FIXED_BOND_PRICER.ipynb

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   "source": [
    "Python class and jupyter iPython notebook for pricing a fixed coupon bond"
   ]
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  {
   "cell_type": "code",
   "execution_count": 1,
   "metadata": {},
   "outputs": [],
   "source": [
    "import pandas as pd\n",
    "import numpy as np\n",
    "import math as m\n",
    "import datetime as dt\n",
    "from dateutil.relativedelta import relativedelta\n",
    "import calendar\n",
    "\n",
    "##################################################################################\n",
    "#Adding daycount convention functions\n",
    "##################################################################################\n",
    "def day_count_actual_360(start_date, end_date):\n",
    "    #Returns number of days between start_date and end_date, using Actual/360 convention\n",
    "    return (end_date - start_date).days\n",
    "\n",
    "def day_count_actual_365(start_date, end_date):\n",
    "    #Returns number of days between start_date and end_date, using Actual/365 convention\n",
    "    return (end_date - start_date).days\n",
    "\n",
    "def day_count_actual_actual(start_date, end_date):\n",
    "    #Returns number of days between start_date and end_date, using Actual/Actual convention\n",
    "    return (end_date - start_date).days\n",
    "\n",
    "def day_count_30_360(start_date, end_date):\n",
    "    #Returns number of days between start_date and end_date, using Thirty/360 convention\n",
    "    d1 = min(30, start_date.day)\n",
    "    d2 = min(d1, end_date.day) if d1 == 30 else end_date.day\n",
    "    return 360*(end_date.year - start_date.year) + 30*(end_date.month - start_date.month) + d2 - d1\n",
    "\n",
    "def day_count_30E_360(start_date, end_date):\n",
    "    #Returns number of days between start_date and end_date, using ThirtyE/360 convention\n",
    "    d1 = min(30, start_date.day)\n",
    "    d2 = min(30, end_date.day)\n",
    "    return 360 * (end_date.year - start_date.year) + 30 * (end_date.month - start_date.month) + d2 - d1\n",
    "\n",
    "class fixed_bond:\n",
    "    def __init__(self, issue_date, settlement_date, first_coupon_date, maturity_date, face_value, reoffer_yield, coupon_rate, first_coupon_type, coupon_frequency, day_count_convention, redemption_rate):\n",
    "        ##################################################################################\n",
    "        #Setting up inital attributes\n",
    "        ##################################################################################\n",
    "        self.issue_date = issue_date\n",
    "        self.settlement_date = settlement_date\n",
    "        self.first_coupon_date = first_coupon_date\n",
    "        self.maturity_date = maturity_date\n",
    "        self.face_value = face_value\n",
    "        self.reoffer_yield = reoffer_yield\n",
    "        self.coupon_rate = coupon_rate\n",
    "        self.first_coupon_type = first_coupon_type\n",
    "        self.coupon_frequency = coupon_frequency\n",
    "        self.day_count_convention = day_count_convention\n",
    "        self.redemption_rate = redemption_rate\n",
    "\n",
    "        ##################################################################################\n",
    "        #Parsing input values\n",
    "        ##################################################################################\n",
    "        #Converting reoffer yield to percentage\n",
    "        self.reoffer_yield = self.reoffer_yield/100\n",
    "\n",
    "        #Converting coupon rate to percentage\n",
    "        self.coupon_rate = self.coupon_rate/100\n",
    "\n",
    "        #parsing coupon frequency\n",
    "        if self.coupon_frequency == \"ANNUAL\":\n",
    "            self.coupon_frequency_modifier = 1\n",
    "        elif self.coupon_frequency == \"SEMI-ANNUAL\":\n",
    "            self.coupon_frequency_modifier = 2\n",
    "        elif self.coupon_frequency == \"QUARTERLY\":\n",
    "            self.coupon_frequency_modifier = 4\n",
    "        elif self.coupon_frequency_modifier == \"MONTHLY\":\n",
    "            self.coupon_frequency_modifier = 12\n",
