quantlib.instruments.bonds.zerocouponbond.ZeroCouponBond

class ZeroCouponBond(Natural settlement_days, Calendar calendar, Real face_amount, Date maturity_date, BusinessDayConvention payment_convention=Following, Real redemption=100.0, Date issue_date=Date())

Bases: Bond

Zero coupon bond

__init__()

Zero coupon bond (constructor)

Parameters:

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

  • calendar (Calendar) – Type of Calendar

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

  • maturity_date (Date) – Date bond matures (pays off)

  • 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__

Zero coupon bond (constructor)

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