def test_bloomberg_us_treasury_example(): # https://data.bloomberglp.com/bat/sites/3/2017/07/SF-2017_Paul-Fjeldsted.pdf settlement_date = Date(21, 7, 2017) issue_date = Date(15, 5, 2010) maturity_date = Date(15, 5, 2027) coupon = 0.02375 freq_type = FrequencyTypes.SEMI_ANNUAL accrual_type = DayCountTypes.ACT_ACT_ICMA face = 100.0 bond = Bond(issue_date, maturity_date, coupon, freq_type, accrual_type, face) clean_price = 99.7808417 yld = bond.current_yield(clean_price) assert round(yld, 4) == 0.0238 ytm = bond.yield_to_maturity(settlement_date, clean_price, YTMCalcType.UK_DMO) assert round(ytm, 4) == 0.0240 ytm = bond.yield_to_maturity(settlement_date, clean_price, YTMCalcType.US_STREET) assert round(ytm, 4) == 0.0240 ytm = bond.yield_to_maturity(settlement_date, clean_price, YTMCalcType.US_TREASURY) assert round(ytm, 4) == 0.0240 full_price = bond.full_price_from_ytm(settlement_date, ytm) assert round(full_price, 4) == 100.2149 clean_price = bond.clean_price_from_ytm(settlement_date, ytm) assert round(clean_price, 4) == 99.7825 accrued_interest = bond._accrued_interest assert round(accrued_interest, 4) == 0.4324 accddays = bond._accrued_days assert round(accddays, 4) == 67.0 duration = bond.dollar_duration(settlement_date, ytm) assert round(duration, 4) == 869.0934 modified_duration = bond.modified_duration(settlement_date, ytm) assert round(modified_duration, 4) == 8.6723 macauley_duration = bond.macauley_duration(settlement_date, ytm) assert round(macauley_duration, 4) == 8.7764 conv = bond.convexity_from_ytm(settlement_date, ytm) assert round(conv, 4) == 0.8517
def test_bloomberg_apple_corp_example(): settlement_date = Date(21, 7, 2017) issue_date = Date(13, 5, 2012) maturity_date = Date(13, 5, 2022) coupon = 0.027 freq_type = FrequencyTypes.SEMI_ANNUAL accrual_type = DayCountTypes.THIRTY_E_360_ISDA face = 100.0 bond = Bond(issue_date, maturity_date, coupon, freq_type, accrual_type, face) clean_price = 101.581564 yld = bond.current_yield(clean_price) assert round(yld, 4) == 0.0266 ytm = bond.yield_to_maturity(settlement_date, clean_price, YTMCalcType.UK_DMO) assert round(ytm, 4) == 0.0235 ytm = bond.yield_to_maturity(settlement_date, clean_price, YTMCalcType.US_STREET) assert round(ytm, 4) == 0.0235 ytm = bond.yield_to_maturity(settlement_date, clean_price, YTMCalcType.US_TREASURY) assert round(ytm, 4) == 0.0235 full_price = bond.full_price_from_ytm(settlement_date, ytm) assert round(full_price, 4) == 102.0932 clean_price = bond.clean_price_from_ytm(settlement_date, ytm) assert round(clean_price, 4) == 101.5832 accddays = bond._accrued_days assert accddays == 68 accrued_interest = bond._accrued_interest assert round(accrued_interest, 4) == 0.51 duration = bond.dollar_duration(settlement_date, ytm) assert round(duration, 4) == 456.5778 modified_duration = bond.modified_duration(settlement_date, ytm) assert round(modified_duration, 4) == 4.4722 macauley_duration = bond.macauley_duration(settlement_date, ytm) assert round(macauley_duration, 4) == 4.5247 conv = bond.convexity_from_ytm(settlement_date, ytm) assert round(conv, 4) == 0.2302
def test_bondtutor_example(): # EXAMPLE FROM http://bondtutor.com/btchp4/topic6/topic6.htm accrualConvention = DayCountTypes.ACT_ACT_ICMA y = 0.062267 settlement_date = Date(19, 4, 1994) issue_date = Date(15, 7, 1990) maturity_date = Date(15, 7, 1997) coupon = 0.085 face = ONE_MILLION freq_type = FrequencyTypes.SEMI_ANNUAL bond = Bond(issue_date, maturity_date, coupon, freq_type, accrualConvention, face) full_price = bond.full_price_from_ytm(settlement_date, y) assert round(full_price, 4) == 108.7696 clean_price = bond.clean_price_from_ytm(settlement_date, y) assert round(clean_price, 4) == 106.5625 accrued_interest = bond._accrued_interest assert round(accrued_interest, 4) == 22071.8232 ytm = bond.yield_to_maturity(settlement_date, clean_price) assert round(ytm, 4) == 0.0622 bump = 1e-4 priceBumpedUp = bond.full_price_from_ytm(settlement_date, y + bump) assert round(priceBumpedUp, 4) == 108.7395 priceBumpedDn = bond.full_price_from_ytm(settlement_date, y - bump) assert round(priceBumpedDn, 4) == 108.7998 durationByBump = -(priceBumpedUp - full_price) / bump assert round(durationByBump, 4) == 301.1932 duration = bond.dollar_duration(settlement_date, y) assert round(duration, 4) == 301.2458 assert round(duration - durationByBump, 4) == 0.0526 modified_duration = bond.modified_duration(settlement_date, y) assert round(modified_duration, 4) == 2.7696 macauley_duration = bond.macauley_duration(settlement_date, y) assert round(macauley_duration, 4) == 2.8558 conv = bond.convexity_from_ytm(settlement_date, y) assert round(conv, 4) == 0.0967
