bond perpetual

financepy.products.bonds.bond_perpetual

Class

BondPerpetual

BondPerpetual(
    issue_dt: Date,
    coupon: float,
    freq_type: FrequencyTypes,
    accrual_dc_type: DayCountTypes = <DayCountTypes.ACT_ACT_ICMA: 6>,
    first_coupon_dt: Date | None = None,
    ex_div_days: int = 0,
    cal_type: CalendarTypes = <CalendarTypes.WEEKEND: 2>,
    bd_type: BusDayAdjustTypes = <BusDayAdjustTypes.FOLLOWING: 2>,
) -> None

Inherits from: Product

Class for perpetual bonds (Consols / undated debt). These instruments have regular periodic coupon payments of a known rate and have no maturity date (T = infinity). The principal is never repaid.

Methods

accrued_interest


accrued_interest(
    self,
    settle_dt: Date,
    face: float = 100.0,
) -> float

Calculate the amount of coupon accrued between the previous coupon date and the settlement date.

dirty_price_from_ytm


dirty_price_from_ytm(
    self,
    settle_dt: Date,
    ytm: float | list[float] | numpy.ndarray,
    convention: YTMCalcType = <YTMCalcType.UK_DMO: 1>,
) -> float | numpy.ndarray

Calculate the dirty price of a perpetual bond from its yield to maturity. Supports vectorization with respect to yield inputs.

clean_price_from_ytm


clean_price_from_ytm(
    self,
    settle_dt: Date,
    ytm: float | list[float] | numpy.ndarray,
    convention: YTMCalcType = <YTMCalcType.UK_DMO: 1>,
) -> float | numpy.ndarray

Calculate the clean price of a perpetual bond from its yield to maturity.

yield_to_maturity


yield_to_maturity(
    self,
    settle_dt: Date,
    clean_price: float | list[float] | numpy.ndarray,
    convention: YTMCalcType = <YTMCalcType.UK_DMO: 1>,
) -> float | numpy.ndarray

Calculate the yield to maturity (yield to perpetuity) from clean price.

current_yield


current_yield(
    self,
    settle_dt: Date,
    clean_price: float | list[float] | numpy.ndarray,
) -> float | numpy.ndarray

Calculate the bond's current yield: coupon / clean_price.

dv01


dv01(
    self,
    settle_dt: Date,
    ytm: float,
    convention: YTMCalcType = <YTMCalcType.UK_DMO: 1>,
) -> float

Calculate the DV01 (dollar value of 1 basis point increase in yield).

dollar_duration


dollar_duration(
    self,
    settle_dt: Date,
    ytm: float,
    convention: YTMCalcType = <YTMCalcType.UK_DMO: 1>,
) -> float

Calculate dollar duration: 10,000 * DV01.

modified_duration


modified_duration(
    self,
    settle_dt: Date,
    ytm: float,
    convention: YTMCalcType = <YTMCalcType.UK_DMO: 1>,
) -> float

Calculate modified duration: dollar_duration / dirty_price.

macaulay_duration


macaulay_duration(
    self,
    settle_dt: Date,
    ytm: float,
    convention: YTMCalcType = <YTMCalcType.UK_DMO: 1>,
) -> float

Calculate Macaulay duration: modified_duration * (1 + ytm / freq).

convexity_from_ytm


convexity_from_ytm(
    self,
    settle_dt: Date,
    ytm: float,
    convention: YTMCalcType = <YTMCalcType.UK_DMO: 1>,
) -> float

Calculate convexity from yield to maturity: (1 / P) * (d^2 P / dy^2).

dirty_price_from_discount_curve


dirty_price_from_discount_curve(
    self,
    settle_dt: Date,
    discount_curve: DiscountCurve,
    horizon_years: float = 100.0,
) -> float

Calculate the dirty price of the perpetual bond from an arbitrary discount curve. Coupons falling within horizon_years of settlement are discounted off the curve one by one. The perpetuity beyond the horizon is valued as a tail that continues the curve's forward rate over the final coupon period, so a sloped curve is not truncated at a spot rate.

clean_price_from_discount_curve


clean_price_from_discount_curve(
    self,
    settle_dt: Date,
    discount_curve: DiscountCurve,
    horizon_years: float = 100.0,
) -> float

Calculate the clean price of the perpetual bond from a discount curve.

value


value(
    self,
    value_dt: Date,
    discount_curve: DiscountCurve,
    *args,
    **kwargs,
) -> float

Evaluate the clean price of the perpetual bond on value_dt using the provided discount curve, adhering to the Product interface.

Generated automatically from the FinancePy source code. Do not edit this file manually.