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
