FixedRateBond 类对价格债券给出错误

【问题标题】：FixedRateBond class is giving error to price bondFixedRateBond 类对价格债券给出错误
【发布时间】：2020-07-03 08:41:32
【问题描述】：

我想为固定利率债券定价如下 -

import QuantLib as ql
import pandas as pd
import math

todaysDate = ql.Date(31, 8, 2019)
ql.Settings.instance().evaluationDate = todaysDate

## define available Spot rates

spotDates = [ql.Date(1,10,2019), ql.Date(1,11,2019), ql.Date(1,12,2019)]  
spotRates = [0.066682, 0.067199, 0.067502]  ### Compounded continuously

dayCount = ql.Actual365Fixed()
calendar = ql.UnitedStates()
interpolation = ql.Linear()
compounding = ql.Compounded
compoundingFrequency = ql.Continuous

spotCurve = ql.YieldTermStructureHandle(ql.ZeroCurve(spotDates, spotRates, dayCount, calendar, interpolation, compounding, compoundingFrequency))

## Define Fixed rate bond with only one coupon payment at maturity

issueDate = todaysDate
maturityDate = ql.Date(1,11,2019)
businessConvention = ql.Following
monthEnd = False

dates = [maturityDate]
rolling_convention = ql.Following
schedule = ql.Schedule(dates, calendar, businessConvention)


dayCount = ql.Actual365Fixed()
couponRate = .05

settlementDays = 0
faceValue = 100
fixedRateBond = ql.FixedRateBond(settlementDays, faceValue, schedule, couponRate, dayCount, businessConvention, issueDate)

bondEngine = ql.DiscountingBondEngine(spotCurve)
fixedRateBond.setPricingEngine(bondEngine)

fixedRateBond.NPV()
print(fixedRateBond.NPV())

上述实施失败；我无法理解的原因。在线fixedRateBond代，我得到以下错误-

Traceback (most recent call last):
  File "<stdin>", line 1, in <module>
  File "/usr/local/lib/python2.7/dist-packages/QuantLib/QuantLib.py", line 15250, in __init__
    _QuantLib.FixedRateBond_swiginit(self, _QuantLib.new_FixedRateBond(*args))
TypeError: Wrong number or type of arguments for overloaded function 'new_FixedRateBond'.
  Possible C/C++ prototypes are:
    FixedRateBond::FixedRateBond(Integer,Real,Schedule const &,std::vector< Rate,std::allocator< Rate > > const &,DayCounter const &,BusinessDayConvention,Real,Date,Calendar const &,Period const &,Calendar const &,BusinessDayConvention,bool)
    FixedRateBond::FixedRateBond(Integer,Real,Schedule const &,std::vector< Rate,std::allocator< Rate > > const &,DayCounter const &,BusinessDayConvention,Real,Date,Calendar const &,Period const &,Calendar const &,BusinessDayConvention)
    FixedRateBond::FixedRateBond(Integer,Real,Schedule const &,std::vector< Rate,std::allocator< Rate > > const &,DayCounter const &,BusinessDayConvention,Real,Date,Calendar const &,Period const &,Calendar const &)
    FixedRateBond::FixedRateBond(Integer,Real,Schedule const &,std::vector< Rate,std::allocator< Rate > > const &,DayCounter const &,BusinessDayConvention,Real,Date,Calendar const &,Period const &)
    FixedRateBond::FixedRateBond(Integer,Real,Schedule const &,std::vector< Rate,std::allocator< Rate > > const &,DayCounter const &,BusinessDayConvention,Real,Date,Calendar const &)
    FixedRateBond::FixedRateBond(Integer,Real,Schedule const &,std::vector< Rate,std::allocator< Rate > > const &,DayCounter const &,BusinessDayConvention,Real,Date)
    FixedRateBond::FixedRateBond(Integer,Real,Schedule const &,std::vector< Rate,std::allocator< Rate > > const &,DayCounter const &,BusinessDayConvention,Real)
    FixedRateBond::FixedRateBond(Integer,Real,Schedule const &,std::vector< Rate,std::allocator< Rate > > const &,DayCounter const &,BusinessDayConvention)
    FixedRateBond::FixedRateBond(Integer,Real,Schedule const &,std::vector< Rate,std::allocator< Rate > > const &,DayCounter const &)
    FixedRateBond::FixedRateBond(Integer,Real,Schedule const &,std::vector< InterestRate,std::allocator< InterestRate > > const &,BusinessDayConvention,Real,Date const &,Calendar const &,Period const &,Calendar const &,BusinessDayConvention,bool)
    FixedRateBond::FixedRateBond(Integer,Real,Schedule const &,std::vector< InterestRate,std::allocator< InterestRate > > const &,BusinessDayConvention,Real,Date const &,Calendar const &,Period const &,Calendar const &,BusinessDayConvention)
    FixedRateBond::FixedRateBond(Integer,Real,Schedule const &,std::vector< InterestRate,std::allocator< InterestRate > > const &,BusinessDayConvention,Real,Date const &,Calendar const &,Period const &,Calendar const &)
    FixedRateBond::FixedRateBond(Integer,Real,Schedule const &,std::vector< InterestRate,std::allocator< InterestRate > > const &,BusinessDayConvention,Real,Date const &,Calendar const &,Period const &)
    FixedRateBond::FixedRateBond(Integer,Real,Schedule const &,std::vector< InterestRate,std::allocator< InterestRate > > const &,BusinessDayConvention,Real,Date const &,Calendar const &)
    FixedRateBond::FixedRateBond(Integer,Real,Schedule const &,std::vector< InterestRate,std::allocator< InterestRate > > const &,BusinessDayConvention,Real,Date const &)
    FixedRateBond::FixedRateBond(Integer,Real,Schedule const &,std::vector< InterestRate,std::allocator< InterestRate > > const &,BusinessDayConvention,Real)
    FixedRateBond::FixedRateBond(Integer,Real,Schedule const &,std::vector< InterestRate,std::allocator< InterestRate > > const &,BusinessDayConvention)
    FixedRateBond::FixedRateBond(Integer,Real,Schedule const &,std::vector< InterestRate,std::allocator< InterestRate > > const &)
    FixedRateBond::FixedRateBond(Integer,Calendar const &,Real,Date const &,Date const &,Period const &,std::vector< Rate,std::allocator< Rate > > const &,DayCounter const &,BusinessDayConvention,BusinessDayConvention,Real,Date const &,Date const &,DateGeneration::Rule,bool,Calendar const &,Period const &,Calendar const &,BusinessDayConvention const,bool)
    FixedRateBond::FixedRateBond(Integer,Calendar const &,Real,Date const &,Date const &,Period const &,std::vector< Rate,std::allocator< Rate > > const &,DayCounter const &,BusinessDayConvention,BusinessDayConvention,Real,Date const &,Date const &,DateGeneration::Rule,bool,Calendar const &,Period const &,Calendar const &,BusinessDayConvention const)
    FixedRateBond::FixedRateBond(Integer,Calendar const &,Real,Date const &,Date const &,Period const &,std::vector< Rate,std::allocator< Rate > > const &,DayCounter const &,BusinessDayConvention,BusinessDayConvention,Real,Date const &,Date const &,DateGeneration::Rule,bool,Calendar const &,Period const &,Calendar const &)
    FixedRateBond::FixedRateBond(Integer,Calendar const &,Real,Date const &,Date const &,Period const &,std::vector< Rate,std::allocator< Rate > > const &,DayCounter const &,BusinessDayConvention,BusinessDayConvention,Real,Date const &,Date const &,DateGeneration::Rule,bool,Calendar const &,Period const &)
    FixedRateBond::FixedRateBond(Integer,Calendar const &,Real,Date const &,Date const &,Period const &,std::vector< Rate,std::allocator< Rate > > const &,DayCounter const &,BusinessDayConvention,BusinessDayConvention,Real,Date const &,Date const &,DateGeneration::Rule,bool,Calendar const &)
    FixedRateBond::FixedRateBond(Integer,Calendar const &,Real,Date const &,Date const &,Period const &,std::vector< Rate,std::allocator< Rate > > const &,DayCounter const &,BusinessDayConvention,BusinessDayConvention,Real,Date const &,Date const &,DateGeneration::Rule,bool)
    FixedRateBond::FixedRateBond(Integer,Calendar const &,Real,Date const &,Date const &,Period const &,std::vector< Rate,std::allocator< Rate > > const &,DayCounter const &,BusinessDayConvention,BusinessDayConvention,Real,Date const &,Date const &,DateGeneration::Rule)
    FixedRateBond::FixedRateBond(Integer,Calendar const &,Real,Date const &,Date const &,Period const &,std::vector< Rate,std::allocator< Rate > > const &,DayCounter const &,BusinessDayConvention,BusinessDayConvention,Real,Date const &,Date const &)
    FixedRateBond::FixedRateBond(Integer,Calendar const &,Real,Date const &,Date const &,Period const &,std::vector< Rate,std::allocator< Rate > > const &,DayCounter const &,BusinessDayConvention,BusinessDayConvention,Real,Date const &)
    FixedRateBond::FixedRateBond(Integer,Calendar const &,Real,Date const &,Date const &,Period const &,std::vector< Rate,std::allocator< Rate > > const &,DayCounter const &,BusinessDayConvention,BusinessDayConvention,Real)
    FixedRateBond::FixedRateBond(Integer,Calendar const &,Real,Date const &,Date const &,Period const &,std::vector< Rate,std::allocator< Rate > > const &,DayCounter const &,BusinessDayConvention,BusinessDayConvention)
    FixedRateBond::FixedRateBond(Integer,Calendar const &,Real,Date const &,Date const &,Period const &,std::vector< Rate,std::allocator< Rate > > const &,DayCounter const &,BusinessDayConvention)
    FixedRateBond::FixedRateBond(Integer,Calendar const &,Real,Date const &,Date const &,Period const &,std::vector< Rate,std::allocator< Rate > > const &,DayCounter const &

我原以为价格应该是-

print(105*math.exp(-0.067199*dayCount.yearFraction(issueDate,maturityDate)))

任何指向正确方法的指针都将受到高度赞赏。

修改在 David Duarte 回复后：

现在，我为债券定价的新代码集如下所示 -

import QuantLib as ql
import pandas as pd
import math

todaysDate = ql.Date(31, 8, 2019)
ql.Settings.instance().evaluationDate = todaysDate

spotDates = [ql.Date(1,10,2019), ql.Date(1,11,2019), ql.Date(1,12,2019)]  
spotRates = [0.066682, 0.067199, 0.067502]  ### Compounded continuously

dayCount = ql.Actual365Fixed()
calendar = ql.UnitedStates()
interpolation = ql.Linear()
compounding = ql.Compounded
compoundingFrequency = ql.Continuous

spotCurve = ql.YieldTermStructureHandle(ql.ZeroCurve(spotDates, spotRates, dayCount, calendar, interpolation, compounding, compoundingFrequency))

issueDate = todaysDate
maturityDate = ql.Date(1,11,2019)
businessConvention = ql.Following
monthEnd = False

dates = [maturityDate]
rolling_convention = ql.Following
schedule = ql.Schedule(dates, calendar, businessConvention)
# pd.DataFrame({'date': list(schedule)})

dayCount = ql.Actual365Fixed()
couponRate = .05

settlementDays = 0
faceValue = 100
fixedRateBond = ql.FixedRateBond(settlementDays, calendar, faceValue, issueDate, maturityDate, ql.Period(ql.Once), [couponRate],dayCount)

bondEngine = ql.DiscountingBondEngine(spotCurve)
fixedRateBond.setPricingEngine(bondEngine)

fixedRateBond.NPV()

有了这个，我得到错误 -

Traceback (most recent call last):
  File "<stdin>", line 1, in <module>
  File "/usr/local/lib/python2.7/dist-packages/QuantLib/QuantLib.py", line 8767, in NPV
    return _QuantLib.Instrument_NPV(self)
RuntimeError: negative time (-0.0767123) given

知道为什么会出现这个错误吗？

进一步修改以纠正负值错误：

基本上我添加了一个rate of 0 来对应today's spot rate 来定义spotCurve

import QuantLib as ql
import pandas as pd
import math

todaysDate = ql.Date(31, 8, 2019)
ql.Settings.instance().evaluationDate = todaysDate

spotDates = [todaysDate, ql.Date(1,10,2019), ql.Date(1,11,2019), ql.Date(1,12,2019)]  
spotRates = [0, 0.066682, 0.067199, 0.067502]  ### Compounded continuously

dayCount = ql.Actual365Fixed()
calendar = ql.UnitedStates()
interpolation = ql.Linear()
compounding = ql.Compounded
compoundingFrequency = ql.Continuous

spotCurve = ql.YieldTermStructureHandle(ql.ZeroCurve(spotDates, spotRates, dayCount, calendar, interpolation, compounding, compoundingFrequency))

issueDate = todaysDate
maturityDate = ql.Date(1,11,2019)
businessConvention = ql.Following
monthEnd = False

dates = [maturityDate]
rolling_convention = ql.Following
schedule = ql.Schedule(dates, calendar, businessConvention)
# pd.DataFrame({'date': list(schedule)})

dayCount = ql.Actual365Fixed()
couponRate = .05

settlementDays = 0
faceValue = 100
fixedRateBond = ql.FixedRateBond(settlementDays, calendar, faceValue, issueDate, maturityDate, ql.Period(ql.Once), [couponRate],dayCount)

bondEngine = ql.DiscountingBondEngine(spotCurve)
fixedRateBond.setPricingEngine(bondEngine)

fixedRateBond.NPV()

但是我得到的值是99.68276963841888。我是否应该得到 103.808278875 的值，它来自这个计算 - 105*math.exp(-0.067199*dayCount.yearFraction(issueDate,maturityDate))

【问题讨论】：

  • 您遇到什么错误？发布完整的回溯
  • @buran ，我用错误消息更新了我的原始帖子。
  • 查看 docs for FixedRateBond 它需要 8 个或 5 个参数，而您传递了 7 个。我没有查看您传递的确切参数的详细信息。这正是错误所说的 - Wrong number or type of arguments

标签： python quantlib


【解决方案1】：

试试这个构造函数：

fixedRateBond = ql.FixedRateBond(settlementDays, calendar, faceValue, issueDate, maturityDate, ql.Period(ql.Once), [couponRate],dayCount)

更新：另外，如果您想要完整的优惠券 5，您需要将发行日期调整为提前一年，否则优惠券将是该天数的应计系数的 5%。

检查现金流，看看我的意思：

for cf in fixedRateBond.cashflows():
    print(cf.date().ISO(), cf.amount())

【讨论】：

  • 谢谢。现在我在 fixedRateBond.NPV() 行出现错误，消息为 RuntimeError:negative time (-0.0767123) given。如何解决这个问题？
  • 查看这篇文章以获得解释：quant.stackexchange.com/questions/43885/… 基本上，您需要在曲线上添加第一个日期...
  • 这有帮助。我为今天的日期添加了一个虚拟即期汇率为 0。但我得到的值为 99.68276963841888。这与 105*math.exp(-0.067199*dayCount.yearFraction(issueDate,maturityDate)) 不同。
  • 帮助。利息支付被认为是（'2019-11-01'，0.8082191780821812）。但是，当我进行手动计算时，我得到的值略有不同 - 5*dayCount.yearFraction(issueDate,maturityDate) - 知道这种差异归因于什么吗？
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