国库券价格

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


# ============================================================
# 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)


# ============================================================
# 核心计算函数
# ============================================================
def qjquant_calu_prtbill(
    settle_date: str = Query(...),
    maturity_date: str = Query(...),
    face: float = Query(100.0),
    discount: float = Query(...),
):
    try:
        # ---------- 参数校验 ----------
        if face <= 0:
            return {"ok": False, "msg": "赎回价值必须大于 0"}
        if discount < 0 or discount >= 1:
            return {"ok": False, "msg": "贴现率应在 [0, 1) 范围内"}

        settle_qd   = _parse_date(settle_date)
        maturity_qd = _parse_date(maturity_date)

        if settle_qd >= maturity_qd:
            return {"ok": False, "msg": "结算日必须早于到期日"}

        # ---------- 实际天数（Actual/360） ----------
        days = ql.Actual360().dayCount(settle_qd, maturity_qd)
        if days <= 0:
            return {"ok": False, "msg": "到期天数异常"}

        # ---------- 价格计算 ----------
        # 优先使用 QuantLib 的 TBillPriceFromDiscount（默认面值 100）
        try:
            price_per_100 = ql.TBillPriceFromDiscount(
                settle_qd, maturity_qd, discount, 100.0
            )
        except Exception:
            # 回退：手动公式 Price = 100 × (1 - Discount × days/360)
            price_per_100 = 100.0 * (1.0 - discount * days / 360.0)

        # 按自定义面值缩放
        price = price_per_100 * face / 100.0

        if price <= 0:
            return {"ok": False, "msg": "贴现率过高导致价格非正"}

        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}"}


# ============================================================
# 可复制运行的示例
# ============================================================
if __name__ == "__main__":
    print("=" * 60)
    print("国库券价格 prtbill 示例")
    print("=" * 60)

    # 示例 1：面值 100，贴现率 5%，短期 180 天
    r1 = qjquant_calu_prtbill(
        settle_date="2002-02-10",
        maturity_date="2002-08-06",
        face=1000.0,
        discount=0.0377,
    )
    print("\n[示例1] 面值 100，贴现率 5%，短期 180 天")
    print("  结果:", r1)

    # 示例 2：面值 1000，贴现率 5%，长期 364 天
    r2 = qjquant_calu_prtbill(
        settle_date="2024-01-02",
        maturity_date="2024-12-31",
        face=1000.0,
        discount=0.05,
    )
    print("\n[示例2] 面值 1000，贴现率 5%，长期 364 天")
    print("  结果:", r2)

    # 示例 3：贴现率 0（边界，价格 = 面值）
    r3 = qjquant_calu_prtbill(
        settle_date="2024-01-02",
        maturity_date="2024-07-01",
        face=100.0,
        discount=0.0,
    )
    print("\n[示例3] 贴现率 0（边界）")
    print("  结果:", r3)