Treasury
Overview
Object Definitions
@dataclass
class TreasuryCurve(BootstrapCurve):
data:list[Any] = Field(default_factory=list)
date: str | None = None
spreads:list[Any]|None = None
pass
data is a list of two items:
- Period - given as a number plus a period indicator, where 'M' indicates months, and 'Y' indicates years.
- Rate = a float indicating the rate
Sample Code
import bootstrap as bt
item,stack = ty.current()
treasury_curve1 = bt.TreasuryCurve(data = [['6M',0.03],['1Y',0.04],['10Y',0.05]])
Sample Data Desktop Code
The following code shows how to build a treasury curve from the data downloaded from the
US Treasury website. (see
data desktop)
import bootstrap as bt
import treasury as ty
item,stack = ty.current()
treasury_curve1 = cv.TreasuryCurve(data = [[x['period'], x['value']/100] for x in stack])
Native Quantlib Objects
You can bypass the pydantic data classes and get a native Quantlib object, using the treasury
function in the bootstrap.py file.
def treasury(data, today=None):
Script
The following script converts a Treasu
'''
data is in the format [('2025-01-01', 0.01),]
'''
def treasury(data, today=None):
if len(data)>0 and isinstance(data[0], list):
data = [(x[0],x[1]) for x in data]
if today == None: today = date.today().isoformat()
today_date = datetime.fromisoformat(today)
tsplit = today.split('-')
calc_date = ql.Date(int(tsplit[2]), int(tsplit[1]), int(tsplit[0]))
# Define common settings
calendar = ql.UnitedStates(ql.UnitedStates.GovernmentBond)
day_count = ql.ActualActual(ql.ActualActual.ISDA)
business_convention = ql.Following
face_amount = 100
settlement_days = 0
'''
In QuantLib, you use DepositRateHelper to model Treasury Bills (T-Bills) at the short end of a yield curve
because both instruments are fundamentally discount securities.
T-Bills do not pay periodic coupons. Instead, they are sold at a discount to face value and mature at par,
meaning their yield calculation maps perfectly to the simple compounding and actual/360 day-counting behavior built into DepositRateHelper.
'''
# Helpers for a T-bills
bill_helpers = []
#for key in [x for x in data if ('date' not in x and 'Y' not in x and '.' not in x)]:
data = [[x[0], x[1]] for x in data]
for item in [x for x in data if ('M' in x[0] and '.' not in x[0])]:
#period = key[:-1]
period = item[0]
bill_quote = ql.QuoteHandle(ql.SimpleQuote(item[1]))
bill_helper = ql.DepositRateHelper(
bill_quote,
ql.Period(int(period[:-1]), ql.Months),
settlement_days,
calendar,
business_convention,
True,
day_count
)
bill_helpers.append(bill_helper)
pass
# Helpers for coupon bonds (Example: 2-year and 5-year Treasury notes)
# Assumes you have their par yields
bond_helpers = []
#for key in [x for x in data if ('date' not in x and 'M' not in x)]:
for item in [x for x in data if ('Y' in x[0])]:
issue_date = calc_date
period = item[0]
maturity = today_date + relativedelta(years=int(period[:-1]))
maturity_date = ql.Date.from_date(maturity)
schedule = ql.Schedule(
issue_date, maturity_date, ql.Period(ql.Semiannual), calendar,
business_convention, business_convention,
ql.DateGeneration.Backward, False
)
quote = ql.SimpleQuote(100.0)
bond_helper = ql.FixedRateBondHelper(
ql.QuoteHandle(quote),
settlement_days,
face_amount,
schedule,
[float(item[1])],
day_count,
business_convention
)
bond_helpers.append(bond_helper)
helpers = bill_helpers + bond_helpers
# Combine into a bootstrapped yield curve
yield_curve = ql.PiecewiseLogLinearDiscount(
calc_date,
helpers,
day_count
)
# Enable daily recalculation
yield_curve.enableExtrapolation()
return yield_curve