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fyyying/koalas_forward_rate.py

Last active May 23, 2020 13:35
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Calculate forward rate with koalas
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koalas_forward_rate.py
# Implementation with Koalas
import databricks.koalas as ks
# Read in the data from csv
data = ks.read_csv(rate_path)
# Shift the spot rate down along the maturity axis and calculate forward rate
data["Spot_Rate_Shift"] = data["Spot_Rate"].shift(1, fill_value=0)
data["Forward_Rate"] = (((1 + data["Spot_Rate"]) ** data["Maturity"]) /
((1 + data["Spot_Rate_Shift"]) ** (data["Maturity"] - 1)) - 1)
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