无法在 QuantLib 中使用 fixedRateBond.bondYield 获得正确的收益答案

【问题标题】：Having trouble to get the right yield with fixedRateBond.bondYield in QuantLib无法在 QuantLib 中使用 fixedRateBond.bondYield 获得正确的收益
【发布时间】：2021-09-20 04:30:33
【问题描述】：

我试图弄清楚如何使用 QuantLib 的价格来估算债券收益率。有很多不同的例子，但我仍然找不到正确的解决方案。

我有一只将于 2039 年 3 月到期的债券，每 182 天支付一次息票。我将使用 QuantLib 进行的计算与来自 Bloomberg 和 Exchange 的数据进行比较。

代码如下：

issueDate = ql.Date(19,6,2019) #05.06.2019
maturityDate = ql.Date(16,3,2039) #16.03.2039
cpn_freq = 2
tenor = ql.Period('26W') #ql.Period(ql.Semiannual)
calendar = ql.Russia()
businessConvention = ql.Following
#businessConvention = ql.Unadjusted
dateGeneration = ql.DateGeneration.Backward
monthEnd = False

schedule = ql.Schedule (issueDate, maturityDate, tenor, calendar, businessConvention, businessConvention,
                        dateGeneration, monthEnd)

dayCount = ql.Actual365Fixed()

#settings for bond
compounding = ql.Compounded
cleanPrice = 105.45
ytm  = 0.0728
couponRate = 0.077
coupons = [couponRate]
settlementDays = 1
faceValue = 100

fixedRateBond = ql.FixedRateBond(settlementDays, faceValue, schedule, coupons, dayCount)

for c in fixedRateBond.cashflows():
    print('%20s %12f' % (c.date(), c.amount()))

它产生与 Bloomberg 相似的结果（相同的票息日期和金额 - 3.839）：

   October 9th, 2019     2.658082
     April 8th, 2020     3.839452
   October 7th, 2020     3.839452
     April 7th, 2021     3.839452
   October 6th, 2021     3.839452
     April 6th, 2022     3.839452
   October 5th, 2022     3.839452
     April 5th, 2023     3.839452
   October 4th, 2023     3.839452
     April 3rd, 2024     3.839452
   October 2nd, 2024     3.839452
     April 2nd, 2025     3.839452
   October 1st, 2025     3.839452
     April 1st, 2026     3.839452
September 30th, 2026     3.839452
    March 31st, 2027     3.839452
September 29th, 2027     3.839452
    March 29th, 2028     3.839452
September 27th, 2028     3.839452
    March 28th, 2029     3.839452
September 26th, 2029     3.839452
    March 27th, 2030     3.839452
September 25th, 2030     3.839452
    March 26th, 2031     3.839452
September 24th, 2031     3.839452
    March 24th, 2032     3.839452
September 22nd, 2032     3.839452
    March 23rd, 2033     3.839452
September 21st, 2033     3.839452
    March 22nd, 2034     3.839452
September 20th, 2034     3.839452
    March 21st, 2035     3.839452
September 19th, 2035     3.839452
    March 19th, 2036     3.839452
September 17th, 2036     3.839452
    March 18th, 2037     3.839452
September 16th, 2037     3.839452
    March 17th, 2038     3.839452
September 15th, 2038     3.839452
    March 16th, 2039     3.839452
    March 16th, 2039   100.000000

但是，尝试计算 YTD 会给出错误的数字：

fixedRateBond.bondYield(cleanPrice, dayCount, ql.Compounded, ql.Semiannual) * 100

7.170206456184388

但应该是 7.28%。如果我尝试改用：

fixedRateBond.bondYield(cleanPrice, dayCount, ql.Compounded, ql.Period('26W')) * 100

我遇到了一个错误：

  Possible C/C++ prototypes are:
    Bond::yield(DayCounter const &,Compounding,Frequency,Real,Size)
    Bond::yield(DayCounter const &,Compounding,Frequency,Real)
    Bond::yield(DayCounter const &,Compounding,Frequency)
    Bond::yield(Real,DayCounter const &,Compounding,Frequency,Date const &,Real,Size)
    Bond::yield(Real,DayCounter const &,Compounding,Frequency,Date const &,Real)
    Bond::yield(Real,DayCounter const &,Compounding,Frequency,Date const &)
    Bond::yield(Real,DayCounter const &,Compounding,Frequency)

更新： 如果与实际 ytm 一起使用，看起来 clearPrice 和 dirtyPrice 也会产生错误的结果。但至少有一种解决方法（来自 CookBook）使用曲线来获得 clearPrice 和 dirtyPrice 的正确数字。但我仍然很难为 YTM 找到正确的号码。

bond_yield = fixedRateBond.bondYield(cleanPrice, dayCount, compounding,  ql.Semiannual )* 100
bond_dp = fixedRateBond.dirtyPrice(ytm, dayCount, ql.Compounded, ql.Semiannual)
bond_cp = fixedRateBond.cleanPrice(ytm, dayCount, ql.Compounded, ql.Semiannual)
bond_dur = ql.BondFunctions.duration(fixedRateBond,0.0731,dayCount, ql.Compounded,ql.Semiannual, ql.Duration.Modified)

print('Yield: ' + str(bond_yield)) #ql.Period('26W')
print('Dirty price: ' + str(bond_dp))
print('Clean price: ' + str(bond_cp))
print('Accrued amount: ' + str(fixedRateBond.accruedAmount()))
print('Day counter: ' + str(fixedRateBond.dayCounter()))
print('Settlement date: ' + str(fixedRateBond.settlementDate()))
print('Dutation: ' + str(bond_dur))

print('Using curve')

flat_curve = FlatForward(fixedRateBond.settlementDate(), ytm, dayCount, Compounded)
engine = DiscountingBondEngine(YieldTermStructureHandle(flat_curve))
fixedRateBond.setPricingEngine(engine)
P2 = fixedRateBond.dirtyPrice()
print('Dirty price: ' +str(P2))
print('Cleand price: '+str(fixedRateBond.cleanPrice()))
print('YTM:' + str(fixedRateBond.bondYield(dayCount, Compounded,2)))

Yield: 7.150867552757262
Dirty price: 106.15244992161799
Clean price: 104.12724444216592
Accrued amount: 2.0252054794520635
Day counter: Actual/365 (Fixed) day counter
Settlement date: July 12th, 2021
Duration: 9.550427694884139

Using curve:
Dirty price: 107.46228302550196
Clean price: 105.43707754604989
YTM:0.07152117539749295

【问题讨论】：

标签： python quantlib

【解决方案1】：

您从彭博社获得的 7.28% 的 YTM 可能是按年报价的。

yld = fixedRateBond.bondYield(cleanPrice, dayCount, ql.Compounded, ql.Annual)
print(yld)

为您提供以下内容：

0.07277290053367616

而这个收益会产生以下净价：

print(fixedRateBond.cleanPrice(yld, dayCount, ql.Compounded, ql.Annual))

105.44999787859736

【讨论】：