Fixed Bond

This module contains examples of fixed rate bonds.

FixedCashFlows dataclass

Bases: Contract

A set of Fixed Cashflows in a single currency. This example also shows how to create a timetable from arrays instead of a list of dictionaries, which is more efficient.

Parameters:

Name	Type	Description	Default
ccy	str	the currency of cashflows.	required
times		a list or ndarray of cashflows times.	required
amounts	List[float]	a list ndarray of cashflows amounts.	required
track	str	an optional identifier for the contract.	''

Examples:

>>> times = [datetime(2023, 12, 31), datetime(2024, 6, 30), datetime(2024, 12, 31)]
>>> amounts = [0.05, 0.05, 1.05]
>>> FixedCashFlows("USD", times, amounts).print_events()
      time op  quantity unit track
12/31/2023  +      0.05  USD
06/30/2024  +      0.05  USD
12/31/2024  +      1.05  USD

Source code in qablet_contracts\bnd\fixed.py

@dataclass
class FixedCashFlows(Contract):
    """A set of **Fixed Cashflows** in a single currency. This example also shows how to create a timetable from arrays
    instead of a list of dictionaries, which is more efficient.

    Args:
        ccy: the currency of cashflows.
        times: a list or ndarray of cashflows times.
        amounts: a list ndarray of cashflows amounts.
        track: an optional identifier for the contract.

    Examples:
        >>> times = [datetime(2023, 12, 31), datetime(2024, 6, 30), datetime(2024, 12, 31)]
        >>> amounts = [0.05, 0.05, 1.05]
        >>> FixedCashFlows("USD", times, amounts).print_events()
              time op  quantity unit track
        12/31/2023  +      0.05  USD
        06/30/2024  +      0.05  USD
        12/31/2024  +      1.05  USD
    """

    ccy: str
    dates: List[datetime]
    amounts: List[float]
    track: str = ""

    def timetable(self):
        return timetable_from_cf(
            self.ccy, self.dates, self.amounts, self.track
        )

FixedBond dataclass

Bases: Contract

A Fixed Rate Bond pays a fixed rate at regular intervals, and the principal at maturity.

Parameters:

Name	Type	Description	Default
ccy	str	the currency of cashflows.	required
coupon	float	the coupon rate per year.	required
maturity	datetime	the maturity of the bond.	required
freq	str	the number of coupon payments per year.	'2BQE'
track	str	an optional identifier for the contract.	''

Examples:

>>> FixedBond("USD", 0.05, datetime(2023, 12, 31), datetime(2025, 12, 31), "2QE").print_events()
      time op  quantity unit track
06/30/2024  +     0.025  USD
12/31/2024  +     0.025  USD
06/30/2025  +     0.025  USD
12/31/2025  +     1.025  USD

Source code in qablet_contracts\bnd\fixed.py

@dataclass
class FixedBond(Contract):
    """A **Fixed Rate Bond** pays a fixed rate at regular intervals, and the principal at maturity.

    Args:
        ccy: the currency of cashflows.
        coupon: the coupon rate per year.
        maturity: the maturity of the bond.
        freq: the number of coupon payments per year.
        track: an optional identifier for the contract.

    Examples:
        >>> FixedBond("USD", 0.05, datetime(2023, 12, 31), datetime(2025, 12, 31), "2QE").print_events()
              time op  quantity unit track
        06/30/2024  +     0.025  USD
        12/31/2024  +     0.025  USD
        06/30/2025  +     0.025  USD
        12/31/2025  +     1.025  USD
    """

    ccy: str
    coupon: float
    accrual_start: datetime
    maturity: datetime
    freq: str = "2BQE"
    track: str = ""

    def timetable(self):
        # Coupon period dates including the start of first period, and end of last period.
        cpn_dates = pd.bdate_range(
            self.accrual_start,
            self.maturity,
            freq=self.freq,
            inclusive="both",
        )

        amounts = [
            dcf(end, start) * self.coupon
            for start, end in zip(cpn_dates[:-1], cpn_dates[1:])
        ]

        amounts[-1] += 1  # The last payment includes the principal
        return timetable_from_cf(self.ccy, cpn_dates[1:], amounts, self.track)