def test_FinInflationBondStack():
# https://stackoverflow.com/questions/57676724/failing-to-obtain-correct-accrued-interest-with-quantlib-inflation-bond-pricer-i
issue_date = Date(25, 9, 2013)
maturity_date = Date(22, 3, 2068)
coupon = 0.00125
freq_type = FrequencyTypes.SEMI_ANNUAL
accrual_type = DayCountTypes.ACT_ACT_ICMA
face = 100.0
baseCPIValue = 249.70
bond = FinInflationBond(issue_date, maturity_date, coupon, freq_type,
accrual_type, face, baseCPIValue)
clean_price = 104.03502
yld = bond.current_yield(clean_price)
assert round(yld * 1000, 4) == 1.2015
def test_FinInflationBondBBG():
##########################################################################
# https://data.bloomberglp.com/bat/sites/3/2017/07/SF-2017_Paul-Fjeldsted.pdf
# Look for CPI Bond example
##########################################################################
testCases.banner("BLOOMBERG US TIPS EXAMPLE")
settlementDate = FinDate(21, 7, 2017)
issueDate = FinDate(15, 7, 2010)
maturityDate = FinDate(15, 7, 2020)
coupon = 0.0125
freqType = FinFrequencyTypes.SEMI_ANNUAL
accrualType = FinDayCountTypes.ACT_ACT_ICMA
face = 100.0
baseCPIValue = 218.08532
bond = FinInflationBond(issueDate,
maturityDate,
coupon,
freqType,
accrualType,
face,
baseCPIValue)
testCases.header("FIELD", "VALUE")
cleanPrice = 104.03502
yld = bond.currentYield(cleanPrice)
testCases.print("Current Yield = ", yld)
###########################################################################
# Inherited functions that just calculate real yield without CPI adjustments
###########################################################################
ytm = bond.yieldToMaturity(settlementDate,
cleanPrice,
FinYTMCalcType.UK_DMO)
testCases.print("UK DMO REAL Yield To Maturity = ", ytm)
ytm = bond.yieldToMaturity(settlementDate,
cleanPrice,
FinYTMCalcType.US_STREET)
testCases.print("US STREET REAL Yield To Maturity = ", ytm)
ytm = bond.yieldToMaturity(settlementDate,
cleanPrice,
FinYTMCalcType.US_TREASURY)
testCases.print("US TREASURY REAL Yield To Maturity = ", ytm)
fullPrice = bond.fullPriceFromYTM(settlementDate, ytm)
testCases.print("Full Price from REAL YTM = ", fullPrice)
cleanPrice = bond.cleanPriceFromYTM(settlementDate, ytm)
testCases.print("Clean Price from Real YTM = ", cleanPrice)
accddays = bond._accruedDays
testCases.print("Accrued Days = ", accddays)
accd = bond._accruedInterest
testCases.print("REAL Accrued Interest = ", accd)
###########################################################################
# Inflation functions that calculate nominal yield with CPI adjustment
###########################################################################
refCPIValue = 244.65884
###########################################################################
cleanPrice = bond.cleanPriceFromYTM(settlementDate, ytm)
testCases.print("Clean Price from Real YTM = ", cleanPrice)
inflationAccd = bond.calcInflationAccruedInterest(settlementDate,
refCPIValue)
testCases.print("Inflation Accrued = ", inflationAccd)
lastCpnCPIValue = 244.61839
cleanPrice = bond.flatPriceFromYieldToMaturity(settlementDate, ytm,
lastCpnCPIValue,
FinYTMCalcType.US_TREASURY)
testCases.print("Flat Price from Real YTM = ", cleanPrice)
principal = bond.inflationPrincipal(settlementDate,
ytm,
refCPIValue,
FinYTMCalcType.US_TREASURY)
testCases.print("Inflation Principal = ", principal)
###########################################################################
