NTNB class in Brazilian government bonds structure #48
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gusamarante
requested changes
Apr 24, 2021
| rate: Optional[float] = None, | ||
| price: Optional[float] = None, | ||
| updated_nominal_value: Optional[float] = None, | ||
| principal: float = 1e6, |
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Porque esse principal é necessário? o VNA da NTNB já é o principal dela
| @@ -162,3 +162,109 @@ def calculate_risk(self): | |||
| convexity = (convexity / self.price) / (1. + self.rate) ** 2 | |||
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| return mod_duration, convexity | |||
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| class NTNB(object): | |||
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Precisa incluir essa classe (e a dos outros bonds) no construtor da biblioteca finmath. É o arquivo __init__.py que fica dentro dela.
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Testei a classe com os dados do dia 23 de abril de 2021. O preço fica só com 0.12% de diferença para o que a ANBIMA publicou. from finmath.brazilian_bonds.government_bonds import NTNB
ntn = NTNB(expiry='2050-08-15',
rate=0.044125,
updated_nominal_value=3517.844181,
ref_date='2021-04-23')
print('Preço calculado foi de', ntn.price)
print('PU na ANBIMA é de 4.460,278154') |
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Oi Gustavo, boa noite, tudo bom? Obrigado pelos feedbacks! Muito obrigado! |
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Added NTNB class in Brazilian government bonds