python金融接口_QuantLib 金融计算——自己动手封装 Python 接口（3）

quantlib 金融计算——自己动手封装 python 接口(3)

概述

如何封装源代码？

与前一篇文章中的情况不同，要封装的程序不是已经编译好的库文件，而是 c++ 源代码。

swig 可以从源代码的层面封装 c++ 接口，一方面要提供头文件，告知 swig 类、函数等的声明；另一方面要提供源文件，让 swig 知道方法的实现，swig 会自动对源文件进行编译，并最终链接到生成的 python 接口中。

实践

幸运的是 quantlibex 中几个 ns 型期限结构模型的构造函数没有引入新的类型，所以“最小功能集合”没有变。

要封装这几个模型，只需对 fittedbondcurve.i 和 setup.py 稍加修改。在 fittedbondcurve.i 中编写接口代码，在 setup.py 添加头文件路径和几个源文件就可以了。

六个 ns 型期限结构模型的参数估计

把中的 c++ 代码翻译成 python，验证封装后的接口是否可用。

import quantlibex as qlx

print(qlx.__version__)

bondnum = 16

cleanprice = [100.4941, 103.5572, 104.4135, 105.0056, 99.8335, 101.25, 102.3832, 97.0053,

99.5164, 101.2435, 104.0539, 101.15, 96.1395, 91.1123, 122.0027, 92.4369]

pricehandle = [qlx.quotehandle(qlx.simplequote(p)) for p in cleanprice]

issueyear = [1999, 1999, 2001, 2002, 2003, 1999, 2004, 2005,

2006, 2007, 2003, 2008, 2005, 2006, 1997, 2007]

issuemonth = [qlx.february, qlx.october, qlx.january, qlx.january, qlx.may, qlx.january, qlx.january, qlx.april,

qlx.april, qlx.september, qlx.january, qlx.january, qlx.january, qlx.january, qlx.july, qlx.january]

issueday = [22, 22, 4, 9, 20, 15, 15, 26, 21, 17, 15, 8, 14, 11, 10, 12]

maturityyear = [2009, 2010, 2011, 2012, 2013, 2014, 2014, 2015,

2016, 2017, 2018, 2019, 2020, 2021, 2027, 2037]

maturitymonth = [qlx.july, qlx.january, qlx.january, qlx.july, qlx.october, qlx.january, qlx.july, qlx.july,

qlx.september, qlx.september, qlx.january, qlx.march, qlx.july, qlx.september, qlx.july, qlx.march]

maturityday = [15, 15, 4, 15, 20, 15, 15, 15,

15, 15, 15, 15, 15, 15, 15, 15]

issuedate = []

maturitydate = []

for i in range(bondnum):

issuedate.append(

qlx.date(issueday[i], issuemonth[i], issueyear[i]))

maturitydate.append(

qlx.date(maturityday[i], maturitymonth[i], maturityyear[i]))

couponrate = [

0.04, 0.055, 0.0525, 0.05, 0.038, 0.04125, 0.043, 0.035,

0.04, 0.043, 0.0465, 0.0435, 0.039, 0.035, 0.0625, 0.0415]

# 配置 helper

frequency = qlx.annual

daycounter = qlx.actual365fixed(qlx.actual365fixed.standard)

paymentconv = qlx.unadjusted

terminationdateconv = qlx.unadjusted

convention = qlx.unadjusted

redemption = 100.0

faceamount = 100.0

calendar = qlx.australia()

today = calendar.adjust(qlx.date(30, qlx.january, 2008))

qlx.settings.instance().evaluationdate = today

bondsettlementdays = 0

bondsettlementdate = calendar.advance(

today,

qlx.period(bondsettlementdays, qlx.days))

instruments = []

maturity = []

for i in range(bondnum):

bondcoupon = [couponrate[i]]

schedule = qlx.schedule(

issuedate[i],

maturitydate[i],

qlx.period(frequency),

calendar,

convention,

terminationdateconv,

qlx.dategeneration.backward,

false)

helper = qlx.fixedratebondhelper(

pricehandle[i],

bondsettlementdays,

faceamount,

schedule,

bondcoupon,

daycounter,

paymentconv,

redemption)

maturity.append(daycounter.yearfraction(

bondsettlementdate, helper.maturitydate()))

instruments.append(helper)

accuracy = 1.0e-6

maxevaluations = 5000

weights = qlx.array()

