/Bond_Valuations_Python

Calculates Bond Valuations

Primary LanguagePython

Bond Valuations With Python

Calculate bond valuations given a par value, coupon rate, time to maturity, and yield Implemented using Python, NumPy, Pandas, and PrettyPrint

Import

import pandas as pd
import numpy as np
from pprint import pprint

Bond Price

def bond_price(par_val, coup_rate, ttm, yld):

#Create empty Dictionary to pass into Pandas DataFrame
    data = {'Cash_Flow': [],
                 'Time': [],
            'PV_Factor': [],
                   'PV': []
           }
    #Create DataFrame
    df = pd.DataFrame(data, columns=['Cash_Flow', 'Time', 'PV_Factor', 'PV'])
    #Generate Cash_Flow content
    cash_flow = np.array(np.repeat(int(par_val*coup_rate), ttm-1))
    #Push Cash_Flow records into DataFrame
    df.Cash_Flow = np.append(cash_flow, int(par_val*(1+coup_rate)))
    #Create Time record representing years, add to DataFrame
    df.Time = df.index+1
    #Create PV Factor, add to DataFrame
    df.PV_Factor = np.array(1/(1+yld)**df['Time'])
    #Create PV record and add to DataFrame
    df.PV = np.array(df.Cash_Flow * df.PV_Factor)
    #Set index to Time(Years)
    df.set_index('Time', inplace=True)
    #Return DataFrame and sum of PV column
    return df, sum(df.PV)

Example set

Conditions: par value = $100, coupon rate = %5, time to maturity = 5 years, and yield = %6

dataset, bondval = bond_price(100, 0.05, 5, 0.06)
pprint(dataset)
print("Total Bond Price: $" + str(bondval))