tea-bond 0.3.12__tar.gz → 0.3.14__tar.gz

{tea_bond-0.3.12 → tea_bond-0.3.14}/Cargo.lock

@@ -2195,7 +2195,7 @@ dependencies = [
 
 [[package]]
 name = "pybond"
-version = "0.3.12"
+version = "0.3.14"
 dependencies = [
  "chrono",
  "itertools 0.14.0",
@@ -3117,7 +3117,7 @@ dependencies = [
 
 [[package]]
 name = "tea-bond"
-version = "0.3.12"
+version = "0.3.14"
 dependencies = [
  "anyhow",
  "chrono",
@@ -3136,7 +3136,7 @@ dependencies = [
 
 [[package]]
 name = "tea-calendar"
-version = "0.3.12"
+version = "0.3.14"
 dependencies = [
  "chrono",
 ]

{tea_bond-0.3.12 → tea_bond-0.3.14}/Cargo.toml

@@ -4,7 +4,7 @@ default-members = ["tea-bond", "tea-calendar"]
 resolver = "2"
 
 [workspace.package]
-version = "0.3.12"
+version = "0.3.14"
 edition = "2024"
 
 [workspace.dependencies]

{tea_bond-0.3.12 → tea_bond-0.3.14}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: tea-bond
-Version: 0.3.12
+Version: 0.3.14
 Classifier: Programming Language :: Rust
 Classifier: Programming Language :: Python :: Implementation :: CPython
 Classifier: Programming Language :: Python :: Implementation :: PyPy

{tea_bond-0.3.12/pybond → tea_bond-0.3.14}/pybond/pd.py

@@ -291,6 +291,12 @@ class TfEvaluators:
             "last_trading_date"
         ].to_pandas()
 
+    @property
+    def remain_year(self):
+        return self.pl_df.select(remain_year=self._evaluators.remain_year)[
+            "remain_year"
+        ].to_pandas()
+
 
 class Bonds:
     """
@@ -387,6 +393,12 @@ class Bonds:
             "remain_cp_num"
         ].to_pandas()
 
+    def remain_year(self, date: str | pd.Series):
+        df = pl.DataFrame({"bond": self.bond, "date": date})
+        return df.select(remain_year=PlBonds("bond").remain_year("date"))[
+            "remain_year"
+        ].to_pandas()
+
 
 class Futures:
     def __init__(self, future: str | pd.Series):

{tea_bond-0.3.12/pybond → tea_bond-0.3.14}/pybond/pl.py

@@ -269,6 +269,27 @@ class TfEvaluators:
         """
         return self._call_plugin("evaluators_last_trading_date")
 
+    @property
+    def remain_year(self):
+        """
+        Calculate bond remaining year (债券剩余期限).
+
+        Args:
+            date: Evaluation date column expression
+
+        Returns:
+            Polars expression for bond remaining year
+        """
+        return self._call_plugin("bonds_remain_year")
+
+    @property
+    def carry_date(self):
+        return self._call_plugin("bonds_carry_date")
+
+    @property
+    def maturity_date(self):
+        return self._call_plugin("bonds_maturity_date")
+
 
 class Bonds:
     """
@@ -310,6 +331,18 @@ class Bonds:
             reinvest_rate=None,
         )
 
+    def remain_year(self, date: IntoExpr = "date"):
+        """
+        Calculate remain year for the bond (剩余期限).
+        """
+        return self._evaluator(date=date).remain_year
+
+    def carry_date(self):
+        return self._evaluator().carry_date
+
+    def maturity_date(self):
+        return self._evaluator().maturity_date
+
     def accrued_interest(self, date: IntoExpr = "date"):
         """
         Calculate accrued interest for the bond (应计利息).

