Assuming a fixed rate bond with the schedule shown in the sample code below.
I am able to obtain the number of days between the tenors by using the businessDaysBetween function.
Now I would like the "time value". Is there a way of doing it without creating a new function?
Here is the expected result:
May 14th, 2012 .5
November 14th, 2012 .5
May 14th, 2013 .5
November 14th, 2013 .5
May 14th, 2014 .5
November 14th, 2014 .5
May 14th, 2015 .5
November 16th, 2015 .505556
May 16th, 2016 .5
November 14th, 2016 .49444
Here is the code:
from QuantLib import *
import pandas as pd
effective_date = Date(14, 11, 2011)
termination_date = Date(14, 11, 2016)
tenor = Period(Semiannual)
calendar = UnitedStates()
business_convention = ModifiedFollowing
termination_business_convention = Following
date_generation = DateGeneration.Forward
end_of_month = False
day_count = Thirty360()
schedule = Schedule(effective_date,
termination_date,
tenor,
calendar,
business_convention,
termination_business_convention,
date_generation,
end_of_month)
t = []
for i, d in enumerate(schedule):
tmp = i+1, d,
t.append(tmp)
df = pd.DataFrame(t,columns = ['tenorNo','tenorDate'])
nbDays = []
for x in df['tenorNo'] :
if x == 1:
tmp = 0
else:
tmp = calendar.businessDaysBetween(df['tenorDate'][x-2],df['tenorDate'][x-1])
nbDays.append(tmp)
df['nbDays'] = nbDays
print df
tenorNo tenorDate nbDays
0 1 November 14th, 2011 0
1 2 May 14th, 2012 125
2 3 November 14th, 2012 127
3 4 May 14th, 2013 124
4 5 November 14th, 2013 127
5 6 May 14th, 2014 124
6 7 November 14th, 2014 127
7 8 May 14th, 2015 124
8 9 November 16th, 2015 127
9 10 May 16th, 2016 125
10 11 November 14th, 2016 125
That's what DayCounter instances are for. The time will depend on the day-count convention you choose (for example, you seem to be using 30/360).
Calling
day_count.yearFraction(date1, date2)
will return the time between date1 and date2.