Duration & Metrics for IRS in FinancePy: Validation Against Bond Math by DONALD J. SMITH #229
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Calculation of the Macaulay Duration and Modified_Duration in an Interest Rate Swap Based on Bond Math: The Theory Behind the Formulas, Second Edition by Donald J. Smith
fix duration method
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Hi - Can you just have one function. Use the class member fixed_leg_type to determine whether someone is a payer or receiver. or |
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.
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Wow, Doctor, it's really great to meet you!
Based on Bond Math: The Theory Behind the Formulas, Second Edition, I have implemented duration and other metrics for interest rate swaps in FinancePy(ibor_swap.py) and compared the results with those presented in the Bond Math book(FinancePy>notebooks>products>rates>FINIBORSWAP_ReplicationgBONDMATHDurationExample.ipynb). The results are largely consistent, with small differences likely due to date conventions.
Have a nice day.