Duration and Yield of a Portfolio of Bonds

Posted by Lluis Pujol Bajador on
URL: http://quantlib.414.s1.nabble.com/Duration-and-Yield-of-a-Portfolio-of-Bonds-tp6219.html

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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