def test_yields_from_pvs_no_group(self):
dtypes = [np.float32, np.float64]
for dtype in dtypes:
coupon_rate = 0.04
# Fifteen year bond with semi-annual coupons.
cashflows = np.array(
[coupon_rate * 500] * 29 + [1000 + coupon_rate * 500], dtype=dtype)
pv = 995.50315587
times = np.linspace(0.5, 15, num=30).astype(dtype)
expected_yield_rate = 0.04
actual_yield_rate = self.evaluate(
cashflows_lib.yields_from_pv(cashflows, times, [pv], dtype=dtype))
np.testing.assert_allclose(expected_yield_rate, actual_yield_rate)
def test_yield_saturated_pv(self):
dtypes = [np.float32, np.float64]
for dtype in dtypes:
# 2 and 3 year bonds with 1000 face value and 4%, 6% semi-annual coupons.
cashflows = np.array([20, 20, 20, 1020, 30, 30, 30, 30, 30, 1030],
dtype=dtype)
times = np.array([0.5, 1, 1.5, 2, 0.5, 1, 1.50, 2, 2.5, 3], dtype=dtype)
groups = np.array([0] * 4 + [1] * 6)
pvs = np.array([1080., 1180.])
expected_yields = [0., 0.]
actual_yields = self.evaluate(
cashflows_lib.yields_from_pv(
cashflows, times, pvs, groups=groups, dtype=dtype))
np.testing.assert_allclose(expected_yields, actual_yields, atol=1e-9)
def test_yields_from_pv_grouped(self):
dtypes = [np.float32, np.float64]
for dtype in dtypes:
# 2 and 3 year bonds with 1000 face value and 4%, 6% semi-annual coupons.
cashflows = np.array([20, 20, 20, 1020, 30, 30, 30, 30, 30, 1030],
dtype=dtype)
times = np.array([0.5, 1, 1.5, 2, 0.5, 1, 1.50, 2, 2.5, 3], dtype=dtype)
groups = np.array([0] * 4 + [1] * 6)
pvs = np.array([942.71187528177757, 1025.7777300221542])
expected_yield_rates = [0.07, 0.05]
actual_yield_rates = self.evaluate(
cashflows_lib.yields_from_pv(
cashflows, times, pvs, groups=groups, dtype=dtype))
np.testing.assert_allclose(
expected_yield_rates, actual_yield_rates, atol=1e-7)
def _initial_discount_rates(bond_cashflows,
bond_cashflow_times,
present_values,
name='initial_discount_rates'):
"""Constructs a guess for the initial rates as the yields to maturity."""
n = len(bond_cashflows)
groups = []
for i in range(n):
groups.append(tf.fill(tf.shape(bond_cashflows[i]), i))
bond_cashflows = tf.concat(bond_cashflows, axis=0)
bond_cashflow_times = tf.concat(bond_cashflow_times, axis=0)
groups = tf.concat(groups, axis=0)
return cashflows.yields_from_pv(bond_cashflows,
bond_cashflow_times,
present_values,
groups=groups,
name=name)
def test_yield_small_pv(self):
"""Tests in the limit where implied yields are high."""
dtypes = [np.float32, np.float64]
for dtype in dtypes:
# 2 and 3 year bonds with 1000 face value and 4%, 6% semi-annual coupons.
cashflows = np.array([20, 20, 20, 1020, 30, 30, 30, 30, 30, 1030],
dtype=dtype)
times = np.array([0.5, 1, 1.5, 2, 0.5, 1, 1.50, 2, 2.5, 3], dtype=dtype)
groups = np.array([0] * 4 + [1] * 6)
pvs = np.array([7.45333412e-05, 2.27476813e-08])
expected_yields = [25.0, 42.0]
actual_yields = self.evaluate(
cashflows_lib.yields_from_pv(
cashflows,
times,
pvs,
groups=groups,
dtype=dtype,
max_iterations=30))
np.testing.assert_allclose(expected_yields, actual_yields, atol=1e-9)
