债券价格

# 依赖版本：
# python==3.9
# QuantLib==1.43
from datetime import datetime, date as py_date
import traceback
import QuantLib as ql

# ============================================================
# 工具函数
# ============================================================
def _parse_date(s: str) -> ql.Date:
    d = datetime.strptime(s.strip(), "%Y-%m-%d")
    return ql.Date(d.day, d.month, d.year)


def _map_period(period: int):
    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):
    mapping = {
        0: ql.ActualActual(ql.ActualActual.ISDA),      # 或保持 ISMA，需与业务确认
        1: ql.Thirty360(ql.Thirty360.USA),
        2: ql.Actual360(),
        3: ql.Actual365Fixed(),
        4: ql.Thirty360(ql.Thirty360.BondBasis),       # PSA 通常对应 BondBasis，而非 European
        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(),                       # ICMA 语义需确认，可能需要特殊处理
        11: ql.Thirty360(ql.Thirty360.EurobondBasis),  # 或 European，视 QuantLib 版本别名
        12: ql.Actual365Fixed(),                       # ISDA 语义需确认
        13: ql.Business252(),                          # 必须补充
    }
    if basis not in mapping:
        raise ValueError(f"暂不支持的 Basis: {basis}")
    return mapping[basis]


# ============================================================
# 核心计算函数（QuantLib 原生口径）
# ============================================================
def qjquant_calu_bndprice(
    yield_var: float,
    coupon_var: float,
    settle_var: str,
    maturity_var: str,
    period_var: int = 2,
    basis_var: int = 0,
):
    try:
        # 参数校验
        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"}

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

        if period_var == 0:
            # ========== 零息债 ==========
            bond = ql.ZeroCouponBond(
                settlementDays=0,
                calendar=ql.NullCalendar(),
                faceAmount=100.0,
                maturityDate=maturity_date,
                paymentConvention=ql.Unadjusted,
                redemption=100.0,
                issueDate=settle_date,
            )
            price = bond.cleanPrice(
                yield_var, day_counter, ql.Compounded, ql.Annual, settle_date
            )
            accrued = 0.0
        else:
            coupon_period, freq = _map_period(period_var)

            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,
            )

            compounding_freq = ql.Semiannual if basis_var <= 7 else freq
            price = bond.cleanPrice(
                yield_var, day_counter, ql.Compounded, compounding_freq, settle_date,
            )

            # ---- 应计利息：MATLAB 用 Actual/Actual 天数比 ----
            def ql_to_py(d):
                return py_date(d.year(), d.month(), d.dayOfMonth())

            last_coupon = schedule[0]      # 上一个票息日
            next_coupon = schedule[1]      # 下一个票息日
            A = (ql_to_py(settle_date) - ql_to_py(last_coupon)).days
            D = (ql_to_py(next_coupon) - ql_to_py(last_coupon)).days
            coupon_amount = 100.0 * coupon_var / period_var
            accrued = coupon_amount * A / D if D else 0.0

        return {
            "ok": True,
            "price": round(price, 4),
            "accrued_int": round(accrued, 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，普通附息债场景）")
    print("=" * 60)
    r1 = qjquant_calu_bndprice(
        yield_var=0.04,
        coupon_var=0.05,
        settle_var="1997-01-20",
        maturity_var="2002-06-15",
        period_var=2,
        basis_var=0,
    )
    print(r1)

    print()
    print("=" * 60)
    print("示例 2：附息债（年付息，基数为 30/360 USA）")
    print("=" * 60)
    r2 = qjquant_calu_bndprice(
        yield_var=0.035,
        coupon_var=0.045,
        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（basis=0，Actual/Actual）")
    print("=" * 60)
    r3 = qjquant_calu_bndprice(
        yield_var=0.025,
        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，Actual/365 Fixed）")
    print("=" * 60)
    r4 = qjquant_calu_bndprice(
        yield_var=0.03,
        coupon_var=0.04,
        settle_var="2024-03-15",
        maturity_var="2029-06-20",
        period_var=4,
        basis_var=3,
    )
    print(r4)