Boran Özdemir
b188ed1ddd
Hey everyone, I've launched the IAM-614 -Computational Finance repository to translate our course's MATLAB codes into Python, and everyone is invited to join, work on the code and contribute to development.
59 lines
2.0 KiB
Python
59 lines
2.0 KiB
Python
"""
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Created on Sat Oct 25 21:59:15 2025
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@author: boranozdemir
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"""
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import numpy as np
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import numpy_financial as npf
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from datetime import datetime
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def create_cash_flow(face_value,coupon_rate, bond_length, freq=1):
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coupon_payment = face_value * coupon_rate / freq
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cash_flows = [coupon_payment] * (bond_length - 1) + [coupon_payment + face_value]
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cash_flows.insert(0, 0)
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return cash_flows
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def calculate_macualy_duration(yield_, face_value, coupon_rate, bond_length, freq=1):
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# i should start from 1
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dur = 0
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cf = create_cash_flow(face_value, coupon_rate, bond_length)
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npv = npf.npv(yield_, cf)
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coupon_value = coupon_rate * face_value
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for i in range(1, bond_length+1):
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if i == bond_length:
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dur += ((coupon_value + face_value)*i)/((1+yield_)**i)
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continue
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dur += ((coupon_value*i)/((1+yield_)**i))
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dur = (1/(1+yield_))*(dur/npv)
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return dur
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def calculate_modified_duration(macaulay_duration, yield_):
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mod_duration = macaulay_duration / (1 + yield_)
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return mod_duration
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def calculate_convexity(yield_, face_value, coupon_rate, bond_length, freq=1):
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conv = 0
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cf = create_cash_flow(face_value, coupon_rate, bond_length)
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npv = npf.npv(yield_, cf)
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coupon_value = coupon_rate * face_value
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for i in range(1, bond_length+1):
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if i == bond_length:
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conv += ((coupon_value + face_value)*i*(i+1))/((1+yield_/freq)**i)
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continue
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conv += ((coupon_value*i*(i+1))/((1+yield_/freq)**i))
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conv = (1/(1+yield_)**2)*(conv/npv)
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return conv
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def calculate_periodic_duration(macualy_duration, freq):
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periodic_duration = macualy_duration * freq
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return periodic_duration
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def calculate_time_to_maturity(settle_date_str, maturity_date_str, freq=1):
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settle = datetime.strptime(settle_date_str, '%d-%m-%Y')
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maturity = datetime.strptime(maturity_date_str, '%d-%m-%Y')
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time_delta = maturity - settle
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T = time_delta.days / 365.25
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periods = int(np.ceil(T * freq))
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return T, periods |