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RQuantLib FixedRateBondPriceByYield() 不可交易錯誤

  • September 28, 2015

如何使用FixedRateBondPriceByYield()早於今天的到期日功能?在比今天早的日期申請時,我收到“不可交易錯誤”。

library('RQuantLib')
FixedRateBondPriceByYield(, settlementDays=1, yield = 0.01524, 
                         faceAmount=100,
                         maturityDate = as.Date('2015-07-31'),
                         issueDate = as.Date('2010-07-31'),
                         effectiveDate = as.Date('2010-08-10'),
                         period = 3,
                         rates = 0.0175)

Error in fixedRateBondPriceByYieldEngine(settlementDays, yield, calendar,  : 
 non tradable at September 28th, 2015 (maturity being July 31st, 2015)

注意:將maturityDate 更改為晚於今天的日期會返回答案。

引用自:https://quant.stackexchange.com/questions/20923