国库券贴现率转收益率

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

import QuantLib as ql
from fastapi import Query
from datetime import datetime

# ============================================================
# 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_tbilldisc2yield(
    discount: float = Query(...),
    settle_date: str = Query(...),
    maturity_date: str = Query(...),
):
    try:
        # ---------- 参数校验 ----------
        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 与 Actual/365 的天数部分相同） ----------
        days = ql.Actual360().dayCount(settle_qd, maturity_qd)
        if days <= 0:
            return {"ok": False, "msg": "到期天数异常"}

        FACE = 100.0

        # ---------- 由贴现率求价格 ----------
        price = FACE * (1.0 - discount * days / 360.0)
        if price <= 0:
            return {"ok": False, "msg": "贴现率过高导致价格非正"}

        # ---------- MMYield（货币市场收益率，Actual/360） ----------
        mm_yield = (FACE / price - 1.0) * 360.0 / days

        # ---------- BEYield（债券等价收益率，Actual/365） ----------
        if days <= 182:
            # 短期：BEY = MMY × 365/360，等价于 (100/Price - 1) × 365/days
            be_yield = mm_yield * 365.0 / 360.0
        else:
            # 长期 T-Bill BEY 二次公式（MATLAB 口径）
            x = days / 365.0
            # 解方程得到 BEY：P = 100 / [(1 + BEY/2)(1 + BEY/2 × (2x-1))]
            # 转换为 BEY = (-2x + 2√(x² - (2x-1)(1 - 100/P))) / (2x-1)
            inner = x * x - (2.0 * x - 1.0) * (1.0 - FACE / price)
            if inner < 0:
                return {"ok": False, "msg": "长期国库券 BEY 判别式异常"}
            be_yield = (-2.0 * x + 2.0 * (inner ** 0.5)) / (2.0 * x - 1.0)

        return {
            "ok": True,
            "be_yield": round(be_yield, 4),
            "mm_yield": round(mm_yield, 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("国库券贴现率转收益率 tbilldisc2yield 示例")
    print("=" * 60)

    # 示例 1：短期（<=182 天），贴现率 5%
    r1 = qjquant_calu_tbilldisc2yield(
        discount=0.05,
        settle_date="2024-01-02",
        maturity_date="2024-07-01",
    )
    print("\n[示例1] 短期 180 天，贴现率 5%")
    print("  结果:", r1)

    # 示例 2：长期（>182 天），贴现率 5%
    r2 = qjquant_calu_tbilldisc2yield(
        discount=0.05,
        settle_date="2024-01-02",
        maturity_date="2024-12-31",
    )
    print("\n[示例2] 长期 364 天，贴现率 5%")
    print("  结果:", r2)

    # 示例 3：贴现率 0（边界，收益率均为 0）
    r3 = qjquant_calu_tbilldisc2yield(
        discount=0.0,
        settle_date="2024-01-02",
        maturity_date="2024-07-01",
    )
    print("\n[示例3] 贴现率 0（边界）")
    print("  结果:", r3)