Python for Finance Cookbook

How it works...

Since we wanted to compare the results we obtained here with those in the previous recipes, we used the same problem setup as we did there. For brevity, we will not look at all the code here, but we should run Step 2 from the previous recipe.

In Step 2, we specified the calendar and the day-counting convention. The day counting convention determines the way interest accrues over time for various financial instruments, such as bonds. The actual/actual convention means that we use the actual number of elapsed days and the actual number of days in a year – 365 or 366. There are many other conventions such as actual/365 fixed, actual/360, and so on.

In Step 3, we selected two dates – valuation and expiry – as we are interested ...