Installation

pip install vade

git clone https://github.com//vade.git
cd vade
pip install maturin
maturin develop --release

import vade
from vade import DiscountCurve
import datetime

# Build a simple discount curve
curve = DiscountCurve(
    {datetime.date(2024, 1, 1): 1.0, datetime.date(2025, 1, 1): 0.96},
)
df = curve.discount_factor(datetime.date(2024, 7, 1))
print(round(float(df), 6))  # prints a discount factor