QuantLib 在回測時返回的債券收益率略有不同

我剛剛開始熟悉 QuantLib（特別是固定利率債券定價功能）。我閱讀了一些例子，從中我可以計算出債券價格和債券收益率。

以下腳本使用輸入收益率 (0.057154825761367800000) 計算債券價格 (96.9073930899788536)，使用 bond.cleanPrice。

然後，我將計算出的債券價格回饋給 bond.bondYield 計算（其他輸入不變），期望能取回我原來的輸入收益率。

我發現反向計算的收益率很接近，但沒有我天真期望的那麼接近（它匹配到小數點後 8 位）。我做錯什麼了嗎？這是基於數值求解器最大迭代的可接受精度嗎？還有什麼？

import QuantLib as ql


def calculate_bond_price():

   settlementDays = 0
   faceValue = 100

   issueDate = ql.Date(11, 2, 2020)
   maturityDate = ql.Date(11, 2, 2025)
   tenor = ql.Period(ql.Quarterly)
   calendar = ql.NullCalendar()
   businessConvention = ql.Following
   dateGeneration = ql.DateGeneration.Backward
   monthEnd = False
   schedule = ql.Schedule (issueDate, maturityDate, tenor, calendar, businessConvention, businessConvention, dateGeneration, monthEnd)

   coupon_rate = 0.05
   coupons = [coupon_rate]

   dayCount = ql.Thirty360()

   bond = ql.FixedRateBond(settlementDays, faceValue, schedule, coupons, dayCount)

## manually specify a yield rate to 16 decimal places
## this is the value I expect to get back from bond.bondYield calculation
   yield_rate = 0.057154825761367800000

   bond_price = bond.cleanPrice(yield_rate, dayCount, ql.Simple, ql.Quarterly)
   print(f'PRICE >> calculated={bond_price:20,.16f}')
   # OUTPUTS: PRICE >> calculated= 96.9073930899788536

# feed the calculated bond price back into a bond.bondYield calculation with exact same (dayCount, Simple, Quarterly) inputs
# expect to get back the yield_rate (16 decimal); but only match to 8 decimals
   back_calculate_bond_yield = bond.bondYield(bond_price, dayCount, ql.Simple, ql.Quarterly)
   print(f'YIELD >> calculated={back_calculate_bond_yield:20,.16f} | expected={yield_rate:20,.16f} | diff={back_calculate_bond_yield-yield_rate:20,.16f}')
   # OUTPUTS: YIELD >> calculated=  0.0571548314094543 | expected=  0.0571548257613678 | diff=  0.0000000056480865


if __name__ == '__main__':
   calculate_bond_price()

我會首先說是的，這是一個可以接受的精度。

但是，您沒有得到相同結果的原因是，預設情況下，QuantLib 具有accuracy=1.0e-8和maxEvaluations=100.

您可以像這樣設置這些參數：

bond.bondYield(bond_price, dayCount, ql.Simple, ql.Quarterly, ql.Date(), 1.0e-16, 100)

這會讓你更接近…

產量 >> 計算 = 0.0571548257613679 | 預期= 0.0571548257613678 | 差異= 0.0000000000000001

引用自：https://quant.stackexchange.com/questions/51109