定价面值不为 100 美元的债券

#set evaluation date eval_date_ql = ql.Date(15, 8, 2023) ql.Settings.instance().setEvaluationDate(eval_date_ql) #instrument information: price = 14.6586 zspread = 0.08 maturity_date_ql = ql.Date(15, 8, 2053) face_amount = 25. #create flat rates curve with ability to add spread: term_structure = ql.FlatForward(eval_date_ql, ql.QuoteHandle(ql.SimpleQuote(0.01)), ql.Thirty360(), ql.Compounded, 4) curve_handle = ql.YieldTermStructureHandle(term_structure) spreads = [ql.SimpleQuote(0.0) for t in range(2)] zero_curve = ql.SpreadedLinearZeroInterpolatedTermStructure(curve_handle, [ql.QuoteHandle(q) for q in spreads], [eval_date_ql, maturity_date_ql]) zero_curve.enableExtrapolation() curve_handle = ql.YieldTermStructureHandle(zero_curve) #create spreaded curve handle spread_handle = ql.QuoteHandle(ql.SimpleQuote(zspread)) ts_spreaded = ql.ZeroSpreadedTermStructure(curve_handle, spread_handle, ql.Compounded, 4) ts_spreaded_handle = ql.YieldTermStructureHandle(ts_spreaded) schedule = ql.Schedule(eval_date_ql, maturity_date_ql, ql.Period(4), ql.UnitedStates(), ql.ModifiedFollowing, ql.ModifiedFollowing, ql.DateGeneration.Backward, False) #Bond Pricer: fixed_rate_bond = ql.FixedRateBond(2, face_amount, schedule, [0.05], ql.Thirty360(), ql.Following, 100.0) fixed_rate_bond.setPricingEngine(ql.DiscountingBondEngine(ts_spreaded_handle)) #Calculating clean price cleanPrice = fixed_rate_bond.cleanPrice() cleanPrice2 = fixed_rate_bond.settlementValue() - fixed_rate_bond.accruedAmount()/(100/face_amount) print(f"Clean Price from pricer: {cleanPrice}") print(f"Clean Price from internal bond analytics: {cleanPrice2}") #If I try to pass in the original price and retrieve a zspread, the price is assumed to be on $100 FV and the zspread calculated is wrong, so I have to convert the price the same way before passing it into the zspread method.