def test_bloomberg_us_treasury_example():
# https://data.bloomberglp.com/bat/sites/3/2017/07/SF-2017_Paul-Fjeldsted.pdf
settlement_date = Date(21, 7, 2017)
issue_date = Date(15, 5, 2010)
maturity_date = Date(15, 5, 2027)
coupon = 0.02375
freq_type = FrequencyTypes.SEMI_ANNUAL
accrual_type = DayCountTypes.ACT_ACT_ICMA
face = 100.0
bond = Bond(issue_date, maturity_date, coupon, freq_type, accrual_type,
face)
clean_price = 99.7808417
yld = bond.current_yield(clean_price)
assert round(yld, 4) == 0.0238
ytm = bond.yield_to_maturity(settlement_date, clean_price,
YTMCalcType.UK_DMO)
assert round(ytm, 4) == 0.0240
ytm = bond.yield_to_maturity(settlement_date, clean_price,
YTMCalcType.US_STREET)
assert round(ytm, 4) == 0.0240
ytm = bond.yield_to_maturity(settlement_date, clean_price,
YTMCalcType.US_TREASURY)
assert round(ytm, 4) == 0.0240
full_price = bond.full_price_from_ytm(settlement_date, ytm)
assert round(full_price, 4) == 100.2149
clean_price = bond.clean_price_from_ytm(settlement_date, ytm)
assert round(clean_price, 4) == 99.7825
accrued_interest = bond._accrued_interest
assert round(accrued_interest, 4) == 0.4324
accddays = bond._accrued_days
assert round(accddays, 4) == 67.0
duration = bond.dollar_duration(settlement_date, ytm)
assert round(duration, 4) == 869.0934
modified_duration = bond.modified_duration(settlement_date, ytm)
assert round(modified_duration, 4) == 8.6723
macauley_duration = bond.macauley_duration(settlement_date, ytm)
assert round(macauley_duration, 4) == 8.7764
conv = bond.convexity_from_ytm(settlement_date, ytm)
assert round(conv, 4) == 0.8517
def test_bloomberg_apple_corp_example():
settlement_date = Date(21, 7, 2017)
issue_date = Date(13, 5, 2012)
maturity_date = Date(13, 5, 2022)
coupon = 0.027
freq_type = FrequencyTypes.SEMI_ANNUAL
accrual_type = DayCountTypes.THIRTY_E_360_ISDA
face = 100.0
bond = Bond(issue_date, maturity_date, coupon, freq_type, accrual_type,
face)
clean_price = 101.581564
yld = bond.current_yield(clean_price)
assert round(yld, 4) == 0.0266
ytm = bond.yield_to_maturity(settlement_date, clean_price,
YTMCalcType.UK_DMO)
assert round(ytm, 4) == 0.0235
ytm = bond.yield_to_maturity(settlement_date, clean_price,
YTMCalcType.US_STREET)
assert round(ytm, 4) == 0.0235
ytm = bond.yield_to_maturity(settlement_date, clean_price,
YTMCalcType.US_TREASURY)
assert round(ytm, 4) == 0.0235
full_price = bond.full_price_from_ytm(settlement_date, ytm)
assert round(full_price, 4) == 102.0932
clean_price = bond.clean_price_from_ytm(settlement_date, ytm)
assert round(clean_price, 4) == 101.5832
accddays = bond._accrued_days
assert accddays == 68
accrued_interest = bond._accrued_interest
assert round(accrued_interest, 4) == 0.51
duration = bond.dollar_duration(settlement_date, ytm)
assert round(duration, 4) == 456.5778
modified_duration = bond.modified_duration(settlement_date, ytm)
assert round(modified_duration, 4) == 4.4722
macauley_duration = bond.macauley_duration(settlement_date, ytm)
assert round(macauley_duration, 4) == 4.5247
conv = bond.convexity_from_ytm(settlement_date, ytm)
assert round(conv, 4) == 0.2302
def test_BondPortfolio():
import pandas as pd
path = os.path.join(os.path.dirname(__file__), './data/giltBondPrices.txt')
bondDataFrame = pd.read_csv(path, sep='\t')
bondDataFrame['mid'] = 0.5*(bondDataFrame['bid'] + bondDataFrame['ask'])
freq_type = FrequencyTypes.SEMI_ANNUAL
