irSingleCurrencyCurveBuilder

irSingleCurrencyCurveBuilder(referenceDate, currency, instNames, instTypes, terms, quotes, dayCountConvention, [discountCurve], [compounding='Continuous'], [frequency='Annual'], [curveName])

Build a yield curve using single-currency interest rate swaps. Currently, only CNY_FR_007 and CNY_SHIBOR_3M curves are supported.

referenceDate A DATE scalar indicating the reference date of the curve.

currency A STRING scalar indicating the currency in which the curve is defined. Currently, only "CNY" is supported.

instNames A STRING vector indicating the instrument names.

instTypes A STRING vector indicating the instrument types. Currently supports "Deposit" and "IrVanillaSwap".

terms A vector of DURATION type, indicating the remaining maturity, e.g., "1M".

quotes A numeric vector indicating the market quotes.

dayCountConvention A STRING scalar indicating the day count convention to use. It can be:

• "Actual360": actual/360

• "Actual365": actual/365

• "ActualActualISMA": actual/actual according to ISMA (International Securities Market Association) convention

• "ActualActualISDA": actual/actual according to ISDA (International Swaps and Derivatives Association) convention.

discountCurve (optional) An MKTDATA object of type IrYieldCurve indicating the discount curve. See Curve Field Specifications for details.

• If the market instruments used for building the target curve require an external discount curve for pricing, specify it using this parameter.

• If not provided, no external discount curve will be used by default.

compounding (optional) A STRING scalar specifying the compounding interest. It can be:

• "Compounded": discrete compounding

• "Simple": simple interest (no compounding).

• "Continuous" (default): continuous compounding.

frequency (optional) A STRING scalar specifying the interest payment frequency. Supported values:

• "NoFrequency": No payment frequency

• "Annual": Annually

• "Semiannual": Semiannually

• "EveryFourthMonth": Every four months

• "Quarterly": Quarterly

• "BiMonthly": Every two months

• "Monthly": Monthly

• "EveryFourthWeek": Every four weeks

• "BiWeekly": Every two weeks

• "Weekly": Weekly

• "Daily": Daily

• "Other": Other frequencies

curveName (optional) A STRING scalar indicating the yield curve name. The default value is NULL.

A MKTDATA object.

Example 1. Build a CNY-denominated interest rate swap curve referencing the FR007 floating rate.

referenceDate = 2021.05.26
currency = "CNY"
terms = [7d, 1M, 3M, 6M, 9M, 1y, 2y, 3y, 4y, 5y, 7y, 10y]
instNames = take("CNY_FR_007", size(terms))
instNames[0] = "FR_007"
instTypes = take("IrVanillaSwap", size(terms))
instTypes[0] = "Deposit"
quotes = [2.3500, 2.3396, 2.3125, 2.3613, 2.4075, 2.4513, 2.5750, 2.6763, 2.7650, 2.8463, 2.9841, 3.1350]\100
dayCountConvention = "Actual365"
curve = irSingleCurrencyCurveBuilder(referenceDate, currency, instNames, instTypes, terms, quotes, dayCountConvention, curveName="CNY_FR_007")
curveDict = extractMktData(curve)
print(curveDict)

Example 2. Build a CNY interest rate swap yield curve based on short-term deposit and interest rate swap market quotes.

referenceDate = 2021.05.26
currency = "CNY"
terms = [1w, 2w, 1M, 3M, 6M, 9M, 1y, 2y, 3y, 4y, 5y, 7y, 10y]
instNames = take("CNY_SHIBOR_3M", size(terms))
instNames[0] = "SHIBOR_1W"
instNames[1] = "SHIBOR_2W"
instNames[2] = "SHIBOR_1M"
instNames[3] = "SHIBOR_3M"
instTypes = take("IrVanillaSwap", size(terms))
instTypes[0] = "Deposit"
instTypes[1] = "Deposit"
instTypes[2] = "Deposit"
instTypes[3] = "Deposit"
quotes = [2.269,
          2.311,
          2.405,
          2.479,
          2.6013,
          2.7038,
          2.7725,
          2.9625,
          3.11,
          3.24,
          3.3513,
          3.5313,
          3.7125]/100
dayCountConvention = "Actual365"
curve = irSingleCurrencyCurveBuilder(referenceDate, currency, instNames, instTypes, terms, quotes, dayCountConvention)
curveDict = extractMktData(curve)
print(curveDict)

Example 3. Build a dual-curve interest rate swap yield curve (CNY_SHIBOR_3M).

referenceDate = 2021.05.26
currency = "CNY"
curveName = "CNY_SHIBOR_3M"
discountCurve = {
    "mktDataType": "Curve",
    "curveType": "IrYieldCurve",
    "curveName": "CNY_FR_007",
    "referenceDate": referenceDate,
    "currency": "CNY",
    "dayCountConvention": "Actual365",
    "compounding": "Continuous",
    "interpMethod": "Linear",
    "extrapMethod": "Flat",
    "dates":[2021.06.02,2021.06.28,2021.08.27,2021.11.29,2022.02.28,2022.05.27,2023.05.29,2024.05.27,2025.05.27,2026.05.27,2028.05.29,2031.05.27],
    "values": [2.3495, 2.3376, 2.3063, 2.3543, 2.4004, 2.4442, 2.5686, 2.6715, 2.7625, 2.8468, 2.9922, 3.1559] / 100.0
}
discountCurve = parseMktData(discountCurve)
terms = [1w, 2w, 1M, 3M, 6M, 9M, 1y, 2y, 3y, 4y, 5y, 7y, 10y]
instNames = take("CNY_SHIBOR_3M", size(terms))
instNames[0] = "SHIBOR_1W"
instNames[1] = "SHIBOR_2W"
instNames[2] = "SHIBOR_1M"
instNames[3] = "SHIBOR_3M"
instTypes = take("IrVanillaSwap", size(terms))
instTypes[0] = "Deposit"
instTypes[1] = "Deposit"
instTypes[2] = "Deposit"
instTypes[3] = "Deposit"
quotes = [2.269,
          2.311,
          2.405,
          2.479,
          2.6013,
          2.7038,
          2.7725,
          2.9625,
          3.11,
          3.24,
          3.3513,
          3.5313,
          3.7125]/100
dayCountConvention = "Actual365"

curve = irSingleCurrencyCurveBuilder(referenceDate, currency, instNames, instTypes, terms, quotes, dayCountConvention, discountCurve)
curveDict = extractMktData(curve)
print(curveDict)

Releated functions: bondYieldCurveBuilder, extractMktData, irCrossCurrencyCurveBuilder, parseMktData