收益率期限结构
FlatForward
平坦利率曲线。
- ql.FlatForward(date, quote, dayCounter, compounding, frequency)
- ql.FlatForward(integer, Calendar, quote, dayCounter, compounding, frequency)
- ql.FlatForward(integer, rate, dayCounter)
示例：
ql.FlatForward(ql.Date(15,6,2020), ql.QuoteHandle(ql.SimpleQuote(0.05)), ql.Actual360(), ql.Compounded, ql.Annual)
ql.FlatForward(ql.Date(15,6,2020), ql.QuoteHandle(ql.SimpleQuote(0.05)), ql.Actual360(), ql.Compounded)
ql.FlatForward(ql.Date(15,6,2020), ql.QuoteHandle(ql.SimpleQuote(0.05)), ql.Actual360())
ql.FlatForward(2, ql.TARGET(), ql.QuoteHandle(ql.SimpleQuote(0.05)), ql.Actual360())
ql.FlatForward(2, ql.TARGET(), 0.05, ql.Actual360())
贴现曲线
基于贴现因子对数线性插值的期限结构。
- ql.DiscountCurve(dates, dfs, dayCounter, cal=ql.NullCalendar())
示例：
dates = [ql.Date(7,5,2019), ql.Date(7,5,2020), ql.Date(7,5,2021)]
dfs = [1, 0.99, 0.98]
dayCounter = ql.Actual360()
curve = ql.DiscountCurve(dates, dfs, dayCounter)
零息曲线
零息曲线
对数线性零息曲线
三次零息曲线
自然三次零息曲线
对数三次零息曲线
单调三次零息曲线
- ql.ZeroCurve(dates, yields, dayCounter, cal, i, comp, freq)
日期 |
日期序列，即与零利率对应的到期日。注意：第一个日期必须是曲线的基准日期，例如收益率为0.0的日期。 |
收益率 |
一系列浮点数，代表零息债券收益率 |
dayCounter |
DayCounter对象，天数计算规则 |
cal |
日历对象，calendar |
i |
线性对象，线性插值方法 |
comp 和 freq |
是预设整数，表示支付方式和支付频率 |
dates = [ql.Date(31,12,2019), ql.Date(31,12,2020), ql.Date(31,12,2021)]
zeros = [0.01, 0.02, 0.03]
ql.ZeroCurve(dates, zeros, ql.ActualActual(), ql.TARGET())
ql.LogLinearZeroCurve(dates, zeros, ql.ActualActual(), ql.TARGET())
ql.CubicZeroCurve(dates, zeros, ql.ActualActual(), ql.TARGET())
ql.NaturalCubicZeroCurve(dates, zeros, ql.ActualActual(), ql.TARGET())
ql.LogCubicZeroCurve(dates, zeros, ql.ActualActual(), ql.TARGET())
ql.MonotonicCubicZeroCurve(dates, zeros, ql.ActualActual(), ql.TARGET())
ForwardCurve
基于远期利率平坦插值的期限结构。
- ql.ForwardCurve(dates, rates, dayCounter)
- ql.ForwardCurve(dates, rates, dayCounter, calendar, BackwardFlat)
- ql.ForwardCurve(dates, date, rates, rate, dayCounter, calendar)
- ql.ForwardCurve(dates, date, rates, rate, dayCounter)
dates = [ql.Date(15,6,2020), ql.Date(15,6,2022), ql.Date(15,6,2023)]
rates = [0.02, 0.03, 0.04]
ql.ForwardCurve(dates, rates, ql.Actual360(), ql.TARGET())
ql.ForwardCurve(dates, rates, ql.Actual360())
分段
分段收益率期限结构。该期限结构基于一系列利率工具进行自举计算，这些工具以RateHelper实例的向量形式传入。它们的到期日界定了插值区间的边界。
每个分段按从最早到最晚的顺序依次确定，选择的标准是使到期日标记该分段结束的金融工具能够在曲线上正确重新定价。
分段对数线性贴现
分段对数三次贴现
分段线性零
分段三次零
分段线性远期
分段样条三次折扣
- ql.Piecewise(referenceDate, helpers, dayCounter)
helpers = []
helpers.append( ql.DepositRateHelper(0.05, ql.Euribor6M()) )
helpers.append(
ql.SwapRateHelper(0.06, ql.EuriborSwapIsdaFixA(ql.Period('1y')))
)
curve = ql.PiecewiseLogLinearDiscount(ql.Date(15,6,2020), helpers, ql.Actual360())
- ql.PiecewiseYieldCurve(referenceDate, instruments, dayCounter, jumps, jumpDate, i=Interpolator(), bootstrap=bootstrap_type())
