Quantlib 自然三次樣條收益率曲線

在 Quantlib python 中是否有使用自然三次樣條插值作為產量曲線的範例？我可以從SWIG 文件中看到插值已公開，但不確定如何使用它。

我可以看到在piecewiseyieldcurve文件中公開了一些插值方法。是我應該使用的嗎？

QuantLib 有幾種收益率曲線的插值方法。以下是葡萄牙政府債券幫助您入門的一些方法範例。

import QuantLib as ql
import pandas as pd

pgbs = pd.DataFrame(
   {'maturity': ['15-06-2020', '15-04-2021', '17-10-2022', '25-10-2023',
                 '15-02-2024', '15-10-2025', '21-07-2026', '14-04-2027',
                 '17-10-2028', '15-06-2029', '15-02-2030', '18-04-2034',
                 '15-04-2037', '15-02-2045'],
    'coupon': [4.8, 3.85, 2.2, 4.95,  5.65, 2.875, 2.875, 4.125,
               2.125, 1.95, 3.875, 2.25, 4.1, 4.1],
    'px': [102.532, 105.839, 107.247, 119.824, 124.005, 116.215, 117.708,
           128.027, 115.301, 114.261, 133.621, 119.879, 149.427, 159.177]})

calendar = ql.TARGET()
today = calendar.adjust(ql.Date(19, 12, 2019))
ql.Settings.instance().evaluationDate = today

bondSettlementDays = 2
bondSettlementDate = calendar.advance(
   today,
   ql.Period(bondSettlementDays, ql.Days))
frequency = ql.Annual
dc = ql.ActualActual(ql.ActualActual.ISMA)
accrualConvention = ql.ModifiedFollowing
convention = ql.ModifiedFollowing
redemption = 100.0

instruments = []
for idx, row in pgbs.iterrows():
   maturity = ql.Date(row.maturity, '%d-%m-%Y')
   schedule = ql.Schedule(
       bondSettlementDate,
       maturity,
       ql.Period(frequency),
       calendar,
       accrualConvention,
       accrualConvention,
       ql.DateGeneration.Backward,
       False)
   helper = ql.FixedRateBondHelper(
           ql.QuoteHandle(ql.SimpleQuote(row.px)),
           bondSettlementDays,
           100.0,
           schedule,
           [row.coupon / 100],
           dc,
           convention,
           redemption)

   instruments.append(helper)

params = [bondSettlementDate, instruments, dc]

methods = {
   'logLinearDiscount': ql.PiecewiseLogLinearDiscount(*params),
   'logCubicDiscount': ql.PiecewiseLogCubicDiscount(*params),
   'linearZero': ql.PiecewiseLinearZero(*params),
   'cubicZero': ql.PiecewiseCubicZero(*params),
   'linearForward': ql.PiecewiseLinearForward(*params),
   'splineCubicDiscount': ql.PiecewiseSplineCubicDiscount(*params),
}

pgbs.index = pd.to_datetime(pgbs.maturity)
for method in methods:
   pgbs[method] = pgbs.maturity.apply(
       lambda x: methods[method].zeroRate(
                                        ql.Date(x, '%d-%m-%Y'),
                                        dc,
                                        ql.Compounded,
                                        frequency
                                      ).rate()*100
   )

pgbs

除了插值之外，您還可以查看 FittedBondDiscountCurve 類，其中有多種擬合方法（CubicBSplinesFitting、SimplePolynomialFitting、NelsonSiegelFitting、SvenssonFitting、ExponentialSplinesFitting）

引用自：https://quant.stackexchange.com/questions/50370