parseMktData

First introduced in version: 3.00.4

Syntax

parseMktData(dict)

Details

Parses the given dictionary or JSON string into MKTDATA type.

Parameters

dict A dictionary or a STRING scalar representing a JSON-encoded dictionary that defines the market data to be parsed.

Returns

A MKTDATA object.

Supported Market Data and Fields

The MKTDATA type is newly introduced in DolphinDB version 3.00.4, which provides database support for the market data used for pricing.

Currently supported types:

Spot prices: FxSpotRate (foreign exchange spot rate)
Term structure curves: IrYieldCurve (interest rate yield curve), AssetPriceCurve (asset price curve)
Volatility surfaces: FxVolatilitySurface (foreign exchange volatility surface)

Price


Field Name	Data Type	Description	Required
mktDataType	STRING	Must be "Price"	√
referenceDate	DATE	Reference Date	√
priceType	STRING	Price type. Must be "Price"	√
value	DOUBLE	Spot price	√
unit	STRING	The pricing unit of value (i.e., the unit or dimension represented by the numeric value).When priceType is "Price", unit specifies the currency code. Supported values are "CNY", "USD", "EUR", "GBP", "JPY", "HKD"	√

FxSpotRate


Field Name	Data Type	Description	Required
mktDataType	STRING	Must be "Price"	√
referenceDate	DATE	Reference Date	√
spotDate	DATE	Spot settlement date. Use internal static data by default.	×
priceType	STRING	Spot price type. Must be "FxSpotRate"	√
value	DOUBLE	Spot price	√
unit	STRING	The pricing unit of value (i.e., the unit or dimension represented by the numeric value).When priceType is "FxSpotRate", unit specifies a currency pair. Supported values are "EURUSD", "USDCNY", "EURCNY", "GBPCNY", "JPYCNY", "HKDCNY". Currency pairs may also use `.` or `/` as separators. For example, "EURUSD" can also be written as "EUR.USD" or "EUR/USD".	√

Define a MKTDATA object of FxSpotRate type.

FxSpotRate = {
    "mktDataType": "Price",
    "referenceDate": 2025.08.18,
    "spotDate": 2025.08.20,
    "priceType": "FxSpotRate",
    "value": 7.2659,
    "unit": "USDCNY"
}

mktData = parseMktData(FxSpotRate)
print(mktData)

IrYieldCurve


Field Name	Data Type	Description	Required
mktDataType	STRING	Must be "Curve"	√
referenceDate	DATE	Reference Date	√
curveType	STRING	Must be "IrYieldCurve"	√
dayCountConvention	STRING	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.	√
interpMethod	STRING	Interpolation method. It can be: "Linear": linear interpolation "CubicSpline": cubic spline interpolation "CubicHermiteSpline": cubic Hermite interpolation	√
extrapMethod	STRING	Extrapolation method. It can be Flat: flat extrapolation Linear: linear extrapolation	√
dates	DATE vector	Date of each data point	√
values	DOUBLE vector	Value of each data point, corresponding to the elements in dates.	√
curveName	STRING	Curve name	×
currency	STRING	Currency. It can be CNY", "USD", "EUR", "GBP", "JPY", "HKD"	√
compounding	STRING	The compounding interest. It can be: "Compounded": discrete compounding "Simple": simple interest (no compounding). "Continuous": continuous compounding.	√
settlement	DATE	Settlement date. If specified, all subsequent tenor intervals are computed starting from "settlement" rather than from "referenceDate".	×
frequency	INTEGRAL/STRING	The interest payment frequency. Supported values: -1 or "NoFrequency": No payment frequency 0 or "Once": Single lump-sum payment of principal and interest at maturity. 1 or "Annual": Annually 2 or "Semiannual": Semiannually 3 or "EveryFourthMonth": Every four months 4 or "Quarterly": Quarterly 6 or "BiMonthly": Every two months 12 or "Monthly": Monthly 13 or "EveryFourthWeek": Every four weeks 26 or "BiWeekly": Every two weeks 52 or "Weekly": Weekly 365 or "Daily": Daily 999 or "Other": Other frequencies	×
curveModel	STRING	Curve construction model; It can be "Bootstrap" (default), "NS", "NSS". When the value is "NSS" or "NS", the fields interpMethod, extrapMethod, dates, and values are not required.	×
curveParams	DICT	Model parameters. It is required when curveModel is "NSS" or "NS": If curveModel = "NS": must include keys 'beta0', 'beta1', 'beta2', 'lambda'. If curveModel = "NSS": must include keys 'beta0', ‘beta1', 'beta2', 'beta3', 'lambda0', 'lambda1'.	×

