def test_FinBondPortfolio():
import pandas as pd
bondDataFrame = pd.read_csv('./data/giltbondprices.txt', sep='\t')
bondDataFrame['mid'] = 0.5 * (bondDataFrame['bid'] + bondDataFrame['ask'])
frequencyType = FinFrequencyTypes.SEMI_ANNUAL
accrualType = FinDayCountTypes.ACT_ACT_ICMA
settlement = FinDate(2012, 9, 19)
testCases.header("DCTYPE", "MATDATE", "CPN", "PRICE", "ACCD", "YTM")
for accrualType in FinDayCountTypes:
for index, bond in bondDataFrame.iterrows():
dateString = bond['maturity']
matDatetime = dt.datetime.strptime(dateString, '%d-%b-%y')
maturityDt = FinDate.fromDatetime(matDatetime)
coupon = bond['coupon'] / 100.0
cleanPrice = bond['mid']
bond = FinBond(maturityDt, coupon, frequencyType, accrualType)
ytm = bond.yieldToMaturity(settlement, cleanPrice)
accd = bond._accrued
testCases.print(accrualType, maturityDt, coupon * 100.0,
cleanPrice, accd, ytm * 100.0)
def test_FinBondZeroCurve():
import pandas as pd
bondDataFrame = pd.read_csv('./data/giltbondprices.txt', sep='\t')
bondDataFrame['mid'] = 0.5*(bondDataFrame['bid'] + bondDataFrame['ask'])
frequencyType = FinFrequencyTypes.SEMI_ANNUAL
accrualType = FinDayCountTypes.ACT_ACT_ICMA
settlement = FinDate(2012, 9, 19)
bonds = []
cleanPrices = []
for index, bondRow in bondDataFrame.iterrows():
dateString = bondRow['maturity']
matDatetime = dt.datetime.strptime(dateString, '%d-%b-%y')
maturityDt = FinDate.fromDatetime(matDatetime)
coupon = bondRow['coupon']/100.0
cleanPrice = bondRow['mid']
bond = FinBond(maturityDt, coupon, frequencyType, accrualType)
bonds.append(bond)
cleanPrices.append(cleanPrice)
###############################################################################
bondCurve = FinBondZeroCurve(settlement, bonds, cleanPrices)
testCases.header("DATE", "ZERO RATE")
for index, bond in bondDataFrame.iterrows():
dateString = bond['maturity']
matDatetime = dt.datetime.strptime(dateString, '%d-%b-%y')
maturityDt = FinDate.fromDatetime(matDatetime)
zeroRate = bondCurve.zeroRate(maturityDt)
testCases.print(maturityDt, zeroRate)
bondCurve.plot("BOND CURVE")
def test_FinBond():
import pandas as pd
bondDataFrame = pd.read_csv('./data/giltbondprices.txt', sep='\t')
bondDataFrame['mid'] = 0.5*(bondDataFrame['bid'] + bondDataFrame['ask'])
frequencyType = FinFrequencyTypes.SEMI_ANNUAL
settlement = FinDate(2012, 9, 19)
for accrualType in FinDayCountTypes:
testCases.header("MATURITY", "COUPON", "CLEAN_PRICE", "ACCD_DAYS",
"ACCRUED", "YTM")
for index, bond in bondDataFrame.iterrows():
dateString = bond['maturity']
matDatetime = dt.datetime.strptime(dateString, '%d-%b-%y')
maturityDt = FinDate.fromDatetime(matDatetime)
coupon = bond['coupon']/100.0
cleanPrice = bond['mid']
bond = FinBond(maturityDt, coupon, frequencyType, accrualType)
ytm = bond.yieldToMaturity(settlement, cleanPrice)
accd = bond._accrued
accd_days = bond._accruedDays
testCases.print("%18s" % maturityDt, "%8.4f" % coupon,
