treasury_security

Treasury securities: Treasury Bills, Treasury Notes, and Treasury Bonds.

Classes:

• TreasuryBond –

  Represents a Treasury Bond with a fixed interest rate and maturity greater than ten years.

• TreasuryNote –

  Represents a Treasury Note with a fixed interest rate and maturity between one and ten years.

TreasuryBond

TreasuryBond(
    *,
    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: FixedRateBond

Represents a Treasury Bond with a fixed interest rate and maturity greater than ten years.

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:

• accept –

  Accept a visitor.

• is_composite –

  Check if the instrument is composite.

• notional –

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

• payment_schedule –

  Generates the payment schedule for a bond.

• set_pricing_engine –

  Set the pricing engine.

Attributes:

• book_type (Optional[BookType]) –

  Get the book type of the instrument.

• credit_rating (CreditRating) –

  Get the instrument's credit rating.

• issuer (Issuer) –

  Get the instrument's issuer.

• parent (Optional[Instrument]) –

  Get the parent instrument.

• value (float) –

  Get the instrument's value.

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.

TreasuryNote

TreasuryNote(
    *,
    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: FixedRateBond

Represents a Treasury Note with a fixed interest rate and maturity between one and ten years.

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:

• accept –

  Accept a visitor.

• is_composite –

  Check if the instrument is composite.

• notional –

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

• payment_schedule –

  Generates the payment schedule for a bond.

• set_pricing_engine –

  Set the pricing engine.

Attributes:

• book_type (Optional[BookType]) –

  Get the book type of the instrument.

• credit_rating (CreditRating) –

  Get the instrument's credit rating.

• issuer (Issuer) –

  Get the instrument's issuer.

• parent (Optional[Instrument]) –

  Get the parent instrument.

• value (float) –

  Get the instrument's value.

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.