def construct_discountbond(bond):
value_date = bond.get('value_date')
issue_date = bond.get('issue_date')
use_date = None
if value_date is not None and issue_date is not None:
if issue_date >= value_date:
use_date = issue_date
else:
use_date = value_date
elif value_date is not None:
use_date = value_date
elif issue_date is not None:
use_date = issue_date
dcfs = []
times = []
cfs = []
cpns = []
dates2 = []
if use_date is not None:
dcf = day_cf('Actual/365',
use_date,
bond['maturity'],
bondmat_date=bond['maturity'])
dcfs.append(dcf)
times.append(dcf)
cfs.append(bond['position'])
dates2.append(bond['maturity'])
# cash_flows = {}
cash_flows = {'dates': dates2, 'dcfs': dcfs, 'cfs': cfs, 'times': times}
bond['cash_flows'] = cash_flows
bond['coupon_structure'] = cpns
dfs = dcurve.discount_factor_gen(rates, return_type="time")
# print(dfs)
# %%
# Define VaR Vertices using tenors
# convert the tenors to date then to no of days
from faspy.interestrate.rmp_dates import tenor_to_maturity as ttm, \
day_count_factor as day_cf
var_vertices = ["6M", "1Y", "3Y", "5Y", "10Y", "20Y"]
var_dates = list(
map(lambda tenor: ttm(vdate, tenor, business_day="Modified Following"),
var_vertices))
var_days = list(map(lambda date: (date - vdate).astype("int"), var_dates))
var_time = list(map(lambda date: day_cf("Actual/365", vdate, date), var_dates))
# %%
# get historical discount factors
hdf = []
for df in dfs:
x_axis = [x["times"] for x in df]
y_axis = [y["df"] for y in df]
idf = dcurve.interpolation(x_axis, y_axis, var_time)
hdf.append(idf)
#print(hdf)
# %%
# 1.Calculate the log normal return
# 2. Calculate volatility
# 3. Calculate Correlation
def construct_fixbond(bond):
bus_day = None
if bond['business_day'] == 'NULL':
bus_day = 'No Adjustment'
else:
bus_day = bond['business_day']
if bond['day_count'] == 'NULL':
day_count = 'Actual/Actual ICMA'
else:
day_count = bond['day_count']
start_date = bond.get('issue_date')
if start_date is not None:
start_date = dt64(start_date, 'D')
value_date = bond.get('value_date')
if value_date is not None:
value_date = dt64(value_date, 'D')
if start_date is not None and value_date is not None:
use_date = start_date
elif start_date is not None:
use_date = start_date
elif value_date is not None:
use_date = value_date
else:
raise Exception('Both value_date and issue_date do not have any value')
dates = gen_dates(use_date,
bond['maturity'],
issueDate=start_date,
frequency=fre[bond['frequency']],
business_day=bus_day,
method=bond['date_generation'])
#print(dates)
# *********************************************************************************
#
# CALCULATING THE DATA FOR FULL STRUCTURES
#
# *********************************************************************************
fs = list(dates)
flen = len(fs)
for i in range(flen):
fs_sgl = fs[i]
fs_sgl['fv_flow'] = 0.00
fs_sgl['fv'] = bond['face_value']
if i > 0:
fs_prev = fs[i - 1]
fs_sgl['cpn_dcf'] = day_cf(day_count,
fs_prev['date'],
fs_sgl['date'],
bondmat_date=fs[-1]['date'],
next_coupon_date=fs_sgl['date'],
Frequency=12 / fre[bond['frequency']])
fs_sgl['coupon'] = bond['coupon']
fs_sgl['time'] = day_cf('Actual/365',
use_date,
fs_sgl['date'],
bondmat_date=fs[-1]['date'],
next_coupon_date=fs_sgl['date'],
Frequency=12 / fre[bond['frequency']])
fs_sgl['cf'] = (fs_sgl['coupon'] * fs_sgl['cpn_dcf'] * 0.01 *
fs_sgl['fv'])
else:
fs_sgl['cpn_dcf'] = 0.00
fs_sgl['coupon'] = 0.00
fs_sgl['fv'] = 0.00
fs_sgl['cf'] = 0.00
fs[-1]['fv_flow'] = bond['face_value']
bond['full_structures'] = fs
# *********************************************************************************
#
# CALCULATING THE DATA FOR ACTIVE STRUCTURES
#
# *********************************************************************************
if value_date is None:
bond['active_structures'] = {}
elif value_date is not None and start_date is None:
bond['active_structures'] = bond['full_structures']
elif value_date < start_date:
bond['active_structures'] = bond['full_structures']
else:
booldate = list(map(lambda x: x['date'] > value_date, fs))
index = booldate.index(True) # exclude paid coupon period/start_date
acs = list(fs[index - 1:])
acs[0]['dcf'] = 0
acs[1]['dcf'] = day_cf(day_count,
bond['value_date'],
acs[1]['date'],
bondmat_date=acs[-1]['date'],
next_coupon_date=acs[1]['date'],
Frequency=12 / fre[bond['frequency']])
alen = len(acs)
for i in range(alen):
acs[i]['time'] = day_cf('Actual/365',
bond['value_date'],
acs[i]['date'],
bondmat_date=acs[-1]['date'],
next_coupon_date=acs[i]['date'])
bond['active_structures'] = acs
def frn_price(bond, disc_curve):
try:
val_date = dt64(bond.get('value_date'))
except Exception:
raise Exception('Value date is not a date')
try:
acs = bond['active_structures']
except Exception:
raise Exception('full_structures does not have the required key(s)')
bond['last_coupon_date'] = acs[0]['date']
bond['accrued_interest'] = 0
next_cpn = acs[1]
interp = disc_curve.interpolate(1, is_function=True)
# Calculation for fixed coupon
if bond['value_date'] >= acs[0]['date']:
coupon = next_cpn['coupon']
if coupon is not None:
gen_time = next_cpn['time']
next_cpn['cf'] = coupon * next_cpn['dcf'] * next_cpn['fv'] * 0.01
dcf = next_cpn['dcf']
df = interp(gen_time)
next_cpn['ref_rate'] = (1 / df - 1) / (dcf * 0.01)
next_cpn['ref_with_spread'] = (next_cpn['ref_rate'] +
bond['spread'])
df = 1 / (1 + next_cpn['ref_with_spread'] * dcf * 0.01)
next_cpn['pv'] = (next_cpn['cf'] + next_cpn['fv_flow']) * df
next_cpn['df'] = df
# Calculation for PVBP01
next_cpn['coupon01'] = coupon
next_cpn['cf01'] = next_cpn['cf']
df = interp(gen_time)
next_cpn['ref_rate01'] = (1 / df - 1) / (dcf * 0.01) + 0.01
next_cpn['ref01_with_spread'] = (next_cpn['ref_rate01'] +
bond['spread'])
#print(next_cpn['ref_rate01'], bond['spread'])
df01 = 1 / (1 + next_cpn['ref01_with_spread'] * dcf * 0.01)
next_cpn['pv01'] = (next_cpn['cf01'] + next_cpn['fv_flow']) * df01
next_cpn['df01'] = df01
accrued_dcf = day_cf(bond['day_count'],
bond['last_coupon_date'],
bond['value_date'],
bondmat_date=acs[-1]['date'],
next_coupon_date=next_cpn['date'],
Frequency=12 / fre[bond['frequency']])
#print(bond.get('current_coupon'), next_cpn)
bond['accrued'] = accrued_dcf
bond['accrued_interest'] = (accrued_dcf * next_cpn['coupon'] * 0.01 *
next_cpn['fv'])
lacs = len(acs)
# Calculation for unfixed coupon
for i in range(2, lacs, 1):
prev_acs = acs[i - 1]
sgl_acs = acs[i]
#sgl_acs['fixed'] = False
time0 = prev_acs['time']
time1 = sgl_acs['time']
df0 = disc_curve.interpolate(time0)
df1 = disc_curve.interpolate(time1)
dcf = sgl_acs['dcf']
fwd_df = df1 / df0
sgl_acs['ref_rate'] = (1 / fwd_df - 1) / (dcf * 0.01)
sgl_acs['coupon'] = (sgl_acs['ref_rate'] + sgl_acs['margin'])
sgl_acs['cf'] = sgl_acs['coupon'] * dcf * 0.01 * sgl_acs['fv']
sgl_acs['ref_with_spread'] = (sgl_acs['ref_rate'] + bond['spread'])
sgl_acs['fwd_df'] = 1 / (1 + sgl_acs['ref_with_spread'] * dcf * 0.01)
sgl_acs['df'] = sgl_acs['fwd_df'] * prev_acs['df']
sgl_acs['pv'] = (sgl_acs['cf'] + sgl_acs['fv_flow']) * sgl_acs['df']
