QuantLib 中 FixedRateBond 的 exCoupon 期限
[英]exCoupon Period for a FixedRateBond in QuantLib
问题描述
I was pricing a fixed rate bond that had the settlement date (2021\/06\/28) as two days before the next coupon payment date (2021\/06\/30).
我定价的固定利率债券的结算日期（2021 年 6 月 28 日）为下一个付息日（2021 年 6 月 30 日）前两天。 In this scenario, the coupon payment is expected to go the seller and the accrued interest is meant to account for this.在这种情况下，息票付款预计将支付给卖方，而应计利息是为了说明这一点。
I inspected the accrued interest and found that it was wrong when compared to the value from BBG.我检查了应计利息，发现与 BBG 的价值相比是错误的。 (Accrued Amount: 4.661458333333335 vs BBG: -0.026042) （应计金额：4.661458333333335 vs BBG：-0.026042）
I checked the python QL documentation but couldn't find a way to set the exCouponPeriod.我检查了 python QL 文档，但找不到设置 exCouponPeriod 的方法。 Any help on this is appreciated.对此的任何帮助表示赞赏。
Other details of the bond债券的其他细节
maturityDate = "20240630"
issueDate = "20170630"
fv= 100
dayCounter = ql.Thirty360(ql.Thirty360.European)
holidayConvention = ql.ModifiedFollowing
calculationDate = "20210625"
settlementDate = "20210629"
yld = 10.98488298/100
compounding = ql.CompoundedThenSimple
couponFreq = ql.Semiannual
coupon = 9.375/100
currency = "USD"
datagen = ql.DateGeneration.Forward
price = 95.97407
1 个解决方案
解决方案1
0 2022-01-21 06:14:52
You can find information on the params that allow for the custom exCouponPeriod in the manual (see link below) https://rkapl123.github.io/QLAnnotatedSource/d8/df8/class_quant_lib_1_1_fixed_rate_bond.html您可以在手册中找到有关允许自定义 exCouponPeriod 的参数的信息（请参见下面的链接） https://rkapl123.github.io/QLAnnotatedSource/d8/df8/class_quant_lib_1_1_fixed_rate_bond.html
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