TermStructure/Fechas de Evaluación en Quantlib

Question

estoy intrigado por la manera Quantlib se encarga de la evaluación de la fecha en el rendimiento de la estructura a plazo de las clases. Tengo el siguiente código de ejemplo:

import QuantLib as ql
import pandas as pd


#Curve
def build_termstruc(curve_date):
    helpers = []
    handle = ql.YieldTermStructureHandle()
    tenors = [1,3,6,9,12,18,2,3,4,5,6,7,8,9,10,15,20]
    swap_rates = [2.75,2.875,2.99,3.12,3.25,3.5,3.61,3.795,3.925,4.025,4.115,4.195,4.265,4.335,4.4,4.555,4.68]

    fixing_days = 0
    calendar = ql.NullCalendar()
    settlement_days = 0
    day_counter = ql.Actual360()
    index = ql.OvernightIndex("index", settlement_days,ql.CLPCurrency(),calendar,day_counter)
    for i in range(len(tenors)):
        if i == 0:
            helpers += [ql.DepositRateHelper(ql.QuoteHandle(ql.SimpleQuote(swap_rates[i]/100)),
                            ql.Period(1,ql.Days),
                            fixing_days,
                            calendar,
                            ql.Unadjusted,
                            False,
                            ql.Actual360())]
            continue
        elif i < 6 and i > 0:
            period = ql.Period(tenors[i], ql.Months)
            frequency = ql.Months
        elif i >=6:
            period = ql.Period(tenors[i], ql.Years)
            frequency = ql.Years

        helpers += [ql.OISRateHelper(settlement_days,
                        period,
                        ql.QuoteHandle(ql.SimpleQuote(swap_rates[i]/100)),
                        index,
                        handle,
                        False,
                        0,
                        ql.Following,
                        frequency)]
    return ql.PiecewiseFlatForward(curve_date, helpers, ql.Actual360())
def build_bond():
    #Bond
    issue_date = ql.Date(1,6,2015)
    maturity_date = ql.Date(1,6,2020)
    calendar = ql.NullCalendar()
    coupon_day_count = ql.Unadjusted
    payment_convention = ql.Following
    date_generation = ql.DateGeneration.Forward
    month_end = False
    settlement_days = 0
    int_day_count = ql.Thirty360()
    notional = 100
    coupons = [4.5/100]
    #non static variables
    schedule = ql.Schedule (issue_date,
                            maturity_date,
                            ql.Period(ql.Semiannual),
                            calendar,
                            coupon_day_count,
                            payment_convention,
                            date_generation,
                            month_end)

    return ql.FixedRateBond(settlement_days, notional, schedule, coupons, int_day_count)

def test1():
    curve_date = ql.Date(14,11,2018)
    ql.Settings.instance().evaluationDate = curve_date
    ts = build_termstruc(curve_date)

    bond = build_bond()
    bond_IIR = ql.InterestRate(3.78/100, ql.Actual365Fixed(), ql.Compounded, ql.Annual)
    npv = ql.CashFlows.npv(bond.cashflows(), bond_IIR, False)
    spread = ql.CashFlows.zSpread(bond.cashflows(), npv, ts, ql.Actual360(), ql.Compounded, ql.Annual, True)*100
    print('NPV: ', npv,'Spread: ', spread)

def test2():
    curve_date = ql.Date(14,11,2018)
    ts = build_termstruc(curve_date)
    ql.Settings.instance().evaluationDate = curve_date

    bond = build_bond()
    bond_IIR = ql.InterestRate(3.78/100, ql.Actual365Fixed(), ql.Compounded, ql.Annual)

    npv = ql.CashFlows.npv(bond.cashflows(), bond_IIR, False)
    spread = ql.CashFlows.zSpread(bond.cashflows(), npv, ts, ql.Actual360(), ql.Compounded, ql.Annual, True)*100
    print('NPV: ', npv,'Spread: ', spread)

if __name__ == '__main__':
    test1()
    test2()

La idea de que el código es que los dos primeros métodos de construir una estructura a plazo y de bonos y los otros dos (test1 y test2) sólo cambiar la posición en la evaluationDate se establece. El resultado es el siguiente:

NPV:  103.15824069057247 Spread:  0.18307250901326033 
NPV:  103.15824069057247 Spread:  0.18307250901326033

No entiendo por qué estoy recibiendo diferentes z-spreads si im ajuste de la curva de la fecha de referencia.

Answer 1

Su propagación definiciones son diferentes. En Def Test2(), se multiplica por 100. Esa es la causa de la decimal cambio en el spread.