Question

我正在估算2017年1月31日（估值日）的香草利率掉期，但香草利率互换的生效日期为2016年12月31日（开始日期）。首先，我想知道如何在下面的代码中调整我的估值日期和开始日期;

import QuantLib as ql
startDate = ql.Date(31,12,2016)
valuationDate = ql.Date(31,1,2017)
maturityDate = ql.Date(30,9,2019)
calendar = ql.SouthAfrica()
bussiness_convention = ql.Unadjusted
swapT = ql.VanillaSwap.Payer
nominal = 144000000
fixedLegTenor = ql.Period(3, ql.Months)
fixedSchedule = ql.Schedule(startDate, maturityDate, 
                             fixedLegTenor, calendar,
                             ql.ModifiedFollowing, ql.ModifiedFollowing,
                             ql.DateGeneration.Forward, False)
fixedRate = 0.077
fixedLegDayCount = ql.Actual365Fixed()
spread = 0
floatLegTenor = ql.Period(3, ql.Months)
floatSchedule = ql.Schedule(startDate, maturityDate, 
                              floatLegTenor, calendar,
                              ql.ModifiedFollowing, ql.ModifiedFollowing,
                              ql.DateGeneration.Forward, False)
floatLegDayCount = ql.Actual365Fixed()
discountDates = [ql.Date(31,1,2017),ql.Date(7,2,2017),ql.Date(28,2,2017),
                ql.Date(31,3,2017),ql.Date(28,4,2017),ql.Date(31,7,2017),
                ql.Date(31,10,2017),ql.Date(31,1,2018),ql.Date(31,1,2019),
                ql.Date(31,1,2020),ql.Date(29,1,2021),ql.Date(31,1,2022),
                ql.Date(31,1,2023),ql.Date(31,1,2024),ql.Date(31,1,2025),
                ql.Date(30,1,2026),ql.Date(29,1,2027),ql.Date(31,1,2029),
                ql.Date(30,1,2032),ql.Date(30,1,2037),ql.Date(31,1,2042),
                ql.Date(31,1,2047)]
discountRates = [1,0.9986796,0.99457,0.9884423,0.9827433,0.9620352,0.9420467,0.9218714,
                 0.863127,0.7993626,0.7384982,0.6796581,0.6244735,0.5722537,0.5236629,
                 0.4779477,0.4362076,0.3619845,0.2795902,0.1886847,0.1352048,0.1062697]

jibarTermStructure = ql.RelinkableYieldTermStructureHandle()
jibarIndex = ql.Jibar(ql.Period(3,ql.Months), jibarTermStructure)
jibarIndex.addFixings(dtes, fixings)
discountCurve = ql.DiscountCurve(discountDates,discountRates,ql.Actual365Fixed())
swapEngine = ql.DiscountingSwapEngine(discountCurve)
interestRateSwap = ql.VanillaSwap(swapT, nominal, fixedSchedule, 
               fixedRate,fixedLegDayCount,jibarIndex,spread,floatSchedule,
               floatLegDayCount,swapEngine,floatSchedule.convention)

其次，我想知道如何最好地将jibarIndex合并到interestRateSwap =ql.VanillaSwap()中，或者我如何使用折扣因子和折扣日期来计算利率互换的价值

Answer 1

ql.Settings.instance（）。setEvaluationDate（今天）

设定评估日期或估价日期。

我没有看到VanillaSwap代码中的jibarIndex索引存在问题。您已将对象提供给QuantLib，该库将使用它作为前向曲线来为浮动腿定价，从而为交换定价。

使用QuantLib在Python中进行香草利率掉期评估

1 个答案: