def test_excel_example_with_fixed_rate_bond(self): """Port the QuantLib Excel adding bond example to Python. """ todays_date = Date(25, August, 2011) settings = Settings() settings.evaluation_date = todays_date calendar = TARGET() effective_date = Date(10, Jul, 2006) termination_date = calendar.advance(effective_date, 10, Years, convention=Unadjusted) settlement_days = 3 face_amount = 100.0 coupon_rate = 0.05 redemption = 100.0 fixed_bond_schedule = Schedule( effective_date, termination_date, Period(Annual), calendar, ModifiedFollowing, ModifiedFollowing, Backward ) issue_date = effective_date bond = FixedRateBond( settlement_days, face_amount, fixed_bond_schedule, [coupon_rate], ActualActual(ISMA), Following, redemption, issue_date, ) discounting_term_structure = YieldTermStructure(relinkable=True) flat_term_structure = FlatForward( settlement_days=1, forward=0.044, calendar=NullCalendar(), daycounter=Actual365Fixed(), compounding=Continuous, frequency=Annual, ) discounting_term_structure.link_to(flat_term_structure) engine = DiscountingBondEngine(discounting_term_structure) bond.set_pricing_engine(engine) self.assertEquals(Date(10, Jul, 2016), termination_date) self.assertEquals(calendar.advance(todays_date, 3, Days), bond.settlement_date()) self.assertEquals(Date(11, Jul, 2016), bond.maturity_date) self.assertAlmostEqual(0.6849, bond.accrued_amount(bond.settlement_date()), 4) self.assertAlmostEqual(102.1154, bond.clean_price, 4)
def test_excel_example_with_fixed_rate_bond(self): '''Port the QuantLib Excel adding bond example to Python. ''' todays_date = Date(25, August, 2011) settings = Settings() settings.evaluation_date = todays_date calendar = TARGET() effective_date = Date(10, Jul, 2006) termination_date = calendar.advance(effective_date, 10, Years, convention=Unadjusted) settlement_days = 3 face_amount = 100.0 coupon_rate = 0.05 redemption = 100.0 fixed_bond_schedule = Schedule.from_rule(effective_date, termination_date, Period(Annual), calendar, ModifiedFollowing, ModifiedFollowing, Backward) issue_date = effective_date bond = FixedRateBond(settlement_days, face_amount, fixed_bond_schedule, [coupon_rate], ActualActual(ISMA), Following, redemption, issue_date) discounting_term_structure = YieldTermStructure() flat_term_structure = FlatForward(settlement_days=1, forward=0.044, calendar=NullCalendar(), daycounter=Actual365Fixed(), compounding=Continuous, frequency=Annual) discounting_term_structure.link_to(flat_term_structure) engine = DiscountingBondEngine(discounting_term_structure) bond.set_pricing_engine(engine) self.assertEqual(Date(10, Jul, 2016), termination_date) self.assertEqual(calendar.advance(todays_date, 3, Days), bond.settlement_date()) self.assertEqual(Date(11, Jul, 2016), bond.maturity_date) self.assertAlmostEqual(0.6849, bond.accrued_amount(bond.settlement_date()), 4) self.assertAlmostEqual(102.1154, bond.clean_price, 4)
def _bndprice(bond_yield, coupon_rate, pricing_date, maturity_date, period, basis, compounding_frequency): """ Clean price and accrued interest of a bond """ _period = str_to_frequency(period) evaluation_date = pydate_to_qldate(pricing_date) settings = Settings() settings.evaluation_date = evaluation_date calendar = TARGET() termination_date = pydate_to_qldate(maturity_date) # effective date must be before settlement date, but do not # care about exact issuance date of bond effective_date = Date(termination_date.day, termination_date.month, evaluation_date.year) effective_date = calendar.advance(effective_date, -1, Years, convention=Unadjusted) settlement_date = calendar.advance(evaluation_date, 2, Days, convention=ModifiedFollowing) face_amount = 100.0 redemption = 100.0 fixed_bond_schedule = Schedule(effective_date, termination_date, Period(_period), calendar, ModifiedFollowing, ModifiedFollowing, Backward) issue_date = effective_date cnt = DayCounter.from_name(basis) settlement_days = 2 bond = FixedRateBond(settlement_days, face_amount, fixed_bond_schedule, [coupon_rate], cnt, Following, redemption, issue_date) discounting_term_structure = YieldTermStructure(relinkable=True) cnt_yield = DayCounter.from_name('Actual/Actual (Historical)') flat_term_structure = FlatForward(settlement_days=2, forward=bond_yield, calendar=NullCalendar(), daycounter=cnt_yield, compounding=Compounded, frequency=_period) discounting_term_structure.link_to(flat_term_structure) engine = DiscountingBondEngine(discounting_term_structure) bond.set_pricing_engine(engine) price = bond.clean_price ac = bond.accrued_amount(pydate_to_qldate(settlement_date)) return (price, ac)
