国库券收益率

# 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_yldtbill(
    settle_var: str,
    maturity_var: str,
    face_var: float,
    price_var: float,
):
    try:
        if face_var <= 0:
            return {"ok": False, "msg": "面值必须为正"}
        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"}

        # T-Bill 固定 ACT/360
        dc = ql.Actual360()
        T = dc.yearFraction(settle_date, maturity_date)
        if T <= 0:
            return {"ok": False, "msg": "结算日至到期日的年分数必须为正"}

        compound_factor = face_var / price_var   # 1 + y * T

        y = ql.InterestRate.impliedRate(
            compound_factor,
            dc,
            ql.Simple,
            ql.Annual,
            T,
        ).rate()

        return {
            "ok": True,
            "yield": round(y, 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 1：91 天国库券（常见 13 周 T-Bill）")
    print("=" * 60)
    r1 = qjquant_calu_yldtbill(
        settle_var="2000-02-10",
        maturity_var="2000-08-06",
        face_var=1000.0,
        price_var=981.36,
    )
    print(r1)

    print()
    print("=" * 60)
    print("示例 2：182 天国库券（26 周 T-Bill）")
    print("=" * 60)
    r2 = qjquant_calu_yldtbill(
        settle_var="2024-01-02",
        maturity_var="2024-07-02",
        face_var=100.0,
        price_var=97.0,
    )
    print(r2)

    print()
    print("=" * 60)
    print("示例 3：364 天国库券（52 周 T-Bill）")
    print("=" * 60)
    r3 = qjquant_calu_yldtbill(
        settle_var="2024-01-02",
        maturity_var="2024-12-31",
        face_var=100.0,
        price_var=95.0,
    )
    print(r3)