Bond Zero

financepy.products.bonds.bond_zero

Classes

BondZero


BondZero(issue_dt: financepy.utils.date.Date, maturity_dt: financepy.utils.date.Date, issue_price: float, curve_dc_type: financepy.utils.day_count.DayCountTypes = <DayCountTypes.ACT_365F: 7>)

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: financepy.utils.date.Date, ytm: float, convention: financepy.utils.global_types.YTMCalcType = <YTMCalcType.ZERO: 0>)

No description available.

principal


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

Return BBG principal value for a given face amount.

accretion_yield


accretion_yield(self, settle_dt: financepy.utils.date.Date, clean_price)

Return average annual accretion yield from settlement.

current_yield


current_yield(self, clean_price)

Calculate the current yield of the 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: financepy.utils.date.Date, clean_price: float, convention: financepy.utils.global_types.YTMCalcType = <YTMCalcType.ZERO: 0>)

Return YTM from clean price for a zero coupon bond.

discount_rate


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

Return discount rate for a zero coupon bond.

accrued_interest


accrued_interest(self, settle_dt: financepy.utils.date.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: (<class 'financepy.utils.date.Date'>, typing.List), ytm: (<class 'float'>, typing.List), convention: financepy.utils.global_types.YTMCalcType = <YTMCalcType.ZERO: 0>)

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.

dv01


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

Return Macaulay duration of a zero coupon bond.

modified_duration


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

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

convexity_from_ytm


convexity_from_ytm(self, settle_dt: financepy.utils.date.Date, ytm: float, convention: financepy.utils.global_types.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: financepy.utils.date.Date, ytm: float, convention: financepy.utils.global_types.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: financepy.utils.date.Date, discount_curve: financepy.market.curves.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: financepy.utils.date.Date, discount_curve: financepy.market.curves.discount_curve.DiscountCurve)

Return dirty price per 100 nominal using a discount curve.

bond_payments


bond_payments(self, settle_dt: financepy.utils.date.Date, face: float)

Return the zero bond redemption payment.

print_payments


print_payments(self, settle_dt: financepy.utils.date.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: financepy.utils.date.Date, discount_curve: financepy.market.curves.discount_curve.DiscountCurve, survival_curve: financepy.market.curves.discount_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: financepy.utils.date.Date, discount_curve: financepy.market.curves.discount_curve.DiscountCurve, survival_curve: financepy.market.curves.discount_curve.DiscountCurve, recovery_rate: float)

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

calc_ror


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

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

Functions

validate_yield


validate_yield(ytm)

No description available.

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