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Using Modified Duration to Estimate Gains or Losses
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-132
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3 files changed

+164
-132
lines changed

‎financepy/products/rates/ibor_swap.py‎

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@@ -450,6 +450,18 @@ def receiver_side_modified_duration(self, value_dt, discount_curve,payment_perio
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###########################################################################
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def payer_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 Payer's Perspective in Interest Rate Swap
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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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def __repr__(self):
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s = label_to_string("OBJECT TYPE", type(self).__name__)

‎notebooks/products/rates/FINIBORSWAP_ReplicationgBONDMATHDurationExample.ipynb‎

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"ExecuteTime": {
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"end_time": "2025-05-23T01:37:56.175867Z",
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"start_time": "2025-05-23T01:37:56.171771Z"
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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_ReplicationgBONDMATHDurationExample3M import payment_period"
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"\n"
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],
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"outputs": [],
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"execution_count": 22
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"execution_count": 2
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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",
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],
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"id": "1ebf43316efee835",
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"outputs": [],
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"cell_type": "code",
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"-6.767653343606554"
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"start_time": "2025-05-23T01:38:09.242767Z"
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}
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},
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"cell_type": "code",
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"source": "swap.receiver_side_macaulay_duration(value_dt, zero_curve,payment_periods)",
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"id": "96d568f7a71861fe",
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"outputs": [
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{
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"ename": "TypeError",
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"evalue": "IborSwap.receiver_side_macaulay_duration() takes 3 positional arguments but 4 were given",
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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;31mTypeError\u001B[0m Traceback (most recent call last)",
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"Cell \u001B[1;32mIn[36], line 1\u001B[0m\n\u001B[1;32m----> 1\u001B[0m \u001B[43mswap\u001B[49m\u001B[38;5;241;43m.\u001B[39;49m\u001B[43mreceiver_side_macaulay_duration\u001B[49m\u001B[43m(\u001B[49m\u001B[43mvalue_dt\u001B[49m\u001B[43m,\u001B[49m\u001B[43m \u001B[49m\u001B[43mzero_curve\u001B[49m\u001B[43m,\u001B[49m\u001B[43mpayment_periods\u001B[49m\u001B[43m)\u001B[49m\n",
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"\u001B[1;31mTypeError\u001B[0m: IborSwap.receiver_side_macaulay_duration() takes 3 positional arguments but 4 were given"
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]
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"data": {
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"6.767653343606554"
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"output_type": "execute_result"
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}
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"execution_count": 9
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}
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},
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"cell_type": "code",
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"source": "swap.payer_side_modified_duration(value_dt, zero_curve,payment_periods)",
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"id": "ec2187c7336c1bc3",
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"outputs": [
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{
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"ename": "TypeError",
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"evalue": "IborSwap.payer_side_modified_duration() takes 3 positional arguments but 4 were given",
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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;31mTypeError\u001B[0m Traceback (most recent call last)",
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"Cell \u001B[1;32mIn[37], 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_modified_duration\u001B[49m\u001B[43m(\u001B[49m\u001B[43mvalue_dt\u001B[49m\u001B[43m,\u001B[49m\u001B[43m \u001B[49m\u001B[43mzero_curve\u001B[49m\u001B[43m,\u001B[49m\u001B[43mpayment_periods\u001B[49m\u001B[43m)\u001B[49m\n",
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"\u001B[1;31mTypeError\u001B[0m: IborSwap.payer_side_modified_duration() takes 3 positional arguments but 4 were given"
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]
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"data": {
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"text/plain": [
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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.receiver_side_modified_duration(value_dt, zero_curve,payment_periods)",
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"id": "2c1b845afaf5e18f",
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"outputs": [
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{
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"ename": "TypeError",
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"evalue": "IborSwap.receiver_side_modified_duration() takes 3 positional arguments but 4 were given",
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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;31mTypeError\u001B[0m Traceback (most recent call last)",
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"Cell \u001B[1;32mIn[38], line 1\u001B[0m\n\u001B[1;32m----> 1\u001B[0m \u001B[43mswap\u001B[49m\u001B[38;5;241;43m.\u001B[39;49m\u001B[43mreceiver_side_modified_duration\u001B[49m\u001B[43m(\u001B[49m\u001B[43mvalue_dt\u001B[49m\u001B[43m,\u001B[49m\u001B[43m \u001B[49m\u001B[43mzero_curve\u001B[49m\u001B[43m,\u001B[49m\u001B[43mpayment_periods\u001B[49m\u001B[43m)\u001B[49m\n",
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"\u001B[1;31mTypeError\u001B[0m: IborSwap.receiver_side_modified_duration() takes 3 positional arguments but 4 were given"
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]
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"data": {
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