FinanceModels.Bond API Reference

The Bond module provide a number of fixed-income contracts and related methods.

CMTYield(yield,maturity)
CMTYield(yield::Vector)

Returns a Quote for the correpsonding bond implied by the given bond equivalent yield, and assumes that instruments <= one year maturity` pay no coupons and that the rest pay semi-annual.

Use broadcasting to create a set of quotes given a collection of FinanceModels and maturities, e.g. CMTYield.(FinanceModels,maturities).

See also FinanceCore.Quote, Bond.Fixed

Examples

julia> CMTYield(0.05,10)
Quote{Float64, FinanceModels.Bond.Fixed{Periodic, Float64, Int64}}(1.0, FinanceModels.Bond.Fixed{Periodic, Float64, Int64}(0.05, Periodic(2), 10))

ParSwapYield(yield, maturity; frequency=Periodic(4))

Same as ParYield, except the frequency is four times per period by default.

ParYield(yield, maturity; frequency=Periodic(2)) ParYield(yield::Vector)

Takes bond equivalent FinanceModels, and assumes that instruments <= one year maturity pay no coupons and that the rest pay semi-annual. Alternative, you may pass a Rate as the yield and the coupon frequency will be inferred from the Rate's frequency.

Use broadcasting to create a set of quotes given a collection of FinanceModels and maturities, e.g. ParYield.(FinanceModels,maturities).

Examples

julia> ParYield(0.05,10)
Quote{Float64, FinanceModels.Bond.Fixed{Periodic, Float64, Int64}}(1.0, FinanceModels.Bond.Fixed{Periodic, Float64, Int64}(0.05, Periodic(2), 10))

ZCBPrice(discount,maturity)
ZCBPrice(yield::Vector)

Takes spot/zero discount factors and returns a Quote for the cashflow occuring at the given maturity.

Use broadcasting to create a set of quotes given a collection of prices and maturities, e.g. ZCBPrice.(FinanceModels,maturities).

See also ZCBYield

Examples

julia> ZCBPrice(0.5,10)
Quote{Float64, Cashflow{Float64, Int64}}(0.5, Cashflow{Float64, Int64}(1.0, 10))

julia> ZCBPrice([0.9,0.8,0.75])
3-element Vector{Quote{Float64, Cashflow{Float64, Int64}}}:
 Quote{Float64, Cashflow{Float64, Int64}}(0.9, Cashflow{Float64, Int64}(1.0, 1))
 Quote{Float64, Cashflow{Float64, Int64}}(0.8, Cashflow{Float64, Int64}(1.0, 2))
 Quote{Float64, Cashflow{Float64, Int64}}(0.75, Cashflow{Float64, Int64}(1.0, 3))
 

ZCBYield(yield,maturity)
ZCBYield(yield::Vector)

Returns a Quote for the cashflow occuring at the given maturity and the quoted value is derived from the given yield.

Takes zero (sometimes called "spot") rates. Assumes annual effective compounding (Periodic(1)) unless given aRate` with a different compounding frequency.

Use broadcasting to create a set of quotes given a collection of FinanceModels and maturities, e.g. ZCBYield.(FinanceModels,maturities).

See also ZCBPrice

Examples

julia> ZCBYield(0.05,30)
Quote{Float64, Cashflow{Float64, Int64}}(0.23137744865585788, Cashflow{Float64, Int64}(1.0, 30))

julia> ZCBYield(Periodic(0.05,1),30)
Quote{Float64, Cashflow{Float64, Int64}}(0.23137744865585788, Cashflow{Float64, Int64}(1.0, 30))

julia> ZCBYield(Continuous(0.05),30)
Quote{Float64, Cashflow{Float64, Int64}}(0.22313016014842982, Cashflow{Float64, Int64}(1.0, 30))

julia> ZCBYield([0.04,0.05,0.045])
3-element Vector{Quote{Float64, Cashflow{Float64, Int64}}}:
 Quote{Float64, Cashflow{Float64, Int64}}(0.9615384615384615, Cashflow{Float64, Int64}(1.0, 1))
 Quote{Float64, Cashflow{Float64, Int64}}(0.9070294784580498, Cashflow{Float64, Int64}(1.0, 2))
 Quote{Float64, Cashflow{Float64, Int64}}(0.8762966040549094, Cashflow{Float64, Int64}(1.0, 3))

Bond.Fixed(coupon_rate,frequency<:FinanceCore.Frequency,maturity)

An object representing a fixed coupon bond. coupon_rate / frequency is the actual payment amount.

