tea-bond 0.3.13__tar.gz → 0.3.15__tar.gz

{tea_bond-0.3.13 → tea_bond-0.3.15}/Cargo.lock

@@ -2195,7 +2195,7 @@ dependencies = [
 
 [[package]]
 name = "pybond"
-version = "0.3.13"
+version = "0.3.15"
 dependencies = [
  "chrono",
  "itertools 0.14.0",
@@ -3117,7 +3117,7 @@ dependencies = [
 
 [[package]]
 name = "tea-bond"
-version = "0.3.13"
+version = "0.3.15"
 dependencies = [
  "anyhow",
  "chrono",
@@ -3136,7 +3136,7 @@ dependencies = [
 
 [[package]]
 name = "tea-calendar"
-version = "0.3.13"
+version = "0.3.15"
 dependencies = [
  "chrono",
 ]

{tea_bond-0.3.13 → tea_bond-0.3.15}/Cargo.toml

@@ -4,7 +4,7 @@ default-members = ["tea-bond", "tea-calendar"]
 resolver = "2"
 
 [workspace.package]
-version = "0.3.13"
+version = "0.3.15"
 edition = "2024"
 
 [workspace.dependencies]

{tea_bond-0.3.13 → tea_bond-0.3.15}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: tea-bond
-Version: 0.3.13
+Version: 0.3.15
 Classifier: Programming Language :: Rust
 Classifier: Programming Language :: Python :: Implementation :: CPython
 Classifier: Programming Language :: Python :: Implementation :: PyPy

{tea_bond-0.3.13/pybond → tea_bond-0.3.15}/pybond/pl.py

@@ -280,7 +280,15 @@ class TfEvaluators:
         Returns:
             Polars expression for bond remaining year
         """
-        return self._call_plugin("evaluators_remain_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:
@@ -329,6 +337,12 @@ class Bonds:
         """
         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).
@@ -392,7 +406,27 @@ class Bonds:
         """
         return self._evaluator(date=date).remain_cp_num
 
-    # TODO(Teamon): 实现向量化根据净价反推ytm的函数
+    def calc_ytm_with_price(
+        self,
+        date: IntoExpr = "date",
+        dirty_price: IntoExpr = "dirty_price",
+        clean_price: IntoExpr | None = None,
+    ):
+        bond = parse_into_expr(self.bond)
+        date = parse_into_expr(date)
+        if clean_price is None:
+            dirty_price = parse_into_expr(dirty_price)
+        else:
+            assert dirty_price == "dirty_price", (
+                "should not set dirty_price when clean_price is set"
+            )
+            clean_price = parse_into_expr(clean_price)
+            dirty_price = clean_price + self.accrued_interest(date)
+        return register_plugin(
+            args=[bond, date, dirty_price],
+            symbol="bonds_calc_ytm_with_price",
+            is_elementwise=False,
+        )
 
 
 class Futures:

{tea_bond-0.3.13/pybond → tea_bond-0.3.15}/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-0.3.13 → tea_bond-0.3.15/pybond}/pybond/pl.py

@@ -280,7 +280,15 @@ class TfEvaluators:
         Returns:
             Polars expression for bond remaining year
         """
-        return self._call_plugin("evaluators_remain_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:
@@ -329,6 +337,12 @@ class Bonds:
         """
         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).
@@ -392,7 +406,27 @@ class Bonds:
         """
         return self._evaluator(date=date).remain_cp_num
 
-    # TODO(Teamon): 实现向量化根据净价反推ytm的函数
+    def calc_ytm_with_price(
+        self,
+        date: IntoExpr = "date",
+        dirty_price: IntoExpr = "dirty_price",
+        clean_price: IntoExpr | None = None,
+    ):
+        bond = parse_into_expr(self.bond)
+        date = parse_into_expr(date)
+        if clean_price is None:
+            dirty_price = parse_into_expr(dirty_price)
+        else:
+            assert dirty_price == "dirty_price", (
+                "should not set dirty_price when clean_price is set"
+            )
+            clean_price = parse_into_expr(clean_price)
+            dirty_price = clean_price + self.accrued_interest(date)
+        return register_plugin(
+            args=[bond, date, dirty_price],
+            symbol="bonds_calc_ytm_with_price",
+            is_elementwise=False,
+        )
 
 
 class Futures:

{tea_bond-0.3.13 → tea_bond-0.3.15/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-0.3.13 → tea_bond-0.3.15}/pybond/src/batch_eval.rs

@@ -183,6 +183,7 @@ where
     let (future_price, bond_ytm, capital_rate) =
         auto_cast!(Float64(future_price, bond_ytm, capital_rate));
     let date = auto_cast!(Date(date));
+    let bond = auto_cast!(String(bond));
     Ok(batch_eval_impl(
         future.str()?,
         bond.str()?,
@@ -524,8 +525,8 @@ fn evaluators_last_trading_date(
     Ok(result.into_date().into_series())
 }
 
