Duration & Metrics for IRS in FinancePy: Validation Against Bond Math by DONALD J. SMITH

[piper0124]

Wow, Doctor, it's really great to meet you!
Based on Bond Math: The Theory Behind the Formulas, Second Edition, I have implemented duration and other metrics for interest rate swaps in FinancePy(ibor_swap.py) and compared the results with those presented in the Bond Math book(FinancePy>notebooks>products>rates>FINIBORSWAP_ReplicationgBONDMATHDurationExample.ipynb). The results are largely consistent, with small differences likely due to date conventions.
Have a nice day.

[domokane]

Hi - Can you just have one function. Use the class member fixed_leg_type to determine whether someone is a payer or receiver.

    if fixed_leg_type == SwapTypes.PAY

or

    if fixed_leg_type == SwapTypes.RECEIVE

[piper0124]

1. Use the class member fixed_leg_type(SwapTypes.PAY or SwapTypes.RECEIVE) to determine whether a counterparty is a buyer or seller, and calculate the Macaulay duration, modified duration, basis point value (BPV), and present value change of the interest rate swap (IRS).
2. Updated the notebook: FINIBORSWAP_ReplicationBONDMATHDurationExample.ipynb.
   Thanks.

[piper0124]

No problem, let me run a quick test : ) YONG LI ---- Replied Message ---- ***@***.***>Date9/19/2026 ***@***.***>***@***.***>, ***@***.***>SubjectRe: [domokane/FinancePy] Duration & Metrics for IRS in FinancePy:Validation Against Bond Math by DONALD J. SMITH (PR #229) domokane left a comment (domokane/FinancePy#229) Hi - I am ready to merge but I need a unit test. This is a basic requirement. Can you add a test to test_FinIborSwap.py. Thanks. — Reply to this email directly, view it on GitHub, or unsubscribe. Triage notifications, keep track of coding agent tasks and review pull requests on the go with GitHub Mobile for iOS and Android. Download it today! You are receiving this because you authored the thread.Message ID: ***@***.***>