Securities

Securities are generally one-leg instruments which have been packaged to provide specific methods relevant to their nature. For example bonds have yield-to-maturity and accrued interest for example.

rateslib.instruments.FixedRateBond([...])	Create a fixed rate bond security.
rateslib.instruments.FloatRateNote([...])	Create a floating rate note (FRN) security.
rateslib.instruments.Bill([effective, ...])	Create a discount security.
rateslib.instruments.IndexFixedRateBond([...])	Create an indexed fixed rate bond security.
rateslib.instruments.BondFuture(coupon, ...)	Create a bond future derivative.

Fixed Rate Bond

Fixed rate bonds can be constructed and priced with traditional metrics. The following example is taken from the UK DMO’s documentation.

In [1]: bond = FixedRateBond(
   ...:     effective=dt(1995, 1, 1),
   ...:     termination=dt(2015, 12, 7),
   ...:     frequency="S",
   ...:     convention="ActActICMA",
   ...:     fixed_rate=8.0,
   ...:     ex_div=7,
   ...:     settle=1,
   ...:     calendar="ldn",
   ...: )
   ...: 

The price in a dirty and clean sense related by the accrued is visible below for a ytm (yield-to-maturity) of 4.445%.

In [2]: bond.price(
   ...:    ytm=4.445,
   ...:    settlement=dt(1999, 5, 27),
   ...:    dirty=True
   ...: )
   ...: 
Out[2]: 141.07013154004537

In [3]: bond.ex_div(dt(1999, 5, 27))
Out[3]: True

In [4]: bond.accrued(dt(1999, 5, 27))
Out[4]: -0.24175824175824176

In [5]: bond.price(
   ...:    ytm=4.445,
   ...:    settlement=dt(1999, 5, 27),
   ...:    dirty=False
   ...: )
   ...: 
Out[5]: 141.31188978180361

Bonds can also be priced by a discount Curve. Since the bond has settlement timeframe of 1 business day this will be one business day after the initial node date of the curve.

In [6]: bond_curve = Curve({dt(1999, 5, 26): 1.0, dt(2015, 12, 7): 0.483481})

In [7]: bond.rate(bond_curve, metric="dirty_price")
Out[7]: 141.0701685565273

In [8]: bond.rate(bond_curve, metric="ytm")
Out[8]: 4.444997474959312