bond.py

Defines classes for generic fixed-income bonds, US Treasury bonds, and US Treasury futures.

Getting Started

1. Create a directory to download repository into.
2. Download the repo (git clone https://github.com/danny1000008/bond.git)
3. Set up a Python 3.x virtual environment.
4. Install dependencies: pip install -r requirements.txt
5. Run the program: python main.py This starts the Flask web server.
6. Open a web browser and go to localhost:5000.

Prerequisites

1. Python 3.x
2. Packages from requirements.txt, either installed globally or in a virtual environment.

Bond, US Treasury, and US Treasury futures classes

How to install dependencies

pip install -r requirements.txt

How to run the program

python main.py

How to run tests

no tests yet

Classes, properties, methods

1. Bond - class that defines a coupon-paying, fixed-income bond, with

  A. Properties
    1. maturity_date - date; the date that the bond matures (expires).
    2. coupon - float; decimal value of coupon (ex: a 2% coupon would be 0.02)
    3. coupon_frequency - int; number of coupons per year.
    4. settle_date - date; the settlement date (used to calculate bond price,
       yield, etc.)
  B. Methods
    1. bond_price(bond_yield) - returns price of bond for a given (decimal)
       yield
    2. dv01(bond_yield) - returns the $ amount that the bond price changes for
       a 1 basis point (0.01%) change in its' yield.
    3. previous_coupon(settle_date) - returns the date of the first coupon
       payment before the given settlement date.
    4. next_coupon(settle_date) - returns the date of the first coupon payment
       after the given settlement date.
    5. accrued_interest() - returns the accrued interest from the last coupon
       payment till self.settle_date.
    6. bond_yield(bond_price) - returns the bond's yield to maturity, given its'
       price.
    7. get_number_of_coupons(settle_date = self.settle_date, basis = 'A/A') -
       returns number of coupons remaining after settle_date.

2. UST - inherits from Bond. Class for US Treasuries. Not finished!!

3. UST_Future - class that provides methods for US Treasury futures contracts.

Also not finished!

  A. Properties
    1. ctd - class UST; US Treasury security that is "cheapest-to-deliver" into
       contract
    2. expDate - expiration date of contract
    3. first_dlv_date - first day that an eligible US Treasury security can be
       delivered into contract.
    4. bond_len - bond_len = 1 for TU (2 year), FV (5 year) contracts
       bond_len = 2 for TY (10 year), TN (Ultra 10 year), US (bond), and
       UB (Ultra bond) contracts. Used in calculating conversion factor (CF) for
       contract.
    5. CF - conversion factor for contract.
  B. Methods
    1. getCF(first_dlv_date, bond_len) - returns the conversion factor for a
       bond.
    2. bprFromDFCurve(crv, stl = date.today() - timedelta(days = 1)) - Takes a
       discount factor (df) curve and returns a (synthetic) bond price from it.
    3. dfcurve(as_of, stl_date, stub_rate, mat_dates, mat_rates) - creates a
       discount factor curve string starting from date as_of through last date
       listed in mat_dates.
    4. bimprepo(qtdPrice, futPrice, delDate) - returns the implied repo rate of
       a contract.

Motivation

1. I wanted to build a project to develop my skills as a software developer, particularly in Python.
2. I noticed that there wasn't any way to see the "basket" of US Treasury securities that are deliverable into a US Treasury futures contract, outside of a Bloomberg terminal, or other high-priced market data applications.