Quantlib 中的術語結構/評估日期

我對 Quantlib 在收益率期限結構類中處理評估日期的方式感到困惑。我有以下程式碼作為範例：

import QuantLib as ql
import pandas as pd


#Curve
def build_termstruc(curve_date):
   helpers = []
   handle = ql.YieldTermStructureHandle()
   tenors = [1,3,6,9,12,18,2,3,4,5,6,7,8,9,10,15,20]
   swap_rates = [2.75,2.875,2.99,3.12,3.25,3.5,3.61,3.795,3.925,4.025,4.115,4.195,4.265,4.335,4.4,4.555,4.68]

   fixing_days = 0
   calendar = ql.NullCalendar()
   settlement_days = 0
   day_counter = ql.Actual360()
   index = ql.OvernightIndex("index", settlement_days,ql.CLPCurrency(),calendar,day_counter)
   for i in range(len(tenors)):
       if i == 0:
           helpers += [ql.DepositRateHelper(ql.QuoteHandle(ql.SimpleQuote(swap_rates[i]/100)),
                           ql.Period(1,ql.Days),
                           fixing_days,
                           calendar,
                           ql.Unadjusted,
                           False,
                           ql.Actual360())]
           continue
       elif i < 6 and i > 0:
           period = ql.Period(tenors[i], ql.Months)
           frequency = ql.Months
       elif i >=6:
           period = ql.Period(tenors[i], ql.Years)
           frequency = ql.Years

       helpers += [ql.OISRateHelper(settlement_days,
                       period,
                       ql.QuoteHandle(ql.SimpleQuote(swap_rates[i]/100)),
                       index,
                       handle,
                       False,
                       0,
                       ql.Following,
                       frequency)]
   return ql.PiecewiseFlatForward(curve_date, helpers, ql.Actual360())
def build_bond():
   #Bond
   issue_date = ql.Date(1,6,2015)
   maturity_date = ql.Date(1,6,2020)
   calendar = ql.NullCalendar()
   coupon_day_count = ql.Unadjusted
   payment_convention = ql.Following
   date_generation = ql.DateGeneration.Forward
   month_end = False
   settlement_days = 0
   int_day_count = ql.Thirty360()
   notional = 100
   coupons = [4.5/100]
   #non static variables
   schedule = ql.Schedule (issue_date,
                           maturity_date,
                           ql.Period(ql.Semiannual),
                           calendar,
                           coupon_day_count,
                           payment_convention,
                           date_generation,
                           month_end)

   return ql.FixedRateBond(settlement_days, notional, schedule, coupons, int_day_count)

def test1():
   curve_date = ql.Date(14,11,2018)
   ql.Settings.instance().evaluationDate = curve_date
   ts = build_termstruc(curve_date)

   bond = build_bond()
   bond_IIR = ql.InterestRate(3.78/100, ql.Actual365Fixed(), ql.Compounded, ql.Annual)
   npv = ql.CashFlows.npv(bond.cashflows(), bond_IIR, False)
   spread = ql.CashFlows.zSpread(bond.cashflows(), npv, ts, ql.Actual360(), ql.Compounded, ql.Annual, True)*100
   print('NPV: ', npv,'Spread: ', spread)

def test2():
   curve_date = ql.Date(14,11,2018)
   ts = build_termstruc(curve_date)
   ql.Settings.instance().evaluationDate = curve_date

   bond = build_bond()
   bond_IIR = ql.InterestRate(3.78/100, ql.Actual365Fixed(), ql.Compounded, ql.Annual)

   npv = ql.CashFlows.npv(bond.cashflows(), bond_IIR, False)
   spread = ql.CashFlows.zSpread(bond.cashflows(), npv, ts, ql.Actual360(), ql.Compounded, ql.Annual, True)*100
   print('NPV: ', npv,'Spread: ', spread)

if __name__ == '__main__':
   test1()
   test2()

程式碼的想法是，前兩種方法建立一個期限結構和一個債券，而另外兩種（test1 和 test2）只改變設置評估日期的位置。結果如下：

NPV:  103.15824069057247 Spread:  0.18307250901326033 
NPV:  103.15824069057247 Spread:  0.18307250901326033

如果我設置曲線參考日期，我不明白為什麼我會得到不同的 z 點差。

您的點差定義不同。在 Def Test2() 中，它乘以 100。這就是點差發生小數移動的原因。

引用自：https://quant.stackexchange.com/questions/42678