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BondBase

BondBase#

class sigtech.framework.instruments.bonds.BondBase

Baseclasses: TradableInstrument

Subclasses: GovernmentBond

Bond base class holding all relevant bond information. Note that calc_type is based on TechHackers Guide, but only ex-dividend accrual conventions are picked from there. It is planned to use BBG calc type in the future.

Bonds are assumed to have par amount of 100 when defining redemption amount or computing price.

property available_data_points

The data points available for this instrument

property available_history_fields

Combined fields available for history retrieval -> clean/dirty prices + calculated fields.

calc_type: Optional[int]
coupon: float
coupon_frequency: Literal['ANNUAL', 'SEMI_ANNUAL', 'QUARTERLY']
coupon_type: Literal['FIXED', 'FLOATING', 'ZERO_COUPON', 'INDEX_LINKED']
day_count: Literal['ACT/ACT', 'ACT/360', 'ACT/365F', '30/360', '30E/360', 'ACT/365_NL', 'ACT/366']
days_to_settle: Optional[int]
db_history_end_date: Optional[date]
description: Optional[str]
property dirty_fields

Field identifier for dirty quoted prices.

property expiry_date

Date contract expires, or last date on which we can trade.

property extra_fields

Extra fields one wants to compute in the history -> order is important, check retrieve_history()!

first_coupon_date: date
first_settle_date: Optional[date]
int_acc_date: date
isin: Optional[str]
issue_date: date
issuer: str
maturity_date: date
redemption_amount: float
series_number: Optional[str]
property settlement_type

Type of settlement, e.g. ‘Cash’ or ‘Physical’.

property size_type

Type of trade size for tradable instrument, either units or notional.

tax_withholding: Optional[float]
property valuation_time

Valuation time for the instrument.

accrued_interest(d)

Accrued interest given a settlement date.

Parameters:

d – Settlement date.

Returns:

Accrued interest.

accrued_interests(ds)

Accrued interest given a list of settlement dates.

Parameters:

ds – List of settlement dates.

Returns:

List of accrued interests.

asw_spread(trade_date, clean_price=None, index_tenor=None, discount_curve_name=None, forecasting_curve_name=None)

Calculates bond asset swap spread with regards to the input discount and forecasting curve. (Standard swap market ones are taken by default, but can be overwritten). Swap assumes to start on the bond settlement day, which is also used as the floating leg accrual start and the corresponding IBOR rate setting (at the standard reset lag). Floating rate is taken to be the standard swap market frequency, but can be overwritten. The spread is given in basis points (23 means 23 basis points)

Parameters:

  • trade_date – date on which the asset swap spread is calculated

  • clean_price – optional - clean price with usual bond conventions (100 for par bond)

  • index_tenor – optional - floating index frequency (e.g. ‘3M’ or ‘6M’)

  • discount_curve_name – optional: swap discounting curve

  • forecasting_curve_name – optional: floating index forecasting curve

Returns:

asw_spreads(trade_dates=None, index_tenor=None, discount_curve_name=None, forecasting_curve_name=None)

Calculates bond asset swap spread with regards to the input discount and forecasting curve for the given set of trade_dates. If not dates are given, the maximal available series of asw-spreads is returned (from the latest of bond history start and forecasting curve history start to the last bond trade date with settlement prior to maturity) Standard swap market curves are taken by default, but can be overwritten. Swaps assume to start on the bond settlement day, which is also used as the floating leg accrual start and the corresponding IBOR rate setting (at the standard reset lag). Floating rate is taken to be the standard swap market frequency, but can be overwritten. The spread is given in basis points (23 means 23 basis points)

Parameters:

  • trade_dates – dates on which the asset swap spread is calculated. All history dates if None

  • index_tenor – optional - floating index frequency (e.g. ‘3M’ or ‘6M’)

  • discount_curve_name – optional: swap discounting curve

  • forecasting_curve_name – optional: floating index forecasting curve

Returns:

bond_dependency()

Returns a Dependency object suitable for this Bond

bond_info() deprecated

Bond info summary, required by BondMixin.

bond_px(settlement_date, yield_)

Clean bond price.

Parameters:

  • settlement_date – Settlement date.