{tea_bond-0.3.12/pybond → tea_bond-0.3.14}/pybond/pnl.py

@@ -115,7 +115,7 @@ def trading_from_pos(
     pos: IntoExpr,
     open: IntoExpr,
     finish_price: IntoExpr | None = None,
-    cash: float = 1e8,
+    cash: IntoExpr = 1e8,
     multiplier: float = 1,
     qty_tick: float = 1.0,
     *,
@@ -125,15 +125,16 @@ def trading_from_pos(
     pos = parse_into_expr(pos)
     open = parse_into_expr(open)
     finish_price = parse_into_expr(finish_price)
+    cash = parse_into_expr(cash)
     kwargs = {
-        "cash": cash,
-        "multiplier": multiplier,
-        "qty_tick": qty_tick,
+        "cash": None,
+        "multiplier": float(multiplier),
+        "qty_tick": float(qty_tick),
         "stop_on_finish": stop_on_finish,
         "finish_price": None,
     }
     return register_plugin(
-        args=[time, pos, open, finish_price],
+        args=[time, pos, open, finish_price, cash],
         kwargs=kwargs,
         symbol="trading_from_pos",
         is_elementwise=False,

{tea_bond-0.3.12 → tea_bond-0.3.14/pybond}/pybond/pd.py

@@ -291,6 +291,12 @@ class TfEvaluators:
             "last_trading_date"
         ].to_pandas()
 
+    @property
+    def remain_year(self):
+        return self.pl_df.select(remain_year=self._evaluators.remain_year)[
+            "remain_year"
+        ].to_pandas()
+
 
 class Bonds:
     """
@@ -387,6 +393,12 @@ class Bonds:
             "remain_cp_num"
         ].to_pandas()
 
+    def remain_year(self, date: str | pd.Series):
+        df = pl.DataFrame({"bond": self.bond, "date": date})
+        return df.select(remain_year=PlBonds("bond").remain_year("date"))[
+            "remain_year"
+        ].to_pandas()
+
 
 class Futures:
     def __init__(self, future: str | pd.Series):

{tea_bond-0.3.12 → tea_bond-0.3.14/pybond}/pybond/pl.py

@@ -269,6 +269,27 @@ class TfEvaluators:
         """
         return self._call_plugin("evaluators_last_trading_date")
 
+    @property
+    def remain_year(self):
+        """
+        Calculate bond remaining year (债券剩余期限).
+
+        Args:
+            date: Evaluation date column expression
+
+        Returns:
+            Polars expression for bond remaining year
+        """
+        return self._call_plugin("bonds_remain_year")
+
+    @property
+    def carry_date(self):
+        return self._call_plugin("bonds_carry_date")
+
+    @property
+    def maturity_date(self):
+        return self._call_plugin("bonds_maturity_date")
+
 
 class Bonds:
     """
@@ -310,6 +331,18 @@ class Bonds:
             reinvest_rate=None,
         )
 
+    def remain_year(self, date: IntoExpr = "date"):
+        """
+        Calculate remain year for the bond (剩余期限).
+        """
+        return self._evaluator(date=date).remain_year
+
+    def carry_date(self):
+        return self._evaluator().carry_date
+
+    def maturity_date(self):
+        return self._evaluator().maturity_date
+
     def accrued_interest(self, date: IntoExpr = "date"):
         """
         Calculate accrued interest for the bond (应计利息).

{tea_bond-0.3.12 → tea_bond-0.3.14/pybond}/pybond/pnl.py

@@ -115,7 +115,7 @@ def trading_from_pos(
     pos: IntoExpr,
     open: IntoExpr,
     finish_price: IntoExpr | None = None,
-    cash: float = 1e8,
+    cash: IntoExpr = 1e8,
     multiplier: float = 1,
     qty_tick: float = 1.0,
     *,
@@ -125,15 +125,16 @@ def trading_from_pos(
     pos = parse_into_expr(pos)
     open = parse_into_expr(open)
     finish_price = parse_into_expr(finish_price)
+    cash = parse_into_expr(cash)
     kwargs = {
-        "cash": cash,
-        "multiplier": multiplier,
-        "qty_tick": qty_tick,
+        "cash": None,
+        "multiplier": float(multiplier),
+        "qty_tick": float(qty_tick),
         "stop_on_finish": stop_on_finish,
         "finish_price": None,
     }
     return register_plugin(
-        args=[time, pos, open, finish_price],
+        args=[time, pos, open, finish_price, cash],
         kwargs=kwargs,
         symbol="trading_from_pos",
         is_elementwise=False,

