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

.. py:module:: finpricing.model.utils.bond_pricing_utils


Module Contents
---------------


Functions
~~~~~~~~~

.. autoapisummary::

   finpricing.model.utils.bond_pricing_utils.hazard_rate_from_probs
   finpricing.model.utils.bond_pricing_utils.principal_integral
   finpricing.model.utils.bond_pricing_utils.accrual_integral



Attributes
~~~~~~~~~~

.. autoapisummary::

   finpricing.model.utils.bond_pricing_utils.MINIMUM_DENOMINATOR


.. py:data:: MINIMUM_DENOMINATOR
   :value: 1e-12

   

.. py:function:: hazard_rate_from_probs(start_p, end_p, start_date, end_date, day_count_type=DayCountTypes.ACT_ACT_ISDA)

   Calculate the constant hazard rate given the survival probabilities at two time points.

   :param start_p: Survival probability at start date
   :param end_p: Survival probability at end date
   :param start_date: Start date.
   :param end_date: End date.

   :returns: The hazard rate.


.. py:function:: principal_integral(N, R, valuation_date: Union[datetime.date, finpricing.utils.Date], maturity_date: Union[datetime.date, finpricing.utils.Date], granularity_in_days: int, survival_curve, discount_curve)

   Calculate the principal integral.

   :param N: Total notional.
   :param R: Recovery rate.
   :param end_date: End date.
   :param granularity_in_days: The granularity parameter in days.
   :param survival_curve: Function that returns the survival probability at a given date.
   :param discount_curve: Function that returns the bond price at a given date.

   :returns: The principal integral value.


.. py:function:: accrual_integral(survival_curve, discount_curve, accrual_start_date, accrual_end_date, granularity_in_days, R, day_count_type=DayCountTypes.ACT_ACT_ISDA)

   calculate the accrual of a coupon leg

   :param start_date: start date of the calculation period
   :param granularity_in_days: granularity of the partition in days
   :param R: recovery rate
   :param survival_curve: survival curve
   :param discount_curve: discount curve
   :param accrual_start_date: accrual start date, the lower bound of the integral
   :param accrual_end_date: accrual end date, the upper bound of the integral

   :returns: The accrual value