  • yield – Quoted yield.

Returns:

Clean bond price.

calendar_schedule()

This is when we expect data to arrive.

carry_roll_down(d: date, dates: Union[str, date, list[Union[str, datetime.date]]], clean_price: float = None, discount_curve_name: str = None, repo_rate: Union[float, list[float]] = 0.00035, otr_bond_yields: DataFrame = None)

Compute carry and roll-down of bond by moving the valuation date forward to the requested dates, keeping discount curve constant, i.e. discount_factor(from_original_date, for_x_number_of_days) equals discount_factor(from_the_forward_date, for_x_number_of_days), and keeping the z-spread to that curve constant as well

Parameters:

  • d – valuation date

  • dates – string/date or a list of strings/dates for which the carry/roll-down is needed

  • clean_price – optional - clean price with usual bond conventions (100 for par bond)

  • discount_curve_name – optional: discounting curve (swap market standard one is used if None is provided)

  • repo_rate – optional: repo rate (or list of repo rates - one per horizon). Absolute (0.01 means 1%)

  • otr_bond_yields – optional: DataFrame of two columns of the ref bonds - first columns maturities of reference bonds, and second column - their yields. If omitted, the default OTR bonds yields curve is used. 'disable' or 'no' would disable computation of yield roll-down altogether

Returns:

DataFrame of 6 columns - carry - cumulative cashflows from d to date, roll_down- change in bond pv, and the same numbers scaled by bond DV01. Additional 2 columns are yield carry (based on the input repo rate) and yield roll down, based on the input on-the-run bonds yields for d (or the default OTR yields curve)

cashflows(d: date)

Returns the cashflows incurred from a given date to the maturity of the bond.

Parameters:

d – The date from which to return cashflows

Returns:

List of cashflows (coupons + redemption)

dv01(settlement_date, yield_, expiry_date=None)

DV01, i.e. derivative of bond price with respect to yield. Scaling unit of yield change is 1, i.e. if change in bond value per 1 basis point change in yield is needed, the value should be multiplied by 0.0001.

Parameters:

  • settlement_date – Settlement date.

  • yield – Yield quote.

  • expiry_date – Expiry date (optional).

Returns:

Dollar duration.

dv01s(settlement_dates, yields_, expiry_date=None)

DV01, i.e. derivative of bond price with respect to yield, for a list of settlement dates and yield quotes. Scaling unit of yield change is 1, i.e. if change in bond value per 1 basis point change in yield is needed, the value should be multiplied by 0.0001.

Parameters:

  • settlement_dates – List of settlement dates.

  • yields – List of yield quotes.

  • expiry_date – Expiry date (optional).

Returns:

List of dollar durations.

ex_div_date(d)

Ex-dividend date given a trade date.

Parameters:

d – Trade date.

Returns:

Ex-dividend date.

ex_div_dates(ds)

Ex-dividend dates given a list of trade dates.

Parameters:

ds – Trade dates.

Returns:

Ex-dividend dates.

forward_price(settlement, horizon, price, repo_rate)

Forward price.

Parameters:

  • settlement – Settlement date.

  • horizon – Forward date.

  • price – Bond price.

  • repo_rate – Repo rate in percentage.

Returns:

Forward price.

forward_prices(settlements, horizons, prices, repo_rates)

Forward price for a list of settlement dates, forward dates, prices and repo rates.

Parameters:

  • settlements – List of settlement dates.

  • horizons – List of forward dates.

  • prices – List of bond prices.

  • repo_rates – List of repo rates in percentage.

Returns:

List of forward prices.

history_limits()

Get reduced history limits, if they were set by the set_history_limits function.

Returns:

Dictionary of history start_date and end_date overrides

last_proper_trade_date()

Last date on which bond can be traded to settle before the maturity.

matching_swap(trade_date=None, start_date=None)

Returns a receiver spot starting swap (start date is usually 2BD after trade_date) with IBOR rate (+ asset swap spread) based floating leg that matches the bond’s maturity, ccy and coupon (as fixed rate).

Parameters:

  • trade_date – Swap trade date, if NA or before the bond’s issue date - defaults to the bond’s issue date.