accrual_type = DayCountTypes.ACT_ACT_ICMA
settlement = Date(19, 9, 2012)
testCases.header("DCTYPE", "MATDATE", "CPN", "PRICE", "ACCD", "YTM")
for accrual_type in DayCountTypes:
for _, bond in bondDataFrame.iterrows():
date_string = bond['maturity']
matDatetime = dt.datetime.strptime(date_string, '%d-%b-%y')
maturityDt = from_datetime(matDatetime)
issueDt = Date(maturityDt._d, maturityDt._m, 2000)
coupon = bond['coupon']/100.0
clean_price = bond['mid']
bond = Bond(issueDt, maturityDt,
coupon, freq_type, accrual_type)
ytm = bond.yield_to_maturity(settlement, clean_price)
accrued_interest = bond._accrued_interest
testCases.print(accrual_type, maturityDt, coupon*100.0,
clean_price, accrued_interest, ytm*100.0)
def test_8():
accrual_type = DayCountTypes.ACT_365F
maturityDt = Date(7, 12, 2015)
coupon = 0.0800000000
clean_price = 124.47000000
issueDt = Date(maturityDt._d, maturityDt._m, 2000)
freq_type = FrequencyTypes.SEMI_ANNUAL
bond = Bond(issueDt, maturityDt, coupon, freq_type, accrual_type)
ytm = bond.yield_to_maturity(settlement, clean_price)
assert round(bond._accrued_interest, 4) == 2.2795
assert round(ytm * 100, 4) == 0.3405
def test_7():
accrual_type = DayCountTypes.ACT_ACT_ICMA
maturityDt = Date(7, 9, 2015)
coupon = 0.0475000000
clean_price = 112.98000000
issueDt = Date(maturityDt._d, maturityDt._m, 2000)
freq_type = FrequencyTypes.SEMI_ANNUAL
bond = Bond(issueDt, maturityDt, coupon, freq_type, accrual_type)
ytm = bond.yield_to_maturity(settlement, clean_price)
assert round(bond._accrued_interest, 4) == 0.1575
assert round(ytm * 100, 4) == 0.3485
def test_9():
accrual_type = DayCountTypes.ACT_360
maturityDt = Date(22, 1, 2016)
coupon = 0.0200000000
clean_price = 104.98000000
issueDt = Date(maturityDt._d, maturityDt._m, 2000)
freq_type = FrequencyTypes.SEMI_ANNUAL
bond = Bond(issueDt, maturityDt, coupon, freq_type, accrual_type)
ytm = bond.yield_to_maturity(settlement, clean_price)
assert round(bond._accrued_interest, 4) == 0.3278
assert round(ytm * 100, 4) == 0.4930
def test_10():
accrual_type = DayCountTypes.ACT_365L
maturityDt = Date(7, 9, 2016)
coupon = 0.0400000000
clean_price = 113.49500000
issueDt = Date(maturityDt._d, maturityDt._m, 2000)
freq_type = FrequencyTypes.SEMI_ANNUAL
bond = Bond(issueDt, maturityDt, coupon, freq_type, accrual_type)
ytm = bond.yield_to_maturity(settlement, clean_price)
assert round(bond._accrued_interest, 4) == 0.1315
assert round(ytm * 100, 4) == 0.5559
def test_11():
accrual_type = DayCountTypes.SIMPLE
maturityDt = Date(25, 8, 2017)
coupon = 0.0875000000
clean_price = 138.57000000
issueDt = Date(maturityDt._d, maturityDt._m, 2000)
freq_type = FrequencyTypes.SEMI_ANNUAL
bond = Bond(issueDt, maturityDt, coupon, freq_type, accrual_type)
ytm = bond.yield_to_maturity(settlement, clean_price)
assert round(bond._accrued_interest, 4) == 0.5993
assert round(ytm * 100, 4) == 0.7652
def test_5():
accrual_type = DayCountTypes.THIRTY_E_PLUS_360
maturityDt = Date(7, 9, 2014)
coupon = 0.0500000000
clean_price = 109.35500000
issueDt = Date(maturityDt._d, maturityDt._m, 2000)
freq_type = FrequencyTypes.SEMI_ANNUAL
bond = Bond(issueDt, maturityDt, coupon, freq_type, accrual_type)
ytm = bond.yield_to_maturity(settlement, clean_price)
assert round(bond._accrued_interest, 4) == 0.1667
assert round(ytm * 100, 4) == 0.2297
def test_6():
accrual_type = DayCountTypes.ACT_ACT_ISDA
maturityDt = Date(22, 1, 2015)
