qfinbox.tvm.bonds

Bond valuation and analysis.

Functions

`bond_convexity`(face_value, coupon_rate, ...)	Calculate convexity of a bond.
`bond_duration`(face_value, coupon_rate, ...)	Calculate Macaulay duration of a bond.
`bond_modified_duration`(face_value, ...[, ...])	Calculate modified duration of a bond.
`bond_price`(face_value, coupon_rate, ...[, ...])	Calculate bond price given yield to maturity.
`bond_yield_to_maturity`(price, face_value, ...)	Calculate bond yield to maturity given price.
`brentq`(f, a, b[, args, xtol, rtol, maxiter, ...])	Find a root of a function in a bracketing interval using Brent's method.
`validate_positive`(value[, name])	Validate that a value is positive.

qfinbox.tvm.bonds.bond_price(face_value: float, coupon_rate: float, years_to_maturity: float, yield_to_maturity: float, payments_per_year: int = 2) → float[source]

Calculate bond price given yield to maturity.

Parameters:

face_value (float) – Face value of the bond.
coupon_rate (float) – Annual coupon rate (as decimal).
years_to_maturity (float) – Years until maturity.
yield_to_maturity (float) – Yield to maturity (as decimal).
payments_per_year (int, default 2) – Number of coupon payments per year.

Returns:

Bond price.

Return type:

float

Examples

>>> bond_price(1000, 0.06, 10, 0.08)
864.10

qfinbox.tvm.bonds.bond_yield_to_maturity(price: float, face_value: float, coupon_rate: float, years_to_maturity: float, payments_per_year: int = 2) → float[source]

Calculate bond yield to maturity given price.

Parameters:

price (float) – Current bond price.
face_value (float) – Face value of the bond.
coupon_rate (float) – Annual coupon rate (as decimal).
years_to_maturity (float) – Years until maturity.
payments_per_year (int, default 2) – Number of coupon payments per year.

Returns:

Yield to maturity (as decimal).

Return type:

float

Examples

>>> bond_yield_to_maturity(864.10, 1000, 0.06, 10)
0.08

qfinbox.tvm.bonds.bond_duration(face_value: float, coupon_rate: float, years_to_maturity: float, yield_to_maturity: float, payments_per_year: int = 2) → float[source]

Calculate Macaulay duration of a bond.

Parameters:

face_value (float) – Face value of the bond.
coupon_rate (float) – Annual coupon rate (as decimal).
years_to_maturity (float) – Years until maturity.
yield_to_maturity (float) – Yield to maturity (as decimal).
payments_per_year (int, default 2) – Number of coupon payments per year.

Returns:

Macaulay duration in years.

Return type:

float

Examples

>>> bond_duration(1000, 0.06, 10, 0.08)
7.25

qfinbox.tvm.bonds.bond_modified_duration(face_value: float, coupon_rate: float, years_to_maturity: float, yield_to_maturity: float, payments_per_year: int = 2) → float[source]

Calculate modified duration of a bond.

Parameters:

face_value (float) – Face value of the bond.
coupon_rate (float) – Annual coupon rate (as decimal).
years_to_maturity (float) – Years until maturity.
yield_to_maturity (float) – Yield to maturity (as decimal).
payments_per_year (int, default 2) – Number of coupon payments per year.

Returns:

Modified duration.

Return type:

float

Examples

>>> bond_modified_duration(1000, 0.06, 10, 0.08)
6.71

qfinbox.tvm.bonds.bond_convexity(face_value: float, coupon_rate: float, years_to_maturity: float, yield_to_maturity: float, payments_per_year: int = 2) → float[source]

Calculate convexity of a bond.

Parameters:

face_value (float) – Face value of the bond.
coupon_rate (float) – Annual coupon rate (as decimal).
years_to_maturity (float) – Years until maturity.
yield_to_maturity (float) – Yield to maturity (as decimal).
payments_per_year (int, default 2) – Number of coupon payments per year.

Returns:

Convexity.

Return type:

float

Examples

>>> bond_convexity(1000, 0.06, 10, 0.08)
64.93