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我想充分了解Quantlib的解算器的工作原理來計算Z-利差給出的預測利率期限結構的浮動利率債券和折現期限結構。要做到這一點，首先我創建了一個簡單的輔助類，計算收率到我將使用隨着解算器（我選擇布倫特）來比較BondFunctions ::產量產量計算的鍵的成熟。儘管如此，我得到了三個樣本債券的兩個不同的結果，我不明白爲什麼。Quantlib求解器不產生相同的到期收益率作爲BondFunctions ::產量
首先創建一個輔助類使用quantlib的求解器
class ytmsolver{
private:
const Real obsPrice;
const Bond& bondObject;
const Date& date;
DayCounter dayCounter;
Compounding compounding;
Frequency frequency;
public:
//constructor
ytmsolver(const Bond &bond, Real &price, Date &settlementDate, DayCounter& dc, Compounding& comp,
Frequency& freq):bondObject(bond),obsPrice(price),date(settlementDate), dayCounter(dc),
compounding(comp),frequency(freq){};
//overloaded operator to be used in the solver
Real operator()(const Rate& rate)const{
return (bondObject.cleanPrice(rate,dayCounter,compounding,frequency)-obsPrice);
}
}來計算數值的產率債券到期;
然後我創建浮動速率鍵工廠與索引，forecating術語結構（假定爲平面爲計算的時刻的簡單）和定價引擎創建一個浮子。
FloatingRateBond flatTermStructureFloaterFactory(Natural indexTenor, Frequency freq, Date tradeDate,
Date settlementDate,Natural settlementDays, Real faceAmount, const Schedule &schedule,
const Calendar& calendar,const Real ¤tLiborFixing,const Real& lastResetDateLiborFixing,
const DayCounter &accrualDayCounter,
BusinessDayConvention paymentConvention=Following, Natural fixingDays=Null<Natural>(),
const std::vector<Real> &gearings=std::vector<Real>(1, 1.0),
const std::vector<Spread> &spreads=std::vector<Spread>(1, 0.0),
const std::vector<Rate> &caps=std::vector<Rate>(),
const std::vector<Rate> &floors=std::vector<Rate>(),
bool inArrears=false, Real redemption=100.0, const Date &issueDate=Date()){
//***********Term structure declaration***********
//term structure for the cash flows using a libor index
RelinkableHandle<YieldTermStructure> liborTermStructure;
//Libor index which is tied to the Frequency of payments or index tenor
boost::shared_ptr<IborIndex> libor(new USDLibor(Period(indexTenor,Months),liborTermStructure));
//term structure to forecast rest of cash flows
boost::shared_ptr<YieldTermStructure> flatforecast(
new FlatForward(settlementDate, currentLiborFixing, accrualDayCounter, Simple, freq));
liborTermStructure.linkTo(flatforecast);
//Relinkable handle to assign to the price engine.
RelinkableHandle<YieldTermStructure> discountingTermStructure;
//***********Bond object creation***********
FloatingRateBond floatingRateBondInstance(settlementDays, faceAmount,
schedule, libor, accrualDayCounter,
paymentConvention, fixingDays,
// gearings
gearings,
// spreads
spreads);
//*********Finds the last reset date****************
Date lastResetDate;
Leg cashflows=floatingRateBondInstance.cashflows();
/*
Finds the last reset date by browsing through the cashflow dates and offsetting them by
the number of fixing days and a provided calendar.
(ONLY WORKS WITH BONDS WITH THE SAME INDEX AS PERIODICITY)
If this date is provided by the flat file then this search is completely unnecessary
*/
for (Size i=0; i<cashflows.size()-1; i++) {
//Takes the lastResetDate to be the las ocurred date prior the the tradeDate
if ((cashflows[i]->hasOccurred(tradeDate, true))) {
lastResetDate=calendar.advance(cashflows[i]->date(),-fixingDays, Days,paymentConvention);
//cout<<lastResetDate<<endl; //used to print the dates as a debug method.
}
}
cout<<"lastResetDate: "<<lastResetDate<<endl; //prints it to ensure that its correct.
//*********Adds the previous libor rate associated to the last reset date*************
libor->addFixing(lastResetDate, lastResetDateLiborFixing); //last reset date minus fixing days
//***********Bond Engine declaration***********
boost::shared_ptr<PricingEngine> bondEngine(new DiscountingBondEngine (discountingTermStructure));
floatingRateBondInstance.setPricingEngine(bondEngine); //setting the pricing engine for the bond
return floatingRateBondInstance;
}
在此之後，我創建一個簡單的函數調用Quantlib的bondfunctions並計算債券收益率（這是我作爲計算給定的浮動利率債券的收益率的一種方式使用。
Real priceToYieldFlatTermStructure(const Bond& bond,
Real cleanPrice,
const DayCounter& dayCounter,
Compounding compounding,
Frequency frequency,
Date settlement,
Real accuracy=1e-50,
Size maxIterations=10000){
//Calls the bond function yield which takes a bond, a clean price, a day count, a compounding,
//a frequency of payments, a settlement date, a degree of accuracy and the number of max iterations to
//reach the yield.