  • start_date – Swap start date, if NA - defaults to swap spot date (usually 2BD after swap trade date).

modified_duration(settlement_date, yield_, expiry_date=None)

Modified duration.

Parameters:

  • settlement_date – Settlement date.

  • yield – Yield quote.

  • expiry_date – Expiry date (optional).

Returns:

Modified duration.

modified_durations(settlement_dates, yields_, expiry_date=None)

Modified duration for a list of settlement dates and yield quotes.

Parameters:

  • settlement_dates – List of settlement dates.

  • yields – List of yield quotes.

  • expiry_date – Expiry date (optional).

Returns:

List of modified durations.

next_cashflow(d: date)

Returns the next cashflow after a given date.

Parameters:

d – The date after which to return next cashflow

Returns:

numpy.array() representing cashflow in a form of [payment dtm.date(), coupon amount] or empty numpy.array() if there are no cashflows after the date d

set_history_limits(start_date=None, end_date=None, reset_all=False)

Truncate bond history by supplied start_date and end_date (to speed up history() call, if history outside is not needed). If history already has been pre-cached, and new limits are inside, they are ignored, unless reset_all is set to True. If start_date or end_date is None, they are also ignored.

Parameters:

  • start_date – Date for history to start (or last business day before, when data was available). Optional, None by default.

  • end_date – Last date for history (or last business day prior). Optional, None by default.

  • reset_all – Boolean flag, telling if the parameters should be set even if they don’t add any new available data. (e.g. start_date=None would be ignored if reset_all=False, but previously set start_date will be deleted if reset_all=True). Optional, False by default.

Returns:

no return, function modifies bond internally.

settlement_date(d)

Settlement date given a trade date.

Parameters:

d – Trade date.

Returns:

Settlement date.

settlement_dates(ds)

Settlement dates given a list of trade dates.

Parameters:

ds – Trade dates.

Returns:

Settlement dates.

sizing_price(sizing_dt, ccy=None, execution_dt=None)

Price on given valuation date.

validate()

Perform validation checks on the instrument.

ytm(settlement_date, price, expiry_date=None, yield_quote=None)

Yield to maturity.

Parameters:

  • settlement_date – Settlement date.

  • price – Bond price.

  • expiry_date – Expiry date (optional).

  • yield_quote – Yield quote (optional).

Returns:

Yield to maturity.

ytms(settlement_dates, prices, expiry_date=None, yield_quote=None)

Yield to maturity for a list of settlement dates and prices.

Parameters:

  • settlement_dates – List of settlement dates.

  • prices – List of bond prices.

  • expiry_date – Expiry date (optional).

  • yield_quote – Yield quote (optional).

Returns:

List of yield to maturity.

z_spread(trade_date, clean_price=None, settlement_date=None, curve_name=None, day_count=None, frequency=None)

Calculates bond z-spread with regards to the input discount curve. Bond day count and frequency taken by d efault, but can be overwritten for different bonds comparison. Settlement date can be overwritten if non standard, and clean price input can be changed from the historic one in the database. The spread is given in basis points (23 means 23 basis points)

Parameters:

  • trade_date – date on which the Z-spread is calculated

  • clean_price – optional - clean price with usual bond conventions (100 for par bond)

  • settlement_date – optional - bond settlement date

  • curve_name – curve to which the Z-spread is to be calculated

  • day_count – optional - the one used in bond is taken by default

  • frequency – optional - the one used in bond is taken by default

Returns:

z_spreads(trade_dates=None, curve_name=None, day_count=None, frequency=None)

Calculates bond z-spread with regards to the input discount curve for the given set of trade_dates. If not dates are given, the maximal available series of z-spreads is returned (from the latest of bond history start and curve history start to the last bond trade date with settlement prior to maturity). Bond day count and frequency taken by default, but can be overwritten for different bonds comparison. The spread is given in basis points (23 means 23 basis points)

Parameters:

  • trade_dates – dates for which z-spread is to be calculated. All history dates if None

  • curve_name – optional - discount curve to which z-spread is calculated

  • day_count – optional - bond day_count override for z-spread

  • frequency – optional - bond frequency override for z-spread

Returns:

Series of z-spreads for all input or available dates