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fyyying/pandas_forward_rate.py

Last active May 23, 2020 17:21
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Calculate forward rate with Pandas #forward_rate
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pandas_forward_rate.py
# Implementation with Pandas
import pandas as pd
# Read in the data from csv
data = pd.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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