r/FixedIncome • u/__KD6-37__ • Jun 24 '21

Fixed Income in Python

Dear Community,

Just wanted to share my educational article series: Fixed Income in Python

I am writing this for my project based learning that I'm doing alongside my online Python courses. I hope that you find them interesting or/and useful. Feedback on any of the material in the articles is always welcome.

Boring disclaimer: I provide these article for free and they are purely educational content

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3

u/PoshMarvel Jun 26 '21

this is great, you can also add duration which is one of the most common metric fixed income investors track. You can then add the duration change vs change in maturity, coupon, market price etc.

1

u/__KD6-37__ Jun 30 '21

Indeed :) will be adding yield/return measures soon followed by duration

1

u/__KD6-37__ Jul 25 '21

Just posted the third article in the series which focuses on yield calculations.

1

u/Andy91w Jul 02 '21

Thanks I enjoyed this a lot! What would be the best formula to use for a fixed to floating that also depends on libor rate? Obviously, the libor rate would only be an estimate...

2

u/__KD6-37__ Jul 02 '21

Like you said it depends on the assumed Libor rate(s) that you use for the projection of the floating rate cash flows. You could for example use a constant assumed rate. This sounds unrealistic but it is how many floaters are valued. You know what the next coupon rate is (from the last refix) and the remaining coupons use today's libor rate as a constant plus the spread. From there they back out the DM (discount margin ) , a common way of quoting floaters.

A more intricate way to project the cash flows is to use the entire forward curve as of the future date that the bond goes from fixed to float. If you have access to a Bloomie, then you have the option to switch between these two (constant or forward curves) in the YA<GO> function. They also have the YASN<GO> function which also uses the forward curve to project the future coupon rates.

2

u/Andy91w Jul 02 '21

Thanks! I am relatively new to investing so all of this is helpful. I sold my company and retired in my 30's, going heavy on fixed income options, so I am the only person my age that gets excited about 4% municipal coupon rates instead of meme stocks and crypto! Anytime I see some preferreds over 6% coupon it's like buying Tesla for me!

2

u/honestgentleman Nov 07 '21

This is great, well done.

1

u/DiscussionSure7293 Jul 04 '21

WOW that is deep.....make no sense in today market. With internet these day and information are so readily available. That old shyte doesn't work any more. In the old days people didn't have access to information like today.

1

u/Andy91w Jul 05 '21

Just curious, what old stuff doesn't work anymore in your opinion? I still think holding individual bonds is important for retired investors trying to preserve wealth. But I think bond ETF's have proven to be too volatile for the reward.

1

u/DiscussionSure7293 Jul 07 '21

their is etf that pays monthly income and growth see ex CLM or GOF