Years from settlement to payments using day count convention

Times from settlement to payments

Set the flows of the bond externally. Coupon dates are for accrued while payment dates are calendar adjusted. Flows are on payment dates

Calculate the dirty price of bond from its yield to maturity. This function is vectorised with respect to the yield input. It implements a number of standard conventions for calculating the YTM.

Calculate dirty prices for vectors of settlement dates or yields.

Calculate the principal value of the bond based on the face amount from its discount margin and making assumptions about the future Ibor rates.

Calculate dollar duration from a 1bp bumped-yield DV01. Dollar duration is the dirty-price change for a 100bp change in yield, approximated as: dollar_duration = 10000 * DV01 where DV01 is the positive dirty-price change for a +1bp yield shift.

Change in dirty price for a +1 basis point increase in yield. Bloomberg-style DV01 / PV01 is positive for a long fixed-rate bond.

Calculate the Macaulay duration of the bond on a settlement date given its yield to maturity.

Calculate the modified duration of the bond on a settlement date given its yield to maturity.

Calculate the change in the dirty price due to moving calendar time i.e. the settlement date, forward by day_step days.

Calculate key-rate durations using the textbook zero-rate tent formulation. This method perturbs the zero curve directly with piecewise-linear tent functions: - interior key rates have triangular weights - the first key rate is flat to the left - the last key rate is flat to the right Parameters ---------- settle_dt : Date Settlement date. zero_curve : DiscountCurve Base zero/discount curve used for valuation. It must provide discount factors through df(date). key_rate_tenors : list of float, optional Key-rate maturities in years. If None, defaults to [0.5, 1, 2, 3, 5, 7, 10, 20, 30]. shift : float, optional Size of the zero-rate bump. If None, defaults to 1 bp = 0.0001. Returns ------- tuple (key_rate_tenors, key_rate_durations) Notes ----- The bumped zero curve is defined by z_i^{up/down}(t) = z(t) +/- shift * w_i(t) where w_i(t) is the tent weight for key node i. This implementation assumes continuously-compounded zero rates: z(t) = -log(df(t))/t For t = 0, the bump is taken to be zero.

Calculates the key rate durations for a bond. Parameters ---------- settle_dt : FinancePy Date object The settlement date. ytm : float The yield to maturity. key_rate_tenors : list of float, optional The tenors of the key rates. If None, defaults to [0.5, 1, 2, 3, 5, 7, 10, 20, 30]. shift : float, optional The shift used to calculate the key rate durations. If None, defaults to 0.0001. rates : list of float, optional Corresponding yield curve data aligned with key_rate_tenors. If None, a flat yield curve at `ytm` is used. Returns ------- tuple of (numpy array of float, numpy array of float) A tuple containing the key rate tenors and the key rate durations.

Calculate the bond convexity from the yield to maturity. This function is vectorised with respect to the yield input. This is defined as 1/P_D partial 2 P_D / partial dy 2

Calculate the bond clean price from the yield to maturity. This function is vectorised with respect to the yield input.

Calculate the clean bond value using some discount curve to present-value the bond's cash flows back to the curve anchor date and not to the settlement date.

Calculate the bond's yield to maturity by solving the price yield relationship using a one-dimensional root solver.

Calculate the bond's simple yield.

Calculate the amount of coupon that has accrued between the previous coupon date and the settlement date. Note that for some day count schemes (such as 30E/360) this is not actually the number of days between the previous coupon payment date and settlement date. If the bond trades with ex-coupon dates then you need to use the number of days before the coupon date the ex-coupon date is. You can specify the calendar to be used in the bond constructor - NONE means only calendar days, WEEKEND is only weekends, or you can specify a country calendar for business days.

Calculate the par asset swap spread of the bond. The discount curve is an Ibor curve that is passed in. This function is vectorised with respect to the clean price.

Calculate the z-spread of the bond. The discount curve is a Ibor curve that is passed in.

Calculate the price of the bond by adding a spread (OAS) to the curve.

Return OAS for bullet bond given settlement date, clean bond price and the discount relative to which the spread is to be computed.

Calculate discounted present value of flows assuming default model. The survival curve treats the coupons as zero recovery payments while the recovery fraction of the par amount is paid at default. For the defaulting principal we discretize the time steps using the coupon payment times. A finer discretization may handle the time value with more accuracy. I reduce any error by averaging period start and period end payment present values.

Calculate clean price value of flows assuming default model. The survival curve treats the coupons as zero recovery payments while the recovery fraction of the par amount is paid at default.

Calculate the rate of total return(capital return and interest) given a BUY YTM and a SELL YTM of this bond. This function computes the dirty prices at buying and selling, plus the coupon payments during the period. It returns a tuple which includes a simple rate of return, a compounded IRR and the PnL.

Print a list of the unadjusted coupon dts and the adjusted payment dates used in the analytic calculations for the bond.

Calculate full NPV of bond.