我正在尝试建立一个远期年度EONIA远期曲线,输入期限从1周到50年
到目前为止,我已经成功地编写了以下代码:
data
maturity spot rate
0 1 -0.529
1 2 -0.529
2 3 -0.529
3 1 -0.504
4 2 -0.505
5 3 -0.506
6 4 -0.508
7 5 -0.509
8 6 -0.510
9 7 -0.512
10 8 -0.514
11 9 -0.515
12 10 -0.517
13 11 -0.518
14 1 -0.520
15 15 -0.524
16 18 -0.526
17 21 -0.527
18 2 -0.528
19 3 -0.519
20 4 -0.501
21 5 -0.476
22 6 -0.441
23 7 -0.402
24 8 -0.358
25 9 -0.313
26 10 -0.265
27 11 -0.219
28 12 -0.174
29 15 -0.062
30 20 0.034
31 25 0.054
32 30 0.039
33 40 -0.001
34 50 -0.037
terms= data["maturity"].tolist()
rates= data['spot rate'].tolist()
calendar = ql.TARGET()
business_convention = ql.ModifiedFollowing
day_count = ql.Actual360()
settlement_days_EONIA = 2
EONIA = ql.OvernightIndex("EONIA", settlement_days_EONIA, ql.EURCurrency(), calendar, day_count)
# Deposit Helper
depo_facility = -0.50
depo_helper = [ql.DepositRateHelper(ql.QuoteHandle(ql.SimpleQuote(depo_facility/100)), ql.Period(1,ql.Days), 1, calendar, ql.Unadjusted, False, day_count)]
# OIS Helper
OIS_helpers = []
for i in range(len(terms)):
if i < 3:
tenor = ql.Period(ql.Weeks)
eon_rate = rates[i]
OIS_helpers.append(ql.OISRateHelper(settlement_days_EONIA, tenor, ql.QuoteHandle(ql.SimpleQuote(eon_rate/100)), EONIA))
elif i < 12:
tenor = ql.Period(ql.Months)
eon_rate = rates[i]
OIS_helpers.append(ql.OISRateHelper(settlement_days_EONIA, tenor, ql.QuoteHandle(ql.SimpleQuote(eon_rate/100)), EONIA))
else:
tenor = ql.Period(ql.Years)
eon_rate = rates[i]
OIS_helpers.append(ql.OISRateHelper(settlement_days_EONIA, tenor, ql.QuoteHandle(ql.SimpleQuote(eon_rate/100)), EONIA))
rate_helpers = depo_helper + OIS_helpers
eonia_curve_c = ql.PiecewiseLogCubicDiscount(0, ql.TARGET(), rate_helpers, day_count)
#This doesn't give me a daily grid of rates, but only the rates at the tenors of my input
eonia_curve_c.enableExtrapolation()
days = ql.MakeSchedule(eonia_curve_c.referenceDate(), eonia_curve_c.maxDate(), ql.Period('1Y'))
rates_fwd = [
eonia_curve_c.forwardRate(d, calendar.advance(d,365,ql.Days), day_count, ql.Simple).rate()*100
for d in days
]
问题是,当我运行代码时,会出现以下错误:
RuntimeError: more than one instrument with pillar June 18th, 2021
OIS助手的代码中可能有错误,其中存在重叠,但我不确定我做错了什么。有人知道问题出在哪里吗
首先,我为任何不雅的Python道歉,因为我来自C++:
原始问题的主要问题是,ql.Period()在与整数个周期一起使用时采用两个参数:例如ql.Period(3,ql.Years)。相反,如果您使用期限的字符串表示形式(例如“3y”)构造输入数组,则只需将此字符串传递给ql.Period()。因此ql.Period(3,ql.Years)和ql.Period('3y')给出了相同的结果
相关问题 更多 >
编程相关推荐