InflationGovernmentBond

class sigtech.framework.instruments.bonds.InflationGovernmentBond

Baseclasses: GovernmentBond

Inflation Government Bond. Similar functionality to Government Bond, but all coupons and notional redemptions are adjusted with the inflation index index change over its issue time value index_base_value. Only USD CPI bonds are supported at the moment, but that can be extended with time.

index: Optional[str]

index_base_value: float

index_interpolation: Optional[Literal['flat', 'linear']]

observation_lag: Optional[str]

cashflows(d: date)

Returns the cashflows incurred from a given date to the maturity of the bond. Cashflows after the last inflation fixing are computed assuming zero inflation (i.e. no future inflation forecast is made)

Parameters:

d – The date from which to return cashflows

Returns:

List of cashflows (coupons + redemption)

inflation_scale(trade_date: date = None, settlement_date: date = None) → float

Inflation index scale of the bond price (multiplier to translate real bond price into nominal). Can be computed either on the trade date or settlement date.

Parameters:

• trade_date – trade date for which the scale is needed (not needed if settlement_date is passed.

• settlement_date – settlement date of the trade (not needed if trade_date is passed).

Returns:

inflation scale for the date.