Specifying Fixed Income Contracts
Overview
In order to do analytics on fixed income contracts, you need a way to specify the contract in code.
Quantlib provides objects for specifying contracts, and the davinci fixed income desktop provides
simple pydantic wrappers around the quantlib objects.
Forecasting Cash Flows
Once a fixed income contract has been specified, you can use the contracts script to forecast the
cash flows specified by the contract.
import contracts as ct
schedule = ct.Schedule(start_date='2000-01-01', end_date='2030-01-01', frequency= ct.Frequency.Annual,
calendar= cl.Calendar.USGovernmentBond, convention=ct.Convention.Following,
dateroll=ct.DateRoll.Forward)
bond = ct.FixedRateBond(settlement_days=2,face_value=10000, day_count=ct.DayCount.Actual360,
coupons=0.05,schedule=schedule)
flows = ct.cash_flows(bond)