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.convexityFromYTM(settlementDate, ytm)
testCases.print("Convexity = ", conv)
def test_FinInflationBondStack():
##########################################################################
# https://stackoverflow.com/questions/57676724/failing-to-obtain-correct-accrued-interest-with-quantlib-inflation-bond-pricer-i
##########################################################################
testCases.banner("=============================")
testCases.banner("QUANT FINANCE US TIPS EXAMPLE")
testCases.banner("=============================")
settlementDate = FinDate(23, 8, 2019)
issueDate = FinDate(25, 9, 2013)
maturityDate = FinDate(22, 3, 2068)
coupon = 0.00125
freqType = FinFrequencyTypes.SEMI_ANNUAL
accrualType = FinDayCountTypes.ACT_ACT_ICMA
face = 100.0
baseCPIValue = 249.70
###########################################################################
# Discount curve
discountCurve = FinDiscountCurveFlat(settlementDate,
0.01033692,
FinFrequencyTypes.ANNUAL,
FinDayCountTypes.ACT_ACT_ISDA)
lag = 3
fixingCPI = 244.65884
fixingDate = settlementDate.addMonths(-lag)
###########################################################################
# Create Index Curve
months = range(0, 12, 1)
fixingDates = FinDate(31, 8, 2018).addMonths(months)
fixingRates = [284.2, 284.1, 284.5, 284.6, 285.6, 283.0, 285.0,
285.1, 288.2, 289.2, 289.6, 289.5]
inflationIndex = FinInflationIndexCurve(fixingDates, fixingRates, lag)
print(inflationIndex)
###########################################################################
zciisData = [(FinDate(31,7,2020), 3.1500000000137085),
(FinDate(31,7,2021), 3.547500000013759),
(FinDate(31,7,2022), 3.675000000013573),
(FinDate(31,7,2023), 3.7250000000134342),
(FinDate(31,7,2024), 3.750000000013265),
(FinDate(31,7,2025), 3.7430000000129526),
(FinDate(31,7,2026), 3.741200000012679),
(FinDate(31,7,2027), 3.7337000000123632),
(FinDate(31,7,2028), 3.725000000011902),
(FinDate(31,7,2029), 3.720000000011603),
(FinDate(31,7,2030), 3.712517289063011),
(FinDate(31,7,2031), 3.7013000000108764),
(FinDate(31,7,2032), 3.686986039205209),
(FinDate(31,7,2033), 3.671102614032895),
(FinDate(31,7,2034), 3.655000000009778),
(FinDate(31,7,2035), 3.6394715951305834),
(FinDate(31,7,2036), 3.624362044800966),
(FinDate(31,7,2037), 3.6093619727979087),
(FinDate(31,7,2038), 3.59421438364369),
(FinDate(31,7,2039), 3.5787000000081948),
(FinDate(31,7,2040), 3.5626192748395624),
(FinDate(31,7,2041), 3.545765016376823),
(FinDate(31,7,2042), 3.527943521613608),
(FinDate(31,7,2043), 3.508977137925462),
(FinDate(31,7,2044), 3.48870000000685),
(FinDate(31,7,2045), 3.467083068721011),
(FinDate(31,7,2046), 3.4445738220594935),
(FinDate(31,7,2047), 3.4216470902302065),
(FinDate(31,7,2048), 3.3986861494999188),
(FinDate(31,7,2049), 3.376000000005752),
(FinDate(31,7,2050), 3.3538412080641233),
(FinDate(31,7,2051), 3.3324275806807746),
(FinDate(31,7,2052), 3.311938788306623),
(FinDate(31,7,2053), 3.2925208131865835),
(FinDate(31,7,2054), 3.274293040759302),
(FinDate(31,7,2055), 3.2573541974782794),
(FinDate(31,7,2056), 3.241787355503245),
(FinDate(31,7,2057), 3.227664186159851),
(FinDate(31,7,2058), 3.2150486140060774),
(FinDate(31,7,2059), 3.204000000004159),
(FinDate(31,7,2060), 3.1945334946674064),
(FinDate(31,7,2061), 3.1865047145143377),
(FinDate(31,7,2062), 3.179753073456304),
(FinDate(31,7,2063), 3.1741427790361154),
(FinDate(31,7,2064), 3.1695593261025223),
(FinDate(31,7,2065), 3.1659065919088736),
