Bond Pricing API
Bond pricing and fixed income analysis functions.
duration_convexity(face_value, coupon_rate, years_to_maturity, yield_to_maturity, frequency=2)
Calculate the Macaulay duration, modified duration, and convexity of a bond.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
face_value
|
float
|
Face value (par value) of the bond |
required |
coupon_rate
|
float
|
Annual coupon rate as a decimal (e.g., 0.05 for 5%) |
required |
years_to_maturity
|
float
|
Years until the bond matures |
required |
yield_to_maturity
|
float
|
Annual yield to maturity as a decimal (e.g., 0.06 for 6%) |
required |
frequency
|
int
|
Number of coupon payments per year, by default 2 (semi-annual) |
2
|
Returns:
| Type | Description |
|---|---|
dict
|
Duration, modified duration, convexity, and bond details |
price_bond(face_value, coupon_rate, years_to_maturity, yield_to_maturity, frequency=2)
Calculate the price of a bond using discounted cash flow analysis.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
face_value
|
float
|
Face value (par value) of the bond |
required |
coupon_rate
|
float
|
Annual coupon rate as a decimal (e.g., 0.05 for 5%) |
required |
years_to_maturity
|
float
|
Years until the bond matures |
required |
yield_to_maturity
|
float
|
Annual yield to maturity as a decimal (e.g., 0.06 for 6%) |
required |
frequency
|
int
|
Number of coupon payments per year, by default 2 (semi-annual) |
2
|
Returns:
| Type | Description |
|---|---|
dict
|
Bond price and details |
Raises:
| Type | Description |
|---|---|
ValueError
|
If any of the input parameters are invalid |
yield_to_maturity(price, face_value, coupon_rate, years_to_maturity, frequency=2, initial_guess=0.05, precision=1e-10, max_iterations=100)
Calculate the yield to maturity of a bond.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
price
|
float
|
Current market price of the bond |
required |
face_value
|
float
|
Face value (par value) of the bond |
required |
coupon_rate
|
float
|
Annual coupon rate as a decimal (e.g., 0.05 for 5%) |
required |
years_to_maturity
|
float
|
Years until the bond matures |
required |
frequency
|
int
|
Number of coupon payments per year, by default 2 (semi-annual) |
2
|
initial_guess
|
float
|
Initial guess for YTM, by default 0.05 (5%) |
0.05
|
precision
|
float
|
Desired precision for YTM calculation, by default 1e-10 |
1e-10
|
max_iterations
|
int
|
Maximum number of iterations, by default 100 |
100
|
Returns:
| Type | Description |
|---|---|
dict
|
Yield to maturity and bond details |
Raises:
| Type | Description |
|---|---|
ValueError
|
If any of the input parameters are invalid |