使用Python在quantlib中定价浮动债券

时间:2013-03-07 14:30:45

标签: python quantlib quantlib-swig

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()

1 个答案:

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。