parseInstrument

First introduced in version: 3.00.4

Syntax

parseInstrument(obj)

Details

Parse the instrument description obj into an INSTRUMENT object for modeling and pricing. See Supported Instruments and Fields for details.

Note: parseInstrument preserves non-standard scalar or vector fields (i.e., fields not defined as attributes of the financial instrument) during serialization or deserialization.

Parameters

obj is a dictionary, a tuple of dictionaries, an in-memory table, or a STRING scalar/vector, indicating the financial instrument description to be parsed.

Note: If obj is specified as a table, it must store instruments of a single type.

Returns

An INSTRUMENT object.

Examples

Store the description of a coupon bond in a dictionary and use parseInstrument to parse it into an INSTRUMENT object.

bond = {
    "productType": "Cash",
    "assetType": "Bond",
    "bondType": "FixedRateBond",
    "instrumentId": "230205.IB",
    "start": "2023.03.06",
    "maturity": "2033.03.06",
    "issuePrice": 100.0,
    "coupon": 0.0302,
    "calendar": "CFET",
    "frequency": "Annual",
    "dayCountConvention": "ActualActualISDA",
    "subType": "CDB_BOND",
    "issuer": "CDB"
}
parseInstrument(bond)

Parse a tuple of dictionaries and obtain INSTRUMENT objects for three bonds.

bond1 = {
    "productType": "Cash",
    "assetType": "Bond",
    "bondType": "DiscountBond",
    "instrumentId": "259924.IB",
    "start": 2025.04.17,
    "maturity": 2025.07.17,
    "issuePrice": 99.664,
    "dayCountConvention": "ActualActualISDA",
    "subType": "TREASURY_BOND",
    "issuer": "MOF"
}

bond2 = {
    "productType": "Cash",
    "assetType": "Bond",
    "bondType": "ZeroCouponBond",
    "instrumentId": "250401.IB",
    "start": 2025.01.09,
    "maturity": 2026.02.05,
    "coupon": 0.0119,
    "dayCountConvention": "ActualActualISDA",
    "subType": "CDB_BOND",
    "issuer": "ADBC"
}

parseInstrument([bond,bond1,bond2])

Store instrument descriptions in a table, with each column representing a field. Use parseInstrument to parse it and obtain an INSTRUMENT object.

Note: If a product is missing a field required by the table columns, set that field to NULL when inserting the product into the table.

create table t (
    productType STRING,
    assetType STRING,
    bondType STRING,
    version INT,
    instrumentId STRING,
    start DATE,
    maturity DATE,
    issuePrice DOUBLE,
    coupon DOUBLE,
    calendar STRING,
    frequency STRING,
    dayCountConvention STRING,
    subType STRING,
    issuer STRING
)
go

insert into t values( "Cash", "Bond", "FixedRateBond", 0, "230205.IB", 2023.03.06, 2033.03.06, 100.0, 0.0302, "CFET", "Annual", "ActualActualISDA", "CDB_BOND", "CDB")
insert into t values( "Cash", "Bond", "DiscountBond", 0, "259924.IB", 2025.04.17, 2025.07.17, 99.664, NULL, NULL, NULL, "ActualActualISDA", "TREASURY_BOND", "MOF")
insert into t values( "Cash", "Bond", "ZeroCouponBond", 0, "250401.IB", 2025.01.09, 2026.02.05, NULL, 0.0119, NULL, NULL, "ActualActualISDA", "CDB_BOND", "ADBC")

parseInstrument(t)

When obj is a STRING scalar:

bond1Str = '{"productType": "Cash","assetType": "Bond","bondType": "FixedRateBond","coupon": 0.0302,"frequency": "Annual","version": 0,"instrumentId": "230205.IB","nominal": 100,"start": "2023.03.06","maturity": "2033.03.06","dayCountConvention": "ActualActualISDA","calendar": "CFET","currency": "CNY","discountCurve": "","spreadCurve": "","subType": "CDB_BOND","issuePrice": 100,"issuer": "CDB"}'

parseInstrument(bond1Str)

When obj is a STRING vector, parse it and obtain multiple INSTRUMENT objects:

bond2Str = '{"productType": "Cash","assetType": "Bond","bondType": "DiscountBond","issuePrice": 99.664000000000001,"version": 0,"instrumentId": "259924.IB","nominal": 100,"start": "2025.04.17","maturity": "2025.07.17","dayCountConvention": "ActualActualISDA","calendar": "","currency": "CNY","discountCurve": "","spreadCurve": "","subType": "TREASURY_BOND","issuer": "MOF"}'
bond3Str = '{"productType": "Cash","assetType": "Bond","bondType": "ZeroCouponBond","coupon": 0.0119,"version": 0,"instrumentId": "250401.IB","nominal": 100,"start": "2025.01.09","maturity": "2026.02.05","dayCountConvention": "ActualActualISDA","calendar": "","currency": "CNY","discountCurve": "","spreadCurve": "","subType": "CDB_BOND","issuer": "CDB"}'

parseInstrument([bond1Str,bond2Str,bond3Str])

Supported Instruments and Fields

The INSTRUMENT type is newly introduced in DolphinDB version 3.00.4, designed to store financial instruments and provide a foundation for pricing and risk measurement of financial products.