coupon = 0.0275000000
clean_price = 105.62500000
issueDt = Date(maturityDt._d, maturityDt._m, 2000)
freq_type = FrequencyTypes.SEMI_ANNUAL
bond = Bond(issueDt, maturityDt, coupon, freq_type, accrual_type)
ytm = bond.yield_to_maturity(settlement, clean_price)
assert round(bond._accrued_interest, 4) == 0.4433
assert round(ytm * 100, 4) == 0.3334
def test_4():
accrual_type = DayCountTypes.THIRTY_E_360_ISDA
maturityDt = Date(7, 3, 2014)
coupon = 0.022500
clean_price = 102.9750
issueDt = Date(maturityDt._d, maturityDt._m, 2000)
freq_type = FrequencyTypes.SEMI_ANNUAL
bond = Bond(issueDt, maturityDt, coupon, freq_type, accrual_type)
ytm = bond.yield_to_maturity(settlement, clean_price)
assert round(bond._accrued_interest, 4) == 0.0750
assert round(ytm * 100, 4) == 0.2172
def test_3():
accrual_type = DayCountTypes.THIRTY_E_360
maturityDt = Date(27, 9, 2013)
coupon = 0.080000
clean_price = 107.92000000
issueDt = Date(maturityDt._d, maturityDt._m, 2000)
freq_type = FrequencyTypes.SEMI_ANNUAL
bond = Bond(issueDt, maturityDt, coupon, freq_type, accrual_type)
ytm = bond.yield_to_maturity(settlement, clean_price)
assert round(bond._accrued_interest, 4) == 3.8222
assert round(ytm * 100, 4) == 0.2380
def test_2():
accrual_type = DayCountTypes.THIRTY_360_BOND
maturityDt = Date(7, 3, 2013)
coupon = 0.045
clean_price = 101.99500000
issueDt = Date(maturityDt._d, maturityDt._m, 2000)
freq_type = FrequencyTypes.SEMI_ANNUAL
bond = Bond(issueDt, maturityDt, coupon, freq_type, accrual_type)
ytm = bond.yield_to_maturity(settlement, clean_price)
assert round(bond._accrued_interest, 4) == 0.1500
assert round(ytm * 100, 4) == 0.2203
def test_bondtutor_example():
# EXAMPLE FROM http://bondtutor.com/btchp4/topic6/topic6.htm
accrualConvention = DayCountTypes.ACT_ACT_ICMA
y = 0.062267
settlement_date = Date(19, 4, 1994)
issue_date = Date(15, 7, 1990)
maturity_date = Date(15, 7, 1997)
coupon = 0.085
face = ONE_MILLION
freq_type = FrequencyTypes.SEMI_ANNUAL
bond = Bond(issue_date, maturity_date, coupon, freq_type,
accrualConvention, face)
full_price = bond.full_price_from_ytm(settlement_date, y)
assert round(full_price, 4) == 108.7696
clean_price = bond.clean_price_from_ytm(settlement_date, y)
assert round(clean_price, 4) == 106.5625
accrued_interest = bond._accrued_interest
assert round(accrued_interest, 4) == 22071.8232
ytm = bond.yield_to_maturity(settlement_date, clean_price)
assert round(ytm, 4) == 0.0622
bump = 1e-4
priceBumpedUp = bond.full_price_from_ytm(settlement_date, y + bump)
assert round(priceBumpedUp, 4) == 108.7395
priceBumpedDn = bond.full_price_from_ytm(settlement_date, y - bump)
assert round(priceBumpedDn, 4) == 108.7998
durationByBump = -(priceBumpedUp - full_price) / bump
assert round(durationByBump, 4) == 301.1932
duration = bond.dollar_duration(settlement_date, y)
assert round(duration, 4) == 301.2458
assert round(duration - durationByBump, 4) == 0.0526
modified_duration = bond.modified_duration(settlement_date, y)
assert round(modified_duration, 4) == 2.7696
macauley_duration = bond.macauley_duration(settlement_date, y)
assert round(macauley_duration, 4) == 2.8558
conv = bond.convexity_from_ytm(settlement_date, y)
assert round(conv, 4) == 0.0967
def test_bond_future_2():
bond = Bond(issue_date, Date(15, 8, 2027), 0.0225, freq, basis)
assert bond._maturity_date == Date(15, 8, 2027)
settlement_date = Date(10, 10, 2017)
price = 99 + 1 / 32
