Bond Valuation¶
Overview¶
This module computes the present value or the yield-to-maturity of of the expected cashflow of a bond. Also,it is possible to make a sensibility analysis for different values for the yield-to-maturity and one present value of the bond.
Functions in this module¶
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cashflows.bond.bond(maturity_date=None, freq='A', face_value=None, coupon_rate=None, coupon_value=None, num_coupons=None, value=None, ytm=None)[source]¶ Parameters: - face_value (float, list) – bond’s value at maturity.
- coupon_value (float) – amount of money you receive periodically as the bond matures.
- num_coupons (int, list) – number of coupons before maturity.
- ytm (float) – yield to maturity.
- coupon_rate (float, list) – rate of the face value that defines the coupon value.
Returns: Float or list of floats.
Examples:
>>> bond(face_value=1000, coupon_value=56, num_coupons=10, ytm=5.6) 1000.0...
>>> bond(face_value=1000, coupon_rate=5.6, num_coupons=10, value=1000) 5.6...
>>> bond(face_value=[1000, 1200, 1400], coupon_value=56, num_coupons=10, value=1000) Coupon_Rate Coupon_Value Face_Value Num_Coupons Value YTM 0 5.600000 56 1000 10 1000 5.60000 1 4.666667 56 1200 10 1000 7.04451 2 4.000000 56 1400 10 1000 8.31956
>>> bond(face_value=1000, coupon_value=[56., 57, 58], num_coupons=10, value=1000) Coupon_Rate Coupon_Value Face_Value Num_Coupons Value YTM 0 5.6 56.0 1000 10 1000 5.6 1 5.7 57.0 1000 10 1000 5.7 2 5.8 58.0 1000 10 1000 5.8
>>> bond(face_value=1000, coupon_rate=[5.6, 5.7, 5.8], num_coupons=10, value=1000) Coupon_Rate Coupon_Value Face_Value Num_Coupons Value YTM 0 5.6 56.0 1000 10 1000 5.6 1 5.7 57.0 1000 10 1000 5.7 2 5.8 58.0 1000 10 1000 5.8
>>> bond(face_value=1000, coupon_rate=5.6, num_coupons=[10, 20, 30], value=1000) Coupon_Rate Coupon_Value Face_Value Num_Coupons Value YTM 0 5.6 56.0 1000 10 1000 5.6 1 5.6 56.0 1000 20 1000 5.6 2 5.6 56.0 1000 30 1000 5.6
>>> bond(face_value=1000, coupon_rate=5.6, num_coupons=10, value=[800, 900, 1000]) Coupon_Rate Coupon_Value Face_Value Num_Coupons Value YTM 0 5.6 56.0 1000 10 800 8.671484 1 5.6 56.0 1000 10 900 7.025450 2 5.6 56.0 1000 10 1000 5.600000
>>> bond(face_value=[1000, 1100, 1200], coupon_rate=5.6, num_coupons=10, value=[800, 900, 1000]) Coupon_Rate Coupon_Value Face_Value Num_Coupons Value YTM 0 5.600000 56.0 1000 10 800 8.671484 1 5.600000 56.0 1000 10 900 7.025450 2 5.600000 56.0 1000 10 1000 5.600000 3 5.090909 56.0 1100 10 800 9.419301 4 5.090909 56.0 1100 10 900 7.772838 5 5.090909 56.0 1100 10 1000 6.346424 6 4.666667 56.0 1200 10 800 10.119360 7 4.666667 56.0 1200 10 900 8.472129 8 4.666667 56.0 1200 10 1000 7.044510
>>> bond(face_value=[1000, 1100, 1200], coupon_rate=[5.6, 5.7, 5.8], num_coupons=10, value=[800, 900, 1000]) Coupon_Rate Coupon_Value Face_Value Num_Coupons Value YTM 0 5.600000 56.0 1000 10 800 8.671484 1 5.600000 56.0 1000 10 900 7.025450 2 5.600000 56.0 1000 10 1000 5.600000 3 5.700000 57.0 1000 10 800 8.787284 4 5.700000 57.0 1000 10 900 7.132508 5 5.700000 57.0 1000 10 1000 5.700000 6 5.800000 58.0 1000 10 800 8.903126 7 5.800000 58.0 1000 10 900 7.239584 8 5.800000 58.0 1000 10 1000 5.800000 9 5.090909 56.0 1100 10 800 9.419301 10 5.090909 56.0 1100 10 900 7.772838 11 5.090909 56.0 1100 10 1000 6.346424 12 5.181818 57.0 1100 10 800 9.531367 13 5.181818 57.0 1100 10 900 7.876353 14 5.181818 57.0 1100 10 1000 6.443037 15 5.272727 58.0 1100 10 800 9.643488 16 5.272727 58.0 1100 10 900 7.979898 17 5.272727 58.0 1100 10 1000 6.539664 18 4.666667 56.0 1200 10 800 10.119360 19 4.666667 56.0 1200 10 900 8.472129 20 4.666667 56.0 1200 10 1000 7.044510 21 4.750000 57.0 1200 10 800 10.228122 22 4.750000 57.0 1200 10 900 8.572512 23 4.750000 57.0 1200 10 1000 7.138133 24 4.833333 58.0 1200 10 800 10.336951 25 4.833333 58.0 1200 10 900 8.672936 26 4.833333 58.0 1200 10 1000 7.231779
>>> bond(face_value=1000, coupon_rate=5.6, num_coupons=10, value=1000, ytm=[5.1, 5.6, 6.1]) Basis_Value Change Coupon_Rate Coupon_Value Face_Value \ 0 1000 3.842187e+00 5.6 56.0 1000 1 1000 1.136868e-14 5.6 56.0 1000 2 1000 -3.662671e+00 5.6 56.0 1000 Num_Coupons Value YTM 0 10 1038.421866 5.1 1 10 1000.000000 5.6 2 10 963.373290 6.1
>>> bond(face_value=1000, coupon_rate=5.6, num_coupons=10, value=[1000, 1100], ytm=[5.1, 5.6, 6.1]) Basis_Value Change Coupon_Rate Coupon_Value Face_Value \ 0 1000 3.842187e+00 5.6 56.0 1000 1 1000 1.136868e-14 5.6 56.0 1000 2 1000 -3.662671e+00 5.6 56.0 1000 3 1100 -5.598012e+00 5.6 56.0 1000 4 1100 -9.090909e+00 5.6 56.0 1000 5 1100 -1.242061e+01 5.6 56.0 1000 Num_Coupons Value YTM 0 10 1038.421866 5.1 1 10 1000.000000 5.6 2 10 963.373290 6.1 3 10 1038.421866 5.1 4 10 1000.000000 5.6 5 10 963.373290 6.1
# >>> bond(face_value=1000, coupon_rate=5.6, num_coupons=[20], value=[1000, 1100], ytm=[5.6, 6.1]) # doctest: +ELLIPSIS +NORMALIZE_WHITESPACE # Basis_Value Change Coupon_Rate Coupon_Value Face_Value Num_Coupons # 0 1000 0.000000 5.6 56.0 1000 20 # 1 1000 -5.688693 5.6 56.0 1000 20 # 2 1100 -9.090909 5.6 56.0 1000 20 # 3 1100 -14.262448 5.6 56.0 1000 20 # <BLANKLINE> # Value YTM # 0 1000.000000 5.6 # 1 943.113073 6.1 # 2 1000.000000 5.6 # 3 943.113073 6.1