referenceDate = ql.Date(15,6,2020)
ql.PiecewiseLogLinearDiscount(referenceDate, helpers, ql.ActualActual())
jumps = [ql.QuoteHandle(ql.SimpleQuote(0.01))]
ql.PiecewiseLogLinearDiscount(referenceDate, helpers, ql.ActualActual(), jumps)
jumpDates = [ql.Date(15,9,2020)]
ql.PiecewiseLogLinearDiscount(referenceDate, helpers, ql.ActualActual(), jumps, jumpDates)
import pandas as pd
pgbs = pd.DataFrame(
{'maturity': ['15-06-2020', '15-04-2021', '17-10-2022', '25-10-2023',
'15-02-2024', '15-10-2025', '21-07-2026', '14-04-2027',
'17-10-2028', '15-06-2029', '15-02-2030', '18-04-2034',
'15-04-2037', '15-02-2045'],
'coupon': [4.8, 3.85, 2.2, 4.95, 5.65, 2.875, 2.875, 4.125,
2.125, 1.95, 3.875, 2.25, 4.1, 4.1],
'px': [102.532, 105.839, 107.247, 119.824, 124.005, 116.215, 117.708,
128.027, 115.301, 114.261, 133.621, 119.879, 149.427, 159.177]})
calendar = ql.TARGET()
today = calendar.adjust(ql.Date(19, 12, 2019))
ql.Settings.instance().evaluationDate = today
bondSettlementDays = 2
bondSettlementDate = calendar.advance(
today,
ql.Period(bondSettlementDays, ql.Days))
frequency = ql.Annual
dc = ql.ActualActual(ql.ActualActual.ISMA)
accrualConvention = ql.ModifiedFollowing
convention = ql.ModifiedFollowing
redemption = 100.0
instruments = []
for idx, row in pgbs.iterrows():
maturity = ql.Date(row.maturity, '%d-%m-%Y')
schedule = ql.Schedule(
bondSettlementDate,
maturity,
ql.Period(frequency),
calendar,
accrualConvention,
accrualConvention,
ql.DateGeneration.Backward,
False)
helper = ql.FixedRateBondHelper(
ql.QuoteHandle(ql.SimpleQuote(row.px)),
bondSettlementDays,
100.0,
schedule,
[row.coupon / 100],
dc,
convention,
redemption)
instruments.append(helper)
params = [bondSettlementDate, instruments, dc]
piecewiseMethods = {
'logLinearDiscount': ql.PiecewiseLogLinearDiscount(*params),
'logCubicDiscount': ql.PiecewiseLogCubicDiscount(*params),
'linearZero': ql.PiecewiseLinearZero(*params),
'cubicZero': ql.PiecewiseCubicZero(*params),
'linearForward': ql.PiecewiseLinearForward(*params),
'splineCubicDiscount': ql.PiecewiseSplineCubicDiscount(*params),
}
隐含期限结构
未来给定日期的隐含期限结构
- ql.ImpliedTermStructure(YieldTermStructure, date)
crv = ql.FlatForward(ql.Date(10,1,2020),0.04875825,ql.Actual365Fixed())
yts = ql.YieldTermStructureHandle(crv)
ql.ImpliedTermStructure(yts, ql.Date(20,9,2020))
ForwardSpreadedTermStructure
在瞬时远期利率基础上添加利差的期限结构。
- ql.ForwardSpreadedTermStructure(YieldTermStructure, spread)
crv = ql.FlatForward(ql.Date(10,1,2020),0.04875825,ql.Actual365Fixed())
yts = ql.YieldTermStructureHandle(crv)
spread = ql.QuoteHandle(ql.SimpleQuote(0.005))
ql.ForwardSpreadedTermStructure(yts, spread)
零利差期限结构
在零收益率基础上添加利差的期限结构
- ql.ZeroSpreadedTermStructure(YieldTermStructure, spread)
crv = ql.FlatForward(ql.Date(10,1,2020),0.04875825,ql.Actual365Fixed())
yts = ql.YieldTermStructureHandle(crv)