yld = bond.yield_to_maturity(settlement_date, price)
assert round(yld, 4) == 0.0236
first_delivery_date = Date(1, 12, 2017)
last_delivery_date = Date(28, 12, 2017)
contract_size = 100000
contractCoupon = 0.06
bondFutureContract = BondFuture("TYZ7",
first_delivery_date,
last_delivery_date,
contract_size,
contractCoupon)
cf = bondFutureContract.conversion_factor(bond)
assert round(cf, 4) == 74.2122
futures_price = 125.265625
pip = bondFutureContract.principal_invoice_price(bond, futures_price)
assert round(pip, 4) == 9296237.6200
tia = bondFutureContract.total_invoice_amount(
settlement_date, bond, futures_price)
assert round(tia, 4) == 9296580.0100
def test_BondFuture():
# Example taken from Martellini and Priaulet page 360
freq = FrequencyTypes.SEMI_ANNUAL
basis = DayCountTypes.ACT_ACT_ICMA
issue_date = Date(15, 2, 2004)
bond1 = Bond(issue_date, Date(15, 8, 2011), 0.0500, freq, basis)
bond2 = Bond(issue_date, Date(15, 2, 2011), 0.0500, freq, basis)
bond3 = Bond(issue_date, Date(15, 8, 2010), 0.0575, freq, basis)
bond4 = Bond(issue_date, Date(15, 2, 2010), 0.0650, freq, basis)
bond5 = Bond(issue_date, Date(15, 8, 2009), 0.0600, freq, basis)
bond6 = Bond(issue_date, Date(15, 5, 2009), 0.0550, freq, basis)
bond7 = Bond(issue_date, Date(15, 11, 2008), 0.0475, freq, basis)
bonds = []
bonds.append(bond1)
bonds.append(bond2)
bonds.append(bond3)
bonds.append(bond4)
bonds.append(bond5)
bonds.append(bond6)
bonds.append(bond7)
first_delivery_date = Date(1, 3, 2002)
last_delivery_date = Date(28, 3, 2002)
contract_size = 100000
contractCoupon = 0.06
bondFutureContract = BondFuture("TYH2", first_delivery_date,
last_delivery_date, contract_size,
contractCoupon)
settlement_date = Date(10, 12, 2001)
# Get the Conversion Factors
testCases.header("Bond Maturity", "Coupon", "Conversion Factor")
for bond in bonds:
cf = bondFutureContract.conversion_factor(bond)
testCases.print(bond._maturity_date, bond._coupon * 100, cf)
# Example from
# https://www.cmegroup.com/education/files/understanding-treasury-futures.pdf
testCases.banner("EXAMPLE FROM CME")
testCases.banner("================")
settlement_date = Date(10, 10, 2017)
bonds = []
prices = []
bond = Bond(issue_date, Date(15, 8, 2027), 0.0225, freq, basis)
bonds.append(bond)
prices.append(99 + 1 / 32)
bond = Bond(issue_date, Date(15, 5, 2027), 0.02375, freq, basis)
bonds.append(bond)
prices.append(100 + 5 / 32 + 1 / 64)
bond = Bond(issue_date, Date(15, 2, 2027), 0.0225, freq, basis)
bonds.append(bond)
prices.append(99 + 5 / 32 + 1 / 64)
bond = Bond(issue_date, Date(15, 11, 2026), 0.02, freq, basis)
bonds.append(bond)
prices.append(97 + 7 / 32 + 1 / 64)
bond = Bond(issue_date, Date(15, 8, 2026), 0.015, freq, basis)
bonds.append(bond)
prices.append(93 + 14 / 32)
bond = Bond(issue_date, Date(15, 5, 2026), 0.01625, freq, basis)
bonds.append(bond)
prices.append(94 + 21 / 32 + 1 / 64)
bond = Bond(issue_date, Date(15, 2, 2026), 0.01625, freq, basis)
bonds.append(bond)
prices.append(94 + 29 / 32)
bond = Bond(issue_date, Date(15, 11, 2025), 0.0225, freq, basis)
bonds.append(bond)
prices.append(99 + 25 / 32)
bond = Bond(issue_date, Date(15, 8, 2025), 0.02, freq, basis)
bonds.append(bond)
prices.append(98 + 3 / 32)
bond = Bond(issue_date, Date(15, 5, 2025), 0.02125, freq, basis)
bonds.append(bond)
prices.append(99 + 5 / 32 + 1 / 64)
bond = Bond(issue_date, Date(15, 2, 2025), 0.02, freq, basis)