settlement_days = 3 face_amount = 100.0 coupon_rate = 0.05 redemption = 100.0 fixed_bond_schedule = Schedule(effective_date, termination_date, Period(Annual), calendar, ModifiedFollowing, ModifiedFollowing, Backward) issue_date = effective_date bond = FixedRateBond(settlement_days, face_amount, fixed_bond_schedule, [coupon_rate], ActualActual(ISMA), Following, redemption, issue_date) discounting_term_structure = YieldTermStructure(relinkable=True) flat_term_structure = FlatForward(settlement_days=1, forward=0.044, calendar=NullCalendar(), daycounter=Actual365Fixed(), compounding=Continuous, frequency=Annual) discounting_term_structure.link_to(flat_term_structure) pricing_engine = DiscountingBondEngine(discounting_term_structure) bond.set_pricing_engine(pricing_engine) print('Settlement date: ', bond.settlement_date()) print('Maturity date:', bond.maturity_date) print('Accrued amount: ', bond.accrued_amount(bond.settlement_date())) print('Clean price:', bond.clean_price)
def test_pricing_bond(self): '''Inspired by the C++ code from http://quantcorner.wordpress.com/.''' settings = Settings() # Date setup calendar = TARGET() # Settlement date settlement_date = calendar.adjust(Date(28, January, 2011)) # Evaluation date fixing_days = 1 settlement_days = 1 todays_date = calendar.advance( settlement_date, -fixing_days, Days ) settings.evaluation_date = todays_date # Bound attributes face_amount = 100.0 redemption = 100.0 issue_date = Date(27, January, 2011) maturity_date = Date(31, August, 2020) coupon_rate = 0.03625 bond_yield = 0.034921 discounting_term_structure = YieldTermStructure(relinkable=True) flat_term_structure = FlatForward( reference_date = settlement_date, forward = bond_yield, daycounter = Actual365Fixed(), #actual_actual.ActualActual(actual_actual.Bond), compounding = Compounded, frequency = Semiannual) # have a look at the FixedRateBondHelper to simplify this # construction discounting_term_structure.link_to(flat_term_structure) #Rate fixed_bond_schedule = Schedule( issue_date, maturity_date, Period(Semiannual), UnitedStates(market=GOVERNMENTBOND), Unadjusted, Unadjusted, Backward, False); bond = FixedRateBond( settlement_days, face_amount, fixed_bond_schedule, [coupon_rate], ActualActual(Bond), Unadjusted, redemption, issue_date ) bond.set_pricing_engine(discounting_term_structure) # tests self.assertTrue(Date(27, January, 2011), bond.issue_date) self.assertTrue(Date(31, August, 2020), bond.maturity_date) self.assertTrue(settings.evaluation_date, bond.valuation_date) # the following assertion fails but must be verified self.assertAlmostEqual(101.1, bond.clean_price, 1) self.assertAlmostEqual(101.1, bond.net_present_value, 1) self.assertAlmostEqual(101.1, bond.dirty_price) self.assertAlmostEqual(0.009851, bond.accrued_amount()) print settings.evaluation_date print 'Principal: {}'.format(face_amount) print 'Issuing date: {} '.format(bond.issue_date) print 'Maturity: {}'.format(bond.maturity_date) print 'Coupon rate: {:.4%}'.format(coupon_rate) print 'Yield: {:.4%}'.format(bond_yield) print 'Net present value: {:.4f}'.format(bond.net_present_value) print 'Clean price: {:.4f}'.format(bond.clean_price) print 'Dirty price: {:.4f}'.format(bond.dirty_price) print 'Accrued coupon: {:.6f}'.format(bond.accrued_amount()) print 'Accrued coupon: {:.6f}'.format( bond.accrued_amount(Date(1, March, 2011)) )