Define a MKTDATA object of IrYieldCurve type.

aod = 2025.07.01
curve = {
    "mktDataType": "Curve",
    "curveType": "IrYieldCurve",
    "referenceDate": aod,
    "currency": "CNY",
    "dayCountConvention": "Actual365",
    "compounding": "Continuous",
    "interpMethod": "Linear",
    "extrapMethod": "Flat",
    "dates":[2025.07.07,2025.07.10,2025.07.17,2025.07.24,2025.08.04,2025.09.03,2025.10.09,2026.01.05,
        2026.04.03,2026.07.03,2027.01.04,2027.07.05,2028.07.03],
    "values":[0.015785,0.015931,0.016183,0.016381,0.016493,0.016503,0.016478,0.016234,0.016321,
        0.016378,0.015508,0.015185,0.014901],
    "settlement": aod+2
}

mktData = parseMktData(curve)
print(mktData)

IrSwaptionVolatilityCube


Field Name	Type	Description	Required
cubeName	STRING	Volatility cube name	No
mktDataType	STRING	Market data type. Set this field to "Cube".	Yes
cubeType	STRING	Surface type. Set this field to "IrSwaptionVolatilityCube".	Yes
referenceDate	DATE	Reference date	Yes
currency	STRING	Currency, for example, "CNY".	Yes
iborIndex	STRING	Reference rate for the underlying interest rate swap	Yes
atmTerms	DOUBLE[]	Expiry of the at-the-money (ATM) option, expressed as a year fraction	Yes
atmTenors	DOUBLE[]	Tenor of the underlying interest rate swap for the ATM option, expressed as a year fraction	Yes
atmVols	DOUBLE Matrix	Volatility of the ATM option, with shape size(atmTerms) * size(atmTenors)	Yes
otmTerms	DOUBLE[]	Expiry of the out-of-the-money (OTM) option, expressed as a year fraction	Yes
otmTenors	DOUBLE[]	Tenor of the underlying interest rate swap for the OTM option, expressed as a year fraction	Yes
paramCube	Dict(String, Double Matrix)	Volatility smile parameters for the OTM option. Contains four keys: 'alpha', 'beta', 'rho', and 'nu'. Each key corresponds to one parameter, and its value is a DOUBLE matrix with shape size(otmTerms) * size(otmTenors). The value in row i and column j of the matrix is the value of that parameter at otmTerms[i] and otmTenors[j].	Yes
volType	STRING	Volatility type. The default value is "Normal".	No

IrYieldCurve(non-bond)