bonds.append(bond)
prices.append(98 + 14 / 32 + 1 / 64)
bond = Bond(issue_date, Date(15, 11, 2024), 0.0225, freq, basis)
bonds.append(bond)
prices.append(100 + 9 / 32 + 1 / 64)
bond = Bond(issue_date, Date(15, 8, 2024), 0.02375, freq, basis)
bonds.append(bond)
prices.append(101 + 7 / 32 + 1 / 64)
bond = Bond(issue_date, Date(15, 8, 2024), 0.01875, freq, basis)
bonds.append(bond)
# There may be an error in the document says 98-01+
prices.append(98 + 1 / 32)
testCases.header("BOND MATURITY", "YIELD")
for bond, clean_price in zip(bonds, prices):
yld = bond.yield_to_maturity(settlement_date, clean_price)
testCases.print(str(bond._maturity_date), yld)
first_delivery_date = Date(1, 12, 2017)
last_delivery_date = Date(28, 12, 2017)
contract_size = 100000
contractCoupon = 0.06
bondFutureContract = BondFuture("TYZ7", first_delivery_date,
last_delivery_date, contract_size,
contractCoupon)
testCases.header("BOND MATURITY", "CF")
for bond in bonds:
cf = bondFutureContract.conversion_factor(bond)
testCases.print(str(bond._maturity_date), cf)
# Get the Invoice Prices
futures_price = 125.265625
testCases.header("BOND MATURITY", "PRINCIPAL INVOICE PRICE")
for bond in bonds:
pip = bondFutureContract.principal_invoice_price(bond, futures_price)
testCases.print(str(bond._maturity_date), pip)
testCases.header("BOND MATURITY", "TOTAL INVOICE AMOUNT")
for bond in bonds:
tia = bondFutureContract.total_invoice_amount(settlement_date, bond,
futures_price)
testCases.print(str(bond._maturity_date), tia)
ctd = bondFutureContract.cheapest_to_deliver(bonds, prices, futures_price)
testCases.header("CTD MATURITY", "CTD COUPON")
testCases.print(str(ctd._maturity_date), ctd._coupon)
def test_BondYieldCurve():
###########################################################################
import pandas as pd
path = os.path.join(os.path.dirname(__file__), './data/giltBondPrices.txt')
bondDataFrame = pd.read_csv(path, sep='\t')
bondDataFrame['mid'] = 0.5 * (bondDataFrame['bid'] + bondDataFrame['ask'])
freq_type = FrequencyTypes.SEMI_ANNUAL
accrual_type = DayCountTypes.ACT_ACT_ICMA
settlement = Date(19, 9, 2012)
bonds = []
ylds = []
for _, bond in bondDataFrame.iterrows():
dateString = bond['maturity']
matDatetime = dt.datetime.strptime(dateString, '%d-%b-%y')
maturityDt = fromDatetime(matDatetime)
issueDt = Date(maturityDt._d, maturityDt._m, 2000)
coupon = bond['coupon'] / 100.0
clean_price = bond['mid']
bond = Bond(issueDt, maturityDt, coupon, freq_type, accrual_type)
yld = bond.yield_to_maturity(settlement, clean_price)
bonds.append(bond)
ylds.append(yld)
###############################################################################
curveFitMethod = CurveFitPolynomial()
fittedCurve1 = BondYieldCurve(settlement, bonds, ylds, curveFitMethod)
# fittedCurve1.display("GBP Yield Curve")
curveFitMethod = CurveFitPolynomial(5)
fittedCurve2 = BondYieldCurve(settlement, bonds, ylds, curveFitMethod)
# fittedCurve2.display("GBP Yield Curve")
curveFitMethod = CurveFitNelsonSiegel()
fittedCurve3 = BondYieldCurve(settlement, bonds, ylds, curveFitMethod)
# fittedCurve3.display("GBP Yield Curve")
curveFitMethod = CurveFitNelsonSiegelSvensson()
fittedCurve4 = BondYieldCurve(settlement, bonds, ylds, curveFitMethod)
# fittedCurve4.display("GBP Yield Curve")
curveFitMethod = CurveFitBSpline()
fittedCurve5 = BondYieldCurve(settlement, bonds, ylds, curveFitMethod)