The parseInstrument function generates corresponding instrument objects based on the fields of the instrument description. Currently, only the following instrument types are supported:

Discount Bond (DiscountBond)


Field Name	Data Type	Description	Required
productType	STRING	Must be "Cash"	√
assetType	STRING	Must be "Bond"	√
bondType	STRING	Must be "DiscountBond"	√
nominal	DOUBLE	Nominal amount, defalut 100	×
instrumentId	STRING	Bond code, e.g., "259926.IB"	×
start	DATE	Value date	√
maturity	DATE	Maturity date	√
dayCountConvention	STRING	The day count convention. It can be: "ActualActualISDA", "ActualActualISMA"," Actual365", "Actual360"	√
issuePrice	DOUBLE	Issue price	√
currency	STRING	Currency, defaults to "CNY"	×
discountCurve	STRING	The discount curve, e.g., "CNY_TRASURY_BOND"	×
spreadCurve	STRING	The credit spread curve	×
subType	STRING	Subtypes. China's bonds include: "TREASURY_BOND": Treasury Bonds "CENTRAL_BANK_BILL": Central Bank Bills "CDB_BOND": Policy Bank Financial Bonds (China Development Bank) "EIBC_BOND": Policy Bank Financial Bonds (Export-Import Bank of China) "ADBC_BOND": Policy Bank Financial Bonds (Agricultural Development Bank of China) "MTN": Medium-term Notes "CORP_BOND": Corporate Bonds "UNSECURED_CORP_BOND": Unsecured Corporate Bonds "SHORT_FIN_BOND": Short-term Financing Bills "NCD": Negotiable Certificates of Deposit "LOC_GOV_BOND": Local Government Bonds "COMM_BANK_FIN_BOND": Commercial Bank Financial Bonds "BANK_SUB_CAP_BOND": Bank Subordinated Capital Bonds "ABS": Asset-backed Securities "PPN": Privately Offered Bonds	×
creditRating	STRING	Credit rating. It can be: "B", "BB", "BBB", "BBB+", "A-", "A", "A+", "AA-", "AA", "AA+", "AAA-", "AAA", "AAA+"	×

Define an INSTRUMENT object of DiscountBond type.

bond = {
    "productType": "Cash",
    "assetType": "Bond",
    "bondType": "DiscountBond",
    "instrumentId": "259924.IB",
    "start": 2025.04.17,
    "maturity": 2025.07.17,
    "issuePrice": 99.664,
    "dayCountConvention": "ActualActualISDA"
}
instrument = parseInstrument(bond)
print(instrument)

Zero Coupon Bond (ZeroCouponBond)


Field Name	Data Type	Description	Required
productType	STRING	Must be "Cash"	√
assetType	STRING	Must be "Bond"	√
bondType	STRING	Must be "ZeroCouponBond"	√
nominal	DOUBLE	Nominal amount, defalut 100	×
instrumentId	STRING	Bond code, e.g., "259926.IB"	×
start	DATE	Value date	√
maturity	DATE	Maturity date	√
coupon	DOUBLE	Coupon rate, e.g., 0.03 means 3%	√
frequency	STRING	Frequency of interest payment	×
dayCountConvention	STRING	The day count convention. It can be: "ActualActualISDA", "ActualActualISMA"," Actual365", "Actual360"	√
currency	STRING	Currency, defaults to "CNY"	×
discountCurve	STRING	The discount curve, e.g., "CNY_TRASURY_BOND"	×
spreadCurve	STRING	The credit spread curve	×
subType	STRING	Subtypes. China's bonds include: "TREASURY_BOND": Treasury Bonds "CENTRAL_BANK_BILL": Central Bank Bills "CDB_BOND": Policy Bank Financial Bonds (China Development Bank) "EIBC_BOND": Policy Bank Financial Bonds (Export-Import Bank of China) "ADBC_BOND": Policy Bank Financial Bonds (Agricultural Development Bank of China) "MTN": Medium-term Notes "CORP_BOND": Corporate Bonds "UNSECURED_CORP_BOND": Unsecured Corporate Bonds "SHORT_FIN_BOND": Short-term Financing Bills "NCD": Negotiable Certificates of Deposit "LOC_GOV_BOND": Local Government Bonds "COMM_BANK_FIN_BOND": Commercial Bank Financial Bonds "BANK_SUB_CAP_BOND": Bank Subordinated Capital Bonds "ABS": Asset-backed Securities "PPN": Privately Offered Bonds	×
creditRating	STRING	Credit rating. It can be: "B", "BB", "BBB", "BBB+", "A-", "A", "A+", "AA-", "AA", "AA+", "AAA-", "AAA", "AAA+"	×

