make_fixed_income_pricing_objective | API References | Fire Opal | References

fireopal.make_fixed_income_pricing_objective(pca_matrix, initial_interests, cash_flow, rescaling_factor, bounds=None)

Create parameters for a fixed income pricing objective.

pca_matrix (numpy.ndarray) – PCA matrix for interest rate changes, shape (T, D) where T is the number of time steps and D is the number of dimensions.
initial_interests (list [ int ]) – Initial interest rates/offsets, must be length T.
cash_flow (list [ float ]) – Cash flow time series, must be length T.
rescaling_factor (float) – Scaling factor in the Taylor approximation.
bounds (list [ tuple [ float , float ] ] or None , optional) – Bounds for each asset dimension, must be length D. Default is None.

dict[str, Any] – A dictionary containing the parameters for the fixed income pricing objective, suitable for use with make_monte_carlo_problem().