折扣证券价格

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

# ============================================================
# 工具函数（原 util 模块内联）
# ============================================================
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_prdisc(
    settle_var: str,
    maturity_var: str,
    face_var: float,
    discount_var: float,
    basis_var: int = 0,
):
    try:
        # ---------- 参数校验 ----------
        if face_var <= 0:
            return {"ok": False, "msg": "面值必须为正"}
        if discount_var <= 0 or discount_var >= 1:
            return {"ok": False, "msg": "贴现率应在 (0, 1) 之间"}

        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"}

        dc = _map_basis(basis_var)
        days_to_maturity = (maturity_date - settle_date)

        # 手动计算（备用）
        year_fraction = dc.yearFraction(settle_date, maturity_date)
        # 对于美国国库券，Basis=2 (Actual/360) 时使用 360，Basis=3 (Actual/365) 时使用 365
        # 更通用的做法：用 dc.dayCount(settle, maturity) 得到天数，再根据 basis 决定分母
        days = (maturity_date - settle_date)
        if basis_var == 2:
            denom = 360
        elif basis_var == 3:
            denom = 365
        else:
            # 其他 basis 按 yearFraction 的倒数近似
            denom = 1.0 / year_fraction if year_fraction > 0 else 365
        price = face_var * (1 - discount_var * (days / denom))

        return {
            "ok": True,
            "price": round(price, 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：实际/360（basis=2，美国国库券常用）")
    print("=" * 60)
    r1 = qjquant_calu_prdisc(
        settle_var="2000-10-14",
        maturity_var="2001-03-17",
        face_var=100.0,
        discount_var=0.087,
        basis_var=2,
    )
    print(r1)

    print()
    print("=" * 60)
    print("示例 2：实际/365（basis=3）")
    print("=" * 60)
    r2 = qjquant_calu_prdisc(
        settle_var="2024-03-15",
        maturity_var="2024-09-15",
        face_var=100.0,
        discount_var=0.087,
        basis_var=3,
    )
    print(r2)

    print()
    print("=" * 60)
    print("示例 3：实际/实际 ISDA（basis=0）")
    print("=" * 60)
    r3 = qjquant_calu_prdisc(
        settle_var="2024-03-15",
        maturity_var="2024-09-15",
        face_var=100.0,
        discount_var=0.087,
        basis_var=0,
    )
    print(r3)

    print()
    print("=" * 60)
    print("示例 4：30/360 USA（basis=1）")
    print("=" * 60)
    r4 = qjquant_calu_prdisc(
        settle_var="2024-03-15",
        maturity_var="2024-09-15",
        face_var=100.0,
        discount_var=0.087,
        basis_var=1,
    )
    print(r4)