def payment_dates(settle, maturity):
"""
Generates the payment dates between settle and maturity in brazilian markets
:param settle:
:param maturity:
:return:
"""
date_s = dt.date_dmy(settle)
date_m = dt.date_dmy(maturity)
ys, _, _ = dt.date2ymd(date_s)
ym, _, _ = dt.date2ymd(date_m)
dates = []
for year in range(ys, ym + 1):
# payment at 01/01/xx
dsemester1 = dt.ymd2date(year, 1, 1)
# payment at 01/07/xx
dsemester2 = dt.ymd2date(year, 7, 1)
dates.extend([dsemester1, dsemester2])
dates = [d for d in dates if date_s < d <= date_m]
dates[0] = dt.daysadd(dates[0], -1)
return dates
def date_range(self, start_date, end_date):
if self.serie_type == "rserie":
return None
start_date = dtime.date_dmy(start_date)
end_date = dtime.date_dmy(end_date)
table = [self.time]
list(map(table.append, self.data))
table = list(zip(*table))
table2 = [d for d in table if start_date <= d[0] <= end_date]
table2 = list(zip(*table2))
return Tserie(time=table2[0], data=table2[1:])
def bond_price(ytm,
settle,
maturity,
couponRate=0.0,
facevalue=1000.0,
coupondates=[]):
"""
Pre-Fixed Brazilian bonds calculations
:param ytm: Yield to maturity rate
:param settle: settle date
:param maturity: Maturity date
:param couponRate: Coupon interest compounded twice per year [default = 0.0]
:param facevalue: Face Value [default: 1000.0 ]
:return: price
Where:
price : bond price
"""
# ytm = abs(ytm)
couponRate = (1 + couponRate)**0.5 - 1
date0 = dt.date_dmy(settle)
daten = dt.date_dmy(maturity)
if couponRate and not coupondates:
coupondates = payment_dates(settle, maturity)
PV = 0
for date in coupondates:
# Number of business days between settle and
# coupon payment
N = dt.daysbus(date0, date)
f = N / 252.0
#print dict(N=N, f=f, date=dt.date2str_dmy(date))
PV += round(1 / (1 + ytm)**f, 8)
Nm = dt.daysbus(date0, daten)
fm = Nm / 252.0
PV = facevalue * (couponRate * PV + round(1 / (1 + ytm)**fm, 8))
return round(PV, 2)
pprint(zip(dates, values)[0:10])
s.scrap(link)
link = get_nextlink()
print("Next = ", link)
if not link:
break
print("----------")
_dates = column(data, 0)
values = column(data, 1)
dates = [dt.date_dmy(d, '/') for d in _dates]
values = [float(s.replace(',', '.')) for s in values]
usd2brl = Tserie(
dates,
[values],
headers=["rate"],
name="usd2brl",
description="Dollar to BRL exchange Rate",
dataprovider="https://www.debit.com.br",
url=
"https://www.debit.com.br/consulta20.php?indexador=12&imes=01&iano=2000&fmes=12&fano=2014",
)
thisdir = utils.this_dir()
datasets = utils.resource_path("datasets")
def bond_yield(price, couponRate, settle, maturity, facevalue=1000.0):
"""
Calculates the Bond Yield or Internal rate of return.
:param price: Spot Price of the bond
:param couponRate: Coupon interest rate per year
:param settle: Settlement date
:param maturity: Maturity date
:return:
"""
couponRate = (1 + couponRate)**0.5 - 1
from m2py.numerical import roots
date0 = dt.date_dmy(settle)
daten = dt.date_dmy(maturity)
if couponRate:
coupondates = payment_dates(settle, maturity)
else:
coupondates = []
expoents = []
coefficients = []
k = couponRate
for date in coupondates:
# Number of business days between settle and
# coupon payment
N = dt.daysbus(date0, date)
c = N / 252.0
#print dict(c=c, N=N)
expoents.append(c)
coefficients.append(k)
# Assemble Equation
# PV: Price, FV: Face Value
#
# f(x) = a1.X^c1 + a2.X^c2 + .... + an.X^cn + a0
# f(x) = kX^c1 + kX^c2 + k.X^c3 + ... + (k+1).X^Cn - PV/FV
#
# a1 = k, a2 = k, a3 = k, .... an= k+1, a0 = -PV/FV
# c0 = 0
#
# x = 1/(1+YMT)
#
coefficients[-1] = coefficients[-1] + 1
coefficients.append(-price / facevalue)
expoents.append(0)
#from pprint import pprint
#pprint(zip(coefficients, expoents))
equation = make_expsum_function(coefficients, expoents)
#print "result = ", equation(1 / (0.1652 + 1))
#print stefessen(equation, 0.46, 1e-3, 200)
#result = roots.regualfalsi(equation, 0, 1, 1e-6, 400)
result = roots.steffenssen(equation, 1, 1e-6, 400)
print(result)
x = result[0]
#print "x = ", x
YTM = 1 / x - 1
return YTM