IndexFixedRateBond

USD

Government Bonds

Similar to ‘us_gb’ with 3 month index lag and daily interpolation.

In [1]: defaults.spec["us_gbi"]
Out[1]: 
{'frequency': 's',
 'stub': 'shortfront',
 'eom': True,
 'modifier': 'none',
 'calendar': 'nyc',
 'payment_lag': 0,
 'currency': 'usd',
 'convention': 'actacticma',
 'payment_lag_exchange': 0,
 'index_method': 'daily',
 'index_lag': 3,
 'settle': 1,
 'ex_div': 1,
 'calc_mode': 'us_gb'}

In [2]: from rateslib.instruments.bonds.conventions import US_GB

In [3]: US_GB.kwargs
Out[3]: 
{'settle_accrual': 'linear_days_long_front_split',
 'ytm_accrual': 'linear_days_long_front_split',
 'v1': 'compounding',
 'v2': 'regular',
 'v3': 'compounding',
 'c1': 'cashflow',
 'ci': 'cashflow',
 'cn': 'cashflow'}

In [4]: IndexFixedRateBond(dt(2000, 1, 1), "10y", spec="us_gbi", fixed_rate=2.5).kwargs
Out[4]: <rateslib.instruments.protocols.kwargs._KWArgs at 0x14c6f7c50>

GBP

Government Bonds

Similar to ‘uk_gb’ with 3 month index lag and daily interpolation.

In [5]: defaults.spec["uk_gbi"]
Out[5]: 
{'frequency': 's',
 'stub': 'shortfront',
 'eom': False,
 'modifier': 'none',
 'calendar': 'ldn',
 'payment_lag': 0,
 'currency': 'gbp',
 'convention': 'actacticma',
 'payment_lag_exchange': 0,
 'index_method': 'daily',
 'index_lag': 3,
 'settle': 1,
 'ex_div': 7,
 'calc_mode': 'uk_gb'}

In [6]: from rateslib.instruments.bonds.conventions import UK_GB

In [7]: UK_GB.kwargs
Out[7]: 
{'settle_accrual': 'linear_days_long_front_split',
 'ytm_accrual': 'linear_days_long_front_split',
 'v1': 'compounding',
 'v2': 'regular',
 'v3': 'compounding',
 'c1': 'cashflow',
 'ci': 'cashflow',
 'cn': 'cashflow'}

In [8]: IndexFixedRateBond(dt(2000, 1, 1), "10y", spec="uk_gbi", fixed_rate=2.5).kwargs
Out[8]: <rateslib.instruments.protocols.kwargs._KWArgs at 0x14c7781d0>