Note that there are a number of convienience constructors which return a Quote for a Bond.Fixed:

• ParYield
• ParSwapYield
• CMTYield
• OISYield

See also FinanceCore.Quote.

Examples

julia> Bond.Fixed(0.05,Periodic(2),3)
FinanceModels.Bond.Fixed{Periodic, Float64, Int64}(0.05, Periodic(2), 3)

julia> Bond.Fixed(0.05,Periodic(2),3) |> collect
6-element Vector{Cashflow{Float64, Float64}}:
 Cashflow{Float64, Float64}(0.025, 0.5)
 Cashflow{Float64, Float64}(0.025, 1.0)
 Cashflow{Float64, Float64}(0.025, 1.5)
 Cashflow{Float64, Float64}(0.025, 2.0)
 Cashflow{Float64, Float64}(0.025, 2.5)
 Cashflow{Float64, Float64}(1.025, 3.0)


julia> ParYield(0.05,10)
Quote{Float64, FinanceModels.Bond.Fixed{Periodic, Float64, Int64}}(1.0, FinanceModels.Bond.Fixed{Periodic, Float64, Int64}(0.05, Periodic(2), 10))

Bond.Floating(coupon_rate,frequency<:FinanceCore.Frequency,maturity,model_key)

An object representing a floating coupon bond. (coupon_rate + reference rate) / frequency is the actual payment amount, where the reference rate requires a Projection with a key/value pair where the key is the model_key argument and the value is the model which produces the reference rate.

See also FinanceCore.Quote.

Examples

julia> p = Projection(
        Bond.Floating(0.02, Periodic(1), 3.0, "SOFR"),
        Dict("SOFR" => Yield.Constant(0.05)),  # note the key/value store used for the model in the projection
        CashflowProjection(),
    );

julia> collect(p)
3-element Vector{Cashflow{Float64, Float64}}:
    Cashflow{Float64, Float64}(0.07000000000000005, 1.0)
    Cashflow{Float64, Float64}(0.07000000000000005, 2.0)
    Cashflow{Float64, Float64}(1.07, 3.0)

ForwardYields(yields,times)

Returns a vector of Quote corresponding to the yield at the given forward times.

Examples

julia> FinanceModels.Bond.ForwardYields([0.01,0.02],[1.,3.])
2-element Vector{Quote{Float64, Cashflow{Float64, Float64}}}:
 Quote{Float64, Cashflow{Float64, Float64}}(0.9900990099009901, Cashflow{Float64, Float64}(1.0, 1.0))
 Quote{Float64, Cashflow{Float64, Float64}}(0.9423223345470445, Cashflow{Float64, Float64}(1.0, 3.0))

OISYield(yield, maturity)

Returns the implied Quote for the fixed bond implied by the given yield and maturity. Assumes that maturities less than or equal to 12 months are settled once (per Hull textbook, 4.7), otherwise quarterly and that the FinanceModels given are bond equivalent.

Use broadcasting to create a set of quotes given a collection of FinanceModels and maturities, e.g. OISYield.(FinanceModels,maturities).

See also FinanceCore.Quote, Bond.Fixed

Examples

julia> OISYield(0.05,10)
Quote{Float64, FinanceModels.Bond.Fixed{Periodic, Float64, Int64}}(1.0, FinanceModels.Bond.Fixed{Periodic, Float64, Int64}(0.05, Periodic(4), 10))

coupon_times(maturity, frequency)

Generate coupon times for a bond with the given maturity and frequency.

Arguments

• maturity::Real: The maturity of the bond.
• frequency::Real: The coupon frequency of the bond.

Returns

• An array of coupon times for the bond.

Examples

julia-repl julia> Bond.coupon_times(10, 2) 0.5:0.5:10.0 julia> Bond.coupon_times(Bond.Fixed(0.05,Periodic(4),20)) 0.25:0.25:20.0`