file corrections

fixed_income_portfolios/fixed_income_portfolios.py

@@ -0,0 +1,59 @@
+"""
+Created on Sat Oct 25 21:59:15 2025
+
+@author: boranozdemir
+"""
+
+import numpy as np
+import numpy_financial as npf
+from datetime import datetime
+
+
+def create_cash_flow(face_value,coupon_rate, bond_length, freq=1):
+    coupon_payment = face_value * coupon_rate / freq
+    cash_flows = [coupon_payment] * (bond_length - 1) + [coupon_payment + face_value]
+    cash_flows.insert(0, 0)
+    return cash_flows
+
+def calculate_macualy_duration(yield_, face_value, coupon_rate, bond_length, freq=1):
+    # i should start from 1 
+    dur = 0
+    cf = create_cash_flow(face_value, coupon_rate, bond_length)
+    npv = npf.npv(yield_, cf)
+    coupon_value = coupon_rate * face_value
+    for i in range(1, bond_length+1):
+        if i == bond_length:
+            dur += ((coupon_value + face_value)*i)/((1+yield_)**i)
+            continue 
+        dur += ((coupon_value*i)/((1+yield_)**i))
+    dur = (1/(1+yield_))*(dur/npv)
+    return dur
+
+def calculate_modified_duration(macaulay_duration, yield_):
+    mod_duration = macaulay_duration / (1 + yield_)
+    return mod_duration
+
+def calculate_convexity(yield_, face_value, coupon_rate, bond_length, freq=1):
+    conv = 0
+    cf = create_cash_flow(face_value, coupon_rate, bond_length)
+    npv = npf.npv(yield_, cf)
+    coupon_value = coupon_rate * face_value
+    for i in range(1, bond_length+1):
+        if i == bond_length:
+            conv += ((coupon_value + face_value)*i*(i+1))/((1+yield_/freq)**i)
+            continue 
+        conv += ((coupon_value*i*(i+1))/((1+yield_/freq)**i))
+    conv = (1/(1+yield_)**2)*(conv/npv)
+    return conv
+
+def calculate_periodic_duration(macualy_duration, freq):
+    periodic_duration = macualy_duration * freq
+    return periodic_duration
+
+def calculate_time_to_maturity(settle_date_str, maturity_date_str, freq=1):
+    settle = datetime.strptime(settle_date_str, '%d-%m-%Y') 
+    maturity = datetime.strptime(maturity_date_str, '%d-%m-%Y')
+    time_delta = maturity - settle
+    T = time_delta.days / 365.25
+    periods = int(np.ceil(T * freq)) 
+    return T, periods