Define an INSTRUMENT object of ZeroCouponBond type.

dict = {
    "productType": "Cash",
    "assetType": "Bond",
    "bondType": "ZeroCouponBond",
    "instrumentId": "250401.IB",
    "start": 2025.01.09,
    "maturity": 2026.02.05,
    "coupon": 0.0119,
    "dayCountConvention": "ActualActualISDA"
}

Fixed Rate Bond (FixedRateBond)


Field Name	Data Type	Description	Required
productType	STRING	Must be "Cash"	√
assetType	STRING	Must be "Bond"	√
bondType	STRING	Must be "FixedRateBond"	√
nominal	DOUBLE	Nominal amount, defalut 100	×
instrumentId	STRING	Bond code, e.g., "259926.IB"	×
start	DATE	Value date	√
maturity	DATE	Maturity date	√
coupon	DOUBLE	Coupon rate, e.g., 0.03 means 3%	√
frequency	STRING	Frequency of interest payment	√
dayCountConvention	STRING	The day count convention. It can be: "ActualActualISDA", "ActualActualISMA"," Actual365", "Actual360"	√
currency	STRING	Currency, defaults to "CNY"	×
discountCurve	STRING	The discount curve, e.g., "CNY_TRASURY_BOND"	×
spreadCurve	STRING	The credit spread curve	×
subType	STRING	Subtypes. China's bonds include: "TREASURY_BOND": Treasury Bonds "CENTRAL_BANK_BILL": Central Bank Bills "CDB_BOND": Policy Bank Financial Bonds (China Development Bank) "EIBC_BOND": Policy Bank Financial Bonds (Export-Import Bank of China) "ADBC_BOND": Policy Bank Financial Bonds (Agricultural Development Bank of China) "MTN": Medium-term Notes "CORP_BOND": Corporate Bonds "UNSECURED_CORP_BOND": Unsecured Corporate Bonds "SHORT_FIN_BOND": Short-term Financing Bills "NCD": Negotiable Certificates of Deposit "LOC_GOV_BOND": Local Government Bonds "COMM_BANK_FIN_BOND": Commercial Bank Financial Bonds "BANK_SUB_CAP_BOND": Bank Subordinated Capital Bonds "ABS": Asset-backed Securities "PPN": Privately Offered Bonds	×
creditRating	STRING	Credit rating. It can be: "B", "BB", "BBB", "BBB+", "A-", "A", "A+", "AA-", "AA", "AA+", "AAA-", "AAA", "AAA+"	×

Define an INSTRUMENT object of FixedRateBond type.

bond = {
    "productType": "Cash",
    "assetType": "Bond",
    "bondType": "FixedRateBond",
    "instrumentId": "240021.IB",
    "start": 2024.10.25,
    "maturity": 2025.10.25,
    "issuePrice": 100,
    "coupon": 0.0133,
    "frequency": "Annual",
    "dayCountConvention": "ActualActualISDA"
}
instrument = parseInstrument(bond)
print(instrument)

Floating Rate Bond (FloatingRateBond)


Field Name	Data Type	Description	Required
productType	STRING	Must be "Cash"	√
assetType	STRING	Must be "Bond"	√
bondType	STRING	Must be "FloatingRateBond"	√
nominal	DOUBLE	Nominal amount. The default value is 100.	×
instrumentId	STRING	Bond code, e.g., "1680437.IB"	×
start	DATE	Value date	√
maturity	DATE	Maturity date	√
iborIndex	STRING	Reference rate, e.g., "LPR_1Y"	√
lastFixing	DOUBLE	Reference-rate fixing from the previous fixing date	√
spread	DOUBLE	Spread. The default value is 0.0.	×
frequency	STRING	Coupon payment frequency	√
dayCountConvention	STRING	Day count convention: "ActualActualISDA", "ActualActualISMA", "Actual365", or "Actual360"	√
fixingOffsetDays	INT	Number of days between the next accrual start date and the fixing date. The default value is 1.	×
currency	STRING	Currency. The default value is "CNY".	×
discountCurve	STRING	Name of the discount curve used for pricing, e.g., "CNY_TREASURY_BOND"	×
spreadCurve	STRING	Name of the credit spread curve used for pricing	×
forwardCurve	STRING	Name of the forward curve used for pricing	×
subType	STRING	Bond subtype. Supported Chinese bond subtypes are: "TREASURY_BOND": Treasury bond "CENTRAL_BANK_BILL": Central bank bill "CDB_BOND": Policy bank bond issued by China Development Bank "EIBC_BOND": Policy bank bond issued by the Export-Import Bank of China "ADBC_BOND": Policy bank bond issued by the Agricultural Development Bank of China "MTN": Medium-term note "CORP_BOND": Corporate bond "UNSECURED_CORP_BOND": Unsecured corporate bond "SHORT_FIN_BOND": Short-term financing bill "NCD": Negotiable certificate of deposit "LOC_GOV_BOND": Local government bond "COMM_BANK_FIN_BOND": Commercial bank financial bond "BANK_SUB_CAP_BOND": Bank subordinated capital bond "ABS": Asset-backed security "PPN": Privately placed note	×
creditRating	STRING	Credit rating: "B", "BB", "BBB", "BBB+", "A-", "A", "A+", "AA-", "AA", "AA+", "AAA-", "AAA", or "AAA+"	×

