Bond

• Bond Pricer
  • callable_bond()
  • convertible_bond()
  • coupon_bond()
  • putable_bond()
  • stochastic_rate_bond()
  • zero_coupon_bond()
  • Zero Coupon Bond
    • zero_coupon_bond()
    • Usage Example
  • Coupon Bond
    • coupon_bond()
    • Usage Example
  • Callable Bond
    • callable_bond()
    • Usage Example
  • Putable Bond
    • putable_bond()
    • Usage Example
  • Convertible Bond
    • convertible_bond()
    • Usage Example
  • Stochastic Rate Bond
    • stochastic_rate_bond()
    • Usage Example
• Fixed Income Forward
  • fixed_income_forward()
  • Fixed Income Forward
    • fixed_income_forward()
    • Usage Example
    • Formula

torchquantlib.core.asset_pricing.bond.bond_pricer.callable_bond(face_value: tensor, coupon_rate: tensor, rate: tensor, periods: tensor, call_price: tensor, call_period: tensor) → tensor

Calculate the price of a callable bond.

Parameters:

• face_value (tensor) – The face value of the bond

• coupon_rate (tensor) – The coupon rate (as a decimal)

• rate (tensor) – The interest rate (as a decimal)

• periods (tensor) – Number of coupon periods

• call_price (tensor) – The price at which the bond can be called

• call_period (tensor) – The period at which the bond can be called

Returns:

The price of the callable bond

Return type:

tensor

torchquantlib.core.asset_pricing.bond.bond_pricer.convertible_bond(face_value: tensor, coupon_rate: tensor, rate: tensor, periods: tensor, conversion_ratio: tensor, conversion_price: tensor) → tensor

Calculate the price of a convertible bond.

Parameters:

• face_value (tensor) – The face value of the bond

• coupon_rate (tensor) – The coupon rate (as a decimal)

• rate (tensor) – The interest rate (as a decimal)

• periods (tensor) – Number of coupon periods

• conversion_ratio (tensor) – The number of shares received upon conversion

• conversion_price (tensor) – The price of the underlying stock for conversion

Returns:

The price of the convertible bond

Return type:

tensor

torchquantlib.core.asset_pricing.bond.bond_pricer.coupon_bond(face_value: tensor, coupon_rate: tensor, rate: tensor, periods: tensor) → tensor

Calculate the price of a coupon-paying bond.

Parameters:

• face_value (tensor) – The face value of the bond

• coupon_rate (tensor) – The coupon rate (as a decimal)

• rate (tensor) – The interest rate (as a decimal)

• periods (tensor) – Number of coupon periods

Returns:

The price of the coupon bond

Return type:

tensor

torchquantlib.core.asset_pricing.bond.bond_pricer.putable_bond(face_value: tensor, coupon_rate: tensor, rate: tensor, periods: tensor, put_price: tensor, put_period: tensor) → tensor

Calculate the price of a putable bond.

Parameters:

• face_value (tensor) – The face value of the bond

• coupon_rate (tensor) – The coupon rate (as a decimal)

• rate (tensor) – The interest rate (as a decimal)

• periods (tensor) – Number of coupon periods

• put_price (tensor) – The price at which the bond can be put

• put_period (tensor) – The period at which the bond can be put

Returns:

The price of the putable bond

Return type:

tensor

torchquantlib.core.asset_pricing.bond.bond_pricer.stochastic_rate_bond(face_value: tensor, coupon_rate: tensor, rate: tensor, periods: tensor) → tensor

Calculate the price of a bond with stochastic interest rates.

Parameters:

• face_value (tensor) – The face value of the bond

• coupon_rate (tensor) – The coupon rate (as a decimal)

• rate (tensor) – A tensor of interest rates for each period

• periods (tensor) – Number of coupon periods

Returns:

The price of the bond with stochastic rates

Return type:

tensor

torchquantlib.core.asset_pricing.bond.bond_pricer.zero_coupon_bond(face_value: tensor, rate: tensor, maturity: tensor) → tensor

Calculate the price of a zero-coupon bond.

Parameters:

• face_value (tensor) – The face value of the bond

• rate (tensor) – The interest rate (as a decimal)

• maturity (tensor) – Time to maturity in years

Returns:

The price of the zero-coupon bond

Return type:

tensor

torchquantlib.core.asset_pricing.bond.fixed_income_forward.fixed_income_forward(face_value: Tensor, rate: Tensor, time_to_maturity: Tensor, forward_rate: Tensor) → Tensor

Calculate the forward price of a fixed income security.

This function computes the forward price of a fixed income security using the continuous compounding formula. It’s based on the principle that the forward price should reflect the difference between the current interest rate and the forward rate over the time to maturity.

Parameters:

• face_value (Tensor) – The face value (or notional amount) of the fixed income security.

• rate (Tensor) – The current interest rate (as a decimal).

• time_to_maturity (Tensor) – The time to maturity of the forward contract (in years).

• forward_rate (Tensor) – The forward interest rate (as a decimal).

Returns:

The calculated forward price of the fixed income security.

Return type:

Tensor

Formula:

Forward Price = Face Value * e^((Forward Rate - Current Rate) * Time to Maturity)

Note

This function assumes continuous compounding. For discrete compounding, a different formula would be required.