{tea_bond-0.3.12 → tea_bond-0.3.14}/pybond/src/batch_eval.rs

@@ -207,7 +207,7 @@ fn evaluators_net_basis_spread(
         inputs,
         kwargs,
         |e: TfEvaluator| e.with_net_basis_spread().unwrap(),
-        |e: &TfEvaluator| e.net_basis_spread,
+        |e: &TfEvaluator| e.net_basis_spread.filter(|v| !v.is_nan()),
         true,
         true,
     )?
@@ -273,7 +273,7 @@ fn evaluators_dirty_price(inputs: &[Series], kwargs: EvaluatorBatchParams) -> Po
         inputs,
         kwargs,
         |e: TfEvaluator| e.with_dirty_price().unwrap(),
-        |e: &TfEvaluator| e.dirty_price,
+        |e: &TfEvaluator| e.dirty_price.filter(|v| !v.is_nan()),
         false,
         true,
     )?
@@ -288,7 +288,7 @@ fn evaluators_clean_price(inputs: &[Series], kwargs: EvaluatorBatchParams) -> Po
         inputs,
         kwargs,
         |e: TfEvaluator| e.with_clean_price().unwrap(),
-        |e: &TfEvaluator| e.clean_price,
+        |e: &TfEvaluator| e.clean_price.filter(|v| !v.is_nan()),
         false,
         true,
     )?
@@ -306,7 +306,7 @@ fn evaluators_future_dirty_price(
         inputs,
         kwargs,
         |e: TfEvaluator| e.with_future_dirty_price().unwrap(),
-        |e: &TfEvaluator| e.future_dirty_price,
+        |e: &TfEvaluator| e.future_dirty_price.filter(|v| !v.is_nan()),
         true,
         true,
     )?
@@ -324,7 +324,7 @@ fn evaluators_deliver_cost(
         inputs,
         kwargs,
         |e: TfEvaluator| e.with_deliver_cost().unwrap(),
-        |e: &TfEvaluator| e.deliver_cost,
+        |e: &TfEvaluator| e.deliver_cost.filter(|v| !v.is_nan()),
         true,
         true,
     )?
@@ -342,7 +342,7 @@ fn evaluators_basis_spread(
         inputs,
         kwargs,
         |e: TfEvaluator| e.with_basis_spread().unwrap(),
-        |e: &TfEvaluator| e.basis_spread,
+        |e: &TfEvaluator| e.basis_spread.filter(|v| !v.is_nan()),
         true,
         true,
     )?
@@ -357,7 +357,7 @@ fn evaluators_f_b_spread(inputs: &[Series], kwargs: EvaluatorBatchParams) -> Pol
         inputs,
         kwargs,
         |e: TfEvaluator| e.with_f_b_spread().unwrap(),
-        |e: &TfEvaluator| e.f_b_spread,
+        |e: &TfEvaluator| e.f_b_spread.filter(|v| !v.is_nan()),
         true,
         true,
     )?
@@ -372,7 +372,7 @@ fn evaluators_carry(inputs: &[Series], kwargs: EvaluatorBatchParams) -> PolarsRe
         inputs,
         kwargs,
         |e: TfEvaluator| e.with_carry().unwrap(),
-        |e: &TfEvaluator| e.carry,
+        |e: &TfEvaluator| e.carry.filter(|v| !v.is_nan()),
         true,
         true,
     )?
@@ -387,7 +387,7 @@ fn evaluators_duration(inputs: &[Series], kwargs: EvaluatorBatchParams) -> Polar
         inputs,
         kwargs,
         |e: TfEvaluator| e.with_duration().unwrap(),
-        |e: &TfEvaluator| e.duration,
+        |e: &TfEvaluator| e.duration.filter(|v| !v.is_nan()),
         false,
         true,
     )?
@@ -402,7 +402,7 @@ fn evaluators_irr(inputs: &[Series], kwargs: EvaluatorBatchParams) -> PolarsResu
         inputs,
         kwargs,
         |e: TfEvaluator| e.with_irr().unwrap(),
-        |e: &TfEvaluator| e.irr,
+        |e: &TfEvaluator| e.irr.filter(|v| !v.is_nan()),
         true,
         true,
     )?
@@ -417,7 +417,7 @@ fn evaluators_future_ytm(inputs: &[Series], kwargs: EvaluatorBatchParams) -> Pol
         inputs,
         kwargs,
         |e: TfEvaluator| e.with_future_ytm().unwrap(),
-        |e: &TfEvaluator| e.future_ytm,
+        |e: &TfEvaluator| e.future_ytm.filter(|v| !v.is_nan()),
         true,
         true,
     )?
@@ -524,6 +524,66 @@ fn evaluators_last_trading_date(
     Ok(result.into_date().into_series())
 }
 
