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modified BPV calculation
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-53
lines changed

2 files changed

+132
-53
lines changed

‎financepy/products/rates/ibor_swap.py‎

Lines changed: 2 additions & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -481,7 +481,8 @@ def payer_side_BPV(self, value_dt, discount_curve,payment_periods: float,):
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times one basis point (0.0001)
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"""
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bp=0.0001
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return self.payer_side_modified_duration(value_dt, discount_curve,payment_periods)*self.fixed_leg.notional*bp
484+
modi_dur = self.payer_side_modified_duration(value_dt, discount_curve,payment_periods)
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return modi_dur*self.fixed_leg.notional*bp
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###########################################################################
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‎notebooks/products/rates/FINIBORSWAP_ReplicationgBONDMATHDurationExample3M.ipynb‎

Lines changed: 130 additions & 52 deletions
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@@ -6,24 +6,26 @@
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"metadata": {
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"collapsed": true,
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"ExecuteTime": {
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"end_time": "2025-05-23T02:31:22.631355Z",
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"start_time": "2025-05-23T02:31:22.625849Z"
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"end_time": "2025-05-23T02:54:25.031837Z",
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"start_time": "2025-05-23T02:54:25.027815Z"
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}
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},
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"source": [
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"from financepy.utils import *\n",
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"from financepy.products.rates import *\n",
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"from financepy.market.curves import *\n",
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"import datetime as dt"
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"import datetime as dt\n",
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"\n",
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"from notebooks.products.rates.FINIBORSWAP_ReplicationgBONDMATHDurationExample import payment_periods"
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],
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"outputs": [],
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"execution_count": 2
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"execution_count": 34
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},
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{
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"metadata": {
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"ExecuteTime": {
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"end_time": "2025-05-23T02:31:22.679560Z",
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}
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},
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"cell_type": "code",
@@ -63,13 +65,13 @@
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],
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"id": "1ebf43316efee835",
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"outputs": [],
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"execution_count": 3
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"execution_count": 35
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},
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{
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"metadata": {
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"ExecuteTime": {
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"end_time": "2025-05-23T02:31:22.694667Z",
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}
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},
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"cell_type": "code",
@@ -89,18 +91,18 @@
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"31-MAR-2024"
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]
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},
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"execution_count": 4,
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"metadata": {},
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"output_type": "execute_result"
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}
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],
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{
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"metadata": {
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"ExecuteTime": {
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}
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},
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"cell_type": "code",
@@ -123,13 +125,13 @@
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],
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"id": "290b7a06932da41d",
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"outputs": [],
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"execution_count": 37
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},
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{
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"metadata": {
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"ExecuteTime": {
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}
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},
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"cell_type": "code",
@@ -142,18 +144,18 @@
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"0.030065619962567392"
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]
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},
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"execution_count": 6,
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"execution_count": 38,
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"metadata": {},
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"output_type": "execute_result"
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}
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],
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"execution_count": 38
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},
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{
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"metadata": {
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"ExecuteTime": {
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"end_time": "2025-05-23T02:31:22.765913Z",
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"start_time": "2025-05-23T02:31:22.759349Z"
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"end_time": "2025-05-23T02:54:25.120452Z",
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"start_time": "2025-05-23T02:54:25.116135Z"
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}
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},
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"cell_type": "code",
@@ -166,18 +168,18 @@
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"-404094.769553849"
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]
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},
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"execution_count": 7,
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"execution_count": 39,
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"metadata": {},
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"output_type": "execute_result"
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}
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],
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},
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{
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"metadata": {
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"ExecuteTime": {
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"start_time": "2025-05-23T02:54:25.143313Z"
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}
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},
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"cell_type": "code",
@@ -190,18 +192,18 @@
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"-6.794198629548404"
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]
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},
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"execution_count": 8,
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"execution_count": 40,
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"metadata": {},
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"output_type": "execute_result"
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}
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],
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},
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{
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"metadata": {
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"ExecuteTime": {
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"end_time": "2025-05-23T02:31:22.817161Z",
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"end_time": "2025-05-23T02:54:25.169741Z",
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"start_time": "2025-05-23T02:54:25.164469Z"
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}
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},
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"cell_type": "code",
@@ -214,18 +216,18 @@
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"6.794198629548404"
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]
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},
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"metadata": {},
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"output_type": "execute_result"
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}
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],
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"execution_count": 9
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"execution_count": 41
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},
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{
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"metadata": {
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"ExecuteTime": {
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"end_time": "2025-05-23T02:54:25.199176Z",
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}
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},
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"cell_type": "code",
@@ -238,18 +240,18 @@
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"-6.743511664816526"
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]
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},
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"execution_count": 10,
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"execution_count": 42,
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"metadata": {},
