8000 Atualizações e NTN-B Classs by Machgui · Pull Request #50 · Finance-Hub/FinanceHub · GitHub
[go: up one dir, main page]
More Web Proxy on the site http://driver.im/
Skip to content

Atualizações e NTN-B Classs #50

New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Open
wants to merge 1 commit into
base: master
Choose a base branch
from
Open

Atualizações e NTN-B Classs #50

Changes from all commits
Commits
Show all changes
1 commit
Select commit
File filter

Filter by extension

Filter by extension
Conversations
Failed to load comments.
Loading
Jump to
Jump to file
Failed to load files.
Loading
Diff view
Diff view
211 changes: 183 additions & 28 deletions finmath/brazilian_bonds/government_bonds.py
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -5,20 +5,26 @@
from typing import Optional
import pandas as pd
import numpy as np
import math as mt
from calendars import DayCounts
from calendars.custom_date_types import Date, TODAY
from scipy import optimize

dc = DayCounts('bus/252', calendar='cdr_anbima')


def truncate(number, digits) -> float:
stepper = 10.0 ** digits
return mt.trunc(stepper * number) / stepper


class LTN(object):

def __init__(self,
expiry: Date,
rate: Optional[float] = None,
price: Optional[float] = None,
principal: float = 1e6,
principal: float = 1e3,
ref_date: Date = TODAY):
"""
Class constructor.
Expand All @@ -30,22 +36,24 @@ def __init__(self,
:param ref_date: reference date for price or rate calculation
"""

msg = 'Parameters rate and price cannot be both None!'
assert rate is not None or price is not None, msg

self.principal = float(principal)
self.ytm = dc.tf(ref_date, expiry)
self.ytm = truncate(dc.tf(ref_date, expiry), 14)
self.expiry = pd.to_datetime(expiry).date()

if rate is not None and price is None:
self.rate = float(rate)
self.price = self.price_from_rate(principal, rate, self.ytm)
self.price = truncate(self.price_from_rate(principal, rate, self.ytm), 6)
elif rate is None and price is not None:
self.price = float(price)
self.rate = self.rate_from_price(principal, price, self.ytm)
self.rate = truncate(self.rate_from_price(principal, price, self.ytm), 6)
elif rate is None and price is None:
msg = 'Parameters rate and price cannot be both None!'
warnings.warn(msg)
self.price = 1
self.rate = 1
else:
pt = self.price_from_rate(principal, rate, self.ytm)
if np.abs(pt - float(price)) / principal > 0.1:
if np.abs(pt - float(price)) > 0.000001:
msg = 'Given price and rate are incompatible!'
warnings.warn(msg)
self.rate = rate
Expand Down Expand Up @@ -76,7 +84,7 @@ def __init__(self,
expiry: Date,
rate: Optional[float] = None,
price: Optional[float] = None,
principal: float = 1e6,
principal: float = 1e3,
coupon_rate: float = 0.1,
ref_date: Date = TODAY):
"""
Expand All @@ -90,33 +98,42 @@ def __init__(self,
:param ref_date: reference date for price or rate calculation
"""

msg = 'Parameters rate and price cannot be both None!'
assert rate is not None or price is not None, msg

self.expiry = pd.to_datetime(expiry).date()
self.ref_date = pd.to_datetime(ref_date).date()
self.principal = float(principal)

interest = ((1. + coupon_rate) ** (1. / 2.) - 1.) * principal
interest = np.round(((1. + coupon_rate) ** (1. / 2.) - 1.) * 1000, 5)
cash_flows = pd.Series(index=self.payment_dates(),
data=interest).sort_index()
cash_flows.iloc[-1] += principal
cash_flows.iloc[-1] += 1000

self.cash_flows = cash_flows

if rate is not None and price is None:
self.rate: float = float(rate)
self.price = self.price_from_rate()
self.rate = float(rate)
self.price = truncate(self.price_from_rate(), 6)
elif rate is None and price is not None:
self.price = float(price)
self.rate = self.rate_from_price()
self.rate = truncate(self.rate_from_price(), 6)
elif rate is None and price is None:
msg = 'Parameters rate and price cannot be both None!'
warnings.warn(msg)
self.price = 1
self.rate = 1
elif rate is not None and price is not None:
self.price = float(price)
self.rate = float(rate)

else:
pt = self.price_from_rate()
if np.abs(pt - float(price)) / principal > 0.1:
check = self.price_from_rate()
if np.abs(check - float(price)) > 0.000001:
msg = 'Given price and rate are incompatible!'
warnings.warn(msg)
self.rate = rate
self.price = price

else:
msg = 'Something wrong has happened, please check your inputs'
warnings.warn(msg)
self.rate = float(rate)
self.price = float(price)

self.mod_duration, self.convexity = self.calculate_risk
self.macaulay = self.mod_duration * (1. + self.rate)
Expand All @@ -134,16 +151,15 @@ def payment_dates(self):

def price_from_rate(self) -> float:
pv = 0.