Define and parse a floating-rate bond:

floatingBond = {
    "productType": "Cash",
    "assetType": "Bond",
    "bondType": "FloatingRateBond",
    "instrumentId": "240025.IB",
    "start": 2017.09.11,
    "maturity": 2020.09.11,
    "frequency": "Semiannual",
    "dayCountConvention": "Actual365",
    "iborIndex": "LPR_1Y",
    "spread": 0.02,
    "lastFixing": 0.08
}
typestr(parseInstrument(floatingBond))
// output: INSTRUMENT

Bond Futures (BondFutures)


Field Name	Data Type	Description	Required
productType	STRING	Must be "Futures"	√
futuresType	STRING	Must be "BondFutures"	√
nominal	DOUBLE	Nominal amount, defalut 100	×
instrumentId	STRING	Bond future code, e.g., "T2509"	×
maturity	DATE	Maturity date	√
settlement	DATE	Settlement date	√
underlying	Dictionary	Fixed-rate bond structure, indicating the underlying deliverable bonds.	√
nominalCouponRate	DOUBLE	Nominal coupon rate	√

Define an INSTRUMENT object of BondFutures type.

bond ={
    "productType": "Cash",
    "assetType": "Bond",
    "bondType": "FixedRateBond",
    "instrumentId": "220010.IB",
    "start": 2020.12.25,
    "maturity": 2031.12.25,
    "issuePrice": 100.0,
    "coupon": 0.0149,
    "frequency": "Annual",
    "dayCountConvention": "ActualActualISDA"
}

futures =  {
    "productType": "Futures",
    "futuresType": "BondFutures",
    "instrumentId": "T2509",  //Future code
    "nominal": 100.0,
    "maturity": "2022.09.09",
    "settlement": "2022.09.11",
    "underlying": bond,
    "nominalCouponRate": 0.03  //Nominal coupon rate corresponding to the bond futures. You can get it from the China Financial Futures Exchange (CFFEX).
}
instrument = parseInstrument(futures)
print(instrument)

Bond Outright Repo (BondOutrightRepo)


Field Name	Type	Description	Required
productType	STRING	Set this field to "Cash".	Yes
assetType	STRING	Set this field to "Repo".	Yes
repoType	STRING	Set this field to "BondOutrightRepo".	Yes
notionalAmount	DOUBLE	Notional amount	Yes
notionalCurrency	STRING	Notional currency, defaults to "CNY"	No
instrumentId	STRING	User-defined unique identifier, such as "repo000002"	No
start	DATE	Interest start date	Yes
maturity	DATE	Maturity date	Yes
rate	DOUBLE	Repo rate	Yes
payReceive	STRING	Payment/receipt indicator; "Pay" indicates the repo side, and "Receive" indicates the reverse repo side	Yes
underlying	DICT/INSTRUMENT	Basic information about the pledged bonds	Yes
dayCountConvention	STRING	Day count convention. Valid values are "ActualActualISDA", "ActualActualISMA", "Actual365", and "Actual360".	Yes
discountCurve	STRING	Name of the discount curve used as a pricing reference; for CNY deposits, the default is "CNY_FR_007".	No

Bond Pledged Repo (BondPledgedRepo)


