Upgraded the computation of multiple metrics

1. Use the class member fixed_leg_type(SwapTypes.PAY or SwapTypes.RECEIVE) to determine whether a counterparty is a buyer or seller, and calculate the Macaulay duration, modified duration, basis point value (BPV), and present value change of the interest rate swap (IRS).
2. Updated the notebook: FINIBORSWAP_ReplicationBONDMATHDurationExample.ipynb.

Author: piper0124

financepy/products/rates/ibor_swap.py

@@ -392,42 +392,16 @@ def print_payments(self):
 
     ###########################################################################
 
-    def payer_side_macaulay_duration(self, value_dt, discount_curve, payment_periods: float):
-        """Calculation of the Payer's Macaulay Duration in an Interest Rate Swap
-        Based on Bond Math: The Theory Behind the Formulas, Second Edition by
-        Donald J. Smith
-        """
-        # Get coupon frequency
-        coupon_frequency = self.fixed_leg.freq_type.value
-
-        # Get swap rate
-        swap_rate_val = self.swap_rate(value_dt,discount_curve)
-
-        y = swap_rate_val / coupon_frequency
-        # payment_periods is the number of periods to maturity as of the beginning of the period;
-        # for instance, If the start date of the interest rate swap is 2024-01-01,
-        # the end date is 2025-12-31, the valuation date is 2024-03-31,
-        # and the frequency type is QUARTERLY,
-        # then the number of payment periods is 8; it is independent of the valuation date.
-        N = payment_periods
-        c = swap_rate_val / coupon_frequency
-        md1 = (1 + y) / y
-        md2 = 1 + y + (N * (c - y))
-        md3 = c * ((1 + y) ** N - 1) + y
-        mac_duration = 1 - (md1 - md2 / md3)
-        return mac_duration
-
-
     def macaulay_duration(self, value_dt, discount_curve, swap_type, payment_periods: float):
-        """Calculation of the Payer's Macaulay Duration in an Interest Rate Swap
+        """Calculation of the Macaulay Duration in an Interest Rate Swap
         Based on Bond Math: The Theory Behind the Formulas, Second Edition by
         Donald J. Smith
         """
         # Get coupon frequency
         coupon_frequency = self.fixed_leg.freq_type.value
 
         # Get swap rate
-        swap_rate_val = self.swap_rate(value_dt,discount_curve)
+        swap_rate_val = self.swap_rate(value_dt, discount_curve)
 
         y = swap_rate_val / coupon_frequency
         # payment_periods is the number of periods to maturity as of the beginning of the period;
@@ -447,37 +421,16 @@ def macaulay_duration(self, value_dt, discount_curve, swap_type, payment_periods
         The fixed‐rate payer and floating‐rate receiver, 
         sometimes is said to be the “buyer” of the swap, or is “long” the swap.             
         """
-        if  swap_type == SwapTypes.PAY:
+        if swap_type == SwapTypes.PAY:
             mac_duration = 1 - (md1 - md2 / md3)
 
-        elif  swap_type == SwapTypes.RECEIVE:
-            mac_duration = (1 - (md1 - md2 / md3))*(-1)
+        elif swap_type == SwapTypes.RECEIVE:
+            mac_duration = (1 - (md1 - md2 / md3)) * (-1)
 
         return mac_duration
 
     ###########################################################################
 
-    def receiver_side_macaulay_duration(self, value_dt, discount_curve,payment_periods: float):
-        """Calculation of the Receiver's Macaulay Duration in an Interest Rate Swap
-        Based on Bond Math: The Theory Behind the Formulas, Second Edition by
-        Donald J. Smith
-        """
-        return self.payer_side_macaulay_duration(value_dt, discount_curve,payment_periods)*(-1)
-
-    ###########################################################################
-
-    def payer_side_modified_duration(self, value_dt, discount_curve,payment_periods: float):
-        """Computation of the Modified Duration for the Fixed-Rate
-        Payer's Perspective in Interest Rate Swap
-        """
-        # Get coupon frequency
-        coupon_frequency = self.fixed_leg.freq_type.value
-
-        # Get swap rate
-        swap_rate_val = self.swap_rate(value_dt,discount_curve)
-
-        return self.payer_side_macaulay_duration(value_dt, discount_curve,payment_periods)/(1+swap_rate_val/coupon_frequency)
-
     def modified_duration(self, value_dt, discount_curve, swap_type, payment_periods: float):
         """Computation of the Modified Duration for the Fixed-Rate
         Payer's Perspective in Interest Rate Swap
@@ -488,50 +441,13 @@ def modified_duration(self, value_dt, discount_curve, swap_type, payment_periods
         # Get swap rate
         swap_rate_val = self.swap_rate(value_dt, discount_curve)
 