# 正则化条件

l2ns = qlx.array(4, 0.5)

guessns = qlx.array(4)

guessns[0] = 4 / 100.0

guessns[1] = 0.0

guessns[2] = 0.0

guessns[3] = 0.5

l2sv = qlx.array(6, 0.5)

guesssv = qlx.array(6)

guesssv[0] = 4 / 100.0

guesssv[1] = 0.0

guesssv[2] = 0.0

guesssv[3] = 0.0

guesssv[4] = 0.2

guesssv[5] = 0.15

l2asv = qlx.array(6, 0.5)

guessasv = qlx.array(6)

guessasv[0] = 4 / 100.0

guessasv[1] = 0.0

guessasv[2] = 0.0

guessasv[3] = 0.0

guessasv[4] = 0.2

guessasv[5] = 0.3

l2bc = qlx.array(5, 0.5)

guessbc = qlx.array(5)

guessbc[0] = 4 / 100.0

guessbc[1] = 0.0

guessbc[2] = 0.0

guessbc[3] = 0.0

guessbc[4] = 0.2

l2bl = qlx.array(5, 0.5)

guessbl = qlx.array(5)

guessbl[0] = 4 / 100.0

guessbl[1] = 0.0

guessbl[2] = 0.0

guessbl[3] = 0.5

guessbl[4] = 0.5

optmethod = qlx.levenbergmarquardt()

# 拟合方法

nsf = qlx.nelsonsiegelfitting(

weights, optmethod, l2ns)

svf = qlx.svenssonfitting(

weights, optmethod, l2sv)

asvf = qlx.adjustedsvenssonfitting(

weights, optmethod, l2asv)

dlf = qlx.dieboldlifitting(

0.5, weights, optmethod)

bcf = qlx.bjorkchristensenfitting(

weights, optmethod, l2bc)

blf = qlx.blissfitting(

weights, optmethod, l2bl)

tsnelsonsiegel = qlx.fittedbonddiscountcurve(

bondsettlementdate,

instruments,

daycounter,

nsf,

accuracy,

maxevaluations,

guessns,

1.0)

tssvensson = qlx.fittedbonddiscountcurve(

bondsettlementdate,

instruments,

daycounter,

svf,

accuracy,

maxevaluations,

guesssv)

tsadjustedsvensson = qlx.fittedbonddiscountcurve(

bondsettlementdate,

instruments,

daycounter,

asvf,

accuracy,

maxevaluations,

guessasv)

tsdieboldli = qlx.fittedbonddiscountcurve(

bondsettlementdate,

instruments,

daycounter,

dlf,

accuracy,

maxevaluations)

tsbjorkchristensen = qlx.fittedbonddiscountcurve(

bondsettlementdate,

instruments,

daycounter,

bcf,

accuracy,

maxevaluations,

guessbc)

tsbliss = qlx.fittedbonddiscountcurve(

bondsettlementdate,

instruments,

daycounter,

blf,

accuracy,

maxevaluations,

guessbl)

print("nelsonsiegel results: \t\t", tsnelsonsiegel.fitresults().solution())

print("svensson results: \t\t\t", tssvensson.fitresults().solution())

print("adjustedsvensson results: \t", tsadjustedsvensson.fitresults().solution())

print("dieboldli results: \t\t\t", tsdieboldli.fitresults().solution())

print("bjorkchristensen results: \t", tsbjorkchristensen.fitresults().solution())

print("bliss results: \t\t\t\t", tsbliss.fitresults().solution())

nelsonsiegel results: [ 0.0500803; -0.0105414; -0.0303842; 0.456529 ]

svensson results: [ 0.0431095; -0.00716036; -0.0340932; 0.0391339; 0.228995; 0.117208 ]

adjustedsvensson results: [ 0.0506269; -0.0116339; 0.0029305; -0.0135686; 0.179066; 0.267767 ]

dieboldli results: [ 0.0496643; -0.00879931; -0.0329267 ]

bjorkchristensen results: [ 0.0508039; -0.0555185; 0.0115282; 0.0415581; 0.227838 ]

bliss results: [ 0.0500892; -0.0106013; -0.0315605; 0.513831; 0.456329 ]

所得结果和中的完全一致。

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