Re: 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-tp6219p6221.html

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.
>
>

------------------------------------------------------------------------------
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
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users