Comments (5)
I don't have access to Bloomberg static data. However the code can now handle these situations given the number of days and the correct calendar - NONE for calendar dates, WEEKEND for weekdays and a country name for business days in that country only.
from financepy.
OK. I will look at this. It should be a straightforward fix. Do you have a numerical example say from BBG I can tie out to ?
from financepy.
You should be able to get access to DMO closing prices which has dirty and clean prices, yield mod dur and int acc via https://www.dmo.gov.uk/data/treasury-bills/prices-and-yields/
from financepy.
I added ex-dividend dates to the FinBond class. When you calculate the accruedInterest it defaults to zero ex-div dates. But if you pass a non-zero number of days and a calendar it determines the ex-div date accordingly and then the accrued. There is a test in TestFinBond.py that ties out this example on page 16 of https://www.dmo.gov.uk/media/14702/pig201204.pdf . I find some sources like this give 7 BD for gilts and some that give 6 BD. I assume that 6 is now correct. This is something the user passes in. If you have a table of conventions then I can put them into the FinBondMarket DB.
from financepy.
If you read the ex-div settings from Bloomberg static data (EX_DIV_DAYS & EX_DIV_CALENDAR fields), that may be a source of the confusion as those field values are sometimes wrong (e.g. AUD bonds saying they have 7 days ex-div with a Sydney calendar) or confusing (GBP bond saying it has 8 days ex-div (6 business days + sat + sun) which will then be updated if a holiday falls in the period).
GBP (6bd) and AUD (7cd) are the only G10 issuers I'm aware of with ex-div periods, but a lot of JP corp bonds use it as well.
from financepy.
Related Issues (20)
- argument type issue - FXVanillaOption with SABR model HOT 3
- Re-generate manual when master is updated HOT 5
- Date Schedule._generate issue HOT 2
- Example of SOFR curve
- Potential issues for CDS pricing HOT 4
- Major implementation change for ibor_swap? A notebook example doesn't tie out anymore. HOT 12
- Bond Curve Fitting HOT 1
- Inconsistency in Day Count in Index Curve? HOT 3
- CDSOption insensitive to vol for Receiver HOT 4
- Division with wrong day count convention causes incorrect forward rates HOT 1
- Bond OAS and accrued interest HOT 2
- barrierOpt.value issue HOT 2
- choose to apply a Black'76 in Fx Vanilla option HOT 1
- Build SOFR curve - suggestions
- Updated FINGBMPROCESS_generatePaths HOT 4
- Backtesting of Strategy HOT 4
- 'bond.print_payments' error HOT 2
- typo in "acccrued"
- Name 'swap_types' is not defined HOT 3
- How to deal with same maturity bonds for bootstrap curve? HOT 1
Recommend Projects
-
React
A declarative, efficient, and flexible JavaScript library for building user interfaces.
-
Vue.js
🖖 Vue.js is a progressive, incrementally-adoptable JavaScript framework for building UI on the web.
-
Typescript
TypeScript is a superset of JavaScript that compiles to clean JavaScript output.
-
TensorFlow
An Open Source Machine Learning Framework for Everyone
-
Django
The Web framework for perfectionists with deadlines.
-
Laravel
A PHP framework for web artisans
-
D3
Bring data to life with SVG, Canvas and HTML. 📊📈🎉
-
Recommend Topics
-
javascript
JavaScript (JS) is a lightweight interpreted programming language with first-class functions.
-
web
Some thing interesting about web. New door for the world.
-
server
A server is a program made to process requests and deliver data to clients.
-
Machine learning
Machine learning is a way of modeling and interpreting data that allows a piece of software to respond intelligently.
-
Visualization
Some thing interesting about visualization, use data art
-
Game
Some thing interesting about game, make everyone happy.
Recommend Org
-
Facebook
We are working to build community through open source technology. NB: members must have two-factor auth.
-
Microsoft
Open source projects and samples from Microsoft.
-
Google
Google ❤️ Open Source for everyone.
-
Alibaba
Alibaba Open Source for everyone
-
D3
Data-Driven Documents codes.
-
Tencent
China tencent open source team.
from financepy.