# fittedCurve5.display("GBP Yield Curve")
###############################################################################
testCases.header("PARAMETER", "VALUE")
testCases.print("beta1", fittedCurve3._curveFit._beta1)
testCases.print("beta2", fittedCurve3._curveFit._beta2)
testCases.print("beta3", fittedCurve3._curveFit._beta3)
testCases.print("tau", fittedCurve3._curveFit._tau)
testCases.header("PARAMETER", "VALUE")
testCases.print("beta1", fittedCurve4._curveFit._beta1)
testCases.print("beta2", fittedCurve4._curveFit._beta2)
testCases.print("beta3", fittedCurve4._curveFit._beta3)
testCases.print("beta4", fittedCurve4._curveFit._beta4)
testCases.print("tau1", fittedCurve4._curveFit._tau1)
testCases.print("tau2", fittedCurve4._curveFit._tau2)
###############################################################################
maturity_date = Date(19, 9, 2030)
interpolatedYield = fittedCurve5.interpolatedYield(maturity_date)
testCases.print(maturity_date, interpolatedYield)
def test_Bond():
import pandas as pd
path = os.path.join(os.path.dirname(__file__), './data/giltBondPrices.txt')
bondDataFrame = pd.read_csv(path, sep='\t')
bondDataFrame['mid'] = 0.5 * (bondDataFrame['bid'] + bondDataFrame['ask'])
freq_type = FrequencyTypes.SEMI_ANNUAL
settlement_date = Date(19, 9, 2012)
face = ONE_MILLION
for accrual_type in DayCountTypes:
testCases.header("MATURITY", "COUPON", "CLEAN_PRICE", "ACCD_DAYS",
"ACCRUED", "YTM")
for _, bond in bondDataFrame.iterrows():
dateString = bond['maturity']
matDatetime = dt.datetime.strptime(dateString, '%d-%b-%y')
maturityDt = fromDatetime(matDatetime)
issueDt = Date(maturityDt._d, maturityDt._m, 2000)
coupon = bond['coupon'] / 100.0
clean_price = bond['mid']
bond = Bond(issueDt, maturityDt,
coupon, freq_type, accrual_type, 100)
ytm = bond.yield_to_maturity(settlement_date, clean_price)
accrued_interest= bond._accruedInterest
accd_days = bond._accrued_days
testCases.print("%18s" % maturityDt, "%8.4f" % coupon,
"%10.4f" % clean_price, "%6.0f" % accd_days,
"%10.4f" % accrued_interest, "%8.4f" % ytm)
###########################################################################
# EXAMPLE FROM http://bondtutor.com/btchp4/topic6/topic6.htm
accrualConvention = DayCountTypes.ACT_ACT_ICMA
y = 0.062267
settlement_date = Date(19, 4, 1994)
issue_date = Date(15, 7, 1990)
maturity_date = Date(15, 7, 1997)
coupon = 0.085
face = ONE_MILLION
freq_type = FrequencyTypes.SEMI_ANNUAL
bond = Bond(issue_date, maturity_date,
coupon, freq_type, accrualConvention, face)
testCases.header("FIELD", "VALUE")
full_price = bond.full_price_from_ytm(settlement_date, y)
testCases.print("Full Price = ", full_price)
clean_price = bond.clean_price_from_ytm(settlement_date, y)
testCases.print("Clean Price = ", clean_price)
accrued_interest= bond._accruedInterest
testCases.print("Accrued = ", accrued_interest)
ytm = bond.yield_to_maturity(settlement_date, clean_price)
testCases.print("Yield to Maturity = ", ytm)
bump = 1e-4
priceBumpedUp = bond.full_price_from_ytm(settlement_date, y + bump)
testCases.print("Price Bumped Up:", priceBumpedUp)
priceBumpedDn = bond.full_price_from_ytm(settlement_date, y - bump)
testCases.print("Price Bumped Dn:", priceBumpedDn)
durationByBump = -(priceBumpedUp - full_price) / bump
testCases.print("Duration by Bump = ", durationByBump)
duration = bond.dollar_duration(settlement_date, y)
testCases.print("Dollar Duration = ", duration)