Real irr=BondFunctions::yield(bond,cleanPrice,dayCounter,compounding,frequency,
settlement,accuracy,maxIterations);
return irr;
}
，然後我嘗試使用Quantlib的求解器來獲得這些債券的收益率定一個乾淨的價格，我得到使用FOL不同的結果降脂代碼：
int main(){
try {
Brent solver;
Real accuracy=1e-30, guess=0.00, min=-1.0, max=0.5;
cout<<"*******************************************"<<endl;
cout<<"Bond # 1: US4042Q0HC65"<<endl;
cout<<"*******************************************"<<endl;
//***********Input declaration***********
Natural settlementDays = 3;
Natural fixingdays=2;
Natural indexTenor=6;
Date tradeDate(02,Mar,2015);
Date issueDate(9,Aug,2006);
Date maturityDate(22,Aug,2016);
Real resetMargin=0.016;
Real indexMultiplier=1.0;
Frequency frequency=Semiannual;
Calendar holidayCalendar=UnitedStates(UnitedStates::NYSE);
BusinessDayConvention businessDayConvention= BusinessDayConvention(ModifiedFollowing);
DayCounter dayCounter=Actual360();
Real lastResetDateLiborFixing=0.003853;
Real currentLiborFixing=0.003842;
Real redemption=100;
string settlementcode="BDY"; //internal settlementcode
string settlementvalue="3"; //internal settlementvalue
Date settlementDate=getSettlementDate(tradeDate,holidayCalendar,settlementcode,settlementvalue); //function call to get the settlement date (this is working properly)
cout<<"settlementDate :"<<settlementDate<<endl;
Compounding compounding=Compounded;
Real faceAmount = redemption;
Real obsprice=101.431;
Schedule schedule(issueDate, maturityDate, Period(frequency),
holidayCalendar, businessDayConvention, businessDayConvention,
DateGeneration::Backward, true);
//***********Bond creation to be priced***********
FloatingRateBond floatingRateBondInstance1=flatTermStructureFloaterFactory(indexTenor,frequency,tradeDate,settlementDate,
settlementDays,faceAmount,schedule,holidayCalendar,currentLiborFixing,lastResetDateLiborFixing,
dayCounter,businessDayConvention,fixingdays,std::vector<Real>(1, indexMultiplier),
std::vector<Rate>(1, resetMargin));
Real ytm=priceToYieldFlatTermStructure(floatingRateBondInstance1,obsprice,dayCounter,compounding,frequency,settlementDate);
//***********Bond pricing, yield and discount marging computation***********
cout<<"Clean price: "<<floatingRateBondInstance1.cleanPrice(ytm,dayCounter,compounding,frequency,settlementDate)<<endl;
cout<<"Dirty price: "<<floatingRateBondInstance1.dirtyPrice(ytm,dayCounter,compounding,frequency,settlementDate)<<endl;
cout<<"Accrued interest: "<<floatingRateBondInstance1.accruedAmount(settlementDate)<<endl;
cout<<"Yield: "<<ytm*100<<"%"<<endl;
cout<<"Discount Margin: "<<(ytm-currentLiborFixing)*100<<"%"<<endl;
//***************solver testing***************
Real irr=solver.solve(ytmsolver(floatingRateBondInstance1,obsprice,settlementDate,dayCounter,
compounding,frequency),accuracy,guess,min,max);
cout<<"irr: "<<irr*100<<"%"<<endl;
cout<<"*******************************************"<<endl;
cout<<"Bond # 2: US4042Q0HB82"<<endl;
cout<<"*******************************************"<<endl;
//***********Input declaration***********
indexTenor=6;
issueDate=Date(27,Jul,2006);
maturityDate=Date(20,Jul,2016);
resetMargin=0.0151;
indexMultiplier=1.0;
frequency=Semiannual;
holidayCalendar=TARGET();
//holidayCalendar=UnitedStates(UnitedStates::NYSE); //not counting martin luther king day, jan 15,15 as last reset date
businessDayConvention=BusinessDayConvention(ModifiedFollowing);
dayCounter=Actual360();
lastResetDateLiborFixing=0.003549;
currentLiborFixing=0.003842;
redemption=100;
settlementcode="BDY"; //internal settlement code
settlementvalue="3"; //internal settlement value
settlementDate=getSettlementDate(tradeDate,holidayCalendar,settlementcode,settlementvalue); //function call to get the settlement date (this is working properly)
cout<<"settlementDate :"<<settlementDate<<endl;
compounding=Compounded;
faceAmount = redemption;
obsprice=100.429;
schedule=Schedule(issueDate, maturityDate, Period(frequency),
holidayCalendar, businessDayConvention, businessDayConvention,
DateGeneration::Backward, true);
//***********Bond creation to be priced***********
FloatingRateBond floatingRateBondInstance2=flatTermStructureFloaterFactory(indexTenor,frequency,tradeDate,settlementDate,
