<using python>

And, as a bonus,

As a bonus, we will also find their risk statistics 🙂

We all know that calculating details about a zero coupon bond is no rocket science, but it is best to start from the basics while learning something new. So let us use QuantLib to calculate the price of a zero coupon bond given its yield to maturity. Also as a bonus, we will estimate its Modified Duration and Convexity.

Let's assume some parameters:

• Face Value: The amount paid at maturity.
• Yield to Maturity (YTM): The annual return expected on the bond.
• Maturity Date: The date when the bond matures.
• Settlement Date: The date when the bond is priced.

I am skipping the essential step of installing the QuantLib in python, but I am sure everyone knows how that is done.

// Importing the Library - Step 1

import QuantLib as ql

// Lets Calculate the Price - Step 2

# Define the bond parameters
face_value = 1000  # Example face value
ytm = 0.05  # Example yield to maturity (5%)
maturity_date = ql.Date(15, 10, 2026)  # Example maturity date
settlement_date = ql.Date(6, 10, 2024)  # Example settlement date

# Calculate the time to maturity in years
day_count = ql.ActualActual()
time_to_maturity = day_count.yearFraction(settlement_date, maturity_date)

# Calculate the price of the zero-coupon bond
price = face_value / (1 + ytm) ** time_to_maturity

print(f"The price of the zero-coupon bond is: {price:.2f}")