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# ---
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# ---
# # Callable bonds
#
# This file is part of QuantLib, a free-software/open-source library
# for financial quantitative analysts and developers - https://www.quantlib.org/
#
# QuantLib is free software: you can redistribute it and/or modify it under the
# terms of the QuantLib license. You should have received a copy of the
# license along with this program; if not, please email
# <quantlib-dev@lists.sf.net>. The license is also available online at
# <https://www.quantlib.org/license.shtml>.
#
# This program is distributed in the hope that it will be useful, but WITHOUT
# ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
# FOR A PARTICULAR PURPOSE. See the license for more details.
import QuantLib as ql
import numpy as np
calcDate = ql.Date(16, 8, 2006)
ql.Settings.instance().evaluationDate = calcDate
dayCount = ql.ActualActual(ql.ActualActual.Bond)
rate = 0.0465
termStructure = ql.FlatForward(calcDate, rate, dayCount, ql.Compounded, ql.Semiannual)
term_structure_handle = ql.RelinkableYieldTermStructureHandle(termStructure)
callabilitySchedule = ql.CallabilitySchedule()
callPrice = 100.0
callDate = ql.Date(15, ql.September, 2006);
nc = ql.NullCalendar()
# Number of calldates is 24
for i in range(0, 24):
callabilityPrice = ql.BondPrice(callPrice, ql.BondPrice.Clean)
callabilitySchedule.append(ql.Callability(callabilityPrice, ql.Callability.Call, callDate))
callDate = nc.advance(callDate, 3, ql.Months)
issueDate = ql.Date(16, ql.September, 2004)
maturityDate = ql.Date(15, ql.September, 2012)
calendar = ql.UnitedStates(ql.UnitedStates.GovernmentBond)
tenor = ql.Period(ql.Quarterly)
accrualConvention = ql.Unadjusted
schedule = ql.Schedule(issueDate, maturityDate, tenor, calendar,
accrualConvention, accrualConvention, ql.DateGeneration.Backward, False)
settlement_days = 3
faceAmount = 100
accrual_daycount = ql.ActualActual(ql.ActualActual.Bond)
coupon = 0.025
bond = ql.CallableFixedRateBond(settlement_days, faceAmount, schedule,
[coupon], accrual_daycount, ql.Following,
faceAmount, issueDate, callabilitySchedule)
def engine(a, s, grid_points):
model = ql.HullWhite(term_structure_handle, a, s)
return ql.TreeCallableFixedRateBondEngine(model, grid_points)
# 6% mean reversion and 20% volatility
bond.setPricingEngine(engine(0.06, 0.20, 40))
print("Bond price: ", bond.cleanPrice())
# 3% mean reversion and 15% volatility
bond.setPricingEngine(engine(0.03, 0.15, 40))
print("Bond price: ", bond.cleanPrice())
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