Python 运行时错误-远期利率计算
我正在尝试建立一个远期年度EONIA远期曲线，输入期限从1周到50年 到目前为止，我已经成功地编写了以下代码：Python 运行时错误-远期利率计算,python,pandas,quantitative-finance,quantlib,Python,Pandas,Quantitative Finance,Quantlib,我正在尝试建立一个远期年度EONIA远期曲线，输入期限从1周到50年 到目前为止，我已经成功地编写了以下代码： data maturity spot rate 0 1 -0.529 1 2 -0.529 2 3 -0.529 3 1 -0.504 4 2 -0.505 5 3 -0.506 6 4 -0.508 7
data
maturity spot rate
0 1 -0.529
1 2 -0.529
2 3 -0.529
3 1 -0.504
4 2 -0.505
5 3 -0.506
6 4 -0.508
7 5 -0.509
8 6 -0.510
9 7 -0.512
10 8 -0.514
11 9 -0.515
12 10 -0.517
13 11 -0.518
14 1 -0.520
15 15 -0.524
16 18 -0.526
17 21 -0.527
18 2 -0.528
19 3 -0.519
20 4 -0.501
21 5 -0.476
22 6 -0.441
23 7 -0.402
24 8 -0.358
25 9 -0.313
26 10 -0.265
27 11 -0.219
28 12 -0.174
29 15 -0.062
30 20 0.034
31 25 0.054
32 30 0.039
33 40 -0.001
34 50 -0.037
terms= data["maturity"].tolist()
rates= data['spot rate'].tolist()
calendar = ql.TARGET()
business_convention = ql.ModifiedFollowing
day_count = ql.Actual360()
settlement_days_EONIA = 2
EONIA = ql.OvernightIndex("EONIA", settlement_days_EONIA, ql.EURCurrency(), calendar, day_count)
# Deposit Helper
depo_facility = -0.50
depo_helper = [ql.DepositRateHelper(ql.QuoteHandle(ql.SimpleQuote(depo_facility/100)), ql.Period(1,ql.Days), 1, calendar, ql.Unadjusted, False, day_count)]
# OIS Helper
OIS_helpers = []
for i in range(len(terms)):
if i < 3:
tenor = ql.Period(ql.Weeks)
eon_rate = rates[i]
OIS_helpers.append(ql.OISRateHelper(settlement_days_EONIA, tenor, ql.QuoteHandle(ql.SimpleQuote(eon_rate/100)), EONIA))
elif i < 12:
tenor = ql.Period(ql.Months)
eon_rate = rates[i]
OIS_helpers.append(ql.OISRateHelper(settlement_days_EONIA, tenor, ql.QuoteHandle(ql.SimpleQuote(eon_rate/100)), EONIA))
else:
tenor = ql.Period(ql.Years)
eon_rate = rates[i]
OIS_helpers.append(ql.OISRateHelper(settlement_days_EONIA, tenor, ql.QuoteHandle(ql.SimpleQuote(eon_rate/100)), EONIA))
rate_helpers = depo_helper + OIS_helpers
eonia_curve_c = ql.PiecewiseLogCubicDiscount(0, ql.TARGET(), rate_helpers, day_count)
#This doesn't give me a daily grid of rates, but only the rates at the tenors of my input
eonia_curve_c.enableExtrapolation()
days = ql.MakeSchedule(eonia_curve_c.referenceDate(), eonia_curve_c.maxDate(), ql.Period('1Y'))
rates_fwd = [
eonia_curve_c.forwardRate(d, calendar.advance(d,365,ql.Days), day_count, ql.Simple).rate()*100
for d in days
]
OIS助手的代码中可能有错误，其中存在重叠，但我不确定我做错了什么。有人知道问题出在哪里吗？首先，我为所有不雅观的Python道歉，因为我来自C++： 原始问题的主要问题是，ql.Period（）在与整数个周期一起使用时采用两个参数：例如ql.Period（3，ql.Years）。相反，如果您使用期限的字符串表示形式（例如“3y”）构造输入数组，则只需将此字符串传递给ql.Period（）。因此ql.Period（3，ql.Years）和ql.Period（'3y'）给出了相同的结果
import QuantLib as ql
import numpy as np
import pandas as pd
curve = [ ['1w', -0.529],
['2w', -0.529],
['3w', -0.529],
['1m', -0.504],
['2m', -0.505],
['3m', -0.506],
['4m', -0.508],
['5m', -0.509],
['6m', -0.510],
['7m', -0.512],
['8m', -0.514],
['9m', -0.515],
['10m', -0.517],
['11m', -0.518],
['1y', -0.520],
['15m', -0.524],
['18m', -0.526],
['21m', -0.527],
['2y', -0.528],
['3y', -0.519],
['4y', -0.501],
['5y', -0.476],
['6y', -0.441],
['7y', -0.402],
['8y', -0.358],
['9y', -0.313],
['10y', -0.265],
['11y', -0.219],
['12y', -0.174],
['15y', -0.062],
['20y', 0.034],
['25y', 0.054],
['30y', 0.039],
['40y', -0.001],
['50y', -0.037] ]
data = pd.DataFrame(curve, columns = ['maturity','spot rate'])
print('Input curve\n',data)
terms= data["maturity"].tolist()
rates= data['spot rate'].tolist()
calendar = ql.TARGET()
