def __init__(self, maturity_date=None, coupon=None, issue_date=None, tenor=None, cf=None, name=None):
self.name = name
self.coupon = coupon
self.cf = cf
self.maturity_date = to_datetime(maturity_date)
if tenor is not None:
self._issue_date = issue_date
self.tenor = tenor
else:
self._tenor = tenor
self.issue_date = self.holiday_cal.next_b_day(issue_date, 0)
def _price_yield_setup(self, settle_date, tplus=0):
"""
Does set up work
:param settle_date:
:return:
"""
maturity_date = self.maturity_date
issue_date = self.issue_date
coupon = self.coupon
if maturity_date is None:
return None, None, None, None
if tplus == 0:
settle_date = to_datetime(settle_date)
else:
settle_date = self.holiday_cal.next_b_day(settle_date, tplus)
if settle_date >= maturity_date:
return None, None, None, None
if issue_date is not None and settle_date < issue_date:
settle_date = issue_date
coupon *= 100
cash_flows = ust_get_cash_flow(settle_date, maturity_date)
cf0, cf1 = cash_flows[:2]
cash_flow_count = len(cash_flows) - 1
accrual_time = float((settle_date - cf0).days) / float((cf1 - cf0).days)
accrued_interest = coupon * accrual_time / 2
cf_times = [1 - accrual_time + i for i in xrange(cash_flow_count)]
cf_times.append(cf_times[-1])
cf_values = [coupon / 2 for _ in xrange(cash_flow_count)]
cf_values.append(100)
price_fun = lambda ytm: sum(cf * (1 + ytm / 2) ** -t for cf, t in zip(cf_values, cf_times))
return accrued_interest, cf_times, cf_values, price_fun
def maturity_date(self, today):
self._maturity_date = to_datetime(today)
