Question

有人可以提供一个如何使用 QuantLib 复制Excel / OpenOffice YIELD和PRICE函数的示例吗？

我有一些例子，但我还不太了解所有设置。当我尝试更改某些值时，我会得到零或一些荒谬的值。理想情况下，我想创建与YIELD / PRICE函数等效的c ++。

在我的第一步中，我不需要在Excel日期建模中复制缺陷。我可以等到以后才能生成完全相同的副本。虽然如果你知道这也很棒。

PRICE示例，在OpenOffice中：

PRICE("2008-02-15","2010-11-15",5%,7%,100,2,1) = 95.068419616675

我的QuantLib代码能够获得95.066759一点点。至少我有基本的价格函数，我想现在得到一个完全匹配的结果。

我不能轻易地包含所有包装代码，但基本代码如下。

#include <ql/time/calendar.hpp>
#include <ql/time/daycounters/actualactual.hpp>
#include <ql/time/daycounters/actual365fixed.hpp>
#include <ql/time/schedule.hpp>
#include <ql/time/calendars/unitedstates.hpp>
#include <ql/time/calendars/nullcalendar.hpp>

#include <ql/settings.hpp>
#include <ql/handle.hpp>
#include <ql/termstructures/yield/flatforward.hpp>
#include <ql/instruments/bonds/fixedratebond.hpp>

#include <ql/pricingengines/bond/discountingbondengine.hpp>
#include <ql/utilities/dataformatters.hpp>

#include <iostream>
#include <iomanip>

#include "boost/date_time/gregorian/gregorian.hpp"
using namespace QuantLib;

Date convert_date( boost::gregorian::date const & date )
{
    unsigned mon = date.month();
    return Date( date.day(), Month(mon), date.year() );
}

shared_ptr<Bond> create_bond( boost::gregorian::date const & settlement_, boost::gregorian::date const & maturity_,
    double coupon_, double yield_, double redemption_, unsigned frequency_ )
{
    // date set up
    //Calendar calendar = UnitedStates(UnitedStates::GovernmentBond);
    Calendar calendar = NullCalendar(); //small improvement

    Date settlementDate( convert_date( settlement_ ) );
    // the settlement date must be a business day
    settlementDate = calendar.adjust(settlementDate);

    Integer fixingDays = 0; //1;
    Natural settlementDays = 0; //1

    Date evalDate = calendar.advance(settlementDate, -fixingDays, Days);
    // Evaluation date (TODO: What should this actually be?)
    Settings::instance().evaluationDate() = evalDate;

    // bond set up
    Real faceAmount = 100;
    Real redemption = redemption_;
    Date issueDate( 1, January, 2001); //NOTE: shouldn't be relevant for price/yield calculations
    Date maturity( convert_date( maturity_ ) );
    Real couponRate = coupon_;
    Real yield = yield_;

    //ActualActual dayCounter( ActualActual::Bond );
    ActualActual dayCounter;
    //Actual365Fixed dayCounter;

    RelinkableHandle<YieldTermStructure> discountingTermStructure;
    boost::shared_ptr<YieldTermStructure> flatTermStructure(
        new FlatForward(
            settlementDate,
            yield,
            dayCounter,
            Compounded,
            Frequency( frequency_ ) ));
    discountingTermStructure.linkTo(flatTermStructure);

    boost::shared_ptr<PricingEngine> bondEngine(
        new DiscountingBondEngine(discountingTermStructure));

    Schedule fixedBondSchedule(
        issueDate,
        maturity,
        Period( Frequency( frequency_ ) ),
        calendar,
        Unadjusted,
        Unadjusted,
        DateGeneration::Backward,
        false /*EOM*/); //strangely makes no difference in our calculations

    boost::shared_ptr<Bond> fixedRateBond( new FixedRateBond(
        settlementDays,
        faceAmount,
        fixedBondSchedule,
        std::vector<Rate>(1, couponRate),
        dayCounter,
        Unadjusted,
        redemption) );

    fixedRateBond->setPricingEngine(bondEngine);
    return fixedRateBond;
}

//OpenOffice: PRICE("2008-02-15","2010-11-15",5%,7%,100,2,1)
double bond_price( boost::gregorian::date const & settlement_, boost::gregorian::date const & maturity_,
    double coupon_, double yield_, double redemption_, unsigned frequency_ )
{
    shared_ptr<Bond> bond( create_bond( settlement_, maturity_, coupon_, yield_, redemption_, frequency_ ) );
    return bond->cleanPrice();
}

//OpenOffice: PRICE("2008-02-15","2010-11-15",5%,7%,100,2,1)
double bond_yield( boost::gregorian::date const & settlement_, boost::gregorian::date const & maturity_,
    double coupon_, double price_, double redemption_, unsigned frequency_ )
{
    shared_ptr<Bond> bond( create_bond( settlement_, maturity_, coupon_, 0, redemption_, frequency_ ) );
    ActualActual dayCounter;
    return bond->yield( price_, dayCounter, Compounded, Frequency(frequency_) );
}

Answer 1

如果您对OpenOffice中PRICE函数的实现感兴趣，可以在AnalysisAddIn::getPrice的实现中查看代码。这是指analysis helper.cxx中的getPrice_函数。也许你会发现那里发生了什么。

请注意，OpenGrok似乎在这里配置错误，因此单击功能可能无效。但我想你在目录/OOO340_m0/scaddins/source/analysis的文件中找到了所需的一切。

QuantLib OpenOffice / Excel YIELD / PRICE功能

1 个答案: