Fixed Income

The Fixed Income module covers a wide variety of calculations including the Effective Yield, Macaulay Duration, Modified Duration, Convexity, Yield to Maturity and derivative pricing models such as Black and Bachelier (used for Swaptions and other instruments).

Every function of the Fixed Income module has its own page with an example and its parameters. Pick one from the sidebar on the left.Every function of the Fixed Income module has its own page with an example and its parameters. Pick one from the documentation menu.

To install the FinanceToolkit it simply requires the following:

pip install financetoolkit -U

Getting Started

Next to that, it is also possible to acquire Central Bank Rates and ICE BofA Indices such as the ICE BofA US High Yield Index, the ICE BofA US Corporate Index and the ICE BofA US Treasury Index.

Note that this class can also be directly accessed by importing the FixedIncome class directly via from financetoolkit import FixedIncome. This is useful if you only want to use the FixedIncome class and not the other classes within the Toolkit module.

For example:

from financetoolkit import FixedIncome

fixedincome = FixedIncome(
    start_date='2024-01-01',
    end_date='2024-01-15',
    fred_api_key='FRED_API_KEY',
)

fixedincome.get_ice_bofa_effective_yield(maturity=False)

Which returns:

The sidebar gives access to every metric in the Fixed Income module, each on its own page with a description, an example and its parameters. Pick one there to open it.The sidebar gives access to every metric in the Fixed Income module, each on its own page with a description, an example and its parameters. On a phone, open the documentation menu to pick one.