def test_coupon_on_date(self):
initial_notional = 1000
coup1_start_date = date(2017, 12, 8)
coup1_date = date(2018, 3, 9)
# note start coupon date != prev coupon date! due to holidays.
# but coupon value disregards this start date and takes it from
# prev. coupon date
coup2_start_date = date(2018, 3, 12)
coup2_date = date(2018, 6, 8)
coupons = [
CouponScheduleEntry(coup1_date, None, coup1_start_date, 0.0, 11.7),
CouponScheduleEntry(coup2_date, None, coup2_start_date, 0.0, 11.7)
]
amortizations = [
AmortizationScheduleEntry(date(2018, 1, 1), 30.0, 300.0),
AmortizationScheduleEntry(coup2_date, 70.0, 700.0)
]
b = Bond(initial_notional=initial_notional,
coupons=coupons,
amortizations=amortizations)
notional_on_coup2 = b.notional_on_date(coup2_date)
assert notional_on_coup2 == 700.0
# note we find days between coupon date 1 & 2, not from coupon 2 start/end date, because otherwise they
# won't match due to different day counts due to holidays
coupon_days = (coup2_date - coup1_date).days
expected_coupon1 = round(
(coupon_days / YEAR_BASE) * (coupons[0].yearly_prc / 100.0) *
notional_on_coup2, 2)
coupon_days_wrong = (coup2_date - coupons[1].start_date).days
expected_coupon1_wrong = round(
(coupon_days_wrong / YEAR_BASE) * (coupons[0].yearly_prc / 100.0) *
notional_on_coup2, 2)
assert b.accrued_coupon_on_date(coup2_date) == pytest.approx(
expected_coupon1)
assert expected_coupon1 != pytest.approx(expected_coupon1_wrong)
def test_cannot_create_bond_with_not_increasing_amort_dates(self):
with pytest.raises(ValueError):
amortizations = [
AmortizationScheduleEntry(date(2019, 9, 6), 30.0, 300.0),
# note date goes before first date, this is wrong
AmortizationScheduleEntry(date(2019, 9, 3), 70.0, 700.0)
]
Bond(coupons=[], amortizations=amortizations)
def test_payments_since_date(self):
coup1_start_date = date(2017, 12, 8)
coup1_date = date(2018, 3, 9)
coup2_start_date = date(2018, 3, 12)
coup2_date = date(2018, 6, 8)
coupons = [
CouponScheduleEntry(coup1_date, None, coup1_start_date, 0.0, 11.7),
CouponScheduleEntry(coup2_date, None, coup2_start_date, 0.0, 11.7)
]
amortizations = [
AmortizationScheduleEntry(date(2018, 1, 1), 30.0, 300.0),
AmortizationScheduleEntry(coup2_date, 70.0, 700.0)
]
b = Bond(coupons=coupons, amortizations=amortizations)
cps, ams = b.payments_since_date(date(2018, 5, 8))
assert cps == [coupons[1]]
assert ams == [amortizations[1]]
def test_cannot_create_bond_with_not_increasing_coupon_dates(self):
with pytest.raises(ValueError):
amortizations = [
AmortizationScheduleEntry(date(2019, 9, 3), 100.0, 1000.0)
]
coupons = [
CouponScheduleEntry(date(2018, 1, 1), None, date(2017, 1, 1),
10.0, 10.0),
# note date goes before first date, this is wrong
CouponScheduleEntry(date(2017, 12, 1), None,
date(2017, 11, 30), 10.0, 10.0)
]
Bond(coupons=coupons, amortizations=amortizations)
def test_ytm(self):
coup1_start_date = date(2017, 3, 20)
coup1_date = date(2018, 3, 20)
coup2_start_date = date(2018, 3, 21)
coup2_date = date(2019, 3, 20)
coupons = [
CouponScheduleEntry(coup1_date, None, coup1_start_date, 100.0,
0.0),
CouponScheduleEntry(coup2_date, None, coup2_start_date, 100.0, 0.0)
]
amortizations = [AmortizationScheduleEntry(coup2_date, 100.0, 1000.0)]
b = Bond(coupons=coupons, amortizations=amortizations)
# assume we buy slightly after last coupon period start
buy_price = 103.0
buy_date = date(2018, 5, 20)
ytm = b.yield_to_maturity(buy_price, buy_date, date(2018, 5, 21))
assert ytm == pytest.approx(0.0821)
# assert ytm definition holds
yf = ((coup2_date - buy_date).days / YEAR_BASE)
accrued = b.accrued_coupon_on_date(buy_date)
fv_initial_investment = (buy_price * 10 + accrued) * (1.0 + ytm)**yf
# no need to accrue since they already are on correct date
fv_payments = coupons[1].value + amortizations[0].value
assert fv_initial_investment == pytest.approx(fv_payments, rel=5E-5)
def parse_coupon_schedule_xml(data: str) -> Bond:
root = ET.fromstring(data)
first_row = next(root.iter("row"))
isin = first_row.get("isin")
name = first_row.get("name")
# note: reply rows contain "facevalue" but it's incorrect, it's "current facevalue"
initial_notional = float(first_row.get("initialfacevalue"))
notional_ccy = first_row.get("faceunit")
am_schedule = [
__parse_am_entry(am_entry)
for am_entry in root.findall(".//data[@id='amortizations']//row")
]
cp_schedule = [
__parse_coupon_entry(cp_entry)
for cp_entry in root.findall(".//data[@id='coupons']//row")
]
return Bond(isin=isin,
name=name,
initial_notional=initial_notional,
notional_ccy=notional_ccy,
coupons=cp_schedule,
amortizations=am_schedule)
def test_notional_on_date(self):
initial_notional = 1000
am_dt1 = date(2019, 9, 6)
am_dt2 = date(2020, 9, 4)
am_dt3 = date(2021, 9, 3)
amortizations = [
AmortizationScheduleEntry(am_dt1, 30.0, 300.0),
AmortizationScheduleEntry(am_dt2, 30.0, 300.0),
AmortizationScheduleEntry(am_dt3, 40.0, 400.0)
]
b = Bond(initial_notional=initial_notional,
coupons=[],
amortizations=amortizations)
# date before first amortization - notional should equal initial notional
one_day = timedelta(days=1)
assert b.notional_on_date(am_dt1 - one_day) == initial_notional
# on amortization date - notional still stays the same, it affects only next coupons
assert b.notional_on_date(am_dt1) == initial_notional
notional_after_am_dt1 = initial_notional * (
1 - amortizations[0].value_prc / 100.0)
assert b.notional_on_date(am_dt1 + one_day) == pytest.approx(
notional_after_am_dt1)
assert b.notional_on_date(am_dt2 - one_day) == notional_after_am_dt1
assert b.notional_on_date(am_dt2) == notional_after_am_dt1
notional_after_am_dt2 = initial_notional * (
1 -
(amortizations[0].value_prc + amortizations[0].value_prc) / 100.0)
assert b.notional_on_date(am_dt2 + one_day) == pytest.approx(
notional_after_am_dt2)
assert b.notional_on_date(am_dt3 - one_day) == notional_after_am_dt2
assert b.notional_on_date(am_dt3) == notional_after_am_dt2
# last amortization date is settlement date
notional_after_settlement = 0.0
assert b.notional_on_date(am_dt3 + one_day) == pytest.approx(
notional_after_settlement)
def test_cannot_create_bond_with_not_fully_amortized_notional(self):
with pytest.raises(ValueError):
amortizations = [
AmortizationScheduleEntry(date(2019, 9, 3), 100.0, 999.0)
]
Bond(coupons=[], amortizations=amortizations)