finpricing.model#

Subpackages#

Submodules#

Package Contents#

Classes#

FixedBondPricer

BondCurveAnalyticsHelper

BondCurveSolver

Functions#

cds_market_spreads(discount_curve, survival_curve, ...)

Calculate CDS market spreads for a list of expiries
class finpricing.model.FixedBondPricer(inst: finpricing.instrument.fixed_bond.FixedBond)[source]#

Bases: finpricing.utils.ClassUtil

property principal_amount#
property coupon_cashflows#
principal_pv(valuation_date, discount_curve, survival_curve, recovery_rate)[source]#
price(valuation_date: finpricing.utils.Union[finpricing.utils.datetime.date, finpricing.utils.Date], survival_curve, discount_curve, recovery_rate: float = 0.4) → float[source]#

risky pricing of a fixed bond

Parameters:

  • valuation_date – valuation date

  • survival_curve – survival curve

  • discount_curve – discount curve

  • recovery_rate – recovery rate

Returns:

Dirty price of the bond.

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[source]#
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[source]#
class finpricing.model.BondCurveAnalyticsHelper(bonds)[source]#
property recovery_rates#
property dirty_prices#
property discount_curves#
property survival_curves#
property settlement_dates#
property valuation_date#
property maturity_dates#

maturity dates of all bonds in the portfolio

property maturity_span#

maximum maturity minus minimum maturity in years

setup(valuation_date: datetime.date | finpricing.utils.date.Date = None, dirty_prices: List[float] = None, discount_curves=None, survival_curves=None, recovery_rates=None, settlement_dates=None)[source]#

setup the helper in one go

get_bond_bases(valuation_date: datetime.date | finpricing.utils.date.Date = None, dirty_prices: List[float] = None, survival_curves=None, basis_type: str = 'AdditiveZeroRates')[source]#
class finpricing.model.BondCurveSolver(bondAnalyticsHelper: BondCurveAnalyticsHelper, initial_params=None, weights=None, penalty_params: PenaltyParameter = None)[source]#
getSurvivalCurveGenerator(bondAnalyticsHelper: BondCurveAnalyticsHelper)[source]#

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.

get_euqal_weights()[source]#

return a list of equal weights for all bonds

static welsch_loss(x)[source]#
get_penalty(params: List[float])[source]#
_get_tuning_scalar()[source]#
_get_hazard_rate_derivative_at_zero(params: List[float])[source]#
solve(dirty_prices: List[float] = None, weights: List[float] = None, params: List[float] = None)[source]#

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

get_weighted_residuals_and_penalty(params: List[float], dirty_prices: List[float], weights: List[float], valuation_date: datetime.date | finpricing.utils.date.Date = None, basis_type: str = 'AdditiveZeroRates')[source]#
finpricing.model.cds_market_spreads(discount_curve, survival_curve, recovery_rate: float, expiries: List[datetime.date | finpricing.utils.Date], **kwargs)[source]#

Calculate CDS market spreads for a list of expiries