我试图使用Quantlib(v1.2)SWIG包装器在python中为一个非常基本的浮动利率债券定价。我修改了文档中包含的示例。
我的债券有4年到期日。 libor设定为10%,债券的差价为0.我的问题是,如果我以10%的比率打折,为什么债券的PV不是100?我的值为99.54。
谢谢!
from QuantLib import *
frequency_enum, settle_date = 4, Date(5, 1, 2010)
maturity_date = Date(5, 1, 2014)
face_amount = 100.0
settlement_days = 0
fixing_days = 0
calendar = NullCalendar()
settle_date = calendar.adjust(settle_date)
todays_date = calendar.advance(settle_date, -fixing_days, Days)
Settings.instance().evaluationDate = todays_date
rate = 10.0 / 100.0
flat_forward = FlatForward(settle_date,
rate,
Thirty360(),
Compounded,
frequency_enum)
discounting_term_structure = RelinkableYieldTermStructureHandle(flat_forward)
index_term_structure = RelinkableYieldTermStructureHandle(flat_forward)
index = USDLibor(Period(3, Months), index_term_structure)
schedule = Schedule(settle_date,
maturity_date, Period(frequency_enum),
NullCalendar(),
Unadjusted, Unadjusted,
DateGeneration.Forward, False)
floating_bond = FloatingRateBond(settlement_days,
face_amount,
schedule,
index,
Thirty360(),
Unadjusted,
fixing_days,
[], # Gearings
[0], # Spreads
[], # Caps
[], # Floors
False, # Fixing in arrears
face_amount,
settle_date)
bond_engine = DiscountingBondEngine(discounting_term_structure)
floating_bond.setPricingEngine(bond_engine)
# coupon pricers
pricer = BlackIborCouponPricer()
volatility = 0.0
vol = ConstantOptionletVolatility(settlement_days,
calendar,
Unadjusted,
volatility,
Thirty360())
pricer.setCapletVolatility(OptionletVolatilityStructureHandle(vol))
setCouponPricer(floating_bond.cashflows(), pricer)
print floating_bond.NPV(), floating_bond.cleanPrice(), floating_bond.dirtyPrice()
答案 0 :(得分:7)
优惠券价格使用USDLibor日计数器(即实际/ 360)来确定,该计数器与您提供的付款日计数器(30/360)不符。你可以通过检查优惠券来看到它:
cfs = floating_bond.cashflows()
coupons = [ as_coupon(c) for c in cfs[:-1] ] # the last one is the redemption
print [ (c.rate(), c.accrualPeriod()) for c in coupons ]
所有优惠券的T = 0.25,但费率低于10%。
要获得您想要的价格,您必须匹配费率和应计期限。一种方法是通过Actual360()作为债券日计数器,在我的机器上给出100.002的价格(我没有进一步调查,但差异可能是由于LIBOR定价的结束日期,这是使用美元日历,可能与优惠券的结尾完全不符)。另一种方法是使用内部30/360天计数器创建自定义LIBOR索引;我自己没有尝试过,但你可以通过创建IborIndex类的适当实例来实现。