Amended bond code to use payment dates rather than coupon dates

Author: domokane

financepy/products/bonds/bond.py

@@ -692,18 +692,20 @@ def dirty_price_from_discount_curve(
         df = 1.0
         df_settle_dt = discount_curve.df(settle_dt)
 
-        dt = self.payment_dts[1]
-        if dt > settle_dt:
-            df = discount_curve.df(dt)
+        cpn_dt = self.cpn_dts[1]
+        pmt_dt = self.payment_dts[1]
+
+        if cpn_dt > settle_dt:
+            df = discount_curve.df(pmt_dt)
             flow = self.cpn / self.freq
             pv = flow * df
             px += pv * pay_first_cpn
 
-        for dt in self.payment_dts[2:]:
+        for cpn_dt, pmt_dt in zip(self.cpn_dts[2:], self.payment_dts[2:]):
 
             # coupons paid on a settlement date are paid to the seller
-            if dt > settle_dt:
-                df = discount_curve.df(dt)
+            if cpn_dt > settle_dt:
+                df = discount_curve.df(pmt_dt)
                 flow = self.cpn / self.freq
                 pv = flow * df
                 px += pv

financepy/products/bonds/bond_annuity.py

@@ -50,6 +50,7 @@ def __init__(
         self.par = 100.0
 
         self.cpn_dts = []
+
         self.settle_dt = Date(1, 1, 1900)
         self.accrued_int = None
         self.accrued_days = 0.0

financepy/products/bonds/bond_callable.py

@@ -121,7 +121,8 @@ def __init__(
         self.put_dts = put_dts
         self.put_prices = put_prices
         self.par = 100.0
-        self.bond._calculate_unadjusted_cpn_dts()
+        self.bond._calculate_cpn_dts()
+        self.bond._calculate_payment_dts()
 
     ####################################################################################
 
@@ -136,7 +137,7 @@ def value(self, settle_dt: Date, discount_curve: DiscountCurve, model):
         cpn_times = []
         cpn_amounts = []
 
-        for flow_dt in self.bond.cpn_dts[1:]:
+        for flow_dt in self.bond.payment_dts[1:]:
             if flow_dt > settle_dt:
                 cpn_time = (flow_dt - settle_dt) / G_DAYS_IN_YEARS
                 cpn_times.append(cpn_time)
@@ -209,10 +210,11 @@ def value(self, settle_dt: Date, discount_curve: DiscountCurve, model):
 
         elif isinstance(model, BKTree):
 
-            """Because we not have a closed form bond price we need to build
-            the tree out to the bond maturity which is after option expiry."""
+            # Because we not have a closed form bond price we need to build
+            # the tree out to the bond maturity which is after option expiry.
 
             model.build_tree(t_mat, df_times, df_values)
+
             v1 = model.callable_puttable_bond_tree(
                 cpn_times,
                 cpn_amounts,
@@ -222,8 +224,11 @@ def value(self, settle_dt: Date, discount_curve: DiscountCurve, model):
                 put_prices,
                 face_amount,
             )
+
             model.num_time_steps += 1
+
             model.build_tree(t_mat, df_times, df_values)
+
             v2 = model.callable_puttable_bond_tree(
                 cpn_times,
                 cpn_amounts,

financepy/products/bonds/bond_convertible.py

@@ -22,6 +22,7 @@
 from ...utils.calendar import CalendarTypes
 from ...utils.calendar import BusDayAdjustTypes
 from ...utils.calendar import DateGenRuleTypes
+from ...utils.calendar import Calendar
 
 from ...market.curves.discount_curve import DiscountCurve
 from ...market.curves.interpolator import InterpTypes, _uinterpolate
@@ -339,7 +340,11 @@ def __init__(
 
         self._pcd = None
         self._ncd = None
+
+        self.cal_type = cal_type
+
         self.cpn_dts = []
+        self.payment_dts = []
 
     ###########################################################################
 
@@ -367,6 +372,17 @@ def _calculate_cpn_dts(self, settle_dt: Date):
         self._pcd = self.cpn_dts[0]
         self._ncd = self.cpn_dts[1]
 
