债券等值收益率

# 依赖版本：
# python==3.9
# QuantLib==1.43
from datetime import datetime, date as py_date
import traceback
import QuantLib as ql
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_bndyield(
    price_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"}
        if price_var <= 0:
            return {"ok": False, "msg": "价格必须为正"}

        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)

        # MATLAB SIA basis(0-7) 默认贴现基准 = Actual/Actual
        if basis_var <= 7:
            discount_basis = ql.ActualActual(ql.ActualActual.ISMA)
        else:
            discount_basis = day_counter

        # 传入的是净价，需要用 BondPrice.Clean 包装
        bond_price = ql.BondPrice(float(price_var), ql.BondPrice.Clean)

        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,
            )
            yield_val = bond.bondYield(
                bond_price,
                discount_basis,
                ql.Compounded,
                ql.Annual,
                settle_date,
            )
        else:
            # ========== 附息债 ==========
            coupon_period, freq = _map_period(period_var)

            # 向前推 issue_date
            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=discount_basis,
            )

            compounding_freq = ql.Semiannual if basis_var <= 7 else freq

            yield_val = bond.bondYield(
                bond_price,
                discount_basis,
                ql.Compounded,
                compounding_freq,
                settle_date,
            )

        return {
            "ok": True,
            "yield": round(yield_val, 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，默认 basis=0）")
    print("=" * 60)
    r1 = qjquant_calu_bndyield(
        price_var=95.5,
        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，30/360 USA，basis=1）")
    print("=" * 60)
    r2 = qjquant_calu_bndyield(
        price_var=102.0,
        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（period=0，实际/实际）")
    print("=" * 60)
    r3 = qjquant_calu_bndyield(
        price_var=92.0,
        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，basis=3）")
    print("=" * 60)
    r4 = qjquant_calu_bndyield(
        price_var=98.5,
        coupon_var=0.04,
        settle_var="2024-03-15",
        maturity_var="2029-06-20",
        period_var=4,
        basis_var=3,
    )
    print(r4)