债券凸性（收益率）

# 依赖版本：
# python==3.9
# QuantLib==1.43

from datetime import datetime
import traceback
import QuantLib as ql

# ============================================================
# 工具函数
# ============================================================
def _parse_date(s: str) -> ql.Date:
    """解析 'yyyy-mm-dd' 字符串为 ql.Date"""
    d = datetime.strptime(s.strip(), "%Y-%m-%d")
    return ql.Date(d.day, d.month, d.year)


def _map_period(period: int):
    """年付息次数 -> (ql.Period, ql.Frequency)"""
    mapping = {
        0:  (None,                     ql.NoFrequency),
        1:  (ql.Period(ql.Annual),     ql.Annual),
        2:  (ql.Period(ql.Semiannual), ql.Semiannual),
        3:  (ql.Period(4, ql.Months),  ql.EveryFourthMonth),
        4:  (ql.Period(ql.Quarterly),  ql.Quarterly),
        6:  (ql.Period(ql.Bimonthly),  ql.Bimonthly),
        12: (ql.Period(ql.Monthly),    ql.Monthly),
    }
    if period not in mapping:
        raise ValueError(f"不支持的 Period: {period}")
    return mapping[period]


def _map_basis(basis: int):
    """日计数基准编号 -> ql.DayCounter"""
    mapping = {
        0:  ql.ActualActual(ql.ActualActual.ISDA),
        1:  ql.Thirty360(ql.Thirty360.USA),
        2:  ql.Actual360(),
        3:  ql.Actual365Fixed(),
        4:  ql.Thirty360(ql.Thirty360.BondBasis),
        5:  ql.Thirty360(ql.Thirty360.ISDA),
        6:  ql.Thirty360(ql.Thirty360.European),
        7:  ql.Actual365Fixed(),
        8:  ql.ActualActual(ql.ActualActual.ISMA),
        9:  ql.Actual360(),
        10: ql.Actual365Fixed(),
        11: ql.Thirty360(ql.Thirty360.EurobondBasis),
        12: ql.Actual365Fixed(),
        13: ql.Business252(),
    }
    if basis not in mapping:
        raise ValueError(f"暂不支持的 Basis: {basis}")
    return mapping[basis]


# ============================================================
# 核心计算函数
# ============================================================
def qjquant_calu_bndconvy(
    yield_var: float,
    coupon_var: float,
    settle_var: str,
    maturity_var: str,
    period_var: int = 2,
    basis_var: int = 0,
):
    try:
        if coupon_var < 0:
            return {"ok": False, "msg": "息票率不能为负"}

        settle_date   = _parse_date(settle_var)
        maturity_date = _parse_date(maturity_var)
        if settle_date >= maturity_date:
            return {"ok": False, "msg": "结算日必须早于到期日"}

        ql.Settings.instance().evaluationDate = settle_date

        coupon_period, freq = _map_period(period_var)
        day_counter = _map_basis(basis_var)

        if period_var == 0:
            bond = ql.ZeroCouponBond(
                settlementDays=0,
                calendar=ql.NullCalendar(),
                faceAmount=100.0,
                maturityDate=maturity_date,
                paymentConvention=ql.Unadjusted,   # 修正：不是 businessDayConvention
                redemption=100.0,
                issueDate=settle_date,
            )
            effective_freq = ql.Annual
        else:
            issue_date = maturity_date
            while issue_date >= settle_date:
                issue_date = issue_date - coupon_period

            schedule = ql.Schedule(
                issue_date, maturity_date, coupon_period,
                ql.NullCalendar(), ql.Unadjusted, ql.Unadjusted,
                ql.DateGeneration.Forward, False,
            )
            bond = ql.FixedRateBond(
                settlementDays=0, faceAmount=100.0,
                schedule=schedule, coupons=[coupon_var],
                paymentDayCounter=day_counter,
            )
            effective_freq = freq if freq != ql.NoFrequency else ql.Annual

        # 直接由收益率构造 InterestRate（无需反推）
        rate = ql.InterestRate(float(yield_var), day_counter, ql.Compounded, effective_freq)

        year_convexity = ql.BondFunctions.convexity(
            bond, rate, settle_date
        )

        # PerConvexity = YearConvexity × Period²
        if period_var == 0:
            per_convexity = year_convexity
        else:
            per_convexity = year_convexity * (period_var ** 2)

        return {
            "ok": True,
            "year_convexity": round(year_convexity, 4),
            "per_convexity": round(per_convexity, 4),
        }

    except ValueError as ve:
        traceback.print_exc()
        return {"ok": False, "msg": f"参数错误: {ve}"}
    except Exception as e:
        traceback.print_exc()
        return {"ok": False, "msg": f"未知错误: {e}"}


# ============================================================
# 示例：复制本文件后直接运行
# ============================================================
if __name__ == "__main__":
    print("=" * 60)
    print("示例 1：附息债（半年付息，实际/实际）")
    print("=" * 60)
    r1 = qjquant_calu_bndconvy(
        yield_var=0.05,
        coupon_var=0.055,
        settle_var="1999-08-02",
        maturity_var="2004-06-15",
        period_var=2,
        basis_var=0,
    )
    print(r1)

    print()
    print("=" * 60)
    print("示例 2：附息债（年付息，30/360 USA）")
    print("=" * 60)
    r2 = qjquant_calu_bndconvy(
        yield_var=0.045,
        coupon_var=0.05,
        settle_var="2024-03-15",
        maturity_var="2029-06-20",
        period_var=1,
        basis_var=1,
    )
    print(r2)

    print()
    print("=" * 60)
    print("示例 3：零息债（period=0）")
    print("=" * 60)
    r3 = qjquant_calu_bndconvy(
        yield_var=0.04,
        coupon_var=0.0,
        settle_var="2024-03-15",
        maturity_var="2026-06-20",
        period_var=0,
        basis_var=0,
    )
    print(r3)

    print()
    print("=" * 60)
    print("示例 4：附息债（季付，实际/365 Fixed）")
    print("=" * 60)
    r4 = qjquant_calu_bndconvy(
        yield_var=0.042,
        coupon_var=0.04,
        settle_var="2024-03-15",
        maturity_var="2029-06-20",
        period_var=4,
        basis_var=3,
    )
    print(r4)