Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Duration-and-Yield-of-a-Portfolio-of-Bonds-tp6219p6220.html
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.
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