NAME

Finance::YieldCurve - provides methods for interpolation on interest rates or dividends

SYNOPSIS

use Finance::YieldCurve;

my $rates = Finance::YieldCurve->new(
 data => {
  1  => 0.014,
  7  => 0.011,
  14 => 0.012,
 },
 asset => 'USD',
);
# For dividends, we return the closest value with no interpolation
my $dividend_rate = $rates->find_closest_to(7 * 24 * 60 * 60);
# For interest rates, we interpolate linearly between the points
my $interest_rate = $rates->interpolate(7 * 24 * 60 * 60);

DESCRIPTION

Handles interpolation methods for different types of yield curve.

Instantiate with a set of data points, then use either the "find_closest_to" or "interpolate" methods to find the appropriate value for a given time (measured in years).

ATTRIBUTES

data

The data points, as a hashref of days => value.

asset

String representing the currency, stock or index, for example USD.

METHODS

interpolate

Get the interpolated rate for this yield curve over the given time period (fractional years).

Example:

my $rate = $curve->interpolate(7 * 24 * 60 * 60);

find_closest_to

Returns the closest point to the request value.

Example:

my $rate = $curve->find_closest_to(7 * 24 * 60 * 60);

day_count

Returns the day count for our asset.

This is an integer value, and will either be 365 or 360.