for d, p in self.cash_flows.items():
cf = LTN(d, rate=self.rate, principal=p,
ref_date=self.ref_date)
pv += cf.price
cf = np.round(p / (1. + self.rate) ** dc.tf(self.ref_date, d), 9)
pv += cf
return float(pv)

def rate_from_price(self):
theor_p = lambda x: sum([LTN(d, rate=x, principal=p,
ref_date=self.ref_date).price
for d, p in self.cash_flows.items()])
theor_p = lambda x: sum(np.round(p / (1. + x) ** dc.tf(self.ref_date, d), 9)
for d, p in self.cash_flows.items())
error = lambda x: (self.price - float(theor_p(x)))

return optimize.brentq(error, 0., 1.)
Expand All @@ -162,3 +178,142 @@ def calculate_risk(self):
convexity = (convexity / self.price) / (1. + self.rate) ** 2

return mod_duration, convexity


class NTNB(object):

def __init__(self,
expiry: Date,
rate: Optional[float] = None,
price: Optional[float] = None,
vna: Optional[float] = None,
principal: float = 1e6,
Copy link
Member

Choose a reason for hiding this comment

The reason will be displayed to describe this comment to others. Learn more.

Porque esse principal é necessário? o VNA da NTNB já é o principal dela.

coupon_rate: float = 0.06,
ref_date: Date = TODAY):
"""
Class constructor.
This is a Brazilian government bond that pays coupons every six months
Copy link
Member

Choose a reason for hiding this comment

The reason will be displayed to describe this comment to others. Learn more.

Essa documentação é igual a da Pull Request #49.

:param expiry: bond expiry date
:param rate: bond yield
:param price: bond price
:param vna: updated nominal price
:param principal: bond principal
:param coupon_rate: bond coupon rate
:param ref_date: reference date for price or rate calculation
"""

self.expiry = pd.to_datetime(expiry).date()
self.ref_date = pd.to_datetime(ref_date).date()
self.principal = float(principal)

interest = np.round(((1. + coupon_rate) ** (1. / 2.) - 1.) * 100, 6)
cash_flows = pd.Series(index=self.payment_dates(),
data=interest).sort_index()
cash_flows.iloc[-1] += 100

self.cash_flows = cash_flows

# Returns if 2 out 3 parametres are filled:
if rate is not None and vna is not None and price is None:
self.rate = float(rate)
self.vna = float(vna)
self.price = truncate(self.price_from_rate_and_vna(), 6)
elif rate is None and vna is not None and price is not None:
self.price = float(price)
self.vna = float(vna)
self.rate = truncate(self.rate_from_price_and_vna(), 6)
elif rate is not None and vna is None and price is not None:
self.price = float(price)
self.rate = float(rate)
self.vna = round(self.vna_from_price_and_rate(), 6)

# Errors parametres are not correctly filled:
elif (rate is None and price is None
or rate is None and vna is None
or price is None and vna is None):
msg = 'Only 2 of the parameters rate, price and vna can be None!'
warnings.warn(msg)
self.price = 1
self.rate = 1
self.vna = 1

# Checks if the parameters are compatible:
elif rate is not None and price is not None and vna is not None:
self.price = float(price)
self.rate = float(rate)
self.vna = float(vna)

check = self.price_from_rate_and_vna()

if np.abs(check - float(price)) > 0.000001:
msg = 'Given price, rate and vna are incompatible!'
warnings.warn(msg)

else:
msg = 'Something wrong has happened, please check your inputs'
warnings.warn(msg)
self.rate = float(rate)
self.price = float(price)
< C139 /td> self.vna = float(vna)

self.mod_duration, self.convexity = self.calculate_risk
self.macaulay = self.mod_duration * (1. + self.rate)
self.dv01 = (self.mod_duration / 100.) * self.price

def payment_dates(self):

payd = [dc.following(self.expiry)]
adjpayd = list()
d = dc.following(self.expiry) + pd.DateOffset(months=-6)

while d > dc.following(self.ref_date):
payd += [d]
d = d + pd.DateOffset(months=-6)

for day in payd:
if day == dc.workday((day + pd.DateOffset(days=-1)), 1):
adjday = day
else:
adjday = dc.workday((day + pd.DateOffset(days=-1)), 1)
adjpayd += [adjday]

return sorted(adjpayd)

def price_from_rate_and_vna(self) -> float:
pv = 0.

for d, p in self.cash_flows.items():
cf = np.round(p / (1. + self.rate) ** dc.tf(self.ref_date, d), 10)
pv += cf
return truncate(float(pv) / 100, 6) * self.vna

def rate_from_price_and_vna(self):
theor_p = lambda x: sum(np.round(p / (1. + x) ** dc.tf(self.ref_date, d), 9)
for d, p in self.cash_flows.items())
error = lambda x: (self.price - float(truncate(theor_p(x) / 100, 6) * self.vna))

return optimize.brentq(error, 0., 1.)

def vna_from_price_and_rate(self):
pv = 0.

for d, p in self.cash_flows.items():
cf = np.round(p / (1. + self.rate) ** dc.tf(self.ref_date, d), 10)
pv += cf

return self.price / truncate(float(pv) / 100, 6)

@property
def calculate_risk(self):
macaulay = 0.
convexity = 0.
for d, p in self.cash_flows.items():
pv = p / (1. + self.rate) ** dc.tf(self.ref_date, d)
t = dc.tf(self.ref_date, d)
macaulay += t * pv
convexity += t * (1 + t) * pv
macaulay = macaulay / self.price
mod_duration = macaulay / (1. + self.rate)
convexity = (convexity / self.price) / (1. + self.rate) ** 2

return mod_duration, convexity
0