Python TVM.calc_r Beispiele

Beispiel #1

Datei: bond.py Projekt: pmnyc/Data_Engineering_Collections

 def calc_ytm(self):
     tvm = TVM(self.ttm() * self.freq, 0, -self.mid(),
               self.couponRate / self.freq, 1)  #semiannual payment
     try:
         return tvm.calc_r() * self.freq
     except Exception:
         return None

Beispiel #2

Datei: bond.py Projekt: Abhiquant/quantandfinancial

	def calc_duration(self):
		price = (self.bid+self.ask)/2
		tvm = TVM(n=ttm*self.freq, pv=-price, pmt=self.couponRate/self.freq, fv=1)
		ytm = tvm.calc_r() * self.freq
		ytmDelta = .001
		tvm.r = (ytm-ytmDelta)/b.freq
		priceHigh = -tvm.calc_pv()
		tvm.r = (ytm+ytmDelta)/b.freq
		priceLow =  -tvm.calc_pv()
		duration = ((priceHigh-priceLow)*2 / (priceHigh+priceLow)) / (ytmDelta*2)
		return duration

Beispiel #3

Datei: bond.py Projekt: pmnyc/Data_Engineering_Collections

 def calc_duration(self):
     price = (self.bid + self.ask) / 2
     tvm = TVM(n=ttm * self.freq,
               pv=-price,
               pmt=self.couponRate / self.freq,
               fv=1)
     ytm = tvm.calc_r() * self.freq
     ytmDelta = .001
     tvm.r = (ytm - ytmDelta) / b.freq
     priceHigh = -tvm.calc_pv()
     tvm.r = (ytm + ytmDelta) / b.freq
     priceLow = -tvm.calc_pv()
     duration = ((priceHigh - priceLow) * 2 /
                 (priceHigh + priceLow)) / (ytmDelta * 2)
     return duration

Beispiel #4

Datei: bond.py Projekt: Abhiquant/quantandfinancial

	def calc_ytm(self):
		tvm = TVM(self.ttm()*self.freq, 0, -self.mid(), self.couponRate/self.freq, 1) #semiannual payment
		try:
			return tvm.calc_r() * self.freq
		except Exception:
			return None