testCases.print("Duration Difference:", duration - durationByBump)
modified_duration = bond.modified_duration(settlement_date, y)
testCases.print("Modified Duration = ", modified_duration)
macauley_duration = bond.macauley_duration(settlement_date, y)
testCases.print("Macauley Duration = ", macauley_duration)
conv = bond.convexity_from_ytm(settlement_date, y)
testCases.print("Convexity = ", conv)
# ASSET SWAP SPREAD
# When the libor curve is the flat bond curve then the ASW is zero by
# definition
flatCurve = DiscountCurveFlat(settlement_date,
ytm,
FrequencyTypes.SEMI_ANNUAL)
testCases.header("FIELD", "VALUE")
clean_price = bond.clean_price_from_ytm(settlement_date, ytm)
asw = bond.asset_swap_spread(settlement_date, clean_price, flatCurve)
testCases.print("Discounted on Bond Curve ASW:", asw * 10000)
# When the libor curve is the Libor curve then the ASW is positive
libor_curve = buildIborCurve(settlement_date)
asw = bond.asset_swap_spread(settlement_date, clean_price, libor_curve)
oas = bond.option_adjusted_spread(settlement_date, clean_price, libor_curve)
testCases.print("Discounted on LIBOR Curve ASW:", asw * 10000)
testCases.print("Discounted on LIBOR Curve OAS:", oas * 10000)
p = 90.0
asw = bond.asset_swap_spread(settlement_date, p, libor_curve)
oas = bond.option_adjusted_spread(settlement_date, p, libor_curve)
testCases.print("Deep discount bond at 90 ASW:", asw * 10000)
testCases.print("Deep discount bond at 90 OAS:", oas * 10000)
p = 100.0
asw = bond.asset_swap_spread(settlement_date, p, libor_curve)
oas = bond.option_adjusted_spread(settlement_date, p, libor_curve)
testCases.print("Par bond at 100 ASW:", asw * 10000)
testCases.print("Par bond at 100 OAS:", oas * 10000)
p = 120.0
asw = bond.asset_swap_spread(settlement_date, p, libor_curve)
oas = bond.option_adjusted_spread(settlement_date, p, libor_curve)
testCases.print("Above par bond at 120 ASW:", asw * 10000)
testCases.print("Above par bond at 120 OAS:", oas * 10000)
##########################################################################
# https://data.bloomberglp.com/bat/sites/3/2017/07/SF-2017_Paul-Fjeldsted.pdf
# Page 10 TREASURY NOTE SCREENSHOT
##########################################################################
testCases.banner("BLOOMBERG US TREASURY EXAMPLE")
settlement_date = Date(21, 7, 2017)
issue_date = Date(15, 5, 2010)
maturity_date = Date(15, 5, 2027)
coupon = 0.02375
freq_type = FrequencyTypes.SEMI_ANNUAL
accrual_type = DayCountTypes.ACT_ACT_ICMA
face = 100.0
bond = Bond(issue_date,
maturity_date,
coupon,
freq_type,
accrual_type,
face)
testCases.header("FIELD", "VALUE")
clean_price = 99.7808417
yld = bond.current_yield(clean_price)
testCases.print("Current Yield = ", yld)
ytm = bond.yield_to_maturity(settlement_date, clean_price,
FinYTMCalcType.UK_DMO)
testCases.print("UK DMO Yield To Maturity = ", ytm)
ytm = bond.yield_to_maturity(settlement_date, clean_price,
FinYTMCalcType.US_STREET)
testCases.print("US STREET Yield To Maturity = ", ytm)
ytm = bond.yield_to_maturity(settlement_date, clean_price,
FinYTMCalcType.US_TREASURY)
testCases.print("US TREASURY Yield To Maturity = ", ytm)
full_price = bond.full_price_from_ytm(settlement_date, ytm)
testCases.print("Full Price = ", full_price)
clean_price = bond.clean_price_from_ytm(settlement_date, ytm)
testCases.print("Clean Price = ", clean_price)
accrued_interest= bond._accruedInterest
