finpricing.model.utils.bond_pricing_utils#

Module Contents#

Functions#

hazard_rate_from_probs(start_p, end_p, start_date, ...)

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

principal_integral(N, R, valuation_date, ...)

Calculate the principal integral.

accrual_integral(survival_curve, discount_curve, ...)

calculate the accrual of a coupon leg

Attributes#

MINIMUM_DENOMINATOR

finpricing.model.utils.bond_pricing_utils.MINIMUM_DENOMINATOR = 1e-12#
finpricing.model.utils.bond_pricing_utils.hazard_rate_from_probs(start_p, end_p, start_date, end_date, day_count_type=DayCountTypes.ACT_ACT_ISDA)[source]#

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

Parameters:

  • start_p – Survival probability at start date

  • end_p – Survival probability at end date

  • start_date – Start date.

  • end_date – End date.

Returns:

The hazard rate.

finpricing.model.utils.bond_pricing_utils.principal_integral(N, R, valuation_date: datetime.date | finpricing.utils.Date, maturity_date: datetime.date | finpricing.utils.Date, granularity_in_days: int, survival_curve, discount_curve)[source]#

Calculate the principal integral.

Parameters:

  • N – Total notional.

  • R – Recovery rate.

  • end_date – End date.

  • granularity_in_days – The granularity parameter in days.

  • survival_curve – Function that returns the survival probability at a given date.

  • discount_curve – Function that returns the bond price at a given date.

Returns:

The principal integral value.

finpricing.model.utils.bond_pricing_utils.accrual_integral(survival_curve, discount_curve, accrual_start_date, accrual_end_date, granularity_in_days, R, day_count_type=DayCountTypes.ACT_ACT_ISDA)[source]#

calculate the accrual of a coupon leg

Parameters:

  • start_date – start date of the calculation period

  • granularity_in_days – granularity of the partition in days

  • R – recovery rate

  • survival_curve – survival curve

  • discount_curve – discount curve

  • accrual_start_date – accrual start date, the lower bound of the integral

  • accrual_end_date – accrual end date, the upper bound of the integral

Returns:

The accrual value