+#[polars_expr(output_type=Date)]
+fn bonds_remain_year(
+    inputs: &[Series],
+    kwargs: EvaluatorBatchParams,
+) -> PolarsResult<Series> {
+    let result: Float64Chunked = batch_eval(
+        inputs,
+        kwargs,
+        |e: TfEvaluator| e,
+        |e: &TfEvaluator| {
+            Some(e.bond.remain_year(e.date))
+        },
+        false,
+        true,
+    )?
+    .into_iter()
+    .collect_trusted();
+    Ok(result.into_series())
+}
+
+#[polars_expr(output_type=Date)]
+fn bonds_carry_date(
+    inputs: &[Series],
+    kwargs: EvaluatorBatchParams,
+) -> PolarsResult<Series> {
+    let result: Int32Chunked = batch_eval(
+        inputs,
+        kwargs,
+        |e: TfEvaluator| e,
+        |e: &TfEvaluator| {
+            Some(e.bond.carry_date.num_days_from_ce() - EPOCH_DAYS_FROM_CE)
+        },
+        false,
+        true,
+    )?
+    .into_iter()
+    .collect_trusted();
+    Ok(result.into_date().into_series())
+}
+
+#[polars_expr(output_type=Date)]
+fn bonds_maturity_date(
+    inputs: &[Series],
+    kwargs: EvaluatorBatchParams,
+) -> PolarsResult<Series> {
+    let result: Int32Chunked = batch_eval(
+        inputs,
+        kwargs,
+        |e: TfEvaluator| e,
+        |e: &TfEvaluator| {
+            Some(e.bond.maturity_date.num_days_from_ce() - EPOCH_DAYS_FROM_CE)
+        },
+        false,
+        true,
+    )?
+    .into_iter()
+    .collect_trusted();
+    Ok(result.into_date().into_series())
+}
+
 #[derive(Deserialize)]
 struct FindWorkdayKwargs {
     market: Market,

{tea_bond-0.3.12 → tea_bond-0.3.14}/pybond/src/pnl.rs

@@ -141,11 +141,14 @@ fn get_trading_output_type(input_fields: &[Field]) -> PolarsResult<Field> {
 fn trading_from_pos(inputs: &[Series], mut kwargs: pnl::TradeFromPosOpt) -> PolarsResult<Series> {
     use pyo3_polars::export::polars_core::utils::CustomIterTools;
     use tevec::export::polars::prelude::*;
-    let (time, pos, open, finish_price) = (&inputs[0], &inputs[1], &inputs[2], &inputs[3]);
-    let (pos, open, finish_price) = auto_cast!(Float64(pos, open, finish_price));
+    let (time, pos, open, finish_price, cash) = (&inputs[0], &inputs[1], &inputs[2], &inputs[3], &inputs[4]);
+    let (pos, open, finish_price, cash) = auto_cast!(Float64(pos, open, finish_price, cash));
     if let Some(p) = finish_price.f64()?.iter().next() {
         kwargs.finish_price = p
     };
+    if let Some(c) = cash.f64()?.iter().next() {
+        kwargs.cash = c
+    };
     let res = match time.dtype() {
         DataType::Date => {
             let trade_vec =

{tea_bond-0.3.12 → tea_bond-0.3.14}/tea-bond/src/bond/mod.rs

@@ -115,6 +115,7 @@ impl Bond {
             0 => Ok(Months::new(0)),
             1 => Ok(Months::new(12)),
             2 => Ok(Months::new(6)),
+            4 => Ok(Months::new(3)),
             _ => bail!("Invalid inst_freq: {}", self.inst_freq),
         }
     }
@@ -151,7 +152,7 @@ impl Bond {
                 self.carry_date
             );
             return Ok(self.carry_date);
-        } else if date >= self.maturity_date {
+        } else if date > self.maturity_date {
             eprintln!(
                 "Calculating date {} is after the bond {} 's maturity date {}, the result may be incorrect",
                 date,

{tea_bond-0.3.12 → tea_bond-0.3.14}/tea-bond/src/pnl/mod.rs

@@ -88,24 +88,27 @@ where
             .checked_add_days(Days::new(settle_time.unwrap() as u64))
             .unwrap();
         let (trade_price, close): (Option<f64>, Option<f64>) = if let Some(bond) = &symbol {
-            if last_settle_time != Some(settle_time) {
-                // 新的一天重新计算相关信息
-                let cp_dates = bond.get_nearest_cp_date(settle_time).unwrap();
-                accrued_interest = bond
-                    .calc_accrued_interest(settle_time, Some(cp_dates))
-                    .unwrap();
-                last_cp_date = bond.mkt.find_workday(cp_dates.0, 0);
-                // 当天初始仓位会产生的票息
-                if settle_time == last_cp_date {
-                    state.coupon_paid += coupon_paid * multiplier * state.pos;
+            if !bond.is_zero_coupon() {
+                if last_settle_time != Some(settle_time) {
+                    // 新的一天重新计算相关信息
+                    let cp_dates = bond.get_nearest_cp_date(settle_time).unwrap();
+                    accrued_interest = bond
+                        .calc_accrued_interest(settle_time, Some(cp_dates))
+                        .unwrap();
+                    last_cp_date = bond.mkt.find_workday(cp_dates.0, 0);
+                    // 当天初始仓位会产生的票息
+                    if settle_time == last_cp_date {
+                        // 调节应计利息
+                        accrued_interest = coupon_paid;
+                        state.coupon_paid += coupon_paid * multiplier * state.pos;
+                    }
+                    last_settle_time = Some(settle_time);
+                }
+                // 交易当天会产生付息
+                if (settle_time == last_cp_date) & (qty != 0.) {
+                    state.coupon_paid += coupon_paid * multiplier * qty;
                 }
-                last_settle_time = Some(settle_time);
-            }
-            // 当前需要付息
-            if settle_time == last_cp_date {
-                state.coupon_paid += coupon_paid * multiplier * qty;
             }
-
             (
                 clean_price.map(|v| v.f64() + accrued_interest),
                 clean_close.map(|v| v.f64() + accrued_interest),

{tea_bond-0.3.12 → tea_bond-0.3.14}/tea-bond/src/pnl/trade_from_signal.rs

@@ -11,8 +11,7 @@ pub struct Trade<T> {
 
 #[derive(Deserialize)]
 pub struct TradeFromPosOpt {
-    // pub symbol: SmallStr,
-    pub cash: f64,
+    pub cash: Option<f64>,
     pub multiplier: f64,
     pub qty_tick: f64,
     pub stop_on_finish: bool,
@@ -48,6 +47,7 @@ where
     let mut last_pos = 0.;
     let mut open_price: f64 = 0.;
     let mut open_qty: f64 = 0.;
+    let cash = opt.cash.unwrap();
     let mut trades = Vec::with_capacity(INIT_TRADE_COUNT);
 
     // 记录最后一个可用 (time, price)，用于 stop_on_finish
@@ -57,7 +57,6 @@ where
         if pos.not_none() && open.not_none() {
             let pos = pos.unwrap().f64();
             let price = open.unwrap().f64();
-
             // 记录最新可用的时间与价格
             last_tp = Some((time.clone(), price));
 
