyword arguments:
        level -- Float, the rate level (e.g. 0.05 means 5%)
        measure -- Measure
        periods -- Integer, the number of times the rate compounds in a year
                   (e.g. 2 means semiannual). If periods==0, then rate
                   compounds continuously.
        """
        self.level = level
        self.measure = measure
        self.periods = periods

    def calc_compounding_factor(self, date, schedule):
        """Returns the factor by which the rate grows (compounds) over the
        time interval from schedule.prev_date(date) to date.
        
        Keyword arguments:
        date -- SerialDate
        schedule -- Schedule
        """
        if self.periods == 0:
            # Continuos compounding
            dcf = self.measure.calc_dcf(date, schedule)
            return math.exp(self.level * dcf)
        else:
            # Discrete compounding
            dcf = self.measure.calc_dcf(date. schedule)
            total_periods = dcf * self.periods
            period_rate = self.level / self.period
            return math.pow(1 + period_rate, total_periods)