Skip to content

mortgage

Mortgages.

Classes:

  • CommercialMortgage –

    Represents a commercial mortgage with a fixed interest rate.

  • Mortgage –

    Base class for mortgages with a fixed interest rate.

  • ResidentialMortgage –

    Represents a residential mortgage with a fixed interest rate.

CommercialMortgage 

CommercialMortgage(
    face_value: float,
    interest_rate: float,
    issue_date: Date,
    maturity: Period,
    frequency: Period = Semiannual,
    settlement_days: int = 0,
    calendar: Calendar = NullCalendar(),
    day_count: DayCounter = Thirty360(BondBasis),
    business_convention=Unadjusted,
    book_type: Optional[BookType] = None,
    credit_rating: Optional[CreditRating] = None,
    issuer: Optional[Issuer] = None,
    parent: Optional[Instrument] = None,
    instrument_class: Optional[InstrumentClass] = None,
)

Bases: Mortgage

Represents a commercial mortgage with a fixed interest rate.

Parameters:

  • face_value

    (float) –

    The face value of the instrument.

  • interest_rate

    (float) –

    The interest rate of the instrument.

  • issue_date

    (Date) –

    The issue date of the instrument.

  • maturity

    (Period) –

    The maturity period of the instrument.

  • 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 used for interest calculations. Defaults to ql.Thirty360(ql.Thirty360.BondBasis).

  • business_convention

    (int, default: Unadjusted ) –

    The business convention used for date adjustments. Defaults to ql.Unadjusted.

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 loan 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() -> (
    tuple[
        list[tuple[date, float]],
        list[tuple[date, float]],
        list[tuple[date, float]],
    ]
)

Calculate the payment schedule for the instrument.

Returns:

  • Tuple ( tuple[list[tuple[date, float]], list[tuple[date, float]], list[tuple[date, float]]] ) –

    A tuple containing three lists: - interest_pmt: A list of tuples representing the date and amount of interest payments. - principal_pmt: A list of tuples representing the date and amount of principal payments. - outstanding: A list of tuples representing the date and outstanding balance after each payment.

set_pricing_engine 

set_pricing_engine(engine: PricingEngine) -> None

Set the pricing engine.

Mortgage 

Mortgage(
    face_value: float,
    interest_rate: float,
    issue_date: Date,
    maturity: Period,
    frequency: Period = Semiannual,
    settlement_days: int = 0,
    calendar: Calendar = NullCalendar(),
    day_count: DayCounter = Thirty360(BondBasis),
    business_convention=Unadjusted,
    book_type: Optional[BookType] = None,
    credit_rating: Optional[CreditRating] = None,
    issuer: Optional[Issuer] = None,
    parent: Optional[Instrument] = None,
    instrument_class: Optional[InstrumentClass] = None,
)

Bases: AmortizingFixedRateLoan

Base class for mortgages with a fixed interest rate.

Parameters:

  • face_value

    (float) –

    The face value of the instrument.

  • interest_rate

    (float) –

    The interest rate of the instrument.

  • issue_date

    (Date) –

    The issue date of the instrument.

  • maturity

    (Period) –

    The maturity period of the instrument.

  • 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 used for interest calculations. Defaults to ql.Thirty360(ql.Thirty360.BondBasis).

  • business_convention

    (int, default: Unadjusted ) –

    The business convention used for date adjustments. Defaults to ql.Unadjusted.

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 loan 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() -> (
    tuple[
        list[tuple[date, float]],
        list[tuple[date, float]],
        list[tuple[date, float]],
    ]
)

Calculate the payment schedule for the instrument.

Returns:

  • Tuple ( tuple[list[tuple[date, float]], list[tuple[date, float]], list[tuple[date, float]]] ) –

    A tuple containing three lists: - interest_pmt: A list of tuples representing the date and amount of interest payments. - principal_pmt: A list of tuples representing the date and amount of principal payments. - outstanding: A list of tuples representing the date and outstanding balance after each payment.

set_pricing_engine 

set_pricing_engine(engine: PricingEngine) -> None

Set the pricing engine.

ResidentialMortgage 

ResidentialMortgage(
    face_value: float,
    interest_rate: float,
    issue_date: Date,
    maturity: Period,
    frequency: Period = Semiannual,
    settlement_days: int = 0,
    calendar: Calendar = NullCalendar(),
    day_count: DayCounter = Thirty360(BondBasis),
    business_convention=Unadjusted,
    book_type: Optional[BookType] = None,
    credit_rating: Optional[CreditRating] = None,
    issuer: Optional[Issuer] = None,
    parent: Optional[Instrument] = None,
    instrument_class: Optional[InstrumentClass] = None,
)

Bases: Mortgage

Represents a residential mortgage with a fixed interest rate.

Parameters:

  • face_value

    (float) –

    The face value of the instrument.

  • interest_rate

    (float) –

    The interest rate of the instrument.

  • issue_date

    (Date) –

    The issue date of the instrument.

  • maturity

    (Period) –

    The maturity period of the instrument.

  • 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 used for interest calculations. Defaults to ql.Thirty360(ql.Thirty360.BondBasis).

  • business_convention

    (int, default: Unadjusted ) –

    The business convention used for date adjustments. Defaults to ql.Unadjusted.

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 loan 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() -> (
    tuple[
        list[tuple[date, float]],
        list[tuple[date, float]],
        list[tuple[date, float]],
    ]
)

Calculate the payment schedule for the instrument.

Returns:

  • Tuple ( tuple[list[tuple[date, float]], list[tuple[date, float]], list[tuple[date, float]]] ) –

    A tuple containing three lists: - interest_pmt: A list of tuples representing the date and amount of interest payments. - principal_pmt: A list of tuples representing the date and amount of principal payments. - outstanding: A list of tuples representing the date and outstanding balance after each payment.

set_pricing_engine 

set_pricing_engine(engine: PricingEngine) -> None

Set the pricing engine.