Class: Rupee::FixedIncome

Inherits:
Security show all
Defined in:
lib/rupee/fixed_income.rb

Overview

A basic fixed income security that allows the user to specify cash flows, discount curves, payout curves, calendars, currencies, daycounts, roll day conventions, etc.

Instance Attribute Summary collapse

Instance Method Summary collapse

Methods inherited from Security

attr_alias

Constructor Details

#initialize(opts = {}) ⇒ FixedIncome

Build a custom security

Configuration options

  • :business_day - The security’s business day convention, used to determine when the next business day is relative to the calendar in use (default is :modified_following)

    • :actual - The actual day, regardless of whether it’s a business day

    • :following - The following business day

    • :modified_following - The following business day unless it occurs in the following month, in which case use the previous business day

    • :modified_previous - The previous business day unless it occurs in the previous month, in which case use the following business day

    • :previous - The previous business day

  • :calendar - The calendar to use for determining holidays and days off (default is :us)

    • :us - The US Federal Reserve Calendar

    • :japan - The Japanese calendar

  • :currency - (default is :usd)

    • :eur or :euro - The euro

    • :jpy or :yen - The Japanese yen

    • :gbp or :pound - The British pound sterling

    • :usd or :dollar - The US dollar

  • :day_count - (default is :thirty_360)

    • :thirty_360 - 30/360

    • :thirty_e_360 - 30E/360

    • :thirty_e_360_isda - 30E/360 ISDA

    • :thirty_e_plus_360 - 30E+/360

    • :act_360 - Act/360

    • :act_365 - Act/365

    • :act_act - Act/Act

For example, the following security types can be created (although not currently priced or anything useful like that):

require "rupee"

# A typical pay-fixed bond
bond = Rupee::FixedIncome.new

# A typical yen LIBOR security
bond = Rupee::FixedIncome.new :calendar => :japan, :currency => :yen,
  :day_count => :act_365



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# File 'lib/rupee/fixed_income.rb', line 81

def initialize(opts = {})
  opts = {
    :business_day => :modified_following,
    :calendar     => :us,
    :currency     => :usd,
    :day_count    => :thirty_360,
    :first_coupon => nil,
    :frequency    => [6, :months],  # hands off Rails monkey-patching
    :last_coupon  => nil,
    :maturity     => Date.today.next_year,
    :settlement   => Date.today,
    :start_date   => nil
  }.merge opts

  self.business_day = opts[:business_day]
  self.calendar     = opts[:calendar]
  self.currency     = opts[:currency]
  self.day_count    = opts[:day_count]
  self.frequency    = opts[:frequency]

  @first_coupon = opts[:first_coupon]
  @last_coupon  = opts[:last_coupon]
  @maturity     = opts[:maturity]
  @settlement   = opts[:settlement]
  @start_date   = opts[:start_date]

  build_dates
end

Instance Attribute Details

#accrual_dates ⇒ Object (readonly)

The dates on which accruals start and end



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# File 'lib/rupee/fixed_income.rb', line 7

def accrual_dates
  @accrual_dates
end

#business_day ⇒ Object

The security’s business day convention



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# File 'lib/rupee/fixed_income.rb', line 9

def business_day
  @business_day
end

#calendar ⇒ Object

The calendar used for determining holidays



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# File 'lib/rupee/fixed_income.rb', line 11

def calendar
  @calendar
end

#currency ⇒ Object

The security’s currency



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# File 'lib/rupee/fixed_income.rb', line 13

def currency
  @currency
end

#day_count ⇒ Object

The day count convention for determining payment and accrual dates



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# File 'lib/rupee/fixed_income.rb', line 15

def day_count
  @day_count
end

#first_coupon ⇒ Object (readonly)

The date of the first coupon payment, if the security has irregular cash flows



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# File 'lib/rupee/fixed_income.rb', line 18

def first_coupon
  @first_coupon
end

#frequency ⇒ Object

The frequency of payment periods



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# File 'lib/rupee/fixed_income.rb', line 20

def frequency
  @frequency
end

#last_coupon ⇒ Object (readonly)

The date of the last coupon payment, if the security has irregular cash flows



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# File 'lib/rupee/fixed_income.rb', line 23

def last_coupon
  @last_coupon
end

#maturity ⇒ Object (readonly)

The maturity date of the security



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# File 'lib/rupee/fixed_income.rb', line 25

def maturity
  @maturity
end

#payment_dates ⇒ Object (readonly)

The dates on which payments occur



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# File 'lib/rupee/fixed_income.rb', line 27

def payment_dates
  @payment_dates
end

#periods ⇒ Object (readonly)

The periods in years between accrual dates



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# File 'lib/rupee/fixed_income.rb', line 29

def periods
  @periods
end

#settlement ⇒ Object (readonly)

The settlement or issuance date of the security



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# File 'lib/rupee/fixed_income.rb', line 31

def settlement
  @settlement
end

#start_date ⇒ Object (readonly)

The start date for accruals



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# File 'lib/rupee/fixed_income.rb', line 33

def start_date
  @start_date
end