設置 OvernightIndex Quantlib

不知何故，我在關於在 QuantLib 中設置隔夜指數的舊問題上苦苦掙扎（請參閱問題：舊問題）。我不明白的是如何設置curve_handle：

index = OvernightIndex("EONIA", 0, EURCurrency(),
                      TARGET(), Actual360(), curve_handle)

我有一組新加坡隔夜指數聲納的數據。我現在不知道如何設置，curve_handle在下面的範例中標記為xxxxx。我想我可以把它排除在外，如下所示。程式碼如下所示：

import QuantLib as ql

todaysDate = ql.Date(10, ql.December, 2017)
ql.Settings.instance().evaluationDate = todaysDate

calendar = ql.Singapore()
dayCounter_Act365 = ql.Actual365()
settlement_days_sonar = 2

SGD_SONAT_OIS = ql.OvernightIndex("SONAR", settlement_days_sonar, ql.SGDCurrency(), calendar, dayCounter_Act365)

#--------------------------------------------------------------------
# Discounting curve
#--------------------------------------------------------------------

# setup DepositRateHelper for 0-1 days
helpers_disc = [ql.DepositRateHelper(ql.QuoteHandle(ql.SimpleQuote(rate/100)),
                                    ql.Period(1,ql.Days), fixingDays,
                                    calendar, ql.ModifiedFollowing, False, ql.Actual365())
           for rate, fixingDays in [(0.081, 0)]]

# Overnight Index Swap rate
# setup OISRateHelper for 1,2,3 weeks and 1 month
helpers_disc += [ql.OISRateHelper(settlement_days_sonar, ql.Period(*tenor),
                                 ql.QuoteHandle(ql.SimpleQuote(rate/100)), SGD_SONAT_OIS)
           for rate, tenor in [(0.0713, (1,ql.Weeks)), 
                               (0.0688, (2,ql.Weeks)),
                               (0.0663, (3,ql.Weeks))]]

# OIS quotes up to 30 years
# setup OISRateHelper from 1 months to 30 years
helpers_disc += [ql.OISRateHelper(settlement_days_sonar, ql.Period(*tenor),
                                ql.QuoteHandle(ql.SimpleQuote(rate/100)), SGD_SONAT_OIS)
           for rate, tenor in [(0.0656, (1,ql.Months)), 
                               (0.0613  , (2,ql.Months)),
                               (0.06 , (3,ql.Months)),
                               (0.0563 , (4,ql.Months)),
                               (0.055  , (5,ql.Months)),
                               (0.0538 , (6,ql.Months)),
                               (0.3356 , (9,ql.Years)),
                               (0.3806 , (10,ql.Years)),
                               (0.4938 , (12,ql.Years)),
                               (0.6888 , (15,ql.Years)),
                               (0.965 , (20,ql.Years)),
                               (1.1081 , (25,ql.Years)),
                               (1.1831, (30,ql.Years))]]

sonar_curve = ql.PiecewiseLogCubicDiscount(date, helpers_disc, ql.Actual365())
sonar_curve.enableExtrapolation()

您可以在曲線的引導過程中將其排除在外。在這種情況下，索引僅用於詢問其約定。

稍後，如果您想預測指數固定，您可以使用您引導的曲線初始化句柄並將其傳遞給指數。

引用自：https://quant.stackexchange.com/questions/37532