"%10.4f" % cleanPrice, "%6.0f" % accd_days,
"%10.4f" % accd, "%8.4f" % ytm)
# EXAMPLE FROM http://bondtutor.com/btchp4/topic6/topic6.htm
accrualConvention = FinDayCountTypes.ACT_ACT_ICMA
y = 0.062267
settlementDate = FinDate(1994, 4, 19)
maturityDate = FinDate(1997, 7, 15)
coupon = 0.085
face = 1.0
freqType = FinFrequencyTypes.SEMI_ANNUAL
bond = FinBond(maturityDate, coupon, freqType, accrualConvention, face)
testCases.header("FIELD", "VALUE")
fullPrice = bond.fullPriceFromYield(settlementDate, y)
testCases.print("Full Price = ", fullPrice)
cleanPrice = bond.cleanPriceFromYield(settlementDate, y)
testCases.print("Clean Price = ", cleanPrice)
accd = bond._accrued
testCases.print("Accrued = ", accd)
ytm = bond.yieldToMaturity(settlementDate, cleanPrice)
testCases.print("Yield to Maturity = ", ytm)
bump = 1e-4
priceBumpedUp = bond.fullPriceFromYield(settlementDate, y + bump)
testCases.print("Price Bumped Up:", priceBumpedUp)
priceBumpedDn = bond.fullPriceFromYield(settlementDate, y - bump)
testCases.print("Price Bumped Dn:", priceBumpedDn)
durationByBump = -(priceBumpedUp - fullPrice) / bump
testCases.print("Duration by Bump = ", durationByBump)
duration = bond.dollarDuration(settlementDate, y)
testCases.print("Dollar Duration = ", duration)
testCases.print("Duration Difference:", duration - durationByBump)
modifiedDuration = bond.modifiedDuration(settlementDate, y)
testCases.print("Modified Duration = ", modifiedDuration)
macauleyDuration = bond.macauleyDuration(settlementDate, y)
testCases.print("Macauley Duration = ", macauleyDuration)
conv = bond.convexityFromYield(settlementDate, 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 = FinFlatCurve(settlementDate,
ytm,
2)
testCases.header("FIELD", "VALUE")
cleanPrice = bond.cleanPriceFromYield(settlementDate, ytm)
asw = bond.assetSwapSpread(settlementDate, cleanPrice, flatCurve)
testCases.print("Discounted on Bond Curve ASW:", asw * 10000)
# When the libor curve is the Libor curve then the ASW is positive
liborCurve = buildLiborCurve(settlementDate)
asw = bond.assetSwapSpread(settlementDate, cleanPrice, liborCurve)
oas = bond.optionAdjustedSpread(settlementDate, cleanPrice, liborCurve)
testCases.print("Discounted on LIBOR Curve ASW:", asw * 10000)
testCases.print("Discounted on LIBOR Curve OAS:", oas * 10000)
p = 0.90
asw = bond.assetSwapSpread(settlementDate, p, liborCurve)
oas = bond.optionAdjustedSpread(settlementDate, p, liborCurve)
testCases.print("Deep discount bond at 90 ASW:", asw * 10000)
testCases.print("Deep discount bond at 90 OAS:", oas * 10000)
p = 1.00
asw = bond.assetSwapSpread(settlementDate, p, liborCurve)
oas = bond.optionAdjustedSpread(settlementDate, p, liborCurve)
testCases.print("Par bond at 100 ASW:", asw * 10000)
testCases.print("Par bond at 100 OAS:", oas * 10000)
p = 1.20
asw = bond.assetSwapSpread(settlementDate, p, liborCurve)
oas = bond.optionAdjustedSpread(settlementDate, p, liborCurve)
