我正在尝试在Python中运行官方的C++ cpibond示例。原始示例在此处:https://github.com/lballabio/quantlib/blob/master/QuantLib/test-suite/inflationcpibond.cpp,Scala版本在此处:https://github.com/lballabio/quantlib/blob/master/QuantLib-SWIG/Scala/examples/CPIBond.scala
当我运行我的尝试时,出现以下错误:
这是我的尝试代码:RuntimeError: 第1次迭代:在第1个存活工具到期日(2010年9月1日),参考日期为2009年9月1日失败:第2个腿:缺少2009年9月1日的英国RPI fixing
import QuantLib as ql
calendar = ql.UnitedKingdom()
dayCounter = ql.ActualActual();
convention = ql.ModifiedFollowing
today = ql.Date(20, 11, 2009)
evaluationDate = calendar.adjust(today)
ql.Settings.instance().setEvaluationDate(evaluationDate)
yTS = ql.YieldTermStructureHandle(ql.FlatForward(evaluationDate, 0.05, dayCounter))
from_date = ql.Date(20, ql.July, 2007);
to_date = ql.Date(20, ql.November, 2009);
tenor = ql.Period(1, ql.Months)
rpiSchedule = ql.Schedule(from_date, to_date, tenor, calendar,
convention, convention,
ql.DateGeneration.Backward, False)
cpiTS = ql.RelinkableZeroInflationTermStructureHandle()
inflationIndex = ql.UKRPI(False, cpiTS)
fixData = [206.1, 207.3, 208.0, 208.9, 209.7, 210.9,
209.8, 211.4, 212.1, 214.0, 215.1, 216.8,
216.5, 217.2, 218.4, 217.7, 216,
212.9, 210.1, 211.4, 211.3, 211.5,
212.8, 213.4, 213.4, 213.4, 214.4,213.4, 214.4]
dte_fixings=[dtes for dtes in rpiSchedule]
print len(dte_fixings)
print len(fixData)
#must be the same length
inflationIndex.addFixings(dte_fixings, fixData)
observationLag = ql.Period(2, ql.Months)
zciisData =[( ql.Date(25, ql.November, 2010), 3.0495 ),
( ql.Date(25, ql.November, 2011), 2.93 ),
( ql.Date(26, ql.November, 2012), 2.9795 ),
( ql.Date(25, ql.November, 2013), 3.029 ),
( ql.Date(25, ql.November, 2014), 3.1425 ),
( ql.Date(25, ql.November, 2015), 3.211 ),
( ql.Date(25, ql.November, 2016), 3.2675 ),
( ql.Date(25, ql.November, 2017), 3.3625 ),
( ql.Date(25, ql.November, 2018), 3.405 ),
( ql.Date(25, ql.November, 2019), 3.48 ),
( ql.Date(25, ql.November, 2021), 3.576 ),
( ql.Date(25, ql.November, 2024), 3.649 ),
( ql.Date(26, ql.November, 2029), 3.751 ),
( ql.Date(27, ql.November, 2034), 3.77225),
( ql.Date(25, ql.November, 2039), 3.77 ),
( ql.Date(25, ql.November, 2049), 3.734 ),
( ql.Date(25, ql.November, 2059), 3.714 )]
lRates=[rtes/100.0 for rtes in zip(*zciisData)[1]]
baseZeroRate = lRates[0]
zeroSwapHelpers = [ql.ZeroCouponInflationSwapHelper(a[1]/100,observationLag,
a[0], calendar, convention, dayCounter, inflationIndex) for a in zciisData]
cpiTS.linkTo(ql.PiecewiseZeroInflation(
evaluationDate, calendar, dayCounter, observationLag,
inflationIndex.frequency(), inflationIndex.interpolated(),
baseZeroRate,
yTS, zeroSwapHelpers, 1.0e-12, ql.Linear()))
notional = 1000000
fixedRates = [0.1]
fixedDayCounter = ql.Actual365Fixed()
fixedPaymentConvention = ql.ModifiedFollowing
fixedPaymentCalendar = ql.UnitedKingdom()
contractObservationLag = ql.Period(3, ql.Months)
observationInterpolation = ql.CPI.Flat
settlementDays = 3
growthOnly = True
baseCPI = 206.1
startDate = ql.Date(2, 10, 2007)
endDate = ql.Date(2, 10, 2052)
fixedSchedule = ql.Schedule(startDate, endDate,
ql.Period(6, ql.Months), fixedPaymentCalendar,
ql.Unadjusted,
ql.Unadjusted,
ql.DateGeneration.Backward, False)
bond = ql.CPIBond(settlementDays, notional, growthOnly,
baseCPI, contractObservationLag,
inflationIndex, observationInterpolation,
fixedSchedule, fixedRates, fixedDayCounter,
fixedPaymentConvention)
bondEngine=ql.DiscountingBondEngine(yTS)
bond.setPricingEngine(bondEngine)
print bond.NPV()
print bond.cleanPrice()
我的主要问题在于我很难理解这些对象如何配合在一起。
fixedRates = [0.1]
的代码? - Lay González