    "        else:\n",
    "            self.coupon_frequency_modifier = 1\n",
    "            #need to add error handling\n",
    "\n",
    "        #Converting redemption rate to percentage\n",
    "        self.redemption_rate = self.redemption_rate/100\n",
    "\n",
    "        #Generating accrual start date\n",
    "        time_modifier = int(12/self.coupon_frequency_modifier)\n",
    "        if self.first_coupon_type == \"REGULAR\":\n",
    "            self.accrual_start_date = self.settlement_date\n",
    "        else:\n",
    "            self.accrual_start_date = self.first_coupon_date - relativedelta(months=time_modifier)\n",
    "\n",
    "        ##################################################################################\n",
    "        #Generating the columns for the cash flow table\n",
    "        ##################################################################################\n",
    "        #generating cash flow schedule\n",
    "        cash_flow_date = self.first_coupon_date\n",
    "        cash_flow_dates = [cash_flow_date]\n",
    "        self.number_of_periods = 1\n",
    "\n",
    "        while cash_flow_date < maturity_date:\n",
    "            cash_flow_date += relativedelta(months=time_modifier)\n",
    "            cash_flow_dates.append(cash_flow_date)\n",
    "            self.number_of_periods += 1\n",
    "\n",
    "        self.cash_flow_dates = cash_flow_dates\n",
    "\n",
    "        #computing cash flow periods\n",
    "        cash_flow_periods = []\n",
    "        for i in range(self.number_of_periods):\n",
    "            cash_flow_periods.append(i + 1)\n",
    "        self.cash_flow_periods = cash_flow_periods\n",
    "\n",
    "        # computing future cash flows per date\n",
    "        self.coupon_payment = (self.face_value*self.coupon_rate)/self.coupon_frequency_modifier\n",
    "        self.principal_payment = self.face_value * self.redemption_rate\n",
    "\n",
    "        cash_flow_amounts = []\n",
    "        for i in range(self.number_of_periods):\n",
    "            if i == self.number_of_periods - 1:\n",
    "                cash_flow = self.principal_payment + self.coupon_payment\n",
    "            else:\n",
    "                cash_flow = self.coupon_payment\n",
    "\n",
    "            cash_flow_amounts.append(cash_flow)\n",
    "        self.cash_flow_amounts = cash_flow_amounts\n",
    "\n",
    "        #Computing discount rate\n",
    "        self.discount_rate = 1 + (self.reoffer_yield/self.coupon_frequency_modifier)\n",
    "        self.discount_rates = []\n",
    "        for i in range(self.number_of_periods):\n",
    "            self.discount_rates.append(self.discount_rate)\n",
    "\n",
    "        #Computing discount period\n",
    "        if self.first_coupon_type == \"REGULAR\":\n",
    "            self.discount_period = 1\n",
    "        else:\n",
    "            if self.day_count_convention == \"ACTUAL/ACTUAL\":\n",
    "                numerator = day_count_actual_actual(self.settlement_date,self.first_coupon_date)\n",
    "                denominator = day_count_actual_actual(self.accrual_start_date,self.first_coupon_date)\n",
    "                self.discount_period = numerator/denominator\n",
    "                if self.first_coupon_type == \"FULL SHORT FIRST\":\n",
    "                    accrued_numerator = day_count_actual_actual(self.accrual_start_date,self.settlement_date)\n",
    "                    accrued_denominator = denominator\n",
    "                    self.accrued_period = accrued_numerator/accrued_denominator\n",
    "                    self.accrued_days = accrued_numerator\n",
    "                    self.accrued_interest = self.cash_flow_amounts[0]*self.accrued_period\n",
    "                else:\n",
    "                    self.accrued_period = 0\n",
    "                    self.accrued_days = 0\n",
    "                    self.accrued_interest = 0\n",
    "\n",
    "            elif self.day_count_actual_365 == \"ACTUAL/365\":\n",
    "                numerator = day_count_actual_365(self.settlement_date,self.first_coupon_date)\n",
    "                denominator = 365/self.coupon_frequency_modifier\n",