# Calculation for PVBP01
sgl_acs['ref_rate01'] = (1 / fwd_df - 1) / (dcf * 0.01) + 0.01
sgl_acs['coupon01'] = (sgl_acs['ref_rate01'] + sgl_acs['margin'])
sgl_acs['cf01'] = sgl_acs['coupon01'] * dcf * 0.01 * sgl_acs['fv']
sgl_acs['ref01_with_spread'] = (sgl_acs['ref_rate01'] + bond['spread'])
sgl_acs['fwd_df01'] = 1 / (1 +
sgl_acs['ref01_with_spread'] * dcf * 0.01)
sgl_acs['df01'] = sgl_acs['fwd_df01'] * prev_acs['df01']
sgl_acs['pv01'] = ((sgl_acs['cf01'] + sgl_acs['fv_flow']) *
sgl_acs['df01'])
sum_pv = 0
sum_pv01 = 0
for i in range(1, lacs, 1):
sgl_acs = acs[i]
sum_pv += sgl_acs['pv']
sum_pv01 += sgl_acs['pv01']
bond['pvbp01'] = sum_pv01 - sum_pv
bond['proceed'] = sum_pv
bond['price per 100'] = ((bond['proceed'] - bond['accrued_interest']) /
bond['face_value'] * 100)
def fixbond_price(value_date, bond, yld):
try:
val_date = dt64(value_date)
except Exception:
raise Exception('Value date is not a date')
try:
acs = bond['active_structures']
except Exception:
raise Exception('full_structures does not have the required key(s)')
try:
freq = bond['frequency']
except Exception:
raise Exception('Error getting frequency of the floating leg')
if bond['value_date'] is None:
raise Exception('Value date for the bond is not set')
bond['last_coupon_date'] = acs[0]['date']
bond['accrued_interest'] = 0
next_cpn = acs[1]
# Calculation for fixed coupon
if bond['value_date'] >= acs[0]['date']:
coupon = bond.get('coupon')
if coupon is not None:
#print(next_cpn)
next_cpn['coupon'] = coupon
next_cpn['cf'] = coupon * next_cpn['dcf'] * next_cpn['fv'] * 0.01
y_dcf = day_cf(bond['day_count'],
val_date,
next_cpn['date'],
bondmat_date=acs[-1]['date'],
next_coupon_date=next_cpn['date'],
Frequency=12 / fre[bond['frequency']])
next_cpn['y_dcf'] = y_dcf
df = 1 / (1 + yld * y_dcf * 0.01)
next_cpn['pv'] = (next_cpn['cf'] + next_cpn['fv_flow']) * df
next_cpn['df'] = df
next_cpn['p_df'] = df
# Calculation for PVBP01
df01 = 1 / (1 + (yld + 0.01) * y_dcf * 0.01)
next_cpn['pv01'] = (next_cpn['cf'] + next_cpn['fv_flow']) * df01
next_cpn['df01'] = df01
next_cpn['p_df01'] = df01
#print(next_cpn)
accrued_dcf = day_cf(bond['day_count'],
bond['last_coupon_date'],
bond['value_date'],
bondmat_date=acs[-1]['date'],
next_coupon_date=next_cpn['date'],
Frequency=12 / fre[bond['frequency']])
# print(bond.get('current_coupon'), next_cpn)
bond['accrued'] = accrued_dcf
bond['accrued_interest'] = (accrued_dcf * next_cpn['coupon'] * 0.01 *
next_cpn['fv'])
lacs = len(acs)
for i in range(2, lacs, 1):
acs_sgl = acs[i]
lastrow = acs[i - 1]
acs_sgl['y_dcf'] = acs_sgl['cpn_dcf']
acs_sgl['p_df'] = 1 / (1 + yld * acs_sgl['y_dcf'] * 0.01)
acs_sgl['p_df01'] = 1 / (1 +
(yld + 0.01) * acs_sgl['y_dcf'] * 0.01)
acs_sgl['df'] = acs_sgl['p_df'] * lastrow['df']
acs_sgl['df01'] = acs_sgl['p_df01'] * lastrow['df01']
acs_sgl['pv'] = ((acs_sgl['cf'] + acs_sgl['fv_flow']) *
acs_sgl['df'])
acs_sgl['pv01'] = ((acs_sgl['cf'] + acs_sgl['fv_flow']) *
acs_sgl['df01'])
sum_pv = 0
sum_pv01 = 0
for i in range(1, lacs, 1):
sgl_acs = acs[i]
sum_pv += sgl_acs['pv']
sum_pv01 += sgl_acs['pv01']
bond['pvbp01'] = sum_pv01 - sum_pv
bond['proceed'] = sum_pv
bond['price per 100'] = ((bond['proceed'] - bond['accrued_interest']) /
bond['face_value'] * 100)
macD = 0
for i in range(1, lacs, 1):
acs_sgl = acs[i]
macD = (macD + acs_sgl['time'] *
(acs_sgl['cf'] + acs_sgl['fv_flow']) * acs_sgl['df'])
macD = macD / bond['proceed']
bond['modified duration'] = -macD / (1 + (yld * 0.01) /
(12 / fre[freq]))
bond['macaulay duration'] = macD
#print('acs===>', acs)
derivatives = bond_risk(acs, yld)
