BondMixin#
- class rateslib.instruments.BondMixin#
Bases:
object
Methods Summary
analytic_delta
([curve, disc_curve, fx, base])Return the analytic delta of the security via summing all periods.
cashflows
([curves, solver, fx, base, settlement])Return the properties of the security used in calculating cashflows.
ex_div
(settlement)Return a boolean whether the security is ex-div at the given settlement.
fwd_from_repo
(price, settlement, ...[, ...])Return a forward price implied by a given repo rate.
npv
([curves, solver, fx, base, local])Return the NPV of the security by summing cashflow valuations.
oaspread
([curves, solver, fx, base, price, ...])The option adjusted spread added to the discounting Curve to value the security at
price
.repo_from_fwd
(price, settlement, ...[, ...])Return an implied repo rate from a forward price.
Methods Documentation
- analytic_delta(curve=NoInput.blank, disc_curve=NoInput.blank, fx=NoInput.blank, base=NoInput.blank)#
Return the analytic delta of the security via summing all periods.
For arguments see
analytic_delta()
.
- cashflows(curves=NoInput.blank, solver=NoInput.blank, fx=NoInput.blank, base=NoInput.blank, settlement=NoInput.blank)#
Return the properties of the security used in calculating cashflows.
- Parameters:
curves (Curve, str or list of such) –
A single
Curve
or id or a list of such. A list defines the following curves in the order:Forecasting
Curve
forleg1
.Discounting
Curve
forleg1
.
solver (Solver, optional) – The numerical
Solver
that constructsCurves
from calibrating instruments.fx (float, FXRates, FXForwards, optional) – The immediate settlement FX rate that will be used to convert values into another currency. A given float is used directly. If giving a
FXRates
orFXForwards
object, converts from local currency intobase
.base (str, optional) – The base currency to convert cashflows into (3-digit code), set by default. Only used if
fx_rate
is anFXRates
orFXForwards
object.settlement (datetime, optional) – The settlement date of the security. If None adds the regular
settle
time to the initial node date of the given discountcurves
.
- Return type:
DataFrame
- ex_div(settlement)#
Return a boolean whether the security is ex-div at the given settlement.
- Parameters:
settlement (datetime) – The settlement date to test.
- Return type:
bool
Notes
By default uses the UK DMO convention of returning False if
settlement
is on or before the ex-div date.Some
calc_mode
options return True ifsettlement
is on the ex-div date.Ex-div dates are determined as measured by the number of
ex_div
business days prior to the unadjusted coupon end date.With an
ex_div
of 1, asettlement
that occurs on the coupon payment date will be classified as ex-dividend and not receive that coupon.With an
ex_div
of 0, asettlement
that occurs on the coupon payment date will not be classified as ex-dividend and will receive that coupon (in the default calculation mode).
- fwd_from_repo(price, settlement, forward_settlement, repo_rate, convention=NoInput.blank, dirty=False, method='proceeds')#
Return a forward price implied by a given repo rate.
- Parameters:
price (float, Dual, or Dual2) – The initial price of the security at
settlement
.settlement (datetime) – The settlement date of the bond
forward_settlement (datetime) – The forward date for which to calculate the forward price.
repo_rate (float, Dual or Dual2) – The rate which is used to calculate values.
convention (str, optional) – The day count convention applied to the rate. If not given uses default values.
dirty (bool, optional) – Whether the input and output price are specified including accrued interest.
method (str in {"proceeds", "compounded"}, optional) – The method for determining the forward price.
- Return type:
Notes
Any intermediate (non ex-dividend) cashflows between
settlement
andforward_settlement
will also be assumed to accrue atrepo_rate
.
- npv(curves=NoInput.blank, solver=NoInput.blank, fx=NoInput.blank, base=NoInput.blank, local=False)#
Return the NPV of the security by summing cashflow valuations.
- Parameters:
curves (Curve, str or list of such) –
A single
Curve
or id or a list of such. A list defines the following curves in the order:Forecasting
Curve
forleg1
.Discounting
Curve
forleg1
.
solver (Solver, optional) – The numerical
Solver
that constructsCurves
from calibrating instruments.fx (float, FXRates, FXForwards, optional) – The immediate settlement FX rate that will be used to convert values into another currency. A given float is used directly. If giving a
FXRates
orFXForwards
object, converts from local currency intobase
.base (str, optional) – The base currency to convert cashflows into (3-digit code), set by default. Only used if
fx
is anFXRates
orFXForwards
object.local (bool, optional) – If True will ignore the
base
request and return a dict identifying local currency NPV.
- Return type:
Notes
The
settlement
date of the bond is inferred from the objectssettle
days parameter and the initial date of the suppliedcurves
. The NPV returned is for immediate settlement.If only one curve is given this is used as all four curves.
If two curves are given the forecasting curve is used as the forecasting curve on both legs and the discounting curve is used as the discounting curve for both legs.
- oaspread(curves=NoInput.blank, solver=NoInput.blank, fx=NoInput.blank, base=NoInput.blank, price=NoInput.blank, dirty=False)#
The option adjusted spread added to the discounting Curve to value the security at
price
.- Parameters:
curves (Curve, str or list of such) –
A single
Curve
or id or a list of such. A list defines the following curves in the order:Forecasting
Curve
forleg1
.Discounting
Curve
forleg1
.
solver (Solver, optional) – The numerical
Solver
that constructsCurves
from calibrating instruments.fx (float, FXRates, FXForwards, optional) – The immediate settlement FX rate that will be used to convert values into another currency. A given float is used directly. If giving a
FXRates
orFXForwards
object, converts from local currency intobase
.base (str, optional) – The base currency to convert cashflows into (3-digit code), set by default. Only used if
fx
is anFXRates
orFXForwards
object.price (float, Dual, Dual2) – The price of the bond to match.
dirty (bool) – Whether the price is given clean or dirty.
- Return type:
- repo_from_fwd(price, settlement, forward_settlement, forward_price, convention=NoInput.blank, dirty=False)#
Return an implied repo rate from a forward price.
- Parameters:
price (float, Dual, or Dual2) – The initial price of the security at
settlement
.settlement (datetime) – The settlement date of the bond
forward_settlement (datetime) – The forward date for which to calculate the forward price.
forward_price (float, Dual or Dual2) – The forward price which iplies the repo rate
convention (str, optional) – The day count convention applied to the rate. If not given uses default values.
dirty (bool, optional) – Whether the input and output price are specified including accrued interest.
- Return type:
Notes
Any intermediate (non ex-dividend) cashflows between
settlement
andforward_settlement
will also be assumed to accrue atrepo_rate
.