def cfamounts(coupon_rate, pricing_date, maturity_date, period, basis):
"""
Calculate price and accrued interest
Args:
coupon_rate: coupon rate in decimal form (5% = .05)
pricing_date: the date where market data is observed. Settlement
is by default 2 days after pricing_date
maturity_date: ... bond
period: periodicity of coupon payments
basis: day count basis for computing accrued interest
Returns:
cf_amounts: cash flow amount
cf_dates: cash flow dates
"""
args = locals()
the_shape, shape = common_shape(args)
all_scalars = np.all([shape[key][0] == 'scalar' for key in shape])
if all_scalars:
cf_a, cf_d = _cfamounts(**args)
else:
raise Exception('Only scalar inputs are handled')
return (cf_a, cf_d)
def cfamounts(coupon_rate, pricing_date, maturity_date,
period, basis):
"""
Calculate price and accrued interest
Args:
coupon_rate: coupon rate in decimal form (5% = .05)
pricing_date: the date where market data is observed. Settlement
is by default 2 days after pricing_date
maturity_date: ... bond
period: periodicity of coupon payments
basis: day count basis for computing accrued interest
Returns:
cf_amounts: cash flow amount
cf_dates: cash flow dates
"""
args = locals()
the_shape, shape = common_shape(args)
all_scalars = np.all([shape[key][0] == 'scalar' for key in shape])
if all_scalars:
cf_a, cf_d = _cfamounts(**args)
else:
raise Exception('Only scalar inputs are handled')
return (cf_a, cf_d)
def blsimpv(price, spot, strike, risk_free_rate, time,
option_type='Call', dividend=0.0):
args = locals()
the_shape, shape = common_shape(args)
all_scalars = np.all([shape[key][0] == 'scalar' for key in shape])
if all_scalars:
res = _blsimpv(**args)
else:
res = array_call(_blsimpv, shape, args)
return res
def bndprice(bond_yield,
coupon_rate,
pricing_date,
maturity_date,
period,
basis,
compounding_frequency=None):
"""
Calculate price and accrued interest
Args:
bond_yield: compound yield to maturity
coupon_rate: coupon rate in decimal form (5% = .05)
pricing_date: the date where market data is observed. Settlement
is by default 2 days after pricing_date
maturity_date: ... bond
period: periodicity of coupon payments
basis: day count basis for computing accrued interest
compounding_frequency: ... of yield. By default: annual for ISMA,
semi annual otherwise
Returns:
price: clean price
ac: accrued interest
"""
args = locals()
the_shape, shape = common_shape(args)
if DEBUG:
print(the_shape)
print(shape)
print(values)
all_scalars = np.all([shape[key][0] == 'scalar' for key in shape])
if all_scalars:
price, ac = _bndprice(**args)
else:
res = array_call(_bndprice, shape, args)
price = np.reshape([x[0] for x in res], the_shape)
ac = np.reshape([x[1] for x in res], the_shape)
return (price, ac)
def blsprice(spot, strike, risk_free_rate, time, volatility,
option_type=Call, dividend=0.0, calc='price'):
"""
Matlab's blsprice + greeks (delta, gamma, theta, rho, vega, lambda)
"""
args = locals()
the_shape, shape = common_shape(args)
all_scalars = np.all([shape[key][0] == 'scalar' for key in shape])
if all_scalars:
res = _blsprice(**args)
else:
res = array_call(_blsprice, shape, args)
res = np.reshape(res, the_shape)
return res
def bndprice(bond_yield, coupon_rate, pricing_date, maturity_date,
period, basis, compounding_frequency=None):
"""
Calculate price and accrued interest
Args:
bond_yield: compound yield to maturity
coupon_rate: coupon rate in decimal form (5% = .05)
pricing_date: the date where market data is observed. Settlement
is by default 2 days after pricing_date
maturity_date: ... bond
period: periodicity of coupon payments
basis: day count basis for computing accrued interest
compounding_frequency: ... of yield. By default: annual for ISMA,
semi annual otherwise
Returns:
price: clean price
ac: accrued interest
"""
args = locals()
the_shape, shape = common_shape(args)
if DEBUG:
print(the_shape)
print(shape)
print(values)
all_scalars = np.all([shape[key][0] == 'scalar' for key in shape])
if all_scalars:
price, ac = _bndprice(**args)
else:
res = array_call(_bndprice, shape, args)
price = np.reshape([x[0] for x in res], the_shape)
ac = np.reshape([x[1] for x in res], the_shape)
return (price, ac)