Bond Embedded Option
financepy.products.bonds.bond_embedded_option
Classes
BondEmbeddedOption
BondEmbeddedOption(issue_dt: financepy.utils.date.Date, maturity_dt: financepy.utils.date.Date, coupon: float, freq_type: financepy.utils.frequency.FrequencyTypes, accrual_dc_type: financepy.utils.day_count.DayCountTypes, call_dts: List[financepy.utils.date.Date], call_prices: numpy.ndarray, put_dts: List[financepy.utils.date.Date], put_prices: numpy.ndarray)
Class for fixed coupon bonds with embedded call or put optionality.
Methods
value
value(self, settle_dt: financepy.utils.date.Date, discount_curve: financepy.market.curves.discount_curve.DiscountCurve, model)
Value the bond that settles on the specified date that can have
both embedded call and put options. This is done using the specified
model and a discount curve.
BondModelTypes
BondModelTypes(*values)
Inherits from: Enum
Create a collection of name/value pairs.
Example enumeration:
>>> class Color(Enum):
... RED = 1
... BLUE = 2
... GREEN = 3
Access them by:
- attribute access:
>>> Color.RED
<Color.RED: 1>
- value lookup:
>>> Color(1)
<Color.RED: 1>
- name lookup:
>>> Color['RED']
<Color.RED: 1>
Enumerations can be iterated over, and know how many members they have:
>>> len(Color)
3
>>> list(Color)
[<Color.RED: 1>, <Color.BLUE: 2>, <Color.GREEN: 3>]
Methods can be added to enumerations, and members can have their own
attributes -- see the documentation for details.
BondOptionTypes
BondOptionTypes(*values)
Inherits from: Enum
Create a collection of name/value pairs.
Example enumeration:
>>> class Color(Enum):
... RED = 1
... BLUE = 2
... GREEN = 3
Access them by:
- attribute access:
>>> Color.RED
<Color.RED: 1>
- value lookup:
>>> Color(1)
<Color.RED: 1>
- name lookup:
>>> Color['RED']
<Color.RED: 1>
Enumerations can be iterated over, and know how many members they have:
>>> len(Color)
3
>>> list(Color)
[<Color.RED: 1>, <Color.BLUE: 2>, <Color.GREEN: 3>]
Methods can be added to enumerations, and members can have their own
attributes -- see the documentation for details.
Generated automatically from the FinancePy source code.
Do not edit this file manually.