FinancePy

FinancePy API Reference

Bond Inflation

financepy.products.bonds.bond_inflation

Classes

BondInflation

BondInflation(issue_dt: financepy.utils.date.Date, maturity_dt: financepy.utils.date.Date, cpn: float, freq_type: financepy.utils.frequency.FrequencyTypes, accrual_dc_type: financepy.utils.day_count.DayCountTypes, ex_div_days: int, base_cpi_value: float, num_ex_dividend_days: int = 0, cal_type: financepy.utils.calendar.CalendarTypes = <CalendarTypes.NONE: 1>)
Inherits from: Bond
Class for inflation-linked bonds like TIPS and related analytics. These are bonds with coupon and principal adjusted by an index such as the CPI. We inherit from the Bond class.

Methods

inflation_principal

inflation_principal(self, settle_dt: financepy.utils.date.Date, face: float, ytm: float, reference_cpi: float, convention: financepy.utils.global_types.YTMCalcType)
Calculate the principal value of the bond based on the face amount and the CPI growth.

flat_price_from_yield_to_maturity

flat_price_from_yield_to_maturity(self, settle_dt: financepy.utils.date.Date, ytm: float, last_cpn_cpi: float, convention: financepy.utils.global_types.YTMCalcType)
Calculate the flat clean price value of the bond based on the clean price amount and the CPI growth to the last coupon date.

inflation_accrued_interest

inflation_accrued_interest(self, settle_dt: financepy.utils.date.Date, face: float, reference_cpi)
Calculate the amount of coupon that has accrued between the previous coupon date and the settlement date. This is adjusted by the index ratio in line with the CPI growth since the bond base CPI date. We assume no ex-dividend period.
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