cnfixedratebond 0.3.0

Fixed rate bond in ib, sse and szse

Fixed Rate Bond in China Mainland with Python

We take account frbs in inter-bank market, sse and szse only

Attributes

• maturitydate
• couponrate
• frequency
• issuedate: optional, None by default

Methods

method names mimic those in MS-Excel

• yearsresidual(settlement)
• coupnum(settlement)
• couppcd(settlement)
• coupncd(settlement)
• accrint(settlement, *, dcc)
• price(settlement, yld, *, dcc)
• yld(settlement, prc, *, dcc)
• duration(settlement, yld, *, continuous)
• convexity(settlement, yld, *, continuous)
• __cfs(settlement)

Dependencies

• numpy

Installation

pip install cnfixedratebond

Usage

from fixedratebond import FRB
from datetime import date

bond basic info (25国债22)

maturity = date(2035, 11, 15)
coupon = 0.0178
freq = 2

instantiation

b = FRB(maturity, coupon, freq)

market info

settle = date(2025, 12, 31)
mkt = 'szse'
prc = 99.947

attributes

b.couponrate
b.maturitydate
b.frequency

years residual

b.yearsresidual(settle)

number of coupon payments

b.coupnum(settle)

previous coupon payment date

b.couppcd(settle)

next coupon payment date

b.coupncd(settle)

accrued interests

b.accrint(settle)

intrinsic value or theoretical clean price (yld = 0.03)

yld = 0.03
b.price(settle, yld, dcc = 'szse')

yield to maturity (price = prc)

y = b.ytm(settle, prc, dcc = 'szse')

duration (yld = y)

b.duration(settle, y)

convexity (yld = y)

b.convexity(settle, y)