def test_Bond(): import pandas as pd path = os.path.join(os.path.dirname(__file__), './data/giltBondPrices.txt') bondDataFrame = pd.read_csv(path, sep='\t') bondDataFrame['mid'] = 0.5 * (bondDataFrame['bid'] + bondDataFrame['ask']) freq_type = FrequencyTypes.SEMI_ANNUAL settlement_date = Date(19, 9, 2012) face = ONE_MILLION for accrual_type in DayCountTypes: testCases.header("MATURITY", "COUPON", "CLEAN_PRICE", "ACCD_DAYS", "ACCRUED", "YTM") for _, bond in bondDataFrame.iterrows(): dateString = bond['maturity'] matDatetime = dt.datetime.strptime(dateString, '%d-%b-%y') maturityDt = fromDatetime(matDatetime) issueDt = Date(maturityDt._d, maturityDt._m, 2000) coupon = bond['coupon'] / 100.0 clean_price = bond['mid'] bond = Bond(issueDt, maturityDt, coupon, freq_type, accrual_type, 100) ytm = bond.yield_to_maturity(settlement_date, clean_price) accrued_interest= bond._accruedInterest accd_days = bond._accrued_days testCases.print("%18s" % maturityDt, "%8.4f" % coupon, "%10.4f" % clean_price, "%6.0f" % accd_days, "%10.4f" % accrued_interest, "%8.4f" % ytm) ########################################################################### # EXAMPLE FROM http://bondtutor.com/btchp4/topic6/topic6.htm accrualConvention = DayCountTypes.ACT_ACT_ICMA y = 0.062267 settlement_date = Date(19, 4, 1994) issue_date = Date(15, 7, 1990) maturity_date = Date(15, 7, 1997) coupon = 0.085 face = ONE_MILLION freq_type = FrequencyTypes.SEMI_ANNUAL bond = Bond(issue_date, maturity_date, coupon, freq_type, accrualConvention, face) testCases.header("FIELD", "VALUE") full_price = bond.full_price_from_ytm(settlement_date, y) testCases.print("Full Price = ", full_price) clean_price = bond.clean_price_from_ytm(settlement_date, y) testCases.print("Clean Price = ", clean_price) accrued_interest= bond._accruedInterest testCases.print("Accrued = ", accrued_interest) ytm = bond.yield_to_maturity(settlement_date, clean_price) testCases.print("Yield to Maturity = ", ytm) bump = 1e-4 priceBumpedUp = bond.full_price_from_ytm(settlement_date, y + bump) testCases.print("Price Bumped Up:", priceBumpedUp) priceBumpedDn = bond.full_price_from_ytm(settlement_date, y - bump) testCases.print("Price Bumped Dn:", priceBumpedDn) durationByBump = -(priceBumpedUp - full_price) / bump testCases.print("Duration by Bump = ", durationByBump) duration = bond.dollar_duration(settlement_date, y) testCases.print("Dollar Duration = ", duration) testCases.print("Duration Difference:", duration - durationByBump) modified_duration = bond.modified_duration(settlement_date, y) testCases.print("Modified Duration = ", modified_duration) macauley_duration = bond.macauley_duration(settlement_date, y) testCases.print("Macauley Duration = ", macauley_duration) conv = bond.convexity_from_ytm(settlement_date, y) testCases.print("Convexity = ", conv) # ASSET SWAP SPREAD # When the libor curve is the flat bond curve then the ASW is zero by # definition flatCurve = DiscountCurveFlat(settlement_date, ytm, FrequencyTypes.SEMI_ANNUAL) testCases.header("FIELD", "VALUE") clean_price = bond.clean_price_from_ytm(settlement_date, ytm) asw = bond.asset_swap_spread(settlement_date, clean_price, flatCurve) testCases.print("Discounted on Bond Curve ASW:", asw * 10000) # When the libor curve is the Libor curve then the ASW is positive libor_curve = buildIborCurve(settlement_date) asw = bond.asset_swap_spread(settlement_date, clean_price, libor_curve) oas = bond.option_adjusted_spread(settlement_date, clean_price, libor_curve) testCases.print("Discounted on LIBOR Curve ASW:", asw * 10000) testCases.print("Discounted on LIBOR Curve OAS:", oas * 10000) p = 90.0 asw = bond.asset_swap_spread(settlement_date, p, libor_curve) oas = bond.option_adjusted_spread(settlement_date, p, libor_curve) testCases.print("Deep discount bond at 90 ASW:", asw * 10000) testCases.print("Deep discount bond at 90 OAS:", oas * 10000) p = 100.0 asw = bond.asset_swap_spread(settlement_date, p, libor_curve) oas = bond.option_adjusted_spread(settlement_date, p, libor_curve) testCases.print("Par bond at 100 ASW:", asw * 10000) testCases.print("Par bond at 100 OAS:", oas * 10000) p = 120.0 asw = bond.asset_swap_spread(settlement_date, p, libor_curve) oas = bond.option_adjusted_spread(settlement_date, p, libor_curve) testCases.print("Above par bond at 120 ASW:", asw * 10000) testCases.print("Above par bond at 120 OAS:", oas * 10000) ########################################################################## # https://data.bloomberglp.com/bat/sites/3/2017/07/SF-2017_Paul-Fjeldsted.pdf # Page 10 TREASURY NOTE SCREENSHOT ########################################################################## testCases.banner("BLOOMBERG US TREASURY EXAMPLE") settlement_date = Date(21, 7, 2017) issue_date = Date(15, 5, 2010) maturity_date = Date(15, 5, 2027) coupon = 0.02375 freq_type = FrequencyTypes.SEMI_ANNUAL accrual_type = DayCountTypes.ACT_ACT_ICMA face = 100.0 bond = Bond(issue_date, maturity_date, coupon, freq_type, accrual_type, face) testCases.header("FIELD", "VALUE") clean_price = 99.7808417 yld = bond.current_yield(clean_price) testCases.print("Current Yield = ", yld) ytm = bond.yield_to_maturity(settlement_date, clean_price, FinYTMCalcType.UK_DMO) testCases.print("UK DMO Yield To Maturity = ", ytm) ytm = bond.yield_to_maturity(settlement_date, clean_price, FinYTMCalcType.US_STREET) testCases.print("US STREET Yield To Maturity = ", ytm) ytm = bond.yield_to_maturity(settlement_date, clean_price, FinYTMCalcType.US_TREASURY) testCases.print("US TREASURY Yield To Maturity = ", ytm) full_price = bond.full_price_from_ytm(settlement_date, ytm) testCases.print("Full Price = ", full_price) clean_price = bond.clean_price_from_ytm(settlement_date, ytm) testCases.print("Clean Price = ", clean_price) accrued_interest= bond._accruedInterest testCases.print("Accrued = ", accrued_interest) accddays = bond._accrued_days testCases.print("Accrued Days = ", accddays) duration = bond.dollar_duration(settlement_date, ytm) testCases.print("Dollar Duration = ", duration) modified_duration = bond.modified_duration(settlement_date, ytm) testCases.print("Modified Duration = ", modified_duration) macauley_duration = bond.macauley_duration(settlement_date, ytm) testCases.print("Macauley Duration = ", macauley_duration) conv = bond.convexity_from_ytm(settlement_date, ytm) testCases.print("Convexity = ", conv) ########################################################################## # Page 11 APPLE NOTE SCREENSHOT ########################################################################## testCases.banner("BLOOMBERG APPLE CORP BOND EXAMPLE") settlement_date = Date(21, 7, 2017) issue_date = Date(13, 5, 2012) maturity_date = Date(13, 5, 2022) coupon = 0.027 freq_type = FrequencyTypes.SEMI_ANNUAL accrual_type = DayCountTypes.THIRTY_E_360_ISDA face = 100.0 bond = Bond(issue_date, maturity_date, coupon, freq_type, accrual_type, face) testCases.header("FIELD", "VALUE") clean_price = 101.581564 yld = bond.current_yield(clean_price) testCases.print("Current Yield", yld) ytm = bond.yield_to_maturity(settlement_date, clean_price, FinYTMCalcType.UK_DMO) testCases.print("UK DMO Yield To Maturity", ytm) ytm = bond.yield_to_maturity(settlement_date, clean_price, FinYTMCalcType.US_STREET) testCases.print("US STREET Yield To Maturity", ytm) ytm = bond.yield_to_maturity(settlement_date, clean_price, FinYTMCalcType.US_TREASURY) testCases.print("US TREASURY Yield To Maturity", ytm) full_price = bond.full_price_from_ytm(settlement_date, ytm) testCases.print("Full Price", full_price) clean_price = bond.clean_price_from_ytm(settlement_date, ytm) testCases.print("Clean Price", clean_price) accddays = bond._accrued_days testCases.print("Accrued Days", accddays) accrued_interest= bond._accruedInterest testCases.print("Accrued", accrued_interest) duration = bond.dollar_duration(settlement_date, ytm) testCases.print("Dollar Duration", duration) modified_duration = bond.modified_duration(settlement_date, ytm) testCases.print("Modified Duration", modified_duration) macauley_duration = bond.macauley_duration(settlement_date, ytm) testCases.print("Macauley Duration", macauley_duration) conv = bond.convexity_from_ytm(settlement_date, ytm) testCases.print("Convexity", conv)