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Duration and Yield of a Portfolio of Bonds

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Lluis Pujol Bajador

Duration and Yield of a Portfolio of Bonds

Hi,

Under Python I need to obtain the overall yield and casflow duration of a portfolio of bonds (plain vanilla either Fixed or FRN).

I am already able to obtain the single duration and yield for each bond but in order to correctly obtain the real yield (and not a weigthed average yield) of the portfolio I should create a Leg object with all the cashflows of the portfolio. As far as I know the cashflows for a Leg object need to be sorted and thus I don't know how to easily proceed .

Is there any builtin method to add cashflows from another Leg?

Any hint of a way to achieve a single Leg object with all shorted cashflows under Python?

Thanks in advance.

Lluís.

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Luigi Ballabio

Re: Duration and Yield of a Portfolio of Bonds

On Fri, 2011-03-04 at 14:27 +0100, Lluis Pujol Bajador wrote:
> Under Python I need to obtain the overall yield and casflow duration
> of a portfolio of bonds (plain vanilla either Fixed or FRN).
>
> I am already able to obtain the single duration and yield for each
> bond but in order to correctly obtain the real yield (and not a
> weigthed average yield) of the portfolio I should create a Leg object
> with all the cashflows of the portfolio. As far as I know the
> cashflows for a Leg object need to be sorted and thus I don't know how
> to easily proceed .

As for adding them,

all = []
for b in bonds:
all += bonds.cashflows()

Then, write a function to compare dates and let Python sort them:

def cmp_cf(c1,c2):
return cmp(c1.date(),c2.date())

all.sort(cmp = cmp_cf)

Luigi

P.S. Warning: I haven't tested the above, so there might be errors. But
the idea is the correct one.

--

Greenspun's Tenth Rule of Programming:
Any sufficiently complicated C or Fortran program contains an
ad-hoc, informally-specified bug-ridden slow implementation of
half of Common Lisp.

------------------------------------------------------------------------------
What You Don't Know About Data Connectivity CAN Hurt You
This paper provides an overview of data connectivity, details
its effect on application quality, and explores various alternative
solutions. http://p.sf.net/sfu/progress-d2d
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Lluis Pujol Bajador

Re: Duration and Yield of a Portfolio of Bonds

Thanks Luigi, it works perfect.

Lluís

El 04/03/2011 15:05, Luigi Ballabio escribió:

> On Fri, 2011-03-04 at 14:27 +0100, Lluis Pujol Bajador wrote:
>> Under Python I need to obtain the overall yield and casflow duration
>> of a portfolio of bonds (plain vanilla either Fixed or FRN).
>>
>> I am already able to obtain the single duration and yield for each
>> bond but in order to correctly obtain the real yield (and not a
>> weigthed average yield) of the portfolio I should create a Leg object
>> with all the cashflows of the portfolio. As far as I know the
>> cashflows for a Leg object need to be sorted and thus I don't know how
>> to easily proceed .
> As for adding them,
>
> all = []
> for b in bonds:
> all += bonds.cashflows()
>
> Then, write a function to compare dates and let Python sort them:
>
> def cmp_cf(c1,c2):
> return cmp(c1.date(),c2.date())
>
> all.sort(cmp = cmp_cf)
>
> Luigi
>
> P.S. Warning: I haven't tested the above, so there might be errors. But
> the idea is the correct one.
>
>