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fixed_rate_bond

Classes:

FixedRateBond 

FixedRateBond(
    *,
    face_value: float,
    coupon_rate: float,
    issue_date: Date,
    maturity_date: Date,
    frequency: Period = Semiannual,
    settlement_days: int = 0,
    calendar: Calendar = NullCalendar(),
    day_count: DayCounter = Thirty360(BondBasis),
    business_convention=Unadjusted,
    date_generation: DateGeneration = Backward,
    month_end=False,
    book_type: Optional[BookType] = None,
    credit_rating: Optional[CreditRating] = None,
    issuer: Optional[Issuer] = None,
    parent: Optional[Instrument] = None,
    instrument_class: Optional[InstrumentClass] = None,
)

Bases: Instrument

A class representing a fixed rate bond.

Parameters:

  • face_value

    (float) –

    The face value of the bond.

  • coupon_rate

    (float) –

    The coupon rate of the bond.

  • issue_date

    (Date) –

    The issue date of the bond.

  • maturity_date

    (Date) –

    The maturity date of the bond.

  • frequency

    (Period, default: Semiannual ) –

    The frequency of coupon payments. Defaults to ql.Semiannual.

  • settlement_days

    (int, default: 0 ) –

    The number of settlement days. Defaults to 0.

  • calendar

    (Calendar, default: NullCalendar() ) –

    The calendar used for date calculations. Defaults to ql.NullCalendar().

  • day_count

    (DayCounter, default: Thirty360(BondBasis) ) –

    The day count convention for interest calculations. Defaults to ql.Thirty360(ql.Thirty360.BondBasis).

  • business_convention

    (optional, default: Unadjusted ) –

    The business convention. Defaults to ql.Unadjusted.

  • date_generation

    (DateGeneration, default: Backward ) –

    The date generation rule for coupon dates.

  • month_end

    (bool, default: False ) –

    Whether the coupon dates should be adjusted to the end of the month. Defaults to False.

  • date_generation

    (DateGeneration, default: Backward ) –

    The date generation rule for coupon dates. Defaults to ql.DateGeneration.Backward.

  • month_end

    (bool, default: False ) –

    Whether the coupon dates should be adjusted to the end of the month. Defaults to False.

Methods:

Attributes:

book_type property writable 

book_type: Optional[BookType]

Get the book type of the instrument.

credit_rating property writable 

credit_rating: CreditRating

Get the instrument's credit rating.

issuer property writable 

issuer: Issuer

Get the instrument's issuer.

parent property writable 

parent: Optional[Instrument]

Get the parent instrument.

value property writable 

value: float

Get the instrument's value.

accept 

accept(visitor: Visitor) -> None

Accept a visitor.

is_composite 

is_composite() -> bool

Check if the instrument is composite.

notional 

notional(date: date) -> float

Calculate the notional value of the bond on a given date.

Parameters:

  • date

    (date) –

    The date for which to calculate the notional value.

Returns:

  • float ( float ) –

    The notional value of the bond on the given date.

payment_schedule cached 

payment_schedule()

Generates the payment schedule for a bond.

Returns:

  • list –

    A list of tuples representing the payment schedule. Each tuple contains the payment date and amount.

set_pricing_engine 

set_pricing_engine(engine: PricingEngine) -> None

Set the pricing engine.