import lib.fixed_income.contracts as ct import lib.fixed_income.qcalendar as cl import lib.fixed_income.valuation as vl import lib.fixed_income.term_structure as ts import lib.fixed_income.data as dt 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, coupon=0.05,schedule=schedule) flows = ct.cash_flows(bond) data = {"date": "2026-08-10", "1M": 3.79, "1.5M": 3.8, "2M": 3.84, "3M": 3.89, "4M": 3.91, "6M": 4.0, "1Y": 4.04, "2Y": 4.25, "3Y": 4.31, "5Y": 4.41, "7Y": 4.56, "10Y": 4.72, "20Y": 5.25, "30Y": 5.25} data2 = [] for key in data: if key != 'date': item = [key, data[key]] data2.append(item) pass curve1 = ts.BootstrappedCurve(type=ts.BootstrapTypes.PiecewiseLogLinearDiscount,day_count=dt.treasury.DAY_COUNT, data=dt.treasury_term_data(data2)) value1 = vl.value(contract=bond, curve=curve1) pv1 = vl.present_value(cash_flows=flows,discount_curve=curve1) #make a small change delta = 0.01 data2[0][1] += delta curve2 = ts.BootstrappedCurve(type=ts.BootstrapTypes.PiecewiseLogLinearDiscount,day_count=dt.treasury.DAY_COUNT, data=dt.treasury_term_data(data2)) value2 = vl.value(contract=bond, curve=curve2) pv2 = vl.present_value(cash_flows=flows,discount_curve=curve2) diff = pv2-pv1 sensititivy = diff/delta pass