    "                self.discount_period = numerator/denominator\n",
    "                if self.first_coupon_type == \"FULL SHORT FIRST\":\n",
    "                    accrued_numerator = day_count_actual_actual(self.accrual_start_date,self.settlement_date)\n",
    "                    accrued_denominator = denominator\n",
    "                    self.accrued_period = accrued_numerator/accrued_denominator\n",
    "                    self.accrued_days = accrued_numerator\n",
    "                    self.accrued_interest = self.cash_flow_amounts[0]*self.accrued_period\n",
    "                else:\n",
    "                    self.accrued_period = 0\n",
    "                    self.accrued_days = 0\n",
    "                    self.accrued_interest = 0\n",
    "\n",
    "            elif self.day_count_actual_360 == \"ACTUAL/360\":\n",
    "                numerator = day_count_actual_360(self.settlement_date,self.first_coupon_date)\n",
    "                denominator = 360/self.coupon_frequency_modifier\n",
    "                self.discount_period = numerator/denominator\n",
    "                if self.first_coupon_type == \"FULL SHORT FIRST\":\n",
    "                    accrued_numerator = day_count_actual_actual(self.accrual_start_date,self.settlement_date)\n",
    "                    accrued_denominator = denominator\n",
    "                    self.accrued_period = accrued_numerator/accrued_denominator\n",
    "                    self.accrued_days = accrued_numerator\n",
    "                    self.accrued_interest = self.cash_flow_amounts[0]*self.accrued_period\n",
    "                else:\n",
    "                    self.accrued_period = 0\n",
    "                    self.accrued_days = 0\n",
    "                    self.accrued_interest = 0\n",
    "\n",
    "            elif self.day_count_30_360 == \"30/360\":\n",
    "                numerator = day_count_30_360(self.settlement_date,self.first_coupon_date)\n",
    "                denominator = 360/coupon_frequency_modifier\n",
    "                self.discount_period = numerator/denominator\n",
    "                if self.first_coupon_type == \"FULL SHORT FIRST\":\n",
    "                    accrued_numerator = day_count_actual_actual(self.accrual_start_date,self.settlement_date)\n",
    "                    accrued_denominator = denominator\n",
    "                    self.accrued_period = accrued_numerator/accrued_denominator\n",
    "                    self.accrued_days = accrued_numerator\n",
    "                    self.accrued_interest = self.cash_flow_amounts[0]*self.accrued_period\n",
    "                else:\n",
    "                    self.accrued_period = 0\n",
    "                    self.accrued_days = 0\n",
    "                    self.accrued_interest = 0\n",
    "\n",
    "            elif self.day_count_30E_360 == \"30E/360\":\n",
    "                numerator = day_count_30E_360(self.settlement_date,self.first_coupon_date)\n",
    "                denominator = 360/coupon_frequency_modifier\n",
    "                self.discount_period = numerator/denominator\n",
    "                if self.first_coupon_type == \"FULL SHORT FIRST\":\n",
    "                    accrued_numerator = day_count_actual_actual(self.accrual_start_date,self.settlement_date)\n",
    "                    accrued_denominator = denominator\n",
    "                    self.accrued_period = accrued_numerator/accrued_denominator\n",
    "                    self.accrued_days = accrued_numerator\n",
    "                    self.accrued_interest = self.cash_flow_amounts[0]*self.accrued_period\n",
    "                else:\n",
    "                    self.accrued_period = 0\n",
    "                    self.accrued_days = 0\n",
    "                    self.accrued_interest = 0\n",
    "        \n",
    "        self.discount_periods = []\n",
    "        for i in range(self.number_of_periods):\n",
    "            self.discount_periods.append(self.discount_period+i)\n",
    "\n",
    "        #Adjusting first coupon if it's a full short first\n",
    "        if self.first_coupon_type == \"FULL SHORT FIRST\":\n",
    "            self.cash_flow_amounts[0] = self.coupon_payment\n",
    "        elif self.first_coupon_type != \"REGULAR\":\n",
