finpricing.model.fixed_bond_pricer#

Module Contents#

Classes#

FixedBondPricer

class finpricing.model.fixed_bond_pricer.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]#