testCases.print("Accrued = ", accrued_interest)
accddays = bond._accrued_days
testCases.print("Accrued Days = ", accddays)
duration = bond.dollar_duration(settlement_date, ytm)
testCases.print("Dollar Duration = ", duration)
modified_duration = bond.modified_duration(settlement_date, ytm)
testCases.print("Modified Duration = ", modified_duration)
macauley_duration = bond.macauley_duration(settlement_date, ytm)
testCases.print("Macauley Duration = ", macauley_duration)
conv = bond.convexity_from_ytm(settlement_date, ytm)
testCases.print("Convexity = ", conv)
##########################################################################
# Page 11 APPLE NOTE SCREENSHOT
##########################################################################
testCases.banner("BLOOMBERG APPLE CORP BOND EXAMPLE")
settlement_date = Date(21, 7, 2017)
issue_date = Date(13, 5, 2012)
maturity_date = Date(13, 5, 2022)
coupon = 0.027
freq_type = FrequencyTypes.SEMI_ANNUAL
accrual_type = DayCountTypes.THIRTY_E_360_ISDA
face = 100.0
bond = Bond(issue_date, maturity_date,
coupon, freq_type, accrual_type, face)
testCases.header("FIELD", "VALUE")
clean_price = 101.581564
yld = bond.current_yield(clean_price)
testCases.print("Current Yield", yld)
ytm = bond.yield_to_maturity(settlement_date, clean_price,
FinYTMCalcType.UK_DMO)
testCases.print("UK DMO Yield To Maturity", ytm)
ytm = bond.yield_to_maturity(settlement_date, clean_price,
FinYTMCalcType.US_STREET)
testCases.print("US STREET Yield To Maturity", ytm)
ytm = bond.yield_to_maturity(settlement_date, clean_price,
FinYTMCalcType.US_TREASURY)
testCases.print("US TREASURY Yield To Maturity", ytm)
full_price = bond.full_price_from_ytm(settlement_date, ytm)
testCases.print("Full Price", full_price)
clean_price = bond.clean_price_from_ytm(settlement_date, ytm)
testCases.print("Clean Price", clean_price)
accddays = bond._accrued_days
testCases.print("Accrued Days", accddays)
accrued_interest= bond._accruedInterest
testCases.print("Accrued", accrued_interest)
duration = bond.dollar_duration(settlement_date, ytm)
testCases.print("Dollar Duration", duration)
modified_duration = bond.modified_duration(settlement_date, ytm)
testCases.print("Modified Duration", modified_duration)
macauley_duration = bond.macauley_duration(settlement_date, ytm)
testCases.print("Macauley Duration", macauley_duration)
conv = bond.convexity_from_ytm(settlement_date, ytm)
testCases.print("Convexity", conv)
accrual_type = DayCountTypes.ACT_ACT_ICMA
settlement = Date(19, 9, 2012)
bonds = []
ylds = []
for _, bond in bondDataFrame.iterrows():
date_string = bond['maturity']
matDatetime = dt.datetime.strptime(date_string, '%d-%b-%y')
maturityDt = from_datetime(matDatetime)
issueDt = Date(maturityDt._d, maturityDt._m, 2000)
coupon = bond['coupon'] / 100.0
clean_price = bond['mid']
bond = Bond(issueDt, maturityDt, coupon, freq_type, accrual_type)
yld = bond.yield_to_maturity(settlement, clean_price)
bonds.append(bond)
ylds.append(yld)
def test_poly():
curveFitMethod = CurveFitPolynomial(5)
fittedCurve = BondYieldCurve(settlement, bonds, ylds, curveFitMethod)
coeffs = fittedCurve._curveFit._coeffs
assert round(coeffs[0] * 1e9, 4) == -1.4477
assert round(coeffs[1] * 1e7, 4) == 1.7840
assert round(coeffs[2] * 1e6, 4) == -7.4147
assert round(coeffs[3] * 1e5, 4) == 9.0622
assert round(coeffs[4] * 1e3, 4) == 1.3536
assert round(coeffs[5] * 1e7, 4) == 4.1514
