quantlib.instruments.bonds.fixedratebond.FixedRateBond

class FixedRateBond(Natural settlement_days, Real face_amount, Schedule schedule, vector[Rate] coupons, DayCounter accrual_day_counter, BusinessDayConvention payment_convention=Following, Real redemption=100.0, Date issue_date=Date(), Calendar payment_calendar=Calendar(), Period ex_coupon_period=Period(), Calendar ex_coupon_calendar=Calendar(), BusinessDayConvention ex_coupon_convention=Unadjusted, bool ex_coupon_end_of_month=False, DayCounter first_period_day_counter=DayCounter())

Bases: Bond

Fixed rate bond.

Support:

  • simple annual compounding coupon rates

Unsupported: (needs interfacing)

  • simple annual compounding coupon rates with internal schedule calculation

  • generic compounding and frequency InterestRate coupons

__init__()

Fixed rate bond

Parameters:

  • settlement_days (int) – Number of days before bond settles

  • face_amount (float (C double in python)) – Amount of face value of bond

  • schedule (Schedule) – Schedule of payments for bond

  • coupons (list[float]) – Interest[s] to be acquired for bond.

  • accrual_day_counter (DayCounter) – dayCounter for Bond

  • payment_convention (BusinessDayConvention) – The business day convention for the payment schedule

  • redemption (float) – Amount at redemption

  • issue_date (Date) – Date bond was issued

Methods

__init__

Fixed rate bond

accrued_amount(self, Date date=Date)

Returns the bond accrued amount at the given date

bond_yield(self, Real price, DayCounter dc, ...)

Return the yield given a price and settlement date

notional(self, Date date=Date)

set_pricing_engine(self, PricingEngine engine)

Sets the pricing engine.

settlement_date(self, Date from_date=Date)

Returns the bond settlement date after the given date.

Attributes

calendar

cashflows

cash flow stream as a Leg

clean_price

Bond clean price.

dirty_price

Bond dirty price

is_expired

issue_date

Bond issue date

maturity_date

Bond maturity date

net_present_value

Instrument net present value.

npv

Shortcut to the net_present_value property.

settlement_days

start_date

Bond start date

valuation_date