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create_htm_treasury

Generate htm_treasury.zip -- a single HTM Treasury Note.

Simulation start date: 2022-01-04.

Instrument              Basis            Amount     Acquired     Side   Book
────────────────────    ───────────────  ─────────  ──────────   ─────  ───────
Common Equity           NA               1,000,000  2021-01-04   SHORT  BANKING
Customer Deposit (0%)   NA               6,000,000  2021-06-01   SHORT  BANKING
10Y Treasury 3.5% HTM   AMORTIZED_COST    (NPV)    2021-03-15   LONG   BANKING

Bond: issued 2020-01-01, 10Y, 3.5% semi-annual coupon, matures 2030-01-01. Deposit carries 0% interest. Bond acquisition cost is QuantLib NPV at acquisition date.

Run::

uv run python src/brms/data/create_htm_treasury.py <data_folder>

Where contains treasury_yields.csv.

Functions:

  • create_default_zip –

    Write the default simulation zip to out_path and return its path.

create_default_zip 

create_default_zip(
    data_folder: Path, out_path: Path | None = None
) -> Path

Write the default simulation zip to out_path and return its path.

data_folder must contain treasury_yields.csv.