version0.11.3

CHANGELOG.md

@@ -2,6 +2,8 @@
 
 ## Unreleased
 
+## v0.11.3 - 2021.01.31
+
 ### added
 
 - 场内账单增加忽略基金的 # 前缀支持
@@ -10,12 +12,16 @@
 
 - 更新了主流国际市场 2021 休市日
 
+- 增加了可转债工具箱对 B 评级可转债的支持
+
 ### fixed
 
 - 进一步修改申购费自定义的小数点错误：第一笔申购情形
 
 - 修复了 _float 中遇到百分数的 bug
 
+- 转2修正为可转债类型
+
 ## v0.11.2 - 2021.01.01
 
 ### added

doc/samples/qdiipred.py

@@ -49,7 +49,6 @@ def cached_get_bar(code, *args, **kws):
     "SZ164824",
     "SH513030",
     "SZ160140",
-    "SZ161714",
     "SZ165510",
     "SZ164906",
     "SH513050",

setup.py

@@ -16,7 +16,7 @@
 
 setuptools.setup(
     name="xalpha",
-    version="0.11.2",
+    version="0.11.3",
     author="refraction-ray",
     author_email="refraction-ray@protonmail.com",
     description="all about fund investment",

xalpha/__init__.py

@@ -1,4 +1,4 @@
-__version__ = "0.11.2"
+__version__ = "0.11.3"
 __author__ = "refraction-ray"
 __name__ = "xalpha"
 

xalpha/toolbox.py

@@ -829,7 +829,7 @@ def process_byday(self, date=None):
         ) * np.sqrt(244)
         if not self.refvolatility:
             self.volatility = 0.17
-            if self.rating in ["A-", "A", "A+"]:
+            if self.rating in ["A-", "A", "A+"] or self.rating.startswith("B"):
                 self.volatility = 0.25
             elif self.rating in ["AA-"]:
                 self.volatility = 0.2
@@ -855,9 +855,9 @@ def process_byday(self, date=None):
         ).days
         if not self.refbondrate:
             ratestable = get_bond_rates(self.rating, self.date_obj.strftime("%Y-%m-%d"))
-            if self.rating in ["A", "A+", "AA-"]:
+            if self.rating in ["A", "A+", "AA-"] or self.rating.startswith("B"):
                 ## AA 到 AA- 似乎是利率跳高的一个坎
-                cutoff = 2
+                cutoff = 3  # changed from 2 by considering more credit risk
             else:
                 cutoff = 4
             if self.days / 365 > cutoff:

xalpha/trade.py

@@ -754,7 +754,7 @@ def get_type(self):
             ):
                 self.type_ = "场内基金"
             elif code.startswith("SH11") or code.startswith("SZ12"):
-                if self.name.endswith("转债"):
+                if self.name.endswith("转债") or self.name.endswith("转2"):
                     self.type_ = "可转债"
                 else:
                     self.type_ = "债券"

xalpha/universal.py

@@ -869,7 +869,7 @@ def get_bond_rates(rating, date=None):
     """
     rating = rating.strip()
     rating_uid = {
-        "N": "2c9081e50a2f9606010a3068cae70001",
+        "N": "2c9081e50a2f9606010a3068cae70001",  # 国债
         "AAA": "2c9081e50a2f9606010a309f4af50111",
         "AAA-": "8a8b2ca045e879bf014607ebef677f8e",
         "AA+": "2c908188138b62cd01139a2ee6b51e25",
@@ -878,6 +878,11 @@ def get_bond_rates(rating, date=None):
         "A+": "2c9081e91b55cc84011be40946ca0925",
         "A": "2c9081e91e6a3313011e6d438a58000d",
         "A-": "8a8b2ca04142df6a014148ca880f3046",
+        "A": "2c9081e91e6a3313011e6d438a58000d",
+        "BBB+": "2c9081e91ea160e5011eab1f116c1a59",
+        "BBB": "8a8b2ca0455847ac0145650780ad68fb",
+        "BB": "8a8b2ca0455847ac0145650ba23b68ff",
+        "B": "8a8b2ca0455847ac0145650c3d726901",
     }
     # 上边字典不全，非常欢迎贡献 ：）
     def _fetch(date):