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")
settlementDate = FinDate(2017, 7, 21)
maturityDate = FinDate(2027, 5, 15)
coupon = 0.02375
freqType = FinFrequencyTypes.SEMI_ANNUAL
accrualType = FinDayCountTypes.ACT_ACT_ICMA
face = 100.0
bond = FinBond(maturityDate,
coupon,
freqType,
accrualType,
face)
testCases.header("FIELD", "VALUE")
cleanPrice = 99.780842
yld = bond.currentYield(cleanPrice)
testCases.print("Current Yield = ", yld)
ytm = bond.yieldToMaturity(settlementDate, cleanPrice,
FinYieldConventions.UK_DMO)
testCases.print("UK DMO Yield To Maturity = ", ytm)
ytm = bond.yieldToMaturity(settlementDate, cleanPrice,
FinYieldConventions.US_STREET)
testCases.print("US STREET Yield To Maturity = ", ytm)
ytm = bond.yieldToMaturity(settlementDate, cleanPrice,
FinYieldConventions.US_TREASURY)
testCases.print("US TREASURY Yield To Maturity = ", ytm)
fullPrice = bond.fullPriceFromYield(settlementDate, ytm)
testCases.print("Full Price = ", fullPrice)
cleanPrice = bond.cleanPriceFromYield(settlementDate, ytm)
testCases.print("Clean Price = ", cleanPrice)
accd = bond._accrued
testCases.print("Accrued = ", accd)
accddays = bond._accruedDays
testCases.print("Accrued Days = ", accddays)
duration = bond.dollarDuration(settlementDate, ytm)
testCases.print("Dollar Duration = ", duration)
modifiedDuration = bond.modifiedDuration(settlementDate, ytm)
testCases.print("Modified Duration = ", modifiedDuration)
macauleyDuration = bond.macauleyDuration(settlementDate, ytm)
testCases.print("Macauley Duration = ", macauleyDuration)
conv = bond.convexityFromYield(settlementDate, ytm)
testCases.print("Convexity = ", conv)
##########################################################################
# Page 11 APPLE NOTE SCREENSHOT
##########################################################################
testCases.banner("BLOOMBERG APPLE CORP BOND EXAMPLE")
settlementDate = FinDate(2017, 7, 21)
maturityDate = FinDate(2022, 5, 13)
coupon = 0.027
freqType = FinFrequencyTypes.SEMI_ANNUAL
accrualType = FinDayCountTypes.ACT_ACT_ICMA
face = 100.0
bond = FinBond(maturityDate,
coupon,
freqType,
accrualType,
face)
testCases.header("FIELD", "VALUE")
cleanPrice = 101.581564
yld = bond.currentYield(cleanPrice)
testCases.print("Current Yield = ", yld)
ytm = bond.yieldToMaturity(settlementDate, cleanPrice,
FinYieldConventions.UK_DMO)
testCases.print("UK DMO Yield To Maturity = ", ytm)
ytm = bond.yieldToMaturity(settlementDate, cleanPrice,
FinYieldConventions.US_STREET)
testCases.print("US STREET Yield To Maturity = ", ytm)
ytm = bond.yieldToMaturity(settlementDate, cleanPrice,
FinYieldConventions.US_TREASURY)
testCases.print("US TREASURY Yield To Maturity = ", ytm)
fullPrice = bond.fullPriceFromYield(settlementDate, ytm)
testCases.print("Full Price = ", fullPrice)
cleanPrice = bond.cleanPriceFromYield(settlementDate, ytm)
testCases.print("Clean Price = ", cleanPrice)