day_count = ql.Actual360()
settlement_days_EONIA = 2
EONIA = ql.OvernightIndex("EONIA", settlement_days_EONIA, ql.EURCurrency(), calendar, day_count)
# Deposit Helper
depo_facility = -0.50
depo_helper = [ql.DepositRateHelper(ql.QuoteHandle(ql.SimpleQuote(depo_facility/100)), ql.Period(1,ql.Days), 1, calendar, ql.Unadjusted, False, day_count)]
# OIS Helper
OIS_helpers = []
for i in range(len(terms)):
tenor = ql.Period(terms[i])
eon_rate = rates[i]
OIS_helpers.append(ql.OISRateHelper(settlement_days_EONIA, tenor, ql.QuoteHandle(ql.SimpleQuote(eon_rate/100)), EONIA))
rate_helpers = depo_helper + OIS_helpers
eonia_curve_c = ql.PiecewiseLogCubicDiscount(0, ql.TARGET(), rate_helpers, day_count)
#This doesn't give me a daily grid of rates, but only the rates at the tenors of my input
eonia_curve_c.enableExtrapolation()
days = ql.MakeSchedule(eonia_curve_c.referenceDate(), eonia_curve_c.maxDate(), ql.Period('1Y'))
rates_fwd = [
eonia_curve_c.forwardRate(d, calendar.advance(d,365,ql.Days), day_count, ql.Simple).rate()*100
for d in days
]
print('Output\n',pd.DataFrame(rates_fwd,columns=['Fwd rate']))
我绝不是Python专家，但这行代码是：tenor=ql.Period（ql.Weeks）。QL参考建议您应该有几周的时间。。。应该是ql.Period（术语[i]，ql.Weeks）等吗？在tenor=ql.Period（ql.Weeks）这行中，我猜ql.Period试图将ql.Weeks解释为频率。在C++枚举中，QL周＝1，月份为2，年为3。因此ql.Period（n）被解释为一个频率，1=每年，2=半年，3=每四个月。线索是，当您使用ql.Years时，实际上您使用的是ql.Period（3），它每四个月一次。。。给你（假设你的即期结算是21年2月18日）许多到期日为21年6月18日的工具。因为这是你设定的最短日期，所以这是QL首先抱怨的。欢迎使用Python类型安全！谢谢，我终于设法让它工作了。我必须将OIS助手与术语索引进行分类。
import QuantLib as ql
import numpy as np
import pandas as pd
curve = [ ['1w', -0.529],
['2w', -0.529],
['3w', -0.529],
['1m', -0.504],
['2m', -0.505],
['3m', -0.506],
['4m', -0.508],
['5m', -0.509],
['6m', -0.510],
['7m', -0.512],
['8m', -0.514],
['9m', -0.515],
['10m', -0.517],
['11m', -0.518],
['1y', -0.520],
['15m', -0.524],
['18m', -0.526],
['21m', -0.527],
['2y', -0.528],
['3y', -0.519],
['4y', -0.501],
['5y', -0.476],
['6y', -0.441],
['7y', -0.402],
['8y', -0.358],
['9y', -0.313],
['10y', -0.265],
['11y', -0.219],
['12y', -0.174],
['15y', -0.062],
['20y', 0.034],
['25y', 0.054],
['30y', 0.039],
['40y', -0.001],
['50y', -0.037] ]
data = pd.DataFrame(curve, columns = ['maturity','spot rate'])
print('Input curve\n',data)
terms= data["maturity"].tolist()
rates= data['spot rate'].tolist()
calendar = ql.TARGET()
day_count = ql.Actual360()
settlement_days_EONIA = 2
EONIA = ql.OvernightIndex("EONIA", settlement_days_EONIA, ql.EURCurrency(), calendar, day_count)
# Deposit Helper
depo_facility = -0.50
depo_helper = [ql.DepositRateHelper(ql.QuoteHandle(ql.SimpleQuote(depo_facility/100)), ql.Period(1,ql.Days), 1, calendar, ql.Unadjusted, False, day_count)]
# OIS Helper
OIS_helpers = []
for i in range(len(terms)):
tenor = ql.Period(terms[i])
eon_rate = rates[i]
OIS_helpers.append(ql.OISRateHelper(settlement_days_EONIA, tenor, ql.QuoteHandle(ql.SimpleQuote(eon_rate/100)), EONIA))
rate_helpers = depo_helper + OIS_helpers
eonia_curve_c = ql.PiecewiseLogCubicDiscount(0, ql.TARGET(), rate_helpers, day_count)
#This doesn't give me a daily grid of rates, but only the rates at the tenors of my input
eonia_curve_c.enableExtrapolation()
days = ql.MakeSchedule(eonia_curve_c.referenceDate(), eonia_curve_c.maxDate(), ql.Period('1Y'))
rates_fwd = [
eonia_curve_c.forwardRate(d, calendar.advance(d,365,ql.Days), day_count, ql.Simple).rate()*100
for d in days
]
print('Output\n',pd.DataFrame(rates_fwd,columns=['Fwd rate']))