-        if swap_type == SwapTypes.PAY:
-            modified_duration = (self.macaulay_duration(value_dt, discount_curve, swap_type, payment_periods) /
-                                 (1 + swap_rate_val / coupon_frequency))
-
-        elif swap_type == SwapTypes.RECEIVE:
-            modified_duration = (self.macaulay_duration(value_dt, discount_curve, swap_type, payment_periods) /
-                                 (1 + swap_rate_val / coupon_frequency))
+        modified_duration = (self.macaulay_duration(value_dt, discount_curve, swap_type, payment_periods) /
+                             (1 + swap_rate_val / coupon_frequency))
 
         return modified_duration
 
-
     ###########################################################################
 
-    def receiver_side_modified_duration(self, value_dt, discount_curve,payment_periods: float):
-        """Computation of the Modified Duration for the Fixed-Rate
-        Receiver's Perspective in Interest Rate Swap
-        """
-        return self.payer_side_modified_duration(value_dt, discount_curve,payment_periods)*(-1)
-
-    ###########################################################################
-
-    def payer_side_profits(self,
-                           value_dt,
-                           discount_curve,payment_periods: float,
-                           swap_rate_changes: float ):
-        """Computation of the Profits for the Fixed-Rate Payer's Perspective in Interest Rate Swap
-        """
-        # Get coupon frequency
-        coupon_frequency = self.fixed_leg.freq_type.value
-
-        annualized_modi_dur = self.payer_side_modified_duration(value_dt, discount_curve,payment_periods)/coupon_frequency
-        return (-1)*(annualized_modi_dur*self.fixed_leg.notional*swap_rate_changes)
-
-    ###########################################################################
-
-    def receiver_side_profits(self,
-                             value_dt,
-                             discount_curve,payment_periods: float,
-                             swap_rate_changes: float):
-        """Computation of the Profits for the Fixed-Rate Receiver's Perspective in Interest Rate Swap
-        """
-        return self.payer_side_profits(value_dt, discount_curve,payment_periods,swap_rate_changes)*(-1)
-
-
     def change_in_market_value(self,
                                value_dt, discount_curve, swap_type, payment_periods: float,
                                swap_rate_changes: float):
@@ -540,63 +456,31 @@ def change_in_market_value(self,
         # Get coupon frequency
         coupon_frequency = self.fixed_leg.freq_type.value
 
-        annualized_modi_dur = self.modified_duration(value_dt, discount_curve,swap_type,payment_periods)/coupon_frequency
+        annualized_modi_dur = self.modified_duration(value_dt, discount_curve, swap_type,
+                                                     payment_periods) / coupon_frequency
 
-        if swap_type == SwapTypes.PAY:
-            delta_mv=(-1)*(annualized_modi_dur*self.fixed_leg.notional*swap_rate_changes)
-
-        elif swap_type == SwapTypes.RECEIVE:
-            delta_mv=(annualized_modi_dur*self.fixed_leg.notional*swap_rate_changes)
+        delta_mv = (-1) * (annualized_modi_dur * self.fixed_leg.notional * swap_rate_changes)
 
         return delta_mv
 
     ###########################################################################
 
-    def payer_side_BPV(self,  value_dt, discount_curve,payment_periods: float,):
+    def basis_point_value(self, value_dt, discount_curve, swap_type, payment_periods: float):
         """
-        calculate the basis‐point‐value (BPV) for the payer_side of the swap,
+        calculate the basis‐point‐value (BPV) of the swap,
         which is swap's modified duration times the notional principal,
         times one basis point (0.0001)
         """
-        bp=0.0001
-        # Get coupon frequency
-        coupon_frequency = self.fixed_leg.freq_type.value
-        modi_dur = self.payer_side_modified_duration(value_dt, discount_curve,payment_periods)
-        annualized_modi_dur= modi_dur/coupon_frequency
-        return annualized_modi_dur*self.fixed_leg.notional*bp
-
-    ###########################################################################
-
-    def receiver_side_BPV(self,  value_dt, discount_curve,payment_periods: float,):
-        """
-        calculate the basis‐point‐value (BPV) for receiver_side of the swap,
-        which is swap's modified duration times the notional principal,
-        times one basis point (0.0001)
-        """
-        return self.payer_side_BPV(value_dt, discount_curve,payment_periods)*(-1)
-
-    ###########################################################################
-
-    def basis_point_value (self,value_dt, discount_curve,swap_type, payment_periods: float):
-        """
-        calculate the basis‐point‐value (BPV) for the payer_side of the swap,
-        which is swap's modified duration times the notional principal,
-        times one basis point (0.0001)
-        """
-        bp=0.0001
+        bp = 0.0001
         # Get coupon frequency
         coupon_frequency = self.fixed_leg.freq_type.value
         modi_dur = self.modified_duration(value_dt, discount_curve, swap_type, payment_periods)
-        annualized_modi_dur= modi_dur/coupon_frequency
-
-        if swap_type == SwapTypes.PAY:
-            BPV=annualized_modi_dur*self.fixed_leg.notional*bp
-
-        elif swap_type == SwapTypes.RECEIVE:
-            BPV=annualized_modi_dur*self.fixed_leg.notional*bp
+        annualized_modi_dur = modi_dur / coupon_frequency
+        BPV = annualized_modi_dur * self.fixed_leg.notional * bp
 
         return BPV
 
+    ###########################################################################
 
     def __repr__(self):