fibra

FIBRA - Fixed Income Brazil. Government and Corporate Bonds Pricing.

O módulo permite precificar títulos públicos federais e corporativos do Brasil.

Com o Fibra é possível calcular o preço dos seguintes títulos (bonds available):

Títulos do Governo (Government Bonds)

• NTN-B: Nota do Tesouro Nacional Série B.
• NTN-F: Nota do Tesouro Nacional Série F.
• LTN: Letra do Tesouro Nacional.

Títulos Corporativos - Debêntures (Corporate Bonds)

• Percentual CDI.
• DI Spread.
• IPCA Spread.

No jupyter notebook comece por (start with jupyter notebook):

%run ../docs/fibra.py

Notas do Tesouro Nacional (Bonds)

bond = Bond(date="2021-03-29", maturity="2050-08-15", ytm=4.3023, coupon=6, freq=2)

Calendário de pagamentos (Settlement schedule)

bond.schedule()

Date
2021-08-16
2022-02-15
2022-08-15
2023-02-15
2023-08-15
2024-02-15
2024-08-15
2025-02-17
2025-08-15
2026-02-18

Fluxo de caixa (Cash flow)

bond.cashflow()

Date	Days	Years	Cash Flows	PV of Cash Flows
2021-08-16	97	0.384921	2.9563	2.908753
2022-02-15	224	0.888889	2.9563	2.847654
2022-08-15	348	1.380952	2.9563	2.789238
2023-02-15	476	1.888889	2.9563	2.730193
2023-08-15	599	2.376984	2.9563	2.674633
2024-02-15	723	2.869048	2.9563	2.619766
2024-08-15	850	3.373016	2.9563	2.564738
2025-02-17	979	3.884921	2.9563	2.510026
2025-08-15	1102	4.373016	2.9563	2.458946

Dados do título (Bond overview)

bond.des()

	Days
Convention	BUS/252
Frequency	Semi-annual
Current date	2021-03-29
Maturity date	2050-08-15
Last coupon date	2021-02-15
Next coupon date	2021-08-16
Days to next coupon	97
Remaining payments	59
Term to maturity	29.29
Coupon rate	6.00
Coupon value	2.9563
Nominal value	100.00
Price	128.544273
Yield to matutity	4.3023
Current yield	4.6677
Duration	15.8254
Modified Duration	15.1726
DV01	0.195
Convexity	341.0802
Sensibility	-13.4672

Debêntures (Corporate Bonds)

Parâmetros (Required parameters)

• DATA: Data de referência para o cálculo do preço do ativo.
• VNE: Valor Nominal de Emissão.
• VNA: Valor Nominal Atualizado na data de referência.
• PU: Preço Unitário do título ao Par (marcado na curva).
• TAXA: Taxa indicativa (taxa de mercado) da ANBIMA.
• FREQ: Frequência de pagamentos (1: Anual, 2: Semestral, 3: Trimestral, etc).

DATA_natura = DATA_REF
VNE_natura = 10000
VNA_natura = 10000
PU_natura = 10170.808970
TAXA_natura = 0.7883
FREQ_natura = 2

Calendário de eventos (The events calendar - dictionary object):

cal_natura = {"2021-09-27": 1}

Declare a classe DebentureSpread (Declare class DebentureSpread):

natura = DebentureSpread(date=DATA_natura, maturity="2021-09-25", vne=VNE_natura, vna=VNA_natura, pu=PU_natura,  
                         issue_spread=1.75, market_spread=TAXA_natura, freq=FREQ_natura, redemption=cal_natura,  
                         yield_curve_file=YIELD_CURVE_PATH)

Dados do título (Bond overview)

natura.des()

	Debenture DI Spread
Convention	DI Spread
Frequency	Semi-annual
Date	2021-03-18
Maturity	2021-09-25
Last payment date	2020-09-25
Next payment date	2021-03-25
Days to next payment	5
Remaining payments	2
Term to maturity	0.53
VNE	10000.000000
VNA	10000.000000
PU Par	10170.808970
Price	10221.045950
Price/Par ratio	100.49%
Issue rate	1.7500%
Market rate	0.7883%
Duration	0.52

Fluxo de caixa (Cash flow)

natura.cashflow()

Date	Days	DI	VNA	Interests	Redemptions	Payments	PV of Cash Flows
2021-03-25	5	2.645583	10000.0	179.583171	0.0	179.583171	179.462193
2021-09-27	133	3.974169	10000.0	292.831916	10000.0	10292.831916	10041.583758

Veja alguns exemplos de uso em Bonds.ipynb e Debentures.ipynb.

See more in Bonds.ipynb and Debentures.ipynb.