My objective is to learn more about Python and apply my knowledge about brazilian government bonds, private bonds and derivatives. I have a problem with working days in my code. Apparently, ussing the holidays calendar of ANBIMA, I get divergence in the unit price of Inflation-Linked bonds. The diferences are in the unit price of NTN-B 2021, NTN-B 2026 and NTN-B 2055. I have about BRL 0.2 divergence when compared to the unit price released by ANBIMA. Also I get the B3 yield curve via webScraping and interpolate it if necessary.
Next steps:
- I wanna calculate the convexity of the bond,
- I wanna distribute the exposure of a given cash flow in the most liquids DI1 futures and
- I wanna make a code to get the DV01 of a given cash flow and how to make the hedge with derivatives for this cashflow.
I appreciate any sugestions.