# I GET 69 DAYS BUT BBG GETS 68 - CANNOT EXPLAIN!!
accddays = bond._accruedDays
testCases.print("Accrued Days = ", accddays)
accd = bond._accrued
testCases.print("Accrued = ", accd)
duration = bond.dollarDuration(settlementDate, ytm)
testCases.print("Dollar Duration = ", duration)
modifiedDuration = bond.modifiedDuration(settlementDate, ytm)
testCases.print("Modified Duration = ", modifiedDuration)
macauleyDuration = bond.macauleyDuration(settlementDate, ytm)
testCases.print("Macauley Duration = ", macauleyDuration)
conv = bond.convexityFromYield(settlementDate, ytm)
testCases.print("Convexity = ", conv)
# SPECIFY UK BOND CONVENTIONS
frequencyType = FinFrequencyTypes.SEMI_ANNUAL
accrualType = FinDayCountTypes.ACT_ACT_ICMA
settlement = FinDate(2012, 9, 19)
bonds = []
ylds = []
# LOAD BONDS AND CREATE A VECTOR OF FINBOND AND THEIR CORRESPONDING YIELDS
for index, bond in bondDataFrame.iterrows():
dateString = bond['maturity']
matDatetime = dt.datetime.strptime(dateString, '%d-%b-%y')
maturityDt = FinDate.fromDatetime(matDatetime)
coupon = bond['coupon'] / 100.0
cleanPrice = bond['mid']
bond = FinBond(maturityDt, coupon, frequencyType, accrualType)
yld = bond.yieldToMaturity(settlement, cleanPrice)
bonds.append(bond)
ylds.append(yld)
# FIT THE BOND YIELDS TO A CUBIC POLYNOMIAL
curveFitMethod = FinCurveFitMethodPolynomial()
fittedCurve1 = FinBondYieldCurve(settlement, bonds, ylds, curveFitMethod)
fittedCurve1.display("GBP Yield Curve")
# FIT THE BOND YIELDS TO A QUINTIC POLYNOMIAL
curveFitMethod = FinCurveFitMethodPolynomial(5)
fittedCurve2 = FinBondYieldCurve(settlement, bonds, ylds, curveFitMethod)
def test_FinBondYieldCurve():
###########################################################################
import pandas as pd
bondDataFrame = pd.read_csv('./data/giltbondprices.txt', sep='\t')
bondDataFrame['mid'] = 0.5*(bondDataFrame['bid'] + bondDataFrame['ask'])
frequencyType = FinFrequencyTypes.SEMI_ANNUAL
accrualType = FinDayCountTypes.ACT_ACT_ICMA
settlement = FinDate(2012, 9, 19)
bonds = []
ylds = []
for index, bond in bondDataFrame.iterrows():
dateString = bond['maturity']
matDatetime = dt.datetime.strptime(dateString, '%d-%b-%y')
maturityDt = FinDate.fromDatetime(matDatetime)
coupon = bond['coupon']/100.0
cleanPrice = bond['mid']
bond = FinBond(maturityDt, coupon, frequencyType, accrualType)
yld = bond.yieldToMaturity(settlement, cleanPrice)
bonds.append(bond)
ylds.append(yld)
###############################################################################
curveFitMethod = FinCurveFitPolynomial()
fittedCurve1 = FinBondYieldCurve(settlement, bonds, ylds, curveFitMethod)
# fittedCurve1.display("GBP Yield Curve")
curveFitMethod = FinCurveFitPolynomial(5)
fittedCurve2 = FinBondYieldCurve(settlement, bonds, ylds, curveFitMethod)
# fittedCurve2.display("GBP Yield Curve")
curveFitMethod = FinCurveFitNelsonSiegel()
fittedCurve3 = FinBondYieldCurve(settlement, bonds, ylds, curveFitMethod)
# fittedCurve3.display("GBP Yield Curve")
curveFitMethod = FinCurveFitNelsonSiegelSvensson()
fittedCurve4 = FinBondYieldCurve(settlement, bonds, ylds, curveFitMethod)
# fittedCurve4.display("GBP Yield Curve")
curveFitMethod = FinCurveFitBSpline()
fittedCurve5 = FinBondYieldCurve(settlement, bonds, ylds, curveFitMethod)
# fittedCurve5.display("GBP Yield Curve")
###############################################################################
testCases.header("PARAMETER", "VALUE")
testCases.print("beta1", fittedCurve3._curveFit._beta1)
testCases.print("beta2", fittedCurve3._curveFit._beta2)
testCases.print("beta3", fittedCurve3._curveFit._beta3)
testCases.print("tau", fittedCurve3._curveFit._tau)
testCases.header("PARAMETER", "VALUE")
testCases.print("beta1", fittedCurve4._curveFit._beta1)
testCases.print("beta2", fittedCurve4._curveFit._beta2)
testCases.print("beta3", fittedCurve4._curveFit._beta3)
testCases.print("beta4", fittedCurve4._curveFit._beta4)
testCases.print("tau1", fittedCurve4._curveFit._tau1)
testCases.print("tau2", fittedCurve4._curveFit._tau2)
###############################################################################
maturityDate = FinDate(2030, 9, 19)
interpolatedYield = fittedCurve5.interpolatedYield(maturityDate)
testCases.print(maturityDate, interpolatedYield)