    "            self.cash_flow_amounts[0] = self.coupon_payment * self.discount_period\n",
    "\n",
    "        #generating a cash flow table and calculating reoffer cash price\n",
    "        #table - coupon number / coupon date / cash flow / discount rate / discount period / npv\n",
    "        df = pd.DataFrame(np.column_stack([self.cash_flow_periods, self.cash_flow_dates, self.cash_flow_amounts, self.discount_rates, self.discount_periods]), \n",
    "                               columns=['coupon number', 'coupon_date', 'cash_flow', 'discount_rate', 'discount_period'])\n",
    "        df['npv'] = (df.cash_flow / (df.discount_rate**df.discount_period))\n",
    "\n",
    "        self.cash_flow_table = df\n",
    "        self.reoffer_price = (self.cash_flow_table.npv.sum()/self.face_value)*100\n",
    "        self.dirty_price = self.reoffer_price + (self.accrued_interest/self.face_value)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 2,
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "   coupon number coupon_date cash_flow discount_rate discount_period      npv\n",
      "0              1  2019-06-22   3.89589       1.00944        0.432877  3.88008\n",
      "1              2  2020-06-22         9       1.00944         1.43288  8.87965\n",
      "2              3  2021-06-22         9       1.00944         2.43288  8.79661\n",
      "3              4  2022-06-22         9       1.00944         3.43288  8.71434\n",
      "4              5  2023-06-22         9       1.00944         4.43288  8.63285\n",
      "5              6  2024-06-22         9       1.00944         5.43288  8.55212\n",
      "6              7  2025-06-22         9       1.00944         6.43288  8.47214\n",
      "7              8  2026-06-22         9       1.00944         7.43288  8.39291\n",
      "8              9  2027-06-22         9       1.00944         8.43288  8.31442\n",
      "9             10  2028-06-22         9       1.00944         9.43288  8.23667\n",
      "10            11  2029-06-22      1009       1.00944         10.4329  914.786\n",
      "Reoffer clean price is: 99.566%\n",
      "Days of accrued interest: 0\n",
      "Reoffer dirty price is: 99.566%\n"
     ]
    }
   ],
   "source": [
    "##################################################################################\n",
    "#Using the class\n",
    "##################################################################################\n",
    "issue_date = dt.date(2019,1,8)\n",
    "settlement_date = dt.date(2019,1,15)\n",
    "first_coupon_date = dt.date(2019,6,22)\n",
    "maturity_date = dt.date(2029,6,22)\n",
    "face_value = 1000\n",
    "reoffer_yield = 0.944\n",
    "coupon_rate = 0.9\n",
    "first_coupon_type = \"ODD\"\n",
    "coupon_frequency = \"ANNUAL\"\n",
    "day_count_convention = \"ACTUAL/ACTUAL\"\n",
    "redemption_rate = 100\n",
    "\n",
    "test_bond = fixed_bond(issue_date,settlement_date,first_coupon_date, maturity_date,face_value,reoffer_yield,coupon_rate,first_coupon_type,coupon_frequency,day_count_convention,redemption_rate)\n",
    "\n",
    "print(test_bond.cash_flow_table)\n",
    "print(f\"Reoffer clean price is: {round(test_bond.reoffer_price,3)}%\")\n",
    "print(f\"Days of accrued interest: {test_bond.accrued_days}\")\n",
    "print(f\"Reoffer dirty price is: {round(test_bond.dirty_price,3)}%\")\n",
    "\n",
    "##################################################################################\n",
    "#List of inputs\n",
    "##################################################################################\n",
    "#issue_date, settlement_date, first_coupon_date,maturity_date = datetime objects (yyyy,m,d)\n",
    "#face_value = float\n",
    "#reoffer_yield = for example, a reoffer yield of 2.3% is entered as 2.3\n",
    "#coupon_rate = for example, a coupon of 2.25% is entered as 2.25\n",
    "#first_coupon_type = string: REGULAR, ODD, FULL SHORT FIRST\n",
    "#coupon_frequency = string: ANNUAL, SEMI-ANNUAL, QUARTERLY, MONTHLY\n",
    "#day_count_convention = string: ACTUAL/ACTUAL, ACTUAL/365, ACTUAL/360, 30/360, 30E/360\n",
    "#redemption_rate = for example, a redemption rate of 100% is entered as 100"
   ]
  }
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