如何获取计划的“时间”值
问题描述:
假设固定利率债券与下面示例代码中显示的计划。如何获取计划的“时间”值
我可以通过使用businessDaysBetween
函数来获取男高音之间的天数。
现在我想要“时间价值”。有没有办法做到这一点,而不创建一个新的功能?
这里是预期的结果:
May 14th, 2012 .5
November 14th, 2012 .5
May 14th, 2013 .5
November 14th, 2013 .5
May 14th, 2014 .5
November 14th, 2014 .5
May 14th, 2015 .5
November 16th, 2015 .505556
May 16th, 2016 .5
November 14th, 2016 .49444
下面是代码:
from QuantLib import *
import pandas as pd
effective_date = Date(14, 11, 2011)
termination_date = Date(14, 11, 2016)
tenor = Period(Semiannual)
calendar = UnitedStates()
business_convention = ModifiedFollowing
termination_business_convention = Following
date_generation = DateGeneration.Forward
end_of_month = False
day_count = Thirty360()
schedule = Schedule(effective_date,
termination_date,
tenor,
calendar,
business_convention,
termination_business_convention,
date_generation,
end_of_month)
t = []
for i, d in enumerate(schedule):
tmp = i+1, d,
t.append(tmp)
df = pd.DataFrame(t,columns = ['tenorNo','tenorDate'])
nbDays = []
for x in df['tenorNo'] :
if x == 1:
tmp = 0
else:
tmp = calendar.businessDaysBetween(df['tenorDate'][x-2],df['tenorDate'][x-1])
nbDays.append(tmp)
df['nbDays'] = nbDays
print df
tenorNo tenorDate nbDays
0 1 November 14th, 2011 0
1 2 May 14th, 2012 125
2 3 November 14th, 2012 127
3 4 May 14th, 2013 124
4 5 November 14th, 2013 127
5 6 May 14th, 2014 124
6 7 November 14th, 2014 127
7 8 May 14th, 2015 124
8 9 November 16th, 2015 127
9 10 May 16th, 2016 125
10 11 November 14th, 2016 125
答
这就是DayCounter
实例是。时间将取决于您选择的日常会议惯例(例如,您似乎在使用30/360)。
调用
day_count.yearFraction(date1, date2)
将返回date1
和date2
之间的时间。