Question

在计算债券收益率时，我试图使用OpenGamma开发的Strata软件包复制使用excel的YIELD函数计算的结果。然而，比较使用excel和strata计算的数字，我注意到当债券的持续时间更长时，存在一个小的差异。

这是我在excel中计算的一个例子： Excel Calculation

计算结果为6.5％

当我在Strata中做同样的计算时：

    DiscountingFixedCouponBondPaymentPeriodPricer paymentPeriodPricer = new DiscountingFixedCouponBondPaymentPeriodPricer();
    DiscountingPaymentPricer discountingPaymentPricer = new DiscountingPaymentPricer();
    DiscountingFixedCouponBondProductPricer pricer = new DiscountingFixedCouponBondProductPricer(paymentPeriodPricer,discountingPaymentPricer);

    LocalDate settlementDate = LocalDate.of(2008, 2, 15);
    LocalDate maturityDate = LocalDate.of(2016,11,15);
    double couponRate = 0.0575;
    double dirtyPrice=0.9504287;

    com.opengamma.strata.basics.currency.Currency bondcurrency = com.opengamma.strata.basics.currency.Currency.of("USD");
    BusinessDayAdjustment businessDayAdj =
            BusinessDayAdjustment.of(BusinessDayConventions.FOLLOWING, HolidayCalendarIds.USNY );
    PeriodicSchedule definition = PeriodicSchedule.builder()
            .startDate(settlementDate)
            .endDate(maturityDate)
            .businessDayAdjustment(businessDayAdj)
            .frequency(Frequency.P6M)
            .stubConvention(StubConvention.SHORT_INITIAL)
            .rollConvention(RollConventions.EOM)
            .build();
    FixedCouponBond bond = FixedCouponBond.builder()
            .currency(bondcurrency)
            .notional(1)
            .fixedRate(couponRate)
            .accrualSchedule(definition)
            .securityId(SecurityId.of("WHATISTHIS","FOR"))
            .dayCount(DayCounts.THIRTY_360_ISDA)
            .yieldConvention(FixedCouponBondYieldConvention.JP_SIMPLE)
            .legalEntityId(StandardId.of("WHATISTHIS","FOR"))
            .settlementDateOffset(DaysAdjustment.ofBusinessDays(2,HolidayCalendarIds.SAT_SUN))
            .build();

    double yieldOfBond = pricer.yieldFromDirtyPrice(bond.resolve(ReferenceData.standard()),settlementDate,dirtyPrice);
    System.out.println(String.valueOf(yieldOfBond*100));

印刷的收益率数据为6.645978959660144％。

我可能知道我是否可能错误地配置了任何参数，因为分层屈服函数会带来一些其他参数。

谢谢。

Answer 1

看起来你可能会以干净的价格开始？试试这个：

DiscountingFixedCouponBondProductPricer pricer =
        DiscountingFixedCouponBondProductPricer.DEFAULT;
LocalDate settlementDate = LocalDate.of(2008, 2, 15);
LocalDate startDate = LocalDate.of(2007, 11, 15);
LocalDate maturityDate = LocalDate.of(2016, 11, 15);
double couponRate = 0.0575;
double cleanPrice = 0.9504287;

Currency bondcurrency = Currency.USD;
BusinessDayAdjustment businessDayAdj = BusinessDayAdjustment.of(
        BusinessDayConventions.FOLLOWING, HolidayCalendarIds.USNY);
PeriodicSchedule definition = PeriodicSchedule.builder()
    .startDate(startDate)
    .endDate(maturityDate)
    .businessDayAdjustment(businessDayAdj)
    .frequency(Frequency.P6M)
    .stubConvention(StubConvention.SHORT_INITIAL)
    .rollConvention(RollConventions.DAY_15)
    .build();
FixedCouponBond bond = FixedCouponBond.builder()
    .currency(bondcurrency)
    .notional(1)
    .fixedRate(couponRate)
    .accrualSchedule(definition)
    .securityId(SecurityId.of("WHATISTHIS", "FOR"))
    .dayCount(DayCounts.THIRTY_360_ISDA)
    .yieldConvention(FixedCouponBondYieldConvention.US_STREET)
    .legalEntityId(StandardId.of("WHATISTHIS", "FOR"))
    .settlementDateOffset(DaysAdjustment.ofBusinessDays(2, HolidayCalendarIds.USNY))
    .build();

double dirtyPrice = pricer.dirtyPriceFromCleanPrice(bond.resolve(ReferenceData.standard()), settlementDate, cleanPrice);
double yield = pricer.yieldFromDirtyPrice(bond.resolve(ReferenceData.standard()), settlementDate, dirtyPrice);
System.out.println(String.valueOf(yield * 100d));

与商店或参考和市场数据互动时使用securityId和legalEntityId。

使用Strata在JAVA中复制excel YIELD结果

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