Field	Type	Description	Required
productType	STRING	Fixed value: "Cash".	Yes
assetType	STRING	Fixed value: "Repo".	Yes
repoType	STRING	Fixed value: "BondPledgedRepo".	Yes
notionalAmount	DOUBLE	The notional amount.	Yes
notionalCurrency	STRING	The notional currency. The default value is "CNY".	No
instrumentId	STRING	A user-defined unique identifier, such as "repo000001".	No
start	DATE	The start date.	Yes
maturity	DATE	The maturity date.	Yes
rate	DOUBLE	The repo rate.	Yes
payReceive	STRING	The pay/receive indicator. "Pay" indicates the repo party, and "Receive" indicates the reverse repo party.	Yes
dayCountConvention	STRING	The day count convention. Valid values are "ActualActualISDA", "ActualActualISMA", "Actual365", and "Actual360".	Yes
discountCurve	STRING	The name of the discount curve used for pricing. For CNY scenarios, the default value is "CNY_FR_007".	No

Deposit (Deposit)


Field Name	Data Type	Description	Required
productType	STRING	Must be "Cash"	√
assetType	STRING	Must be "Deposit"	√
notionalAmount	DOUBLE	Notional principal amount	√
notionalCurrency	STRING	Notional principal	√
instrumentId	STRING	Deposit reference rate index, e.g., "SHIBOR_3M"	×
start	DATE	Value date	√
maturity	DATE	Maturity date	√
rate	DOUBLE	Deposit interest rate	√
dayCountConvention	STRING	The day count convention. It can be: "ActualActualISDA", "ActualActualISMA"," Actual365", "Actual360"	√
payReceive	STRING	Pay/Receive indicator: "Pay" indicates paying; "Receive" indicates receiving.	√
discountCurve	STRING	The domestic discount curve. The default is "CNY_FR_007" for CNY.	×
calendar	STRING	Trading calendar	×

Define an INSTRUMENT object of Deposit type.

deposit =  {
    "productType": "Cash",
    "assetType": "Deposit",
    "start": 2025.05.15,
    "maturity": 2025.08.15,
    "rate": 0.02,
    "dayCountConvention": "Actual360",
    "notionalCurrency": "CNY",
    "notionalAmount": 1E6,
    "payReceive": "Receive"
}
instrument = parseInstrument(deposit)
print(instrument)

IR Fixed-Floating Swap (IrFixedFloatingSwap)


Field Name	Data Type	Description	Required
productType	STRING	Must be "Swap"	√
swapType	STRING	Must be "IrSwap"	√
irSwapType	STRING	Must be "IrFixedFloatingSwap"	√
notionalAmount	DOUBLE	Notional principal amount	√
notionalCurrency	STRING	Notional principal	√
instrumentId	STRING	IR fixed-floating swap name. It can be "CNY_FR_007 or "CNY_SHIBOR_3M".	×
start	DATE	Value date	√
maturity	DATE	Maturity date	√
fixedRate	DOUBLE	Fixed-rate	√
calendar	STRING	Trading calendar	√
fixedDayCountConvention	STRING	The day count convention. It can be: "ActualActualISDA", "ActualActualISMA"," Actual365", "Actual360"	√
floatingDayCountConvetion	STRING	The day count convention. It can be: "ActualActualISDA", "ActualActualISMA"," Actual365", "Actual360"	√
spread	DOUBLE	Interest rate spread	√
iborIndex	STRING	Floating reference rate. It can be "FR_007" or "SHIBOR_3M".	√
frequency	STRING	Frequency of interest payment	√
payReceive	STRING	Pay/Receive indicator "Pay": pay fixed interest rate/ receive floating interest rate "Receive": receive fixed interest rate/ pay floating interest rate	√
discountCurve	STRING	The discount curve name	×
forwardCurve	STRING	Name of the forward curve used to project future floating rates	×

Define an INSTRUMENT object of IrFixedFloatingSwap type.

swap =  {
    "productType": "Swap",
    "swapType": "IrSwap",
    "irSwapType": "IrFixedFloatingSwap",
    "start": 2021.05.15,
    "maturity": 2023.05.15,
    "frequency": "Quarterly",
    "fixedRate": 0.02,
    "calendar": "CFET", 
    "fixedDayCountConvention": "Actual365",
    "floatingDayCountConvention": "Actual360",
    "payReceive": "Pay",
    "iborIndex": "SHIBOR_3M",
    "spread": 0.0005,
    "notionalCurrency": "CNY",
    "notionalAmount": 1E8
}
instrument = parseInstrument(swap)
print(instrument)

Foreign Exchange Forward (FxForward)


Field Name	Data Type	Description	Required
productType	STRING	Product name. It must be "Forward".	√
forwardType	STRING	Foreign exchange forward type. It must be "FxForward".	√
notionalAmount	DOUBLE	Notional principal amount	√
notionalCurrency	STRING	Notional principal	√
instrumentId	STRING	InstrumentId ID	×
expiry	DATE	Value date	√
delivery	DATE	Settlement date	√
currencyPair	STRING	The currency pair, in the format "EURUSD", "EUR.USD", or "EUR/USD". Supported currency pairs include: "EURUSD": Euro to US Dollar "USDCNY": US Dollar to Chinese Yuan "EURCNY": Euro to Chinese Yuan "GBPCNY": British Pound to Chinese Yuan "JPYCNY": Japanese Yen to Chinese Yuan "HKDCNY": Hong Kong Dollar to Chinese Yuan	√
direction	STRING	Trading direction, can be "Buy" or "Sell"	√
strike	DOUBLE	Strike price	√
domesticCurve	STRING	The domestic discount curve name	×
foreignCurve	STRING	The foreign discount curve name	×

Define an INSTRUMENT object of FxForward type.

forward =  {
   "productType": "Forward",
    "forwardType": "FxForward",
    "expiry": 2025.09.24,
    "delivery": 2025.09.26,
    "currencyPair": "USDCNY",
    "direction": "Buy",
    "notionalCurrency": "USD",
    "notionalAmount": 1E8,
    "strike": 7.2
}
instrument = parseInstrument(forward)
print(instrument)

Foreign Exchange Swap (FxSwap)


Field Name	Data Type	Description	Required
productType	STRING	Product name. It must be "Swap".	√
swapType	STRING	Foreign exchange swap type. It must be "FxSwap".	√
notionalAmount	DOUBLE	Notional principal amount	√
notionalCurrency	STRING	Notional principal	√
currencyPair	STRING	The currency pair, in the format "EURUSD", "EUR.USD", or "EUR/USD". Supported currency pairs include: "EURUSD": Euro to US Dollar "USDCNY": US Dollar to Chinese Yuan "EURCNY": Euro to Chinese Yuan "GBPCNY": British Pound to Chinese Yuan "JPYCNY": Japanese Yen to Chinese Yuan "HKDCNY": Hong Kong Dollar to Chinese Yuan	√
nearExpiry	DATE	Maturity date for the near leg	√
nearDelivery	DATE	Settlement date for the near leg	√
direction	STRING	Trading direction, can be "Buy": Buy the foreign currency on the near leg and sell it on the far leg. "Sell": Sell the foreign currency on the near leg and buy it back on the far leg.	√
nearStrike	DOUBLE	Strike price for the near leg	√
farExpiry	DATE	Maturity date for the far leg	√
farDelivery	DATE	Settlement date for the far leg	√
farStrike	DOUBLE	Strike price for the far leg	√
domesticCurve	STRING	The domestic discount curve name	×
foreignCurve	STRING	The foreign discount curve name	×

Define an INSTRUMENT object of FxSwap type.

swap = {
    "productType": "Swap",
    "swapType": "FxSwap",
    "currencyPair": "EURUSD",
    "direction": "Buy",
    "notionalCurrency": "EUR",
    "notionalAmount": 1E6,
    "nearStrike": 1.1,
    "nearExpiry": 2025.12.08,
    "nearDelivery": 2025.12.10,
    "farStrike": 1.2,
    "farExpiry": 2026.06.08,
    "farDelivery": 2026.06.10
}
instrument = parseInstrument(swap)
print(instrument)

Fx European Style Option (FxEuropeanOption)


Field Name	Data Type	Description	Required
productType	STRING	Must be "Option"	√
optionType	STRING	Must be "EuropeanOption"	√
assetType	STRING	Must be "FxEuropeanOption"	√
notionalAmount	DOUBLE	Notional principal amount	√
notionalCurrency	STRING	Notional principal	√
instrumentId	STRING	InstrumentId ID	×
maturity	DATE	Maturity date	√
underlying	STRING	The currency pair, in the format "EURUSD", "EUR.USD", or "EUR/USD". Supported currency pairs include: "EURUSD": Euro to US Dollar "USDCNY": US Dollar to Chinese Yuan "EURCNY": Euro to Chinese Yuan "GBPCNY": British Pound to Chinese Yuan "JPYCNY": Japanese Yen to Chinese Yuan "HKDCNY": Hong Kong Dollar to Chinese Yuan	√
direction	STRING	Trading direction, can be "Buy" or "Sell"	√
strike	DOUBLE	Strike price	√
dayCountConvention	STRING	The day count convention. It can be: "ActualActualISDA", "ActualActualISMA"," Actual365", "Actual360"	√
payoffType	STRING	Payoff type. It can be "Call" or "Put".	√
domesticCurve	STRING	The domestic discount curve name	×
foreignCurve	STRING	The foreign discount curve name	×
delivery	DATE	The delivery date	×

Note:

The delivery field is supported starting from version 2.

When upgrading data from versions earlier than version 2 to version 2 or later, missing delivery fields in existing records will be automatically populated with maturity + 2.

