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

[Ngonidzashe F. <ngo...@gm...>]

Hi,

The ‘AmortizingFixedBond’ class works fine thanks.

Regards

On Mon, 24 Apr 2023 at 10:54, Luigi Ballabio <lui...@gm...>
wrote:

> 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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> --
Kind regards,

Ngoni Fungura
Mobile: +27(0)644126086