在进行压力测试时，将 QuantLib 债券定价与 Excel 函数 YIELD 和 PRICE 进行比较

Question

我在 Excel 和 Python Quantlib 中计算了债券价格和压力债券价格（提高收益率）。如下 table 所示，产生了奇怪的结果：基础债券价格在 Excel 和 Quantlib 之间匹配良好，但压力债券价格有更多差距（1.5% 相对差异）。收益率也显示出一些差距。你能提供一些意见吗？

Excel代码：

    Base Bond Price=PRICE("2021-8-19","2025-8-19",4.5%,YIELD("2021-8-19","2025-8- 
   19",4.5%,95,100,4,0),100,4,0)

    Stress Bond Price=PRICE("2021-8-19","2025-8-19",4.5%,YIELD("2021-8-19","2025-8- 
   19",4.5%,95,100,4,0)+662/10000,100,4,0)

Python代码：

    import datetime
    import QuantLib as ql
    settlement_date = ql.Date(19,8,2021)
    valuation_date = ql.Date(19,8,2021)
    issue_date = ql.Date(19,8,2021)
    maturity_date = ql.Date(19,8,2025)
    tenor = ql.Period(4)
    calendar = ql.UnitedStates()
    business_convention = ql.Following
    date_generation = ql.DateGeneration.Backward
    end_month = False
    face_value = 100
    coupon_rate = 450/10000
    day_count = ql.Thirty360(ql.Thirty360.USA)
    redemption_value = 100
    schedule = ql.Schedule(issue_date, maturity_date, tenor, calendar, business_convention, business_convention, date_generation, end_month)
    bond = ql.FixedRateBond(settlement_date-valuation_date, face_value, schedule, [coupon_rate], day_count, business_convention, redemption_value, issue_date)
    target_price = 95
    bond_yield = bond.bondYield(target_price, day_count, ql.Compounded, 4, ql.Date(), 1.0e-8,1000)
    bond_price = bond.cleanPrice(bond_yield, day_count, ql.Compounded, 4)
    STRESS = 662
    stress_bond_yield = bond_yield+STRESS/10000
    
    stress_bond_price = bond.cleanPrice(stress_bond_yield, day_count, ql.Compounded, 4)
    excel_base_bond_price = 99.50
    excel_stress_bond_price = 75.02971569
    print('Base bond price from excel is', excel_base_bond_price )
    print('Base bond price from Quantlib is', bond_price)
    print('Stressed bond price from excel is',excel_stress_bond_price)
    print('Stressed bond price from Quantlib is',stress_bond_price)

Answer 1

您需要添加

ql.Settings.instance().evaluationDate = valuation_date

计算前。如果你不这样做，你将计算今天而不是估值日期的收益率和价格。一旦你这样做了，收益率和价格就会匹配得更好。

在进行压力测试时，将 QuantLib 债券定价与 Excel 函数 YIELD 和 PRICE 进行比较

Compare QuantLib bond pricing with Excel functions YIELD and PRICE when doing stress testing

excel

quantlib