(FinDate(31,7,2066), 3.163104428386987),
(FinDate(31,7,2067), 3.1610866681252903),
(FinDate(31,7,2068), 3.1597994770515836),
(FinDate(31,7,2069), 3.159200000003204),
(FinDate(31,7,2070), 3.159242349440139),
(FinDate(31,7,2071), 3.1598400898057433),
(FinDate(31,7,2072), 3.16090721831932),
(FinDate(31,7,2073), 3.162369676612098),
(FinDate(31,7,2074), 3.1641636543027207)]
zcDates = []
zcRates = []
for i in range(0, len(zciisData)):
zcDates.append(zciisData[i][0])
zcRates.append(zciisData[i][1]/100.0)
inflationZeroCurve = FinDiscountCurveZeros(settlementDate,
zcDates,
zcRates,
FinFrequencyTypes.ANNUAL,
FinDayCountTypes.ACT_ACT_ISDA)
print(inflationZeroCurve)
###########################################################################
bond = FinInflationBond(issueDate,
maturityDate,
coupon,
freqType,
accrualType,
face,
baseCPIValue)
testCases.header("FIELD", "VALUE")
cleanPrice = 104.03502
yld = bond.currentYield(cleanPrice)
testCases.print("Current Yield = ", yld)
###########################################################################
# Inherited functions that just calculate real yield without CPI adjustments
###########################################################################
ytm = bond.yieldToMaturity(settlementDate,
cleanPrice,
FinYTMCalcType.UK_DMO)
testCases.print("UK DMO REAL Yield To Maturity = ", ytm)
ytm = bond.yieldToMaturity(settlementDate,
cleanPrice,
FinYTMCalcType.US_STREET)
testCases.print("US STREET REAL Yield To Maturity = ", ytm)
ytm = bond.yieldToMaturity(settlementDate,
cleanPrice,
FinYTMCalcType.US_TREASURY)
testCases.print("US TREASURY REAL Yield To Maturity = ", ytm)
fullPrice = bond.fullPriceFromYTM(settlementDate, ytm)
testCases.print("Full Price from REAL YTM = ", fullPrice)
cleanPrice = bond.cleanPriceFromYTM(settlementDate, ytm)
testCases.print("Clean Price from Real YTM = ", cleanPrice)
accddays = bond._accruedDays
testCases.print("Accrued Days = ", accddays)
accd = bond._accruedInterest
testCases.print("REAL Accrued Interest = ", accd)
###########################################################################
# Inflation functions that calculate nominal yield with CPI adjustment
###########################################################################
###########################################################################
cleanPrice = bond.cleanPriceFromYTM(settlementDate, ytm)
testCases.print("Clean Price from Real YTM = ", cleanPrice)
inflationAccd = bond.calcInflationAccruedInterest(settlementDate,
refCPIValue)
testCases.print("Inflation Accrued = ", inflationAccd)
lastCpnCPIValue = 244.61839
cleanPrice = bond.flatPriceFromYieldToMaturity(settlementDate, ytm,
lastCpnCPIValue,
FinYTMCalcType.US_TREASURY)
testCases.print("Flat Price from Real YTM = ", cleanPrice)
principal = bond.inflationPrincipal(settlementDate,
ytm,
refCPIValue,
FinYTMCalcType.US_TREASURY)
testCases.print("Inflation Principal = ", principal)
###########################################################################
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.convexityFromYTM(settlementDate, ytm)
testCases.print("Convexity = ", conv)
def test_FinInflationBond():
testCases.banner("BLOOMBERG US TIPS EXAMPLE")
settlementDate = FinDate(21, 7, 2017)
issueDate = FinDate(15, 7, 2010)
maturityDate = FinDate(15, 7, 2020)
coupon = 0.0125
freqType = FinFrequencyTypes.SEMI_ANNUAL
accrualType = FinDayCountTypes.ACT_ACT_ICMA
face = 100.0
