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使用Quantlib计算国债的Zspread时出现类型不匹配或参数数量问题，原因不明？

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1 回答
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提问于 2025-04-14 15:24

这是我代码中相关的部分：

def calculate_z_spread_ql(market_price, coupon_rate, maturity_date, yield_curve_handle, issue_date, leg):
    """
    Calculate Z-spread using QuantLib with specified calendar and day count.
    """
    calendar = ql.UnitedStates(ql.UnitedStates.GovernmentBond)
    settlement_days = 2
    face_value = 100
    day_count = ql.ActualActual(ql.ActualActual.Bond)


    #maturity_ql_date = ql.Date(maturity_date.day, maturity_date.month, maturity_date.year)
    tenor = ql.Period(ql.Semiannual)

    coupons = [coupon_rate]


    schedule = ql.Schedule(issue_date, maturity_date, tenor, calendar, 
                           ql.Unadjusted, ql.Unadjusted, ql.DateGeneration.Backward, False)
    bond = ql.FixedRateBond(settlement_days, face_value, schedule, coupons, day_count)
    bond.setPricingEngine(ql.DiscountingBondEngine(yield_curve_handle))

    settlement_date = ql.Settings.instance().evaluationDate

    includeSettlementDateFlows = True

    #Error here, not sure why, all parameters are set up properly

    z_spread = ql.CashFlows.zSpread(
        leg,  # Cash flows of the bond
        market_price,       # Market price of the bond
        yield_curve_handle,  # Yield curve handle
        day_count,           # Day count convention
        ql.Compounded,       # Compounding method (optional, default: Simple)
        ql.Semiannual,        # Frequency of compounding (optional, default: Annual)
        includeSettlementDateFlows,  # Include settlement date flows (optional, default: False)
        settlement_date
    ) * 10000  # Convert to basis points

    return z_spread

################################################ Main script ######################################################################

isin = 'US912810TX63'  # Example 30yr ISIN

#global evaluation date is set to today
today = ql.Date().todaysDate()
ql.Settings.instance().evaluationDate = today

market_price, coupon_rate, maturity_date, issue_date, leg = fetch_bond_details_and_leg(isin)

maturities, yields = fetch_current_SOFR_yields()


yield_curve_handle = setup_quantlib_yield_curve(maturities, yields)

#This is for debugging only, curve set properly
print('################### cf in leg #######################')
for cf in leg:  # Directly iterate over the leg to print details of each cash flow
    print(f"Cash flow date: {cf.date()}, amount: {cf.amount()}")

print('################### maturities #######################')
print(maturities)
print('################### yields #######################')
print(yields)
print('################# yield_curve_handle #########################')
print_curve_details(yield_curve_handle)

print('################# z-spread calculations #########################')

z_spread = calculate_z_spread_ql(market_price, coupon_rate, maturity_date, yield_curve_handle, issue_date, leg)

我漏掉了什么呢？

我把传给quantlib zpsread函数的所有相关输入都打印出来了，如上所示，但似乎在参数的类型或数量上还是有问题，我觉得我一切都设置得很正确。连ChatGPT也没能找出问题。

