Bond-class: Bond Class

In Trading: Trade Objects, Advanced Correlation & Beta Estimates, Betting Strategies

Bond Class

Description

Creates a Bond object with the relevant info needed to calculate the Exposure-at-Default (EAD)

Arguments

Notional	The notional amount of the trade
MTM	The mark-to-market valuation of the trade
Currency	The currency set that the trade belongs to
Si	The number of years that the trade will take to start (zero if already started)
BuySell	Takes the values of either 'Buy' or 'Sell'
yield	The yield of the Bond
ISIN	The ISIN of the Bond,
payment_frequency	the frequency that the bond pays coupon (Quarter, SA etc)
maturity_date	the maturity date of the bond
coupon_type	The coupon type of the bond (fixed, floating, flipper etc)
credit_risk_weight	The percentage weight of the exposure of the bond that should be attributed to the 'Credit' asset class
Issuer	The issuer of the bond

Value

An object of type Bond

Author(s)

Tasos Grivas <[e-mail]>

Examples

tr1 = Bond(Notional=10000,MtM=30,Currency="EUR",Si=0,maturity_date="2026-04-04",
BuySell='Buy',payment_frequency="SA",
credit_risk_weight=0.2,coupon_type="Fixed",Issuer="FirmA",ISIN = "XS0943423")

Trading documentation built on April 13, 2025, 5:10 p.m.