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add BPV for payer and receiver
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-108
lines changed

2 files changed

+90
-108
lines changed

‎financepy/products/rates/ibor_swap.py‎

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@@ -458,9 +458,42 @@ def payer_side_profits(self,
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"""
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# Get coupon frequency
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coupon_frequency = self.fixed_leg.freq_type.value
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annualized_modi_dur = self.payer_side_modified_duration(value_dt, discount_curve,payment_periods)/coupon_frequency
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return (-1)*(annualized_modi_dur*self.fixed_leg.notional*swap_rate_changes)
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###########################################################################
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def receiver_side_profits(self,
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value_dt,
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discount_curve,payment_periods: float,
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swap_rate_changes: float):
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"""Computation of the Profits for the Fixed-Rate Receiver's Perspective in Interest Rate Swap
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"""
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return self.payer_side_profits(value_dt, discount_curve,payment_periods,swap_rate_changes)*(-1)
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###########################################################################
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def payer_side_BPV(self, value_dt, discount_curve,payment_periods: float,):
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"""
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calculate the basis‐point‐value (BPV) for the payer_side of the swap,
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which is swap's modified duration times the notional principal,
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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
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###########################################################################
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def receiver_side_BPV(self, value_dt, discount_curve,payment_periods: float,):
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"""
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calculate the basis‐point‐value (BPV) for receiver_side of the swap,
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which is swap's modified duration times the notional principal,
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times one basis point (0.0001)
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"""
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return self.payer_side_BPV(value_dt, discount_curve,payment_periods)*(-1)
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###########################################################################
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def __repr__(self):
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‎notebooks/products/rates/FINIBORSWAP_ReplicationgBONDMATHDurationExample3M.ipynb‎

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"source": [
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"import datetime as dt"
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],
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],
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"cell_type": "code",
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}
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},
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"cell_type": "code",
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"source": [
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"# def payer_side_macaulay_duration(value_dt, discount_curve):\n",
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"# \"\"\"Calculation of the Payer's Macaulay Duration in an Interest Rate Swap\n",
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"# Based on Bond Math: The Theory Behind the Formulas, Second Edition by\n",
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"# Donald J. Smith\n",
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"# \"\"\"\n",
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"# # Number of fixed leg payments\n",
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"# payment_period = len(swap.fixed_leg.payments)\n",
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"#\n",
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"# # Get coupon frequency\n",
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"# coupon_frequency = self.fixed_leg.freq_type.value\n",
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"#\n",
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"# # Get swap rate\n",
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"# swap_rate_val = self.swap_rate(value_dt, discount_curve)\n",
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"#\n",
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"# y = swap_rate_val / coupon_frequency\n",
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"# N = payment_period\n",
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"# c = swap_rate_val / coupon_frequency\n",
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"# md1 = (1 + y) / y\n",
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"# md2 = 1 + y + (N * (c - y))\n",
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"# md3 = c * ((1 + y) ** N - 1) + y\n",
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"# mac_duration = 1 - (md1 - md2 / md3)\n",
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"# return mac_duration\n",
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"\n",
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"\n",
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"payment_period = len(swap.fixed_leg.payments) + 1\n",
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"coupon_frequency = swap.fixed_leg.freq_type.value\n",
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"swap_rate_val = swap.swap_rate(value_dt, zero_curve)\n",
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"y = swap_rate_val / coupon_frequency\n",
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"N = payment_period\n",
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"c = swap_rate_val / coupon_frequency\n",
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"md1 = (1 + y) / y\n",
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"md2 = 1 + y + (N * (c - y))\n",
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"md3 = c * ((1 + y) ** N - 1) + y\n",
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"mac_duration = 1 - (md1 - md2 / md3)\n",
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"\n",
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"delta_mv=-(-mac_duration/4*notional*(-0.004))"
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],
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"id": "65a401442f9bf084",
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"outputs": [],
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"execution_count": 21
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},
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]
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}
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],
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"execution_count": 13
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},
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"execution_count": 14
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},
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{
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}
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},
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"cell_type": "code",
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"source": "swap.payer_side_profits(value_dt, zero_curve,8,-0.004)",
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"id": "5ef5f29ad5dfad00",
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"outputs": [
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{
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"ename": "AttributeError",
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"evalue": "'IborSwap' object has no attribute 'payer_side_profits'",
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"output_type": "error",
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"traceback": [
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"\u001B[1;31m---------------------------------------------------------------------------\u001B[0m",
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"\u001B[1;31mAttributeError\u001B[0m Traceback (most recent call last)",
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"Cell \u001B[1;32mIn[30], line 1\u001B[0m\n\u001B[1;32m----> 1\u001B[0m \u001B[43mswap\u001B[49m\u001B[38;5;241;43m.\u001B[39;49m\u001B[43mpayer_side_profits\u001B[49m(value_dt, zero_curve,\u001B[38;5;241m8\u001B[39m,\u001B[38;5;241m-\u001B[39m\u001B[38;5;241m0.004\u001B[39m)\n",
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"\u001B[1;31mAttributeError\u001B[0m: 'IborSwap' object has no attribute 'payer_side_profits'"
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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": 15
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}
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],
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"metadata": {

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