Define an INSTRUMENT object of FxEuropeanOption type.

option =  {
    "productType": "Option",
    "optionType": "EuropeanOption",
    "assetType": "FxEuropeanOption",
    "notionalCurrency": "EUR",
    "notionalAmount": 1000000.0,
    "strike": 1.2,
    "maturity": "2025.10.08",
    "payoffType": "Call",
    "dayCountConvention": "Actual365",
    "underlying": "EURUSD"
}
instrument = parseInstrument(option)
print(instrument)

Related functions: bondPricer (Bond Pricing), bondPledgedRepoPricer (Bond Pledged Repo Pricing), irDepositPricer (Deposit Pricing), bondFuturesPricer (Treasury Futures Pricing), fxForwardPricer (FX Forward Pricing), fxSwapPricer (FX Swap Pricing), irFixedFloatingSwapPricer (IR Fixed-Floating Swap Pricing), fxEuropeanOptionPricer (FX European Option Pricing), eqDigitalOptionPricer (Equity Digital Option Pricing)

American Commodity Futures Options (cmFutAmericanOption)


Field Name	Type	Description	Required
productType	STRING	Fixed value: "Option"	Yes
optionType	STRING	Fixed value: "AmericanOption"	Yes
assetType	STRING	Fixed value: "CmFutAmericanOption"	Yes
notionalAmount	DOUBLE	Notional principal amount	Yes
notionalCurrency	STRING	Notional currency. Default value: "CNY"	No
instrumentId	STRING	Contract code, standard format: Underlying futures contract code + Contract expiry month + Option type code + Strike price, e.g., Sugar option SR2509P6300 = SR+2509+P+6300	No
direction	STRING	Trading direction. Valid values: “Buy” (default), “Sell”.	No
maturity	DATE	Maturity date	Yes
strike	DOUBLE	Strike price	Yes
payoffType	STRING	Payoff type. Valid values: “Call”, “Put”	Yes
underlying	STRING	Underlying futures contract code, e.g., SR2509	Yes
dayCountConvention	STRING	Day count convention. Valid values: "ActualActualISDA", "ActualActualISMA", "Actual365", "Actual360"	Yes
discountCurve	STRING	Discount curve name for pricing reference. The default value for RMB deposits is "CNY_FR_007".	No

European Commodity Futures Options (CmFutEuropeanOption)


Field Name	Type	Description	Required
productType	STRING	Fixed value: "Option"	Yes
optionType	STRING	Fixed value: "EuropeanOption"	Yes
assetType	STRING	Fixed value: "CmFutEuropeanOption"	Yes
notionalAmount	DOUBLE	Notional principal amount	Yes
notionalCurrency	STRING	Notional currency. Default value: "CNY"	No
instrumentId	STRING	Contract code, standard format: Underlying futures contract code + Contract expiry month + Option type code + Strike price, e.g., Sugar option SR2509P6300 = SR+2509+P+6300	No
direction	STRING	Trading direction. Valid values: "Buy" (default), "Sell".	No
maturity	DATE	Maturity date	Yes
strike	DOUBLE	Strike price	Yes
payoffType	STRING	Payoff type. Valid values: "Call", "Put"	Yes
underlying	STRING	Underlying futures contract code, e.g., SR2509	Yes
dayCountConvention	STRING	Day count convention. Valid values: "ActualActualISDA", "ActualActualISMA", "Actual365", "Actual360"	Yes
discountCurve	STRING	Discount curve name for pricing reference. The default value for RMB deposits is "CNY_FR_007".	No

American Equity Options (eqAmericanOption)


Field Name	Data Type	Description	Required
productType	STRING	Fixed value: "Option".	Yes
optionType	STRING	Fixed value: "AmericanOption".	Yes
assetType	STRING	Fixed value: "EqAmericanOption".	Yes
notionalAmount	DOUBLE	Notional amount.	Yes
notionalCurrency	STRING	Notional currency. Default value: "CNY".	No
instrumentId	STRING	Instrument identifier. For example, `TCH250328C0040000` is interpreted as follows: `TCH` = underlying (Tencent Holdings); `250328` = maturity date (March 28, 2025); `C` = Call option; `0040000` = strike price 400.00 HKD.	No
direction	STRING	Trade direction: "Buy" (default) or "Sell".	No
maturity	DATE	Maturity date	Yes
strike	DOUBLE	Strike price.	Yes
payoffType	STRING	Payoff type: "Call" or "Put".	Yes
underlying	STRING	Underlying futures contract code, e.g., "TCH".	Yes
dayCountConvention	STRING	Day count convention. Valid values: "ActualActualISDA", "ActualActualISMA", "Actual365", "Actual360"	Yes
discountCurve	STRING	Discount curve name for pricing reference. The default value for RMB deposits is "CNY_FR_007".	No
dividendCurve	STRING	Dividend curve name used for pricing.	No

European Equity Options (eqEuropeanOption)