Field Name	Data Type	Description	Required
mktDataType	STRING	Must be "Curve"	√
referenceDate	DATE	Reference Date	√
curveType	STRING	Must be "IrYieldCurve"	√
dayCountConvention	STRING	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.	√
interpMethod	STRING	Interpolation method. It can be: "Linear": linear interpolation "CubicSpline": cubic spline interpolation "CubicHermiteSpline": cubic Hermite interpolation	√
extrapMethod	STRING	Extrapolation method. It can be Flat: flat extrapolation Linear: linear extrapolation	√
dates	DATE vector	Date of each data point	√
values	DOUBLE vector	Value of each data point, corresponding to the elements in dates.	√
curveName	STRING	Curve name	×
currency	STRING	Currency. It can be CNY", "USD", "EUR", "GBP", "JPY", "HKD"	√
compounding	STRING	The compounding interest. It can be: "Compounded": discrete compounding "Simple": simple interest (no compounding). "Continuous": continuous compounding.	√
settlement	DATE	Settlement date. If specified, all subsequent tenor intervals are computed starting from "settlement" rather than from "referenceDate".	×
frequency	INTEGRAL/STRING	The interest payment frequency. Supported values: -1 or "NoFrequency": No payment frequency 0 or "Once": Single lump-sum payment of principal and interest at maturity. 1 or "Annual": Annually 2 or "Semiannual": Semiannually 3 or "EveryFourthMonth": Every four months 4 or "Quarterly": Quarterly 6 or "BiMonthly": Every two months 12 or "Monthly": Monthly 13 or "EveryFourthWeek": Every four weeks 26 or "BiWeekly": Every two weeks 52 or "Weekly": Weekly 365 or "Daily": Daily 999 or "Other": Other frequencies	×
curveModel	STRING	Curve construction model; Currently, only "Bootstrap" is supported.	×
curveParams	DICT	Model parameters.	×

AssetPriceCurve


Field Name	Data Type	Description	Required
mktDataType	STRING	Must be "Curve"	√
referenceDate	DATE	Reference Date	√
curveType	STRING	Must be "AssetPriceCurve"	√
dates	DATE vector	Date of each data point	√
values	DOUBLE vector	Value of each data point, corresponding to the elements in dates.	√
curveName	STRING	Curve name	×

Define a MKTDATA object of AssetPriceCurve type.

curve = {
    "mktDataType": "Curve",
    "curveType": "AssetPriceCurve",
    "referenceDate": 2024.06.28,
    "curveName": "PRICE_SHIBOR_3M",
    "dates": [2024.06.21, 2024.06.24, 2024.06.25, 2024.06.26,2024.06.27],
    "values": [1.923, 1.922, 1.921, 1.919, 1.918]/100
}

mktData = parseMktData(curve)
print(mktData)

CreditCurve


Field Name	Type	Description	Required
mktDataType	STRING	Must be "Curve"	√
referenceDate	DATE	Reference Date	√
curveType	STRING	Must be "CreditCurve"	√
curveName	STRING	Curve name	×
dayCountConvention	STRING	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.	√
interpMethod	STRING	Interpolation method. It can be: "Linear": linear interpolation "CubicSpline": cubic spline interpolation "CubicHermiteSpline": cubic Hermite interpolation	√
extrapMethod	STRING	Extrapolation method. It can be Flat: flat extrapolation Linear: linear extrapolation	√
dates	DATE vector	Date of each data point	√
values	DOUBLE vector	Hazard rates. Value of each data point, corresponding to the elements in dates	√

Define a MKTDATA object of CreditCurve type.

def createCnyFr007CurveForCds(asOfDate){
    pillarDates = asOfDate + [2, 8, 93, 185, 276, 367, 732, 1099, 1463, 1828, 2558, 3654]
    pillarValues = [
        0.0145993931630537,
        0.0229075517972275,
        0.0253020667393029,
        0.0257564866303201,
        0.0259751440992468,
        0.0260355181479988,
        0.0265336263144786,
        0.0272721454114050,
        0.0282024453631075,
        0.0290231222075799,
        0.0304665029488732,
        0.0319855013976250
    ]
    discountCurveDict = {
        "mktDataType": "Curve",
        "curveType": "IrYieldCurve",
        "referenceDate": asOfDate,
        "currency": "CNY",
        "curveName": "CNY_FR_007",
        "dayCountConvention": "Actual365",
        "compounding": "Continuous",
        "interpMethod": "Linear",
        "extrapMethod": "Flat",