-#[polars_expr(output_type=Date)]
-fn evaluators_remain_year(
+#[polars_expr(output_type=Float64)]
+fn bonds_remain_year(
     inputs: &[Series],
     kwargs: EvaluatorBatchParams,
 ) -> PolarsResult<Series> {
@@ -544,6 +545,103 @@ fn evaluators_remain_year(
     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())
+}
+
+#[polars_expr(output_type=Float64)]
+fn bonds_calc_ytm_with_price(
+    inputs: &[Series]
+) -> PolarsResult<Series> {
+    let dirty_price_se = auto_cast!(Float64(&inputs[2]));
+    let bond_se = auto_cast!(String(&inputs[0]));
+    let date_se = auto_cast!(Date(&inputs[1]));
+    let len = dirty_price_se.len();
+    let bond = bond_se.str()?;
+    let date = date_se.date()?;
+    let dirty_price = dirty_price_se.f64()?;
+    let mut bond_iter = bond.iter();
+    let mut date_iter = date.physical().iter();
+    let mut bond = CachedBond::new(bond_iter.next().unwrap().unwrap_or(""), None).unwrap();
+    let mut dirty_price_iter = dirty_price.iter();
+    let mut date_physical = date_iter.next().unwrap().unwrap_or(0);
+    let mut date = EPOCH
+        .checked_add_days(Days::new(date_physical as u64))
+        .unwrap();
+    let mut dirty_price = dirty_price_iter.next().unwrap().unwrap_or(f64::NAN);
+    let mut result = Vec::with_capacity(len);
+    if bond.bond_code().is_empty() {
+        result.push(None)
+    } else {
+        result.push(bond.calc_ytm_with_price(dirty_price, date, None, None).ok().filter(|v| !v.is_nan()))
+    }
+    for _ in 1..len {
+        if let Some(dp) = dirty_price_iter.next() {
+            dirty_price = dp.unwrap_or(f64::NAN);
+        };
+        if let Some(dt) = date_iter.next() {
+            let dt = dt.unwrap_or(0);
+            if dt != date_physical {
+                date_physical = dt;
+                date = EPOCH.checked_add_days(Days::new(dt as u64)).unwrap()
+            }
+        };
+        if let Some(b) = bond_iter.next() {
+            if let Some(b) = b {
+                if b != bond.code() && bond.bond_code != b {
+                    bond = CachedBond::new(b, None).unwrap();
+                }
+            } else {
+                result.push(None);
+                continue;
+            }
+        };
+        if bond.bond_code().is_empty() {
+            result.push(None);
+        } else {
+            result.push(bond.calc_ytm_with_price(dirty_price, date, None, None).ok().filter(|v| !v.is_nan()))
+        }
+    }
+    let result: Float64Chunked = result.into_iter().collect_trusted();
+    Ok(result.into_series())
+}
+
 #[derive(Deserialize)]
 struct FindWorkdayKwargs {
     market: Market,

{tea_bond-0.3.13 → tea_bond-0.3.15}/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-0.3.13 → tea_bond-0.3.15}/tea-bond/src/bond/mod.rs

@@ -152,7 +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,
@@ -345,6 +345,15 @@ impl Bond {
     ) -> Result<f64> {
         match self.interest_type {
             InterestType::Fixed => {
+                if self.is_zero_coupon() {
+                    let remain_year = self.remain_year(date);
+                    if remain_year >= 1. {
+                        return Ok((self.par_value / dirty_price).powf(1.0 / remain_year) - 1.)
+                    } else {
+                        return Ok((self.par_value / dirty_price - 1.) * remain_year)
+                    }
+                    
+                }
                 let inst_freq = self.inst_freq as f64;
                 let coupon = self.get_coupon();
                 let (pre_cp_date, next_cp_date) =

{tea_bond-0.3.13 → tea_bond-0.3.15}/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-0.3.13 → tea_bond-0.3.15}/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-0.3.13 → tea_bond-0.3.15}/tea-bond/src/tf_evaluator/evaluator.rs

@@ -161,7 +161,8 @@ impl TfEvaluator {
     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.);
+                let days = ACTUAL.count_days(self.bond.carry_date, self.date);
+                self.accrued_interest = Some(self.bond.cp_rate * self.bond.par_value * days as f64 / 365.);
                 return Ok(self);
             }
             let mut out = self.with_nearest_cp_dates()?;
@@ -181,7 +182,11 @@ impl TfEvaluator {
         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));
+                if remain_year > 1. {
+                    self.dirty_price = Some(self.bond.par_value / (1.0+self.bond.ytm()).powf(remain_year));
+                } else {
+                    self.dirty_price = Some(self.bond.par_value / (1.0+self.bond.ytm() * remain_year));
+                }
                 return Ok(self);
             }
             let mut out = self.with_remain_cp_num()?;