这是带有错误的输出：

################### cf in leg #######################
Cash flow date: August 15th, 2024, amount: 2.124999999999999
Cash flow date: February 18th, 2025, amount: 2.124999999999999
Cash flow date: August 15th, 2025, amount: 2.124999999999999
Cash flow date: February 17th, 2026, amount: 2.124999999999999
Cash flow date: August 17th, 2026, amount: 2.124999999999999
Cash flow date: February 16th, 2027, amount: 2.124999999999999
Cash flow date: August 16th, 2027, amount: 2.124999999999999
Cash flow date: February 15th, 2028, amount: 2.124999999999999
Cash flow date: August 15th, 2028, amount: 2.124999999999999
Cash flow date: February 15th, 2029, amount: 2.124999999999999
Cash flow date: August 15th, 2029, amount: 2.124999999999999
Cash flow date: February 15th, 2030, amount: 2.124999999999999
Cash flow date: August 15th, 2030, amount: 2.124999999999999
Cash flow date: February 18th, 2031, amount: 2.124999999999999
Cash flow date: August 15th, 2031, amount: 2.124999999999999
Cash flow date: February 17th, 2032, amount: 2.124999999999999
Cash flow date: August 16th, 2032, amount: 2.124999999999999
Cash flow date: February 15th, 2033, amount: 2.124999999999999
Cash flow date: August 15th, 2033, amount: 2.124999999999999
Cash flow date: February 15th, 2034, amount: 2.124999999999999
Cash flow date: August 15th, 2034, amount: 2.124999999999999
Cash flow date: February 15th, 2035, amount: 2.124999999999999
Cash flow date: August 15th, 2035, amount: 2.124999999999999
Cash flow date: February 15th, 2036, amount: 2.124999999999999
Cash flow date: August 15th, 2036, amount: 2.124999999999999
Cash flow date: February 17th, 2037, amount: 2.124999999999999
Cash flow date: August 17th, 2037, amount: 2.124999999999999
Cash flow date: February 16th, 2038, amount: 2.124999999999999
Cash flow date: August 16th, 2038, amount: 2.124999999999999
Cash flow date: February 15th, 2039, amount: 2.124999999999999
Cash flow date: August 15th, 2039, amount: 2.124999999999999
Cash flow date: February 15th, 2040, amount: 2.124999999999999
Cash flow date: August 15th, 2040, amount: 2.124999999999999
Cash flow date: February 15th, 2041, amount: 2.124999999999999
Cash flow date: August 15th, 2041, amount: 2.124999999999999
Cash flow date: February 18th, 2042, amount: 2.124999999999999
Cash flow date: August 15th, 2042, amount: 2.124999999999999
Cash flow date: February 17th, 2043, amount: 2.124999999999999
Cash flow date: August 17th, 2043, amount: 2.124999999999999
Cash flow date: February 16th, 2044, amount: 2.124999999999999
Cash flow date: August 15th, 2044, amount: 2.124999999999999
Cash flow date: February 15th, 2045, amount: 2.124999999999999
Cash flow date: August 15th, 2045, amount: 2.124999999999999
Cash flow date: February 15th, 2046, amount: 2.124999999999999
Cash flow date: August 15th, 2046, amount: 2.124999999999999
Cash flow date: February 15th, 2047, amount: 2.124999999999999
Cash flow date: August 15th, 2047, amount: 2.124999999999999
Cash flow date: February 18th, 2048, amount: 2.124999999999999
Cash flow date: August 17th, 2048, amount: 2.124999999999999
Cash flow date: February 16th, 2049, amount: 2.124999999999999
Cash flow date: August 16th, 2049, amount: 2.124999999999999
Cash flow date: February 15th, 2050, amount: 2.124999999999999
Cash flow date: August 15th, 2050, amount: 2.124999999999999
Cash flow date: February 15th, 2051, amount: 2.124999999999999
Cash flow date: August 15th, 2051, amount: 2.124999999999999
Cash flow date: February 15th, 2052, amount: 2.124999999999999
Cash flow date: August 15th, 2052, amount: 2.124999999999999
Cash flow date: February 18th, 2053, amount: 2.124999999999999
Cash flow date: August 15th, 2053, amount: 2.124999999999999
Cash flow date: February 17th, 2054, amount: 2.124999999999999
Cash flow date: February 17th, 2054, amount: 100.0
