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使用Quantlib，通过YTM计算债券净值

2018年09月14日  | 移动技术网IT编程  | 我要评论

韩剧没有你活不下去,丁乐锶,缪凤燕

债券标的为170005，我的python代码如下：

 1 import quantlib as ql
 2 
 3 faceamount = 100.0
 4 redemption = 100.0
 5 issuedate = ql.date(20, 2, 2017)
 6 maturity = ql.date(20, 2, 2047)
 7 couponrate = 0.0377
 8 coupons = [couponrate]
 9 ytm = 0.04245
10 calendar = ql.china(ql.china.ib)
11 frequency = ql.semiannual
12 compounce = ql.compounded
13 daycounter = ql.actualactual(ql.actualactual.isma)
14 
15 accuracy=1.0e-8
16 maxnum = 500
17 today = calendar.adjust(ql.date(14, 9, 2018))
18 ql.settings.evaluationdate = today
19 settlementdays = 0
20 settlementdate = calendar.advance(
21         today,
22         ql.period(settlementdays, ql.days))
23 
24 discountingtermstructure = ql.relinkableyieldtermstructurehandle()
25 flattermstructure = ql.flatforward(settlementdate,
26                                    ytm,
27                                    daycounter,
28                                    compounce,
29                                    frequency)
30 
31 discountingtermstructure.linkto(flattermstructure)
32 bondengin = ql.discountingbondengine(discountingtermstructure)
33 
34 schedule = ql.schedule(issuedate,
35                           maturity,
36                           ql.period(frequency),
37                           ql.china(ql.china.ib),
38                           ql.following,
39                           ql.following,
40                           ql.dategeneration.backward,
41                           false)
42 fixedratebond = ql.fixedratebond(settlementdays,
43                        faceamount,
44                        schedule,
45                        coupons,
46                        daycounter,
47                        ql.following,
48                        redemption,
49                        issuedate)
50 fixedratebond.setpricingengine(bondengin)
51 
52 print(fixedratebond.cleanprice())
53 print(fixedratebond.cleanprice(0.04245,daycounter,compounce,frequency,ql.date(14,9,2018)))
54 print(fixedratebond.dirtyprice(0.04245,daycounter,compounce,frequency))
55 print(fixedratebond.bondyield(95,daycounter,compounce,frequency,ql.date(14,9,2018),accuracy,maxnum))
56 print(flattermstructure.zerorate(ql.date(14,9,2018),daycounter,compounce, frequency).rate())

输出结果为：　

92.25734945596061
92.19752850225078
92.45364263268556
0.04068211793899536
0.0424500000008563

1、两种pricevalue的计算结果不一样，是我理解错了嘛？

2、npv和cleanprice的区别是啥？

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