Field	Type	Description	Required
productType	STRING	Fixed value: "Option"	Yes
optionType	STRING	Fixed value: "EuropeanOption"	Yes
assetType	STRING	Fixed value: “EqEuropeanOption"	Yes
notionalAmount	DOUBLE	Notional amount	Yes
notionalCurrency	STRING	Notional currency. Default value: "CNY".	No
instrumentId	STRING	Contract identifier, e.g. CSI 500 ETF option 510500C2512M04800	No
direction	SRTRING	Trade direction: "Buy" (default) or "Sell".	No
maturity	DATE	Maturity date	Yes
strike	DOUBLE	Strike price	Yes
payoffType	STRING	Payoff type: "Call" or "Put".	Yes
underlying	STRING	Underlying contract code, e.g. 510050.	Yes
dayCountConvention	STRING	Day count convention. Valid values: "ActualActualISDA", "ActualActualISMA", "Actual365", "Actual360"	Yes
discountCurve	STRING	Discount curve name for pricing reference. The default value for RMB deposits is "CNY_FR_007".	No
dividendCurve	STRING	Name of the dividend curve used for pricing.	No

Equity Range Accrual Options (EqRangeAccrualOption)

parseInstrument supports equity range accrual options. The instrument description must contain the following fields:


Field Name	Data Type	Description	Required
productType	STRING	Must be "Option".	Yes
optionType	STRING	Must be "RangeAccrualOption".	Yes
assetType	STRING	Must be "EqRangeAccrualOption".	Yes
instrumentId	STRING	The instrument ID, which can be customized for OTC options.	No
maturity	DATE	The maturity date.	Yes
delivery	DATE	The delivery date. The default value is maturity.	No
coupon	DOUBLE	The coupon rate.	Yes
lowerBarrier	DOUBLE	The lower boundary of the accrual range.	Yes
upperBarrier	DOUBLE	The upper boundary of the accrual range.	Yes
fixingDates	DATE vector	The fixing date sequence. It must be in ascending order.	Yes
direction	STRING	The buy/sell direction. It can be "Buy" or "Sell". The default value is "Buy".	No
dayCountConvention	STRING	The day count convention. It can be "ActualActualISDA", "ActualActualISMA", "Actual365", or "Actual360".	Yes
underlying	STRING	The underlying name, such as "50ETF".	Yes
notionalAmount	DOUBLE	The notional amount.	Yes
notionalCurrency	STRING	The notional currency. The default value is "CNY".	No
discountCurve	STRING	The name of the discount curve used for pricing. The default value is an empty string.	No
dividendCurve	STRING	The name of the dividend curve used for pricing. The default value is an empty string.	No

The following example describes an equity range accrual option with a dictionary and calls parseInstrument to generate an INSTRUMENT object.

option = {
    "productType": "Option",
    "optionType": "RangeAccrualOption",
    "assetType": "EqRangeAccrualOption",
    "instrumentId": "0001",
    "notionalAmount": 1000000.0,
    "notionalCurrency": "CNY",
    "maturity": 2026.06.01,
    "delivery": 2026.06.01,
    "underlying": "50ETF",
    "direction": "Buy",
    "dayCountConvention": "Actual365",
    "lowerBarrier": 2.95,
    "upperBarrier": 3.25,
    "coupon": 0.1,
    "fixingDates": [2026.04.01, 2026.05.01],
    "discountCurve": "CNY_FR_007",
    "dividendCurve": "510050"
}
instrument = parseInstrument(option)
print(instrument)

Equity Digital Options (EqDigitalOption)

parseInstrument supports equity digital options. The instrument description must contain the following fields:


Field Name	Data Type	Description	Required
productType	STRING	Must be "Option".	Yes
optionType	STRING	Must be "DigitalOption".	Yes
assetType	STRING	Must be "EqDigitalOption".	Yes
instrumentId	STRING	Contract code. For OTC options, it can be customized.	No
maturity	DATE	Maturity date.	Yes
strike	DOUBLE	Strike price.	Yes
dayCountConvention	STRING	Day count convention. It can be "ActualActualISDA", "ActualActualISMA", "Actual365", or "Actual360".	Yes
direction	STRING	Buy/sell direction. It can be "Buy" or "Sell". The default value is "Buy".	No
payoffType	STRING	Payoff type. It can be "Call" or "Put".	Yes
underlying	STRING	Underlying code, for example "510050".	Yes
notionalAmount	DOUBLE	Notional amount.	Yes
notionalCurrency	STRING	Notional currency. The default value is "CNY".	No
discountCurve	STRING	Name of the discount curve used for pricing. The default value is an empty string.	No
dividendCurve	STRING	Name of the dividend curve used for pricing. The default value is an empty string.	No