bond zero

financepy.products.bonds.bond_zero

Class

BondZero

BondZero(
    issue_dt: Date,
    maturity_dt: Date,
    issue_price: float,
    curve_dc_type: DayCountTypes = <DayCountTypes.ACT_365F: 7>,
) -> None

A zero cpn bond is a bond which doesn't pay any periodic payments. Instead, it is issued at a discount. The entire face value of the bond is paid out at maturity. It is issued as a deep discount bond. There is a special convention for accrued interest in which Accrued_interest = (par - issue price) * D where D = (settle_dt - issue_dt)/(maturity_dt - issue_dt).

Methods

dirty_price_from_ytm


dirty_price_from_ytm(
    self,
    settle_dt: Date,
    ytm: float,
    convention: YTMCalcType = <YTMCalcType.ZERO: 0>,
)

No description available.

principal


principal(
    self,
    settle_dt: Date,
    ytm: float,
    face: float,
    convention: YTMCalcType = <YTMCalcType.ZERO: 0>,
)

Return BBG principal value for a given face amount.

accretion_yield


accretion_yield(
    self,
    settle_dt: Date,
    clean_price: float,
)

Return average annual accretion yield from settlement.

zero_current_yield


zero_current_yield(
    self,
    clean_price: float,
)

Calculate the current yield of the zero coupon bond which is the cpn divided by the clean price (not the full price). The cpn of a zero cpn bond is defined as: (par - issue_price) / tenor

yield_to_maturity


yield_to_maturity(
    self,
    settle_dt: Date,
    clean_price: float,
    convention: YTMCalcType = <YTMCalcType.ZERO: 0>,
)

Return YTM from clean price for a zero coupon bond.

discount_rate


discount_rate(
    self,
    settle_dt: Date,
    clean_price: float,
    convention: YTMCalcType = <YTMCalcType.ZERO: 0>,
)

Return discount rate for a zero coupon bond.

accrued_interest


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

Return accrued discount on a zero coupon bond. Convention: accrued = face * (par - issue_price) / par * (settle_dt - issue_dt) / (maturity_dt - issue_dt)

dollar_duration


dollar_duration(
    self,
    settle_dt: Date,
    ytm: float,
    convention: YTMCalcType = <YTMCalcType.ZERO: 0>,
)

Calculate the analytical dollar duration of a zero coupon bond.

dv01


dv01(
    self,
    settle_dt: Date,
    ytm: float,
    convention: YTMCalcType = <YTMCalcType.ZERO: 0>,
)

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

macaulay_duration


macaulay_duration(
    self,
    settle_dt: Date,
    ytm: float,
    convention: YTMCalcType = <YTMCalcType.ZERO: 0>,
)

Calculate the analytical Macaulay duration of a zero coupon bond.

modified_duration


modified_duration(
    self,
    settle_dt: Date,
    ytm: float,
    convention: YTMCalcType = <YTMCalcType.ZERO: 0>,
)

Calculate the analytical modified duration of a zero coupon bond.

convexity_from_ytm


convexity_from_ytm(
    self,
    settle_dt: Date,
    ytm: float,
    convention: YTMCalcType = <YTMCalcType.ZERO: 0>,
)

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

clean_price_from_ytm


clean_price_from_ytm(
    self,
    settle_dt: Date,
    ytm: float,
    convention: YTMCalcType = <YTMCalcType.ZERO: 0>,
)

Calculate the clean price of a zero coupon bond from its YTM.

clean_price_from_discount_curve


clean_price_from_discount_curve(
    self,
    settle_dt: Date,
    discount_curve: DiscountCurve,
)

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.

dirty_price_from_discount_curve


dirty_price_from_discount_curve(
    self,
    settle_dt: Date,
    discount_curve: DiscountCurve,
)

Return dirty price per 100 nominal using a discount curve.

bond_payments


bond_payments(
    self,
    settle_dt: Date,
    face: float,
)

Return the zero bond redemption payment.

print_payments


print_payments(
    self,
    settle_dt: Date,
    face: float = 100.0,
)

Print a list of the unadjusted cpn payment dates used in analytic calculations for the bond.

dirty_price_from_survival_curve


dirty_price_from_survival_curve(
    self,
    settle_dt: Date,
    discount_curve: DiscountCurve,
    survival_curve: DiscountCurve,
    recovery_rate: float,
)

Return risky dirty price per 100 nominal for a zero coupon bond.

clean_price_from_survival_curve


clean_price_from_survival_curve(
    self,
    settle_dt: Date,
    discount_curve: DiscountCurve,
    survival_curve: DiscountCurve,
    recovery_rate: float,
)

Return risky clean price per 100 nominal for a zero coupon bond.

calc_ror


calc_ror(
    self,
    begin_dt: Date,
    end_dt: Date,
    begin_ytm: float,
    end_ytm: float,
    convention: YTMCalcType = <YTMCalcType.ZERO: 0>,
)

Return annualised simple return, IRR, and PnL for a zero coupon bond.

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