def bond_mod_duration(price, par, T, coup, freq, dy=0.01):
ytm = bond_ytm(price, par, T, coup, freq)
ytm_minus = ytm - dy
price_minus = bond_price(par, T, ytm_minus, coup, freq)
ytm_plus = ytm + dy
price_plus = bond_price(par, T, ytm_plus, coup, freq)
mduration = (price_minus-price_plus)/(2.*price*dy)
return mduration
def bond_convexity(price, par, T, coup, freq, dy=0.01):
ytm = bond_ytm(price, par, T, coup, freq)
ytm_minus = ytm - dy
price_minus = bond_price(par, T, ytm_minus, coup, freq)
ytm_plus = ytm + dy
price_plus = bond_price(par, T, ytm_plus, coup, freq)
convexity = (price_minus + price_plus - 2 * price) / (price * dy**2)
return convexity
def bond_convexity(price, par, T, coup, freq, dy=0.01):
ytm = bond_ytm(price, par, T, coup, freq)
ytm_minus = ytm - dy
price_minus = bond_price(par, T, ytm_minus, coup, freq)
ytm_plus = ytm + dy
price_plus = bond_price(par, T, ytm_plus, coup, freq)
convexity = (price_minus+price_plus-2*price)/(price*dy**2)
return convexity
def bond_mod_duration(price, par, T, coup, freq, dy=0.01):
ytm = bond_ytm(price, par, T, coup, freq)
ytm_minus = ytm - dy
price_minus = bond_price(par, T, ytm_minus, coup, freq)
ytm_plus = ytm + dy
price_plus = bond_price(par, T, ytm_plus, coup, freq)
mduration = (price_minus - price_plus) / (2. * price * dy)
return mduration
def bond_mod_duration(price, par, T, coup, freq, dy=0.01):
ytm = bond_ytm(price, par, T, coup, freq)
ytm_minus = ytm - dy
price_minus = bond_price(par, T, ytm_minus, coup, freq)
ytm_plus = ytm + dy
price_plus = bond_price(par, T, ytm_plus, coup, freq)
# calculate the difference in price when bond moves up and down
# for a given change in yield
mduration = (price_minus - price_plus) / (2. * price * dy)
return mduration
def bond_convexity(price, par, T, coup, freq, dy=0.01):
"""
Measures the change in duration due to a change in yield
a convexity of 300 means a 1% change in yield will lead to a 3% (0.03) change in price resulting from convexity
"""
ytm = bond_ytm(price, par, T, coup, freq)
ytm_minus = ytm - dy
price_minus = bond_price(par, T, ytm_minus, coup, freq)
ytm_plus = ytm + dy
price_plus = bond_price(par, T, ytm_plus, coup, freq)
convexity = (price_minus+price_plus-2*price)/(price*dy**2)
return convexity
"""
README
======
This file contains Python codes.
======
"""
""" Get bond price from YTM """
def bond_price(par, T, ytm, coup, freq=2):
freq = float(freq)
periods = T*freq
coupon = coup/100.*par/freq
dt = [(i+1)/freq for i in range(int(periods))]
price = sum([coupon/(1+ytm/freq)**(freq*t) for t in dt]) + \
par/(1+ytm/freq)**(freq*T)
return price
if __name__ == "__main__":
from bond_ytm import bond_ytm
ytm = bond_ytm(95.0428, 100, 1.5, 5.75, 2)
print bond_price(100, 1.5, ytm, 5.75, 2)
