fintoolsom

fintoolsom is a Python library designed for financial calculations, specializing in fixed income instruments, interest rate modeling, and derivatives. It provides a robust set of tools for valuation, analysis, and curve construction, with specific features tailored for the Chilean financial market.

Core Features

Fixed Income

• Bond Valuation (Bond):

  • A comprehensive class for valuing fixed income securities.
  • Calculate Present Value (PV) from a given Internal Rate of Return (IRR) or a Zero-Coupon Curve.
  • Determine the IRR (Yield-to-Maturity) from a given price or settlement amount.
  • Compute key risk metrics like get_duration (Macaulay duration) and get_dv01.
  • Handle complex coupon structures and amortizations.
  • Chilean Market Features: Includes specialized methods for the Chilean market, such as calculating the Tasa de Emisión de Renta Anual (TERA) and determining settlement amounts based on local conventions.

• Deposits (Deposit):

  • Simple valuation for fixed-term deposits.
  • Calculates PV, duration, and DV01.

• Yield Curve Modeling (NelsonSiegel, NelsonSiegelSvensson):

  • Implements the Nelson-Siegel and Nelson-Siegel-Svensson parametric models for yield curve fitting.
  • Uses numba for JIT-compiled calculations for high performance.
  • Calibration: Calibrates model parameters to fit a set of market bond prices or IRRs using optimization methods from scipy.
  • Curve Generation: Generates a smooth, continuous ZeroCouponCurve object from the calibrated model, ideal for pricing and risk management.
  • Structured into a base NelsonSiegel class and an inheriting NelsonSiegelSvensson class for the four-factor model.

Interest Rates

• Rate Engine (Rate, RateConvention):

  • A flexible Rate object that encapsulates both a rate value and its RateConvention.
  • Supports various interest calculation methods:
    • LinearInterestConvention
    • CompoundedInterestConvention
    • ExponentialInterestConvention (Continuously compounded)
  • Handles conversions between different rate conventions.

• Zero-Coupon Curves (ZeroCouponCurve):

  • Constructs yield curves from a set of dates and discount factors or zero-coupon rates.
  • Calculates discount factors (get_df), wealth factors, and forward rates between any two dates.
  • Provides interpolation methods for points between curve nodes, including:
    • LogLinear
    • HermiteCubicSpline (PCHIP)
  • Supports curve operations like parallel bumping and aging the curve to a future date (get_aged_curve).

Installation

Install directly from the GitHub repository to get the latest version:

pip install git+https://github.com/oliverm91/fintoolsom.git --upgrade

Requirements

• Python: >=3.11
• Packages: numpy, scipy, numba