标签: quantlib-swig

我试图使用Quantlib(v1.2)SWIG包装器在python中为一个非常基本的浮动利率债券定价.我修改了文档中包含的示例.

我的债券有4年的到期期限.libor设定为10%,债券的差价为0.我的问题是,如果我以10%的比率打折,为什么债券的PV不是100？我的值为99.54.

谢谢!

from QuantLib import *

frequency_enum, settle_date = 4, Date(5, 1, 2010)
maturity_date = Date(5, 1, 2014)
face_amount = 100.0
settlement_days = 0
fixing_days = 0

calendar = NullCalendar()
settle_date = calendar.adjust(settle_date)
todays_date = calendar.advance(settle_date, -fixing_days, Days)
Settings.instance().evaluationDate = todays_date

rate = 10.0 / 100.0

flat_forward = FlatForward(settle_date,
                           rate,
                           Thirty360(),
                           Compounded,
                           frequency_enum)

discounting_term_structure = RelinkableYieldTermStructureHandle(flat_forward)
index_term_structure = RelinkableYieldTermStructureHandle(flat_forward)

index = USDLibor(Period(3, Months), index_term_structure)

schedule = Schedule(settle_date,
                    maturity_date, Period(frequency_enum),
                    NullCalendar(),
                    Unadjusted, Unadjusted,
                    DateGeneration.Forward, False)

floating_bond = FloatingRateBond(settlement_days,
                                 face_amount,
                                 schedule, …

我有一个以quantlib的日期格式定义的日期列表。如何将它们转换为日期时间格式。我要问的原因是，我想绘制它，并且收到以下错误：

TypeError：float（）参数必须是字符串或数字，而不是'Date'

在执行以下操作时：

plt.plot(dates,rates, linewidth=2.0) # Without date plotting works out.

日期如下所示：

[
  Date(11,12,2012), 
  Date(12,12,2012), 
  Date(13,12,2012),
  Date(14,12,2012), 
  Date(15,12,2012), 
  Date(16,12,2012),
  Date(17,12,2012), 
  Date(18,12,2012), 
  Date(19,12,2012),
  Date(20,12,2012)
]