Re: [Quantlib-users] Fixed Coupon Bond with 3 equal redemptions of capital

[Luigi B. <lui...@gm...>]

Or you can use the `AmortizingFixedRateBond` class (see
https://github.com/lballabio/QuantLib/blob/master/ql/instruments/bonds/amortizingfixedratebond.hpp
).

Luigi


On Mon, Apr 24, 2023 at 12:35 AM Ben Watson <ben...@ma...>
wrote:

> I would suggest that you build the bond from the cashflows… The bond
> cashflows
>
> i.e.
>
> bond=ql.Bond(int(self.settlementDays), self.local_calendar, self.
> start_date,self.bond_cashflows)
>
>
>
> the cashflows can be with FixedRate leg or FloatingRate Leg;
>
>
>
> ql.FixedRateLeg(schedule=self.extended_dates_schedule,dayCount =
> fixedDayCount,nominals = [self.redemption],couponRates=self.extended_cpns)
>
>
>
>
>
>
>
>
>
> *From:* Ngonidzashe Fungura <ngo...@gm...>
> *Sent:* Monday, April 24, 2023 1:24 AM
> *To:* QuantLib users <qua...@li...>
> *Subject:* [Quantlib-users] Fixed Coupon Bond with 3 equal redemptions of
> capital
>
>
>
> Hi All,
>
>
>
> I have a valuation of a fixed coupon bond below and I need help with the
> following;
>
>    1. The repayment of the capital shall be made in three equal amounts
>    on the following dates: 30 April 2030, 30 April 2031, 30 April 2032. One
>    third of the nominal value of the loan will be redeemed on the above
>    mentioned dates, after which no further interest will accrue on the
>    redeemed portion.
>    2. Extraction of the following values (i) nominal value, (ii) cash
>    flows (i.e., coupon and redeemed capital), (iii) payment date, (iv) accrual
>    start date, (v) accrual end date, (vi) accrual period, (vii) discount
>    factor and (vii) PV of cash flows
>
> *Valuation*
>
>
> import QuantLib as ql
>
> calc_date = ql.Date(30, 6, 2022)
> ql.Settings.instance().evaluationDate = calc_date
> spot_dates = [ql.Date(30,6,2022), ql.Date(1,7,2022),
>          ql.Date(4,7,2022), ql.Date(7,7,2022),
>          ql.Date(29,7,2022), ql.Date(31,8,2022),
>          ql.Date(30,9,2022), ql.Date(30,12,2022),
>          ql.Date(31,3,2023), ql.Date(30,6,2023),
>          ql.Date(28,6,2024), ql.Date(30,6,2025),
>          ql.Date(30,6,2026), ql.Date(30,6,2027),
>          ql.Date(30,6,2028), ql.Date(29,6,2029),
>          ql.Date(28,6,2030), ql.Date(30,6,2031),
>          ql.Date(30,6,2032), ql.Date(30,6,2034),
>          ql.Date(30,6,2037), ql.Date(30,6,2042),
>          ql.Date(28,6,2047), ql.Date(28,6,2052)]
> spot_rates = [0.000000, 0.046757, 0.047312, 0.047849,
>           0.049859, 0.049461, 0.051026, 0.063041,
>           0.069505, 0.074170, 0.074904, 0.079587,
>           0.082547, 0.085506, 0.088410, 0.091284,
>           0.093731, 0.095888, 0.097472, 0.099379,
>           0.100715, 0.100591, 0.099606, 0.097955]
> day_count = ql.Thirty360()
> calendar = ql.UnitedStates()
> interpolation = ql.Linear()
> compounding = ql.Compounded
> compounding_frequency = ql.Annual
> spot_curve = ql.ZeroCurve(spot_dates, spot_rates, day_count, calendar,
>                           interpolation, compounding, compounding_frequency)
> spot_curve_handle = ql.YieldTermStructureHandle(spot_curve)
>
> issue_date = ql.Date(30, 4, 2022)
> maturity_date = ql.Date(30, 4, 2032)
> tenor = ql.Period(ql.Semiannual)
> calendar = ql.SouthAfrica()
> business_convention = ql.Unadjusted
> date_generation = ql.DateGeneration.Backward
> month_end = False
> schedule = ql.Schedule(issue_date, maturity_date, tenor,
>                        calendar, business_convention,
>                        business_convention, date_generation,
>                        month_end)
>
> # Let us print the schedule to check if it is in agreement with what we expect it to be.
> print("Payment dates: ",list(schedule))
>
> # Now that we have the schedule, we can create the FixedRateBond object.
> coupon_rate = 0.105
> coupons = [coupon_rate]
> settlement_days = 0
> face_value = 100
> fixed_rate_bond = ql.FixedRateBond(settlement_days,face_value,schedule,coupons,day_count)
>
> bond_engine = ql.DiscountingBondEngine(spot_curve_handle)
> fixed_rate_bond.setPricingEngine(bond_engine)
>
> print("NPV of Bond:",round(fixed_rate_bond.NPV(),2))
>
> print("Clean Bond Price:",round(fixed_rate_bond.cleanPrice(),2))
>
> print('Accrual start date:', ql.BondFunctions.accrualStartDate(fixed_rate_bond))
>
> print('Accrual end date:', ql.BondFunctions.accrualEndDate(fixed_rate_bond))
>
> print('Number of days between accrual start date and accrual end date:',
>       day_count.dayCount(ql.BondFunctions.accrualStartDate(fixed_rate_bond),
>                          ql.BondFunctions.accrualEndDate(fixed_rate_bond)))
>
> print('Accrued days:', ql.BondFunctions.accruedDays(fixed_rate_bond))
>
> print("Accrued Amount:",round(fixed_rate_bond.accruedAmount(),2))
>
> print("Dirty Bond Price:",round(fixed_rate_bond.dirtyPrice(),2))
>
> print("Bond yield:",round(fixed_rate_bond.bondYield(day_count,compounding,compounding_frequency),5))
>
> print("Day Count:",fixed_rate_bond.dayCounter())
>
> print("Settlement Date:",fixed_rate_bond.settlementDate())
>
> for c in fixed_rate_bond.cashflows():
>     print('%20s %12f' % (c.date(), c.amount()))
>
> Thanks
>
>
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