Package: bond-pricing
OverviewThis package provides bond pricing functions as well as basic NPV/IRR functions. Bond valuation can be done using an yield to maturity or using a zero yield curve. There is a convenience function to construct a zero yield curve from a few points on the par bond or zero yield curve or from Nelson Siegel parameters.The documentation is available athttps://bond-pricing.readthedocs.io/The bond valuation functions can be used in two modes:The first mode is similar to spreadsheet bond pricing functions. The settlement date and maturity date are given as dates and the software calculates the time to maturity and to each coupon payment date from these dates. For anydaycountother than simple counting of days (ACT/365 in ISDA terminology), this packages relies on theisda_daycountersmodule that can be downloaded fromhttps://github.com/miradulo/isda_daycountersMaturity can be given in years (thesettleparameter is set toNoneand is assumed to be time 0) and there are no dates at all. This mode is particularly convenient to price par bonds or price other bonds on issue date or coupon dates. For example, finding the price of a 7 year 3.5% coupon bond if the prevailing yield is 3.65% is easier in this mode as the maturity is simply given as 7.0 instead of providing a maturity date and specifying today's date. Using this mode between coupon dates is not so easy as the user has to basically compute the day count and year fraction and provide the maturity as say 6.7 years.Bond ValuationBond price using YTM (bond_price) or using zero yield curve (zero_curve_bond_price)Accrued interest and dirty bond prices using YTM (bond_price_breakup)  or using zero yield curve (zero_curve_bond_price_breakup)Duration using YTM (bond_duration)Yield to maturity (bond_yield).Zero curve constructionbootstrap zero yields from par yields (par_yld_to_zero) or vice versa (zero_to_par)compute zero rates from Nelson Siegel parameters (nelson_siegel_zero_rate)construct zero prices from par or zero yields at selected knot points using a cubic spline or assuming a flat yield curve (make_zero_price_fun)Present Value functionsNet Present Value (npv)Internal Rate of Return (irr)Duration (duration).
These functions allow different compounding frequencies: for example, the cash flows may be monthly while the interest rate is semi-annually compounded. The functionequiv_rateconverts between different compounding frequencies.Annuity functionsAnnuity present value (annuity_pv)Future value (annuity_fv)Implied interest rate (annuity_rate)Number of periods to achieve given present value or terminal value (annuity_periods).Periodic instalment to achieve given present value or terminal value (annuity_instalment).Breakup of instalment into principal and interest (annuity_instalment_breakup)In these functions also, the cash flow frequency may be different from the compounding frequency.Reducing DependenciesThis module requiresnumpy,pandasandscipy. In some environments, installingscipymay be difficult, and only a couple of functions (thenewtonroot finder andCubicSplineinterpolation) are actually needed from the hugescipypackage. So a provision has been made to avoidscipywith some loss of functionality (thenewtonroot finder is replaced by a less sophisticated root bracketing and bisection algorithm andCubicSplineinterpolation is replaced by the much cruder linear interpolation). At run time, the module checks for the availability ofscipyand uses the cruder methods (with a suitable warning) ifscipyis not available.To install this package without pulling inscipyas a dependency, do the following:git clone https://github.com/jrvarma/bond_pricing.git
export no_scipy=1
pip install bond_pricing