@@ -66,17 +65,20 @@ where
                 // 目标名义 -> 成交量（正买负卖）
                 let qty = if pos.abs() > EPS {
                     let p = if open_price > 0. { open_price } else { price };
-                    let raw_qty = dpos * opt.cash / (p * opt.multiplier);
+                    let raw_qty = dpos * cash / (p * opt.multiplier);
                     // 量化到最小变动单位（朝 0 截断，避免超买/超卖）
                     quantize_inside(raw_qty, opt.qty_tick)
                 } else {
                     -open_qty
                 };
-                if dpos.signum() == open_qty.signum() {
-                    open_price = (open_price * open_qty + qty * price) / (qty + open_qty)
+                if open_qty == 0. {
+                    // 开仓情况
+                    open_price = price;
+                } else if dpos.signum() == open_qty.signum() {
+                    open_price = (open_price * open_qty + qty * price) / (qty + open_qty);
                 } else if open_qty.abs() > qty.abs() {
                     // 反向加仓, 价格为新的开仓价格
-                    open_price = price
+                    open_price = price;
                 };
                 // 减仓情况的价格不改变
 
@@ -97,7 +99,7 @@ where
     });
 
     // 收尾是否强制平仓
-    if opt.stop_on_finish && open_qty != 0.0 {
+    if opt.stop_on_finish && (open_qty != 0.0) {
         if let Some((t, p)) = last_tp {
             let p = if let Some(p) = opt.finish_price { p } else { p };
             trades.push(Trade {

{tea_bond-0.3.12 → tea_bond-0.3.14}/tea-bond/src/tf_evaluator/evaluator.rs

@@ -139,8 +139,12 @@ impl TfEvaluator {
     }
     /// 计算剩余付息次数
     #[inline]
-    pub fn with_remain_cp_num(self) -> Result<Self> {
+    pub fn with_remain_cp_num(mut self) -> Result<Self> {
         if self.remain_cp_num.is_none() {
+            if self.bond.is_zero_coupon() {
+                self.remain_cp_num = Some(0);
+                return Ok(self);
+            }
             let mut out = self.with_nearest_cp_dates()?;
             out.remain_cp_num = Some(
                 out.bond
@@ -154,8 +158,12 @@ impl TfEvaluator {
 
     /// 计算应计利息
     #[inline]
-    pub fn with_accrued_interest(self) -> Result<Self> {
+    pub fn with_accrued_interest(mut self) -> Result<Self> {
         if self.accrued_interest.is_none() {
+            if self.bond.is_zero_coupon() {
+                self.accrued_interest = Some(0.);
+                return Ok(self);
+            }
             let mut out = self.with_nearest_cp_dates()?;
             out.accrued_interest = Some(
                 out.bond
@@ -169,8 +177,13 @@ impl TfEvaluator {
 
     /// 计算债券全价
     #[inline]
-    pub fn with_dirty_price(self) -> Result<Self> {
+    pub fn with_dirty_price(mut self) -> Result<Self> {
         if self.dirty_price.is_none() {
+            if self.bond.is_zero_coupon() {
+                let remain_year = self.bond.remain_year(self.date);
+                self.dirty_price = Some(100.0 / (1.0+self.bond.ytm()).powf(remain_year));
+                return Ok(self);
+            }
             let mut out = self.with_remain_cp_num()?;
             out.dirty_price = Some(out.bond.calc_dirty_price_with_ytm(
                 out.bond.ytm(),
@@ -198,8 +211,12 @@ impl TfEvaluator {
 
     /// 计算久期
     #[inline]
-    pub fn with_duration(self) -> Result<Self> {
+    pub fn with_duration(mut self) -> Result<Self> {
         if self.duration.is_none() {
+            if self.bond.is_zero_coupon() {
+                self.duration = Some(self.bond.remain_year(self.date));
+                return Ok(self);
+            }
             let mut out = self.with_remain_cp_num()?;
             out.duration = Some(out.bond.calc_duration(
                 out.bond.ytm(),