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modified BPV calculation
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-77
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-77
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‎financepy/products/rates/ibor_swap.py‎

Lines changed: 4 additions & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -481,8 +481,11 @@ 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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# Get coupon frequency
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coupon_frequency = self.fixed_leg.freq_type.value
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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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annualized_modi_dur= modi_dur/coupon_frequency
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return annualized_modi_dur*self.fixed_leg.notional*bp
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###########################################################################
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‎notebooks/products/rates/FINIBORSWAP_ReplicationgBONDMATHDurationExample3M.ipynb‎

Lines changed: 65 additions & 76 deletions
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@@ -6,26 +6,24 @@
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"ExecuteTime": {
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"start_time": "2025-05-23T03:01:38.512089Z"
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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\n",
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"\n",
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"from notebooks.products.rates.FINIBORSWAP_ReplicationgBONDMATHDurationExample import payment_periods"
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"import datetime as dt\n"
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],
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"outputs": [],
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"execution_count": 34
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"execution_count": 22
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@@ -65,13 +63,13 @@
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@@ -91,18 +89,18 @@
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"31-MAR-2024"
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@@ -125,13 +123,13 @@
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@@ -144,18 +142,18 @@
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@@ -168,18 +166,18 @@
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@@ -216,18 +214,18 @@
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@@ -240,18 +238,18 @@
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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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{
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"data": {
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