def test_pricing_bond(self): '''Inspired by the C++ code from http://quantcorner.wordpress.com/.''' settings = Settings() # Date setup calendar = TARGET() # Settlement date settlement_date = calendar.adjust(Date(28, January, 2011)) # Evaluation date fixing_days = 1 settlement_days = 1 todays_date = calendar.advance(settlement_date, -fixing_days, Days) settings.evaluation_date = todays_date # Bound attributes face_amount = 100.0 redemption = 100.0 issue_date = Date(27, January, 2011) maturity_date = Date(31, August, 2020) coupon_rate = 0.03625 bond_yield = 0.034921 discounting_term_structure = YieldTermStructure(relinkable=True) flat_term_structure = FlatForward( reference_date=settlement_date, forward=bond_yield, daycounter=Actual365Fixed( ), #actual_actual.ActualActual(actual_actual.Bond), compounding=Compounded, frequency=Semiannual) # have a look at the FixedRateBondHelper to simplify this # construction discounting_term_structure.link_to(flat_term_structure) #Rate fixed_bond_schedule = Schedule(issue_date, maturity_date, Period(Semiannual), UnitedStates(market=GOVERNMENTBOND), Unadjusted, Unadjusted, Backward, False) bond = FixedRateBond(settlement_days, face_amount, fixed_bond_schedule, [coupon_rate], ActualActual(Bond), Unadjusted, redemption, issue_date) bond.set_pricing_engine(discounting_term_structure) # tests self.assertTrue(Date(27, January, 2011), bond.issue_date) self.assertTrue(Date(31, August, 2020), bond.maturity_date) self.assertTrue(settings.evaluation_date, bond.valuation_date) # the following assertion fails but must be verified self.assertAlmostEqual(101.1, bond.clean_price, 1) self.assertAlmostEqual(101.1, bond.net_present_value, 1) self.assertAlmostEqual(101.1, bond.dirty_price) self.assertAlmostEqual(0.009851, bond.accrued_amount()) print(settings.evaluation_date) print('Principal: {}'.format(face_amount)) print('Issuing date: {} '.format(bond.issue_date)) print('Maturity: {}'.format(bond.maturity_date)) print('Coupon rate: {:.4%}'.format(coupon_rate)) print('Yield: {:.4%}'.format(bond_yield)) print('Net present value: {:.4f}'.format(bond.net_present_value)) print('Clean price: {:.4f}'.format(bond.clean_price)) print('Dirty price: {:.4f}'.format(bond.dirty_price)) print('Accrued coupon: {:.6f}'.format(bond.accrued_amount())) print('Accrued coupon: {:.6f}'.format( bond.accrued_amount(Date(1, March, 2011))))
bond = FixedRateBond( settlement_days, face_amount, fixed_bond_schedule, [coupon_rate], ActualActual(ISMA), Following, redemption, issue_date ) discounting_term_structure = YieldTermStructure(relinkable=True) flat_term_structure = FlatForward( settlement_days = 1, forward = 0.044, calendar = NullCalendar(), daycounter = Actual365Fixed(), compounding = Continuous, frequency = Annual) discounting_term_structure.link_to(flat_term_structure) pricing_engine = DiscountingBondEngine(discounting_term_structure) bond.set_pricing_engine(pricing_engine) print('Settlement date: ', bond.settlement_date()) print('Maturity date:', bond.maturity_date) print('Accrued amount: ', bond.accrued_amount(bond.settlement_date())) print('Clean price:', bond.clean_price)
def _bndprice(bond_yield, coupon_rate, pricing_date, maturity_date, period, basis, compounding_frequency): """ Clean price and accrued interest of a bond """ _period = str_to_frequency(period) evaluation_date = pydate_to_qldate(pricing_date) settings = Settings() settings.evaluation_date = evaluation_date calendar = TARGET() termination_date = pydate_to_qldate(maturity_date) # effective date must be before settlement date, but do not # care about exact issuance date of bond effective_date = Date(termination_date.day, termination_date.month, evaluation_date.year) effective_date = calendar.advance( effective_date, -1, Years, convention=Unadjusted) settlement_date = calendar.advance( evaluation_date, 2, Days, convention=ModifiedFollowing) face_amount = 100.0 redemption = 100.0 fixed_bond_schedule = Schedule( effective_date, termination_date, Period(_period), calendar, ModifiedFollowing, ModifiedFollowing, Backward ) issue_date = effective_date cnt = DayCounter.from_name(basis) settlement_days = 2 bond = FixedRateBond( settlement_days, face_amount, fixed_bond_schedule, [coupon_rate], cnt, Following, redemption, issue_date ) discounting_term_structure = YieldTermStructure(relinkable=True) cnt_yield = DayCounter.from_name('Actual/Actual (Historical)') flat_term_structure = FlatForward( settlement_days=2, forward=bond_yield, calendar=NullCalendar(), daycounter=cnt_yield, compounding=Compounded, frequency=_period) discounting_term_structure.link_to(flat_term_structure) engine = DiscountingBondEngine(discounting_term_structure) bond.set_pricing_engine(engine) price = bond.clean_price ac = bond.accrued_amount(pydate_to_qldate(settlement_date)) return (price, ac)