################### maturities #######################
[1, 2, 3, 5, 7, 10, 20, 30]
################### yields #######################
[0.050895, 0.046245, 0.043525, 0.040827, 0.039832, 0.03928, 0.038740000000000004, 0.036802]
################# yield_curve_handle #########################
Reference Date: March 17th, 2025
Year 1: Zero Rate = 0.0462, Discount Factor = 0.9548
Year 2: Zero Rate = 0.0435, Discount Factor = 0.9166
Year 3: Zero Rate = 0.0422, Discount Factor = 0.8811
Year 4: Zero Rate = 0.0408, Discount Factor = 0.8493
Year 5: Zero Rate = 0.0403, Discount Factor = 0.8174
Year 6: Zero Rate = 0.0398, Discount Factor = 0.7874
Year 7: Zero Rate = 0.0396, Discount Factor = 0.7576
Year 8: Zero Rate = 0.0395, Discount Factor = 0.7293
Year 9: Zero Rate = 0.0393, Discount Factor = 0.7022
Year 10: Zero Rate = 0.0392, Discount Factor = 0.6755
Year 11: Zero Rate = 0.0392, Discount Factor = 0.6499
Year 12: Zero Rate = 0.0391, Discount Factor = 0.6254
Year 13: Zero Rate = 0.0391, Discount Factor = 0.6018
Year 14: Zero Rate = 0.0390, Discount Factor = 0.5792
Year 15: Zero Rate = 0.0390, Discount Factor = 0.5575
Year 16: Zero Rate = 0.0389, Discount Factor = 0.5366
Year 17: Zero Rate = 0.0388, Discount Factor = 0.5166
Year 18: Zero Rate = 0.0388, Discount Factor = 0.4974
Year 19: Zero Rate = 0.0387, Discount Factor = 0.4790
Year 20: Zero Rate = 0.0385, Discount Factor = 0.4626
Year 21: Zero Rate = 0.0384, Discount Factor = 0.4469
Year 22: Zero Rate = 0.0382, Discount Factor = 0.4319
Year 23: Zero Rate = 0.0380, Discount Factor = 0.4176
Year 24: Zero Rate = 0.0378, Discount Factor = 0.4039
Year 25: Zero Rate = 0.0376, Discount Factor = 0.3909
Year 26: Zero Rate = 0.0374, Discount Factor = 0.3783
Year 27: Zero Rate = 0.0372, Discount Factor = 0.3664
Year 28: Zero Rate = 0.0370, Discount Factor = 0.3549
Year 29: Zero Rate = 0.0368, Discount Factor = 0.3440
################# z-spread calculations #########################
Traceback (most recent call last):
  File "H:\Python_KS\ZSpreadTest_QuantLib_Test.py", line 188, in <module>
    z_spread = calculate_z_spread_ql(market_price, coupon_rate, maturity_date, yield_curve_handle, issue_date, leg)
               ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
  File "H:\Python_KS\ZSpreadTest_QuantLib_Test.py", line 143, in calculate_z_spread_ql
    z_spread = ql.CashFlows.zSpread(
               ^^^^^^^^^^^^^^^^^^^^^
  File "C:\ProgramData\anaconda3\envs\Khalil_Python\Lib\site-packages\QuantLib\QuantLib.py", line 15020, in zSpread
    return _QuantLib.CashFlows_zSpread(*args)
           ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
TypeError: Wrong number or type of arguments for overloaded function 'CashFlows_zSpread'.
  Possible C/C++ prototypes are:
    CashFlows::zSpread(Leg const &,Real,ext::shared_ptr< YieldTermStructure > const &,DayCounter const &,Compounding,Frequency,bool,Date,Date,Real,Size,Rate)
    CashFlows::zSpread(Leg const &,Real,ext::shared_ptr< YieldTermStructure > const &,DayCounter const &,Compounding,Frequency,bool,Date,Date,Real,Size)
    CashFlows::zSpread(Leg const &,Real,ext::shared_ptr< YieldTermStructure > const &,DayCounter const &,Compounding,Frequency,bool,Date,Date,Real)
    CashFlows::zSpread(Leg const &,Real,ext::shared_ptr< YieldTermStructure > const &,DayCounter const &,Compounding,Frequency,bool,Date,Date)
    CashFlows::zSpread(Leg const &,Real,ext::shared_ptr< YieldTermStructure > const &,DayCounter const &,Compounding,Frequency,bool,Date)
    CashFlows::zSpread(Leg const &,Real,ext::shared_ptr< YieldTermStructure > const &,DayCounter const &,Compounding,Frequency,bool)
参数验证 quantlib zspread 类型匹配 国债计算

1 个回答

0

CashFlows.zSpread 的第三个参数应该是一个期限结构，而不是一个句柄。如果你手头只有一个句柄，可以通过调用 yield_curve_handle.currentLink() 来提取里面的期限结构。

回答于 2025-04-14 由 Python大师
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