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
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
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
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