spread = ql.QuoteHandle(ql.SimpleQuote(0.005))
ql.ZeroSpreadedTermStructure(yts, spread)
SpreadedLinearZeroInterpolatedTermStructure
- ql.SpreadedLinearZeroInterpolatedTermStructure(YieldTermStructure, quotes, dates, compounding, frequency, dayCounter, linear)
crv = ql.FlatForward(settlement,0.04875825,ql.Actual365Fixed())
yts = ql.YieldTermStructureHandle(crv)
calendar = ql.TARGET()
spread21 = ql.SimpleQuote(0.0050)
spread22 = ql.SimpleQuote(0.0050)
startDate = ql.Date().todaysDate()
endDate = calendar.advance(startDate, ql.Period(50, ql.Years))
tsSpread = ql.SpreadedLinearZeroInterpolatedTermStructure(
yts,
[ql.QuoteHandle(spread21), ql.QuoteHandle(spread22)],
[startDate, endDate]
)
FittedBondCurve
- ql.FittedBondDiscountCurve(bondSettlementDate, helpers, dc, method, accuracy=1.0e-10, maxEvaluations=10000, guess=Array(), simplexLambda=1.0)
方法：
三次B样条拟合
指数样条拟合
NelsonSiegel拟合
简单多项式拟合
SvenssonFitting
pgbs = pd.DataFrame(
{'maturity': ['15-06-2020', '15-04-2021', '17-10-2022', '25-10-2023',
'15-02-2024', '15-10-2025', '21-07-2026', '14-04-2027',
'17-10-2028', '15-06-2029', '15-02-2030', '18-04-2034',
'15-04-2037', '15-02-2045'],
'coupon': [4.8, 3.85, 2.2, 4.95, 5.65, 2.875, 2.875, 4.125,
2.125, 1.95, 3.875, 2.25, 4.1, 4.1],
'px': [102.532, 105.839, 107.247, 119.824, 124.005, 116.215, 117.708,
128.027, 115.301, 114.261, 133.621, 119.879, 149.427, 159.177]})
calendar = ql.TARGET()
today = calendar.adjust(ql.Date(19, 12, 2019))
ql.Settings.instance().evaluationDate = today
bondSettlementDays = 2
bondSettlementDate = calendar.advance(
today,
ql.Period(bondSettlementDays, ql.Days))
frequency = ql.Annual
dc = ql.ActualActual(ql.ActualActual.ISMA)
accrualConvention = ql.ModifiedFollowing
convention = ql.ModifiedFollowing
redemption = 100.0
instruments = []
for idx, row in pgbs.iterrows():
maturity = ql.Date(row.maturity, '%d-%m-%Y')
schedule = ql.Schedule(
bondSettlementDate,
maturity,
ql.Period(frequency),
calendar,
accrualConvention,
accrualConvention,
ql.DateGeneration.Backward,
False)
helper = ql.FixedRateBondHelper(
ql.QuoteHandle(ql.SimpleQuote(row.px)),
bondSettlementDays,
100.0,
schedule,
[row.coupon / 100],
dc,
convention,
redemption)
instruments.append(helper)
params = [bondSettlementDate, instruments, dc]
cubicNots = [-30.0, -20.0, 0.0, 5.0, 10.0, 15.0,20.0, 25.0, 30.0, 40.0, 50.0]
fittingMethods = {
'NelsonSiegelFitting': ql.NelsonSiegelFitting(),
'SvenssonFitting': ql.SvenssonFitting(),
'SimplePolynomialFitting': ql.SimplePolynomialFitting(2),
'ExponentialSplinesFitting': ql.ExponentialSplinesFitting(),
'CubicBSplinesFitting': ql.CubicBSplinesFitting(cubicNots),
}
fittedBondCurveMethods = {
label: ql.FittedBondDiscountCurve(*params, method)
for label, method in fittingMethods.items()
}
curve = fittedBondCurveMethods.get('NelsonSiegelFitting')