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"output_type": "execute_result"
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}
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],
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},
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{
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"metadata": {
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"ExecuteTime": {
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"start_time": "2025-05-23T02:54:25.224367Z"
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}
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},
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"cell_type": "code",
@@ -262,18 +264,18 @@
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"6.743511664816526"
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]
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},
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"execution_count": 11,
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"metadata": {},
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"output_type": "execute_result"
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}
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],
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},
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{
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"metadata": {
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"ExecuteTime": {
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"end_time": "2025-05-23T02:54:25.264697Z",
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"start_time": "2025-05-23T02:54:25.260233Z"
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}
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},
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"cell_type": "code",
@@ -323,13 +325,13 @@
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]
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}
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],
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"execution_count": 12
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"execution_count": 44
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},
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{
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"metadata": {
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"ExecuteTime": {
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"end_time": "2025-05-23T02:31:22.977499Z",
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"start_time": "2025-05-23T02:31:22.971711Z"
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"end_time": "2025-05-23T02:54:25.286790Z",
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"start_time": "2025-05-23T02:54:25.282897Z"
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}
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},
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"cell_type": "code",
@@ -361,13 +363,13 @@
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]
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}
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],
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"execution_count": 13
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"execution_count": 45
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},
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{
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"metadata": {
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"ExecuteTime": {
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"end_time": "2025-05-23T02:31:23.015658Z",
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"start_time": "2025-05-23T02:31:23.010172Z"
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"end_time": "2025-05-23T02:54:25.315781Z",
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"start_time": "2025-05-23T02:54:25.311063Z"
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}
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},
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"cell_type": "code",
@@ -399,17 +401,21 @@
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]
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}
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],
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"execution_count": 14
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"execution_count": 46
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},
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{
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"metadata": {
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"ExecuteTime": {
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"end_time": "2025-05-23T02:31:23.043840Z",
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"start_time": "2025-05-23T02:31:23.039172Z"
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"end_time": "2025-05-23T02:54:25.345988Z",
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"start_time": "2025-05-23T02:54:25.341966Z"
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}
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},
411413
"cell_type": "code",
412-
"source": "swap.payer_side_profits(value_dt, zero_curve,8,-0.004)",
414+
"source": [
415+
"payment_periods=8\n",
416+
"swap_rate_changes=-0.004\n",
417+
"swap.payer_side_profits(value_dt, zero_curve,payment_periods,swap_rate_changes)"
418+
],
413419
"id": "5ef5f29ad5dfad00",
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"outputs": [
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{
@@ -418,12 +424,84 @@
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"-404610.6998889916"
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]
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},
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"execution_count": 15,
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"execution_count": 47,
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"metadata": {},
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"output_type": "execute_result"
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}
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],
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"execution_count": 47
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},
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{
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"metadata": {
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"ExecuteTime": {
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"end_time": "2025-05-23T02:54:25.433818Z",
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"start_time": "2025-05-23T02:54:25.427828Z"
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}
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},
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"cell_type": "code",
442+
"source": "swap.receiver_side_profits(value_dt, zero_curve,payment_periods,swap_rate_changes)",
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"id": "11109a6f2da7b7dc",
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"outputs": [
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{
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"data": {
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"text/plain": [
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"404610.6998889916"
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]
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},
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"execution_count": 48,
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"metadata": {},
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"output_type": "execute_result"
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}
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],
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"execution_count": 48
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},
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{
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"metadata": {
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"ExecuteTime": {
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"end_time": "2025-05-23T02:54:25.518531Z",
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"start_time": "2025-05-23T02:54:25.513863Z"
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}
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},
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"cell_type": "code",
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"source": "swap.payer_side_BPV(value_dt, zero_curve,payment_periods)",
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"id": "a4c532a9a90b445c",
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"outputs": [
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{
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"data": {
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"text/plain": [
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"-40461.06998889916"
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]
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},
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"execution_count": 49,
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"metadata": {},
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"output_type": "execute_result"
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}
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],
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"execution_count": 49
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},
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{
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"metadata": {
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"ExecuteTime": {
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"end_time": "2025-05-23T02:54:25.578843Z",
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"start_time": "2025-05-23T02:54:25.574712Z"
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}
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},
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"cell_type": "code",
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"source": "swap.receiver_side_BPV(value_dt, zero_curve,payment_periods)",
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"id": "8f8630e90883e3b5",
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"outputs": [
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{
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"data": {
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"text/plain": [
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"40461.06998889916"
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]
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},
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"execution_count": 50,
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"metadata": {},
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"output_type": "execute_result"
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}
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],
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"execution_count": 15
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"execution_count": 50
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}
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],
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"metadata": {

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