def GenerateCashFlows(self, now=None):
"""
Generate the cash flow vector.
TODO: Optimise this so that recalculation only occurs if 'now' changes.
:param now: float
:return: None
"""
if now is None:
now = self.Now
# TODO: Do an optimisation to skip recalculation.
self.Now = now
if self.Now is None:
raise ValueError('Must set ' 'now' ' to calculate cash flows.')
# deal with corner case of being beyond maturity date.
if self.Now >= self.Maturity:
self.CashFlows = []
self.CashFlowDates = []
return
# Generate the time axis with create_grid. The trick is that create_grid aligns the
# grid to the start date. We need to align the grid to maturity. We accomplish this by
# multiplying by -1. (Try doing that with calendar dates!)
minus_t = create_grid(-self.Maturity, -self.Now, self.CouponFrequency)
# Go back to positive time...
self.CashFlowDates = [-x for x in minus_t]
self.CashFlowDates.reverse()
# if on top of a payment, pop it out.
if self.Now == self.CashFlowDates[0]:
self.CashFlowDates.pop(0)
coupon_payment = self.PriceBase * self.Coupon / self.CouponFrequency
# This creates an empty list if we only have a single payment
self.CashFlows = [coupon_payment] * (len(self.CashFlowDates) - 1)
self.CashFlows.append(self.PriceBase + coupon_payment)
try:
from simplepricers.utils import create_grid
import simplepricers.yieldcalculations as yc
import simplepricers.bonds_curves as bonds
except ImportError:
print(
'If these imports fail, put the base directory above onto the PYTHONPATH'
)
raise
from plot_for_examples import Quick2DPlot
# ------------------------------------------------------
# price/yield for consols vs. coupon bond
yield_grid = create_grid(.001, .05, 1000)
consol = bonds.Consol(.05)
consol_price = [
None,
] * len(yield_grid)
# 5% 10-year annual coupon bond
cpn = bonds.CouponBond(10., .05, 1)
coupon_price = [
None,
] * len(yield_grid)
for i in range(0, len(yield_grid)):
consol_price[i] = consol.GetPrice(yield_grid[i])
coupon_price[i] = cpn.GetPrice(yield_grid[i], price_type='dirty')
obj = Quick2DPlot(yield_grid,
consol_price,
def test_create_grid_5(self):
self.assertEqual(create_grid(100., 105., 1),
[100., 101., 102., 103., 104., 105.])
def test_create_grid_4(self):
self.assertEqual(utils.create_grid(.3, 1.3, 2), [0.3, .8, 1.3])
def test_create_grid_3(self):
self.assertEqual(utils.create_grid(0., 1., 2), [0., .5, 1.])
def test_create_grid2(self):
self.assertEqual(utils.create_grid(0., .99, 1), [
0.,
])
"""
try:
from simplepricers.utils import create_grid
import simplepricers.yieldcalculations as yc
except ImportError:
print('If these imports fail, put the base directory above onto the PYTHONPATH')
raise
from plot_for_examples import Quick2DPlot
# ------------------------------------------------------
# Show discount factors
t = create_grid(0., 10., 1)
# Create flat zero curve
r = [0.05, ] * len(t)
df = yc.DF(t, r)
Quick2DPlot(t, df, 'Discount Factor For Flat 5% Curve')
# --------------------------------------------------------
print('Second example: calculate the NPV of a 2-year bond (4% annual coupon)')
# Time axis
t = create_grid(1., 2., 1)
# 4% zero rate
r = [.04, .04]
df = yc.DF(t, r)
CF = [4., 104.]
NPV = 0.