bond['duration'] = derivatives['duration']
bond['convexity'] = derivatives['convexity']
bond['active_structures'] = acs
else:
# *******************************************************************
# else clause process the bond as a forward issuance bond
# disfac (discount factor) has to be provided to properly price the
# bond) yld is taken to be the fwd yield of the bond
# ********************************************************************
raise Exception('Forward bond issuance is yet to be done')
def construct_frn(bond, holidays=[]):
bdc = np.busdaycalendar(weekmask='1111100', holidays=holidays)
bus_day = None
if bond['business_day'] == 'NULL':
bus_day = 'No Adjustment'
else:
bus_day = bond['business_day']
if bond['day_count'] == 'NULL':
day_count = 'Actual/365'
else:
day_count = bond['day_count']
start_date = bond.get('issue_date')
if start_date is not None:
start_date = dt64(start_date, 'D')
value_date = bond.get('value_date')
if value_date is not None:
value_date = dt64(value_date, 'D')
if start_date is not None and value_date is not None:
use_date = start_date
elif start_date is not None:
use_date = start_date
elif value_date is not None:
use_date = value_date
else:
raise Exception('Both value_date and issue_date do not have any value')
dates = gen_dates(use_date,
bond['maturity'],
issueDate=start_date,
frequency=fre[bond['frequency']],
business_day=bus_day,
method=bond['date_generation'])
#print(dates)
# *********************************************************************************
#
# CALCULATING THE DATA FOR FULL STRUCTURES
#
# *********************************************************************************
fs = list(dates)
flen = len(fs)
for i in range(flen):
row = fs[i]
row['cf'] = 0
row['time'] = day_cf('Actual/365',
use_date,
row['date'],
bondmat_date=fs[-1]['date'],
next_coupon_date=row['date'])
if i == 0:
row['dcf'] = 0
row['y_dcf'] = 0
row['margin'] = 0
row['fv'] = 0
row['fv_flow'] = 0
row['fixing_date'] = None
else:
row['dcf'] = day_cf(day_count,
fs[i - 1]['date'],
row['date'],
bondmat_date=fs[-1]['date'],
next_coupon_date=row['date'],
Frequency=12 / fre[bond['frequency']])
row['y_dcf'] = row['dcf']
row['margin'] = bond['margin']
row['fv'] = bond['face_value']
row['fv_flow'] = 0
if i == flen - 1:
row['fv_flow'] = bond['face_value']
row['fixing_date'] = bus_off(fs[i - 1]['date'],
-start_basis[bond['fixing_basis']],
roll='backward',
busdaycal=bdc)
bond['full_structures'] = fs
# *********************************************************************************
#
# CALCULATING THE DATA FOR ACTIVE STRUCTURES
#
# *********************************************************************************
if value_date is None:
bond['active_structures'] = {}
elif value_date is not None and start_date is None:
bond['active_structures'] = bond['full_structures']
elif value_date < start_date:
bond['active_structures'] = bond['full_structures']
else:
# print(value_date,start_date)
booldate = list(map(lambda x: x['date'] > value_date, fs))
index = booldate.index(True) # exclude paid coupon period/start_date
acs = list(fs[index - 1:])
acs[0]['y_dcf'] = 0
acs[1]['y_dcf'] = day_cf(day_count,
bond['value_date'],
acs[1]['date'],
bondmat_date=acs[-1]['date'],
next_coupon_date=acs[1]['date'],
Frequency=12 / fre[bond['frequency']])
alen = len(acs)
for i in range(alen):
acs[i]['time'] = day_cf('Actual/365',
bond['value_date'],
acs[i]['date'],
bondmat_date=acs[-1]['date'],
next_coupon_date=acs[i]['date'])
bond['active_structures'] = acs
return bond