+        calendar = Calendar(self.cal_type)
+
+        self.payment_dts = []
+
+        # I do not adjust the first date as it is the issue date
+        self.payment_dts.append(self.cpn_dts[0])
+
+        for cpn_dt in self.cpn_dts[1:]:
+            pmt_dt = calendar.adjust(cpn_dt, bd_type)
+            self.payment_dts.append(pmt_dt)
+
         self.accrued_int = None
         self.accrued_interest(settle_dt, 1.0)
 
@@ -424,7 +440,7 @@ def value(
 
         cpn = self.cpn / self.freq
 
-        for dt in self.cpn_dts[1:]:
+        for dt in self.payment_dts[1:]:
             flow_time = (dt - settle_dt) / G_DAYS_IN_YEARS
             cpn_times.append(flow_time)
             cpn_flows.append(cpn)

financepy/products/bonds/bond_option.py

@@ -70,12 +70,11 @@ def value(self, value_dt: Date, discount_curve: DiscountCurve, model):
 
         # We need all the flows in case the option is American
         # and some occur before expiry
-        flow_dts = self.bond.cpn_dts
+        flow_dts = self.bond.payment_dts
         flow_amounts = self.bond.flow_amounts
 
         cpn_times = []
         cpn_flows = []
-
         num_flows = len(self.bond.cpn_dts)
 
         # Want the first flow to be the previous coupon date

financepy/products/inflation/FinInflationBond.py

@@ -84,7 +84,7 @@ def __init__(
         self.accrued_days = 0.0
         self.alpha = 0.0
 
-        self._calculate_unadjusted_cpn_dts()
+        self._calculate_cpn_dts()
         self._calculate_flow_amounts()
 
     ###########################################################################

golden_tests/TestFinBond.py

@@ -508,6 +508,9 @@ def test_bond_ex_dividend():
         test_cases.print(settle_dt, dirty_price, accrued, clean_price)
 
 
+#        print(settle_dt, dirty_price, accrued, clean_price)
+
+
 ########################################################################################
 
 

golden_tests/run_all_tests.py

@@ -40,7 +40,7 @@ def main(start_index=0, end_index=None):
         module_name = basename(module_path)[:-3]
 
         print(
-            f"TEST: {idx + 1:3d} out of {num_modules:3d}: MODULE: {module_name:<35} ",
+            f"TEST: {idx + 1:3d} of {num_modules:3d}: {module_name:<35} ",
             end="",
         )
 
@@ -57,13 +57,13 @@ def main(start_index=0, end_index=None):
 
             # print(f"WARNINGS: {num_warnings:3d} ERRORS: {num_errors:3d} ", end="")
             print(
-                f"TIME: {elapsed:6.3f} s   "
+                f"TIME: {elapsed:6.3f} s "
                 f"WARNINGS: {num_warnings:3d} ERRORS: {num_errors:3d}",
                 end="",
             )
 
             if num_errors > 0:
-                print("*" * num_errors, end="")
+                print("*" * 1, end="")
 
             print()
 

unit_tests/test_FinBond.py

@@ -355,8 +355,8 @@ def test_key_rate_durations_bloomberg_example():
         -0.001,
         -0.009,
         -0.022,
-        1.432,
-        2.527,
+        1.423,
+        2.541,
         0.00,
         0.00,
         0.00,

unit_tests/test_FinBondEmbeddedOption.py

@@ -160,7 +160,7 @@ def test_quantlib_clean_price_from_discount_curve():
         settle_dt_quantlib, discount_curve_quantlib
     )
 
-    assert round(v, 4) == 94.6318
+    assert round(v, 4) == 94.6313
 
 
 ########################################################################################
@@ -174,8 +174,8 @@ def test_quantlib_bk():
 
     v = puttable_bond_quantlib.value(settle_dt_quantlib, discount_curve_quantlib, model)
 
-    assert round(v["bondwithoption"], 4) == 89.7614
-    assert round(v["bondpure"], 4) == 95.0619
+    assert round(v["bondwithoption"], 4) == 89.7546
+    assert round(v["bondpure"], 4) == 95.0614
 
 
 ########################################################################################
@@ -190,5 +190,5 @@ def test_quantlib_hw():
 
     v = puttable_bond_quantlib.value(settle_dt_quantlib, discount_curve_quantlib, model)
 
-    assert round(v["bondwithoption"], 4) == 68.8665
-    assert round(v["bondpure"], 4) == 95.0619
+    assert round(v["bondwithoption"], 4) == 68.8612
+    assert round(v["bondpure"], 4) == 95.0614