settlementDays,faceAmount,schedule,holidayCalendar,currentLiborFixing,lastResetDateLiborFixing,
dayCounter,businessDayConvention,fixingdays,std::vector<Real>(1, indexMultiplier),
std::vector<Rate>(1, resetMargin));
ytm=priceToYieldFlatTermStructure(floatingRateBondInstance2,obsprice,dayCounter,compounding,frequency,settlementDate);
//***********Bond pricing, yield and discount marging computation***********
cout<<"Clean price: "<<floatingRateBondInstance2.cleanPrice(ytm,dayCounter,compounding,frequency,settlementDate)<<endl;
cout<<"Dirty price: "<<floatingRateBondInstance2.dirtyPrice(ytm,dayCounter,compounding,frequency,settlementDate)<<endl;
cout<<"Accrued interest: "<<floatingRateBondInstance2.accruedAmount(settlementDate)<<endl;
cout<<"Yield: "<<ytm*100<<"%"<<endl;
cout<<"Discount Margin: "<<(ytm-currentLiborFixing)*100<<"%"<<endl;
//***************solver testing***************
irr=solver.solve(ytmsolver(floatingRateBondInstance2,obsprice,settlementDate,dayCounter,
compounding,frequency),accuracy,guess,min,max);
cout<<"irr: "<<irr*100<<"%"<<endl;
cout<<"*******************************************"<<endl;
cout<<"Bond # 3: US59022CCT80"<<endl;
cout<<"*******************************************"<<endl;
//***********Input declaration***********
indexTenor=3;
tradeDate=Date(10,Jun,2015);
issueDate=Date(02,May,2007);
maturityDate=Date(02,May,2017);
resetMargin=0.0055;
indexMultiplier=1.0;
frequency=Quarterly;
holidayCalendar=UnitedStates(UnitedStates::NYSE); //not counting martin luther kind day, jan 15,15 as last reset date
businessDayConvention=BusinessDayConvention(ModifiedFollowing);
dayCounter=Actual360();
lastResetDateLiborFixing=0.0027875;
currentLiborFixing=0.0028785;
redemption=100;
settlementcode="BDY"; //internal settlement code
settlementvalue="3"; //internal settlement value
settlementDate=getSettlementDate(tradeDate,holidayCalendar,settlementcode,settlementvalue); //function call to get the settlement date (this is working properly)
cout<<"settlementDate :"<<settlementDate<<endl;
compounding=Compounded;
faceAmount = redemption;
obsprice=99.794;
schedule=Schedule(issueDate, maturityDate, Period(frequency),
holidayCalendar, businessDayConvention, businessDayConvention,
DateGeneration::Backward, true);
//***********Bond pricing, yield and discount marging computation***********
FloatingRateBond floatingRateBondInstance3=flatTermStructureFloaterFactory(indexTenor,frequency,tradeDate,settlementDate,
settlementDays,faceAmount,schedule,holidayCalendar,currentLiborFixing,lastResetDateLiborFixing,
dayCounter,businessDayConvention,fixingdays,std::vector<Real>(1, indexMultiplier),
std::vector<Rate>(1, resetMargin));
ytm=priceToYieldFlatTermStructure(floatingRateBondInstance3,obsprice,dayCounter,compounding,frequency,settlementDate);
//***********Bond pricing, yield and discount marging computation***********
cout<<"Clean price: "<<floatingRateBondInstance3.cleanPrice(ytm,dayCounter,compounding,frequency,settlementDate)<<endl;
cout<<"Dirty price: "<<floatingRateBondInstance3.dirtyPrice(ytm,dayCounter,compounding,frequency,settlementDate)<<endl;
cout<<"Accrued interest: "<<floatingRateBondInstance3.accruedAmount(settlementDate)<<endl;
cout<<"Yield: "<<ytm*100<<"%"<<endl;
cout<<"Discount Margin: "<<(ytm-currentLiborFixing)*100<<"%"<<endl;
//***************solver testing***************
irr=solver.solve(ytmsolver(floatingRateBondInstance3,obsprice,settlementDate,dayCounter,
compounding,frequency),accuracy,guess,min,max);
cout<<"irr: "<<irr*100<<"%"<<endl;
return 0;
} catch (exception& e) {
cerr << e.what() << endl;
return 1;
} catch (...) {
cerr << "unknown error" << endl;
return 1;
}
}
，最後我得到的結果如下：
債券＃1：US4042Q0HC65
settlementDate：2015年3月5日 lastResetDate：二月19日，2015年 清潔價格：101.431 骯髒價格：101.486 應計利息：0.0551472 產量：1.01286％ 折扣保證金：0.628665％ IRR：0.72216％
債券＃2：US4042Q0HB82
settlementDate：2015年3月5日 lastResetDate：2015年1月16日 清潔價格：100.429 骯髒價格：100.657 應計利息：0.227932 產量：1.57325％ 折扣保證金：1.18905％ IRR：1.47977％
債券＃3：US59022CCT80
settlementDate：2015年6月15日 lastResetDate：2015年4月30日 清潔價格：99.794 全價：99.8907 應計利息：0。0966875 產量：0.945517％ 折扣保證金：0.657667％ 內部收益率：0.949541％
它是什麼，我做錯了什麼？我不明白爲什麼解算器沒有返回與產量的粘合函數相同的數字。任何想法爲什麼或我在這裏做錯了什麼？