Fixed Income Model

Overview

The fixed income model is a set of libraries and scripts, using QuantLib as the underlying financial modeling engine, that can be used to run the basic fixed income calculations required by a typical bank.

The davinci fixed income models are designed to complement quantlib and can be used in conjuction with or separately from quantlib itself.

Setup

The first step to setting up the fixed income desktop is to Create a Python Environment

Next, quantlib needs to be installed into the environment. The following command, entered into the environment terminal will install quantlib.

Fixed Income Models

• Object Model
  - the davinci object model provides a simple way to specify the data of your fixed income model. It is designed as a pydantic object model to the underlying quantlib libraries.
  • Specifying Contracts - shows how to encode fixed income contracts for use in models. Includes forecasting cash flows.
  • Term Structures and Models - ways to specify and model the full yield curve, including volatility.
• Data
  The data dekstop provides utilities for connecting to various data providers, including free and open source data.
  • data
• Models
  • The Valuation desktop provides ways to value fixed income instruments, including the following analytics:
    • Present Value
    • Bond Valuation
    • Structured Securities
  • Risk
    • Duration and Convexity
    • Value at Risk (VAR) and Economic Capital
  • PnL Attribution
    • Attribution Attribution is the process of trying to assign a periods PnL to various factors that can affect the value of a fixed income security.

Sample Data

The fixed income desktop comes with sample data, in the sample.py script.