bond = FinInflationBond(issueDate, maturityDate, coupon, freqType,
accrualType, face)
testCases.header("FIELD", "VALUE")
cleanPrice = 104.03502
yld = bond.currentYield(cleanPrice)
testCases.print("Current Yield = ", yld)
ytm = bond.realYieldToMaturity(settlementDate, cleanPrice,
FinInflationYTMCalcType.UK_DMO)
testCases.print("UK DMO REAL Yield To Maturity = ", ytm)
ytm = bond.realYieldToMaturity(settlementDate, cleanPrice,
FinInflationYTMCalcType.US_STREET)
testCases.print("US STREET REAL Yield To Maturity = ", ytm)
ytm = bond.realYieldToMaturity(settlementDate, cleanPrice,
FinInflationYTMCalcType.US_TREASURY)
testCases.print("US TREASURY REAL Yield To Maturity = ", ytm)
fullPrice = bond.fullPriceFromRealYTM(settlementDate, ytm)
testCases.print("Full Price from REAL YTM = ", fullPrice)
cleanPrice = bond.cleanPriceFromRealYTM(settlementDate, ytm)
testCases.print("Clean Price from Real YTM = ", cleanPrice)
accd = bond._accruedInterest
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.convexityFromYTM(settlementDate, ytm)
testCases.print("Convexity = ", conv)
def test_FinInflationBondBBG():
# https://data.bloomberglp.com/bat/sites/3/2017/07/SF-2017_Paul-Fjeldsted.pdf
# Look for CPI Bond example
settlement_date = Date(21, 7, 2017)
issue_date = Date(15, 7, 2010)
maturity_date = Date(15, 7, 2020)
coupon = 0.0125
freq_type = FrequencyTypes.SEMI_ANNUAL
accrual_type = DayCountTypes.ACT_ACT_ICMA
face = 100.0
baseCPIValue = 218.08532
bond = FinInflationBond(issue_date, maturity_date, coupon, freq_type,
accrual_type, face, baseCPIValue)
clean_price = 104.03502
yld = bond.current_yield(clean_price)
assert round(yld * 100, 4) == 1.2015
# Inherited functions that just calculate real yield without CPI adjustments
ytm = bond.yield_to_maturity(settlement_date, clean_price,
YTMCalcType.UK_DMO)
assert round(ytm, 4) == -0.0010
ytm = bond.yield_to_maturity(settlement_date, clean_price,
YTMCalcType.US_STREET)
assert round(ytm, 4) == -0.0010
ytm = bond.yield_to_maturity(settlement_date, clean_price,
YTMCalcType.US_TREASURY)
assert round(ytm, 4) == -0.0010
full_price = bond.full_price_from_ytm(settlement_date, ytm)
assert round(full_price, 4) == 104.0554
clean_price = bond.clean_price_from_ytm(settlement_date, ytm)
assert round(clean_price, 4) == 104.0350
accddays = bond._accrued_days
assert accddays == 6.0
accrued_interest = bond._accrued_interest
assert round(accrued_interest, 4) == 0.0204
# Inflation functions that calculate nominal yield with CPI adjustment
refCPIValue = 244.65884
clean_price = bond.clean_price_from_ytm(settlement_date, ytm)
assert round(clean_price, 4) == 104.0350
inflationAccd = bond.calc_inflation_accrued_interest(
settlement_date, refCPIValue)
assert round(inflationAccd * 100, 4) == 2.2864
lastCpnCPIValue = 244.61839
clean_price = bond.flat_price_from_yield_to_maturity(
settlement_date, ytm, lastCpnCPIValue, YTMCalcType.US_TREASURY)
assert round(clean_price, 4) == 116.6923
principal = bond.inflation_principal(settlement_date, ytm, refCPIValue,
YTMCalcType.US_TREASURY)
assert round(principal, 4) == 116.7116
duration = bond.dollar_duration(settlement_date, ytm)
assert round(duration, 4) == 305.9297
modified_duration = bond.modified_duration(settlement_date, ytm)
assert round(modified_duration, 4) == 2.9401
macauley_duration = bond.macauley_duration(settlement_date, ytm)
assert round(macauley_duration, 4) == 2.9386
conv = bond.convexity_from_ytm(settlement_date, ytm)
assert round(conv, 4) == 0.1020