Bond Valuation

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.

cashflows.bond.bond(face_value=None, coupon_rate=None, coupon_value=None, num_coupons=None, value=None, ytm=None)[source]

Evaluation of bond investments.

Parameters:
  • face_value (float) – the bond’s value-at-maturity.
  • coupon_rate (float) – rate for calculate the coupon payment.
  • coupon_value (float) – periodic payment.
  • num_coupons (int) – number of couont payments before maturity.
  • value (float, list) – present value of the bond
  • ytm (float, list) – yield-to-maturity.
Returns:

  • value: when ytm is specified.
  • ytm: when value is specified.
  • None: when ytm and value are specified. Prints a sensibility table.
Return type:

None, a float value, or a list of float values

When coupon_rate is defined, coupon_value is calculated automaticly.

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...

Also, it is possible to make sensibility analysis for bond’s data. In the following case, the present value of the bond is calculated for various values of the yield-to-maturity.

>>> bond(face_value=1000, coupon_rate=5.6, num_coupons=10,
... ytm=[4.0, 5.0, 5.6, 6.0, 7.0]) 
[1129.77..., 1046.33..., 1000.0..., 970.55..., 901.66...]

And for different values:

>>> bond(face_value=1000, coupon_rate=5.6, num_coupons=10,
... value=[900, 1000, 1100]) 
[7.0..., 5.6..., 4.3...]

When values for the yield-to-maturity and one value for present value of the bond are supplied, the function prints a report.

>>> bond(face_value=1000, coupon_rate=5.6, num_coupons=10,
... ytm=[4.0, 5.0, 5.6, 6.0, 7.0], value=1000) 
Bond valuation analysis
Reference price: 1000
Analysis:
          Yield     Value Change
            (%)       ($)    (%)
         ------------------------
           4.00   1129.77  12.98
           5.00   1046.33   4.63
           5.60   1000.00   0.00
           6.00    970.56  -2.94
           7.00    901.67  -9.83