Mastering Python for Finance - Second Edition

Writing the yield curve bootstrapping class

The steps for writing the Python code to bootstrap the yield curve and running with a plot output are outlined as follows:

1. Create a class named BootstrapYieldCurve, which will implement the bootstrapping of the yield curve in Python code:

import mathclass BootstrapYieldCurve(object):        def __init__(self):        self.zero_rates = dict()        self.instruments = dict()

2. In the constructor, the two zero_rates and instruments dictionary variables are declared and will be used by several methods, as follows:

• Add a method named add_instrument(), which appends a tuple of bond information to the instruments dictionary, indexed by the maturity time. This method is written as follows:

def add_instrument(self, par, ...