基础

以下是设置QuantLib评估日期的命令。一切从"评估日期"开始，这意味着您想要对金融工具进行估值的日期。假设您想在2020年9月16日对"互换"进行估值，您需要先在QuantLib中设置evaluationDate。底层的C++量化库是通过SWIG打包的，而Python更像是调用这个C++库的API接口。

设置

#import the Quant Lib
import QuantLib as ql

# Let the today date whenwe want to value a instrument be
today = ql.Date(15,6,2020)

# we can set evaluationDate in QL as
ql.Settings.instance().evaluationDate = today
print(ql.Settings.instance().evaluationDate);
# prints..June 15th, 2020

# or you can do
today = ql.Date(15,12,2021);
ql.Settings.instance().setEvaluationDate(today)
print(ql.Settings.instance().evaluationDate)
# prints..December 15th, 2021

移动参考曲线的日期：以下返回基于FlatForward的期限结构

settlementDays = 2

# Holiday calendar of united states
calendar = ql.UnitedStates()

forwardRate = 0.05

"""Day Counter provides methods for determining the length of a time period according to given market convention,
both as a number of days and as a year fraction."""
dayCounter = ql.Actual360()

# Construct flat forward rate term structure
flatForwardTermStructure = ql.FlatForward(settlementDays, calendar, forwardRate, dayCounter)

flatForwardTermStructure.referenceDate()

print("Max Date: ", flatForwardTermStructure.maxDate())

更改计算评估日期：以下展示了评估或估值日期的使用。让我们构建一个时间表，用于创建一条现金流支腿，然后我们将计算该支腿上的利率。

today = ql.Date(15,6,2020)
ql.Settings.instance().evaluationDate = today

effectiveDate = ql.Date(15, 6, 2020)
terminationDate = ql.Date(15, 6, 2022)

创建时间表

schedule = ql.MakeSchedule(effectiveDate, terminationDate, ql.Period('6M'))

使用辅助类创建一个固定利率腿，构建一系列固定利率息票

notional = [100.0]
rate = [0.05]
leg = ql.FixedRateLeg(schedule, dayCounter, notional, rate)

利率类封装了利率复利代数运算。它管理日计数惯例、复利惯例、不同惯例之间的转换、贴现/复利因子计算，以及隐含/等价利率计算。

dayCounter = ql.Thirty360()
rate = 0.03

"""
ql/Compounding.hpp
    //! Interest rate compounding rule
    enum Compounding { Simple = 0,          //!< \f$ 1+rt \f$
                       Compounded = 1,      //!< \f$ (1+r)^t \f$
                       Continuous = 2,      //!< \f$ e^{rt} \f$
                       SimpleThenCompounded, //!< Simple up to the first period then Compounded
                       CompoundedThenSimple //!< Compounded up to the first period then Simple
    };
"""

compoundingType = ql.Compounded

"""
ql/time/frequency.hpp
enum Frequency { NoFrequency = -1,     //!< null frequency
                     Once = 0,             //!< only once, e.g., a zero-coupon
                     Annual = 1,           //!< once a year
                     Semiannual = 2,       //!< twice a year
                     EveryFourthMonth = 3, //!< every fourth month
                     Quarterly = 4,        //!< every third month
                     Bimonthly = 6,        //!< every second month
                     Monthly = 12,         //!< once a month
                     EveryFourthWeek = 13, //!< every fourth week
                     Biweekly = 26,        //!< every second week
                     Weekly = 52,          //!< once a week
                     Daily = 365,          //!< once a day
                     OtherFrequency = 999  //!< some other unknown frequency
    };
"""

frequency = ql.Annual
interestRate = ql.InterestRate(rate, dayCounter, compoundingType, frequency)

4.958531764309427

ql/cashflows/Cashflows.hpp 净现值(NPV)是现金流的加总，其中每笔现金流都根据给定的固定利率进行贴现。结果会受到利率复利方式、相对频率以及天数计算器选择的影响。

ql.Settings.instance().evaluationDate = ql.Date(15,12,2020)
print( ql.CashFlows.npv(leg, rate, False) )

2.4906934531375144

数组

创建一个空数组

ql.Array()

创建数组并用值填充

ql.Array(size, value)

创建数组并根据a0=value,ai=ai−1+increment的规则填充

ql.Array(size, value, increment)

矩阵

创建一个空矩阵

ql.Matrix()

创建一个具有给定维度的矩阵

ql.Matrix(rows, columns)

创建矩阵并用值填充

ql.Matrix(rows, columns, value)

ql.Matrix()
ql.Matrix(2,2)
ql.Matrix(2,2,0.5)

A = ql.Matrix(3,3)
A[0][0]=0.2
A[0][1]=8.4
A[0][2]=1.5
A[1][0]=0.6
A[1][1]=1.4
A[1][2]=7.3
A[2][0]=0.8
A[2][1]=4.4
A[2][2]=3.2

可观察对象

import QuantLib as ql

flag = None
def raiseFlag():
    global flag
    flag = 1

me = ql.SimpleQuote(0.0)
obs = ql.Observer(raiseFlag)
obs.registerWith(me)
me.setValue(3.14)
if not flag:
    print("Case 1: Observer was not notified of market element change")
flag = None
obs.unregisterWith(me)
me.setValue(3.14)
if not flag:
    print("Case 2: Observer was not notified of market element change")

Quotes

SimpleQuote

ql.SimpleQuote(value)

s = ql.SimpleQuote(0.01)

功能

数值
设置值
是否有效

s.value()
s.setValue(0.05)
s.isValid()

DerivedQuote

ql.DerivedQuote(quoteHandle, function)

d1 = ql.SimpleQuote(0.06)
d2 = ql.DerivedQuote(ql.QuoteHandle(d1),lambda x: 10*x)

CompositeQuote

ql.CompositeQuote(quoteHandle, quoteHandle, function)

c1 = ql.SimpleQuote(0.02)
c2 = ql.SimpleQuote(0.03)

def f(x,y):
    return x+y

c3 = ql.CompositeQuote(ql.QuoteHandle(c1),ql.QuoteHandle(c2), f)
c3.value()

c4 = ql.CompositeQuote(ql.QuoteHandle(c1),ql.QuoteHandle(c2), lambda x,y:x+y)
c4.value()

DeltaVolQuote

一个用于外汇式报价的类，其中delta-期限对以隐含波动率报价

ql.DeltaVolQuote(delta, volQuoteHandle, maturity, deltaType)

ql.DeltaVolQuote(volQuoteHandle, deltaType, maturity, atmType)

deltaType = ql.DeltaVolQuote.Fwd    # Also supports: Spot, PaSpot, PaFwd
atmType = ql.DeltaVolQuote.AtmFwd   # Also supports: AtmSpot, AtmDeltaNeutral, AtmVegaMax, AtmGammaMax, AtmPutCall50

maturity = 1.0
volAtm, vol25DeltaCall, vol25DeltaPut = 0.08, 0.075, 0.095

atmDeltaQuote = ql.DeltaVolQuote(ql.QuoteHandle(ql.SimpleQuote(volAtm)), deltaType, maturity, atmType)
vol25DeltaPutQuote = ql.DeltaVolQuote(-0.25, ql.QuoteHandle(ql.SimpleQuote(vol25DeltaPut)), maturity, deltaType)
vol25DeltaCallQuote = ql.DeltaVolQuote(0.25, ql.QuoteHandle(ql.SimpleQuote(vol25DeltaCall)), maturity, deltaType)