:py:mod:`finpricing.model`
==========================

.. py:module:: finpricing.model


Subpackages
-----------
.. toctree::
   :titlesonly:
   :maxdepth: 3

   utils/index.rst


Submodules
----------
.. toctree::
   :titlesonly:
   :maxdepth: 1

   bond_basis_solver/index.rst
   bond_curve_solver/index.rst
   cds_analytics/index.rst
   cds_pricer/index.rst
   fixed_bond_pricer/index.rst


Package Contents
----------------

Classes
~~~~~~~

.. autoapisummary::

   finpricing.model.FixedBondPricer
   finpricing.model.BondCurveAnalyticsHelper
   finpricing.model.BondCurveSolver



Functions
~~~~~~~~~

.. autoapisummary::

   finpricing.model.cds_market_spreads



.. py:class:: FixedBondPricer(inst: finpricing.instrument.fixed_bond.FixedBond)


   Bases: :py:obj:`finpricing.utils.ClassUtil`

   .. py:property:: principal_amount


   .. py:property:: coupon_cashflows


   .. py:method:: principal_pv(valuation_date, discount_curve, survival_curve, recovery_rate)


   .. py:method:: price(valuation_date: finpricing.utils.Union[finpricing.utils.datetime.date, finpricing.utils.Date], survival_curve, discount_curve, recovery_rate: float = 0.4) -> float

      risky pricing of a fixed bond

      :param valuation_date: valuation date
      :param survival_curve: survival curve
      :param discount_curve: discount curve
      :param recovery_rate: recovery rate

      :returns: Dirty price of the bond.


   .. py:method:: price_with_basis(valuation_date: finpricing.utils.Union[finpricing.utils.datetime.date, finpricing.utils.Date], survival_curve, discount_curve, recovery_rate: float = 0.4, basis: float = 0.0, basis_type: str = 'AdditiveZeroRates') -> float


   .. py:method:: solve_basis(valuation_date: finpricing.utils.Union[finpricing.utils.datetime.date, finpricing.utils.Date], dirty_price: float, survival_curve, discount_curve, settlement_date: finpricing.utils.Union[finpricing.utils.datetime.date, finpricing.utils.Date] = None, recovery_rate: float = 0.4, basis_type: str = 'AdditiveZeroRates', basis_solver_params=BASIS_SOLVER_PARAMS) -> float



.. py:class:: BondCurveAnalyticsHelper(bonds)


   .. py:property:: recovery_rates


   .. py:property:: dirty_prices


   .. py:property:: discount_curves


   .. py:property:: survival_curves


   .. py:property:: settlement_dates


   .. py:property:: valuation_date


   .. py:property:: maturity_dates

      maturity dates of all bonds in the portfolio

   .. py:property:: maturity_span

      maximum maturity minus minimum maturity in years

   .. py:method:: setup(valuation_date: Union[datetime.date, finpricing.utils.date.Date] = None, dirty_prices: List[float] = None, discount_curves=None, survival_curves=None, recovery_rates=None, settlement_dates=None)

      setup the helper in one go


   .. py:method:: get_bond_bases(valuation_date: Union[datetime.date, finpricing.utils.date.Date] = None, dirty_prices: List[float] = None, survival_curves=None, basis_type: str = 'AdditiveZeroRates')



.. py:class:: BondCurveSolver(bondAnalyticsHelper: BondCurveAnalyticsHelper, initial_params=None, weights=None, penalty_params: PenaltyParameter = None)


   .. py:method:: getSurvivalCurveGenerator(bondAnalyticsHelper: BondCurveAnalyticsHelper)

      return a survival curve generator that can generate survival curves from parameters

      This is actually not a true generator, but a survival curve that has the method to recreate            a new survival curve with the same anchor date and pivot dates but different parameters.


   .. py:method:: get_euqal_weights()

      return a list of equal weights for all bonds


   .. py:method:: welsch_loss(x)
      :staticmethod:


   .. py:method:: get_penalty(params: List[float])


   .. py:method:: _get_tuning_scalar()


   .. py:method:: _get_hazard_rate_derivative_at_zero(params: List[float])


   .. py:method:: solve(dirty_prices: List[float] = None, weights: List[float] = None, params: List[float] = None)

      solve the best parameters for the survival curve that minimizes the weighted residuals


   .. py:method:: get_weighted_residuals_and_penalty(params: List[float], dirty_prices: List[float], weights: List[float], valuation_date: Union[datetime.date, finpricing.utils.date.Date] = None, basis_type: str = 'AdditiveZeroRates')



.. py:function:: cds_market_spreads(discount_curve, survival_curve, recovery_rate: float, expiries: List[Union[datetime.date, finpricing.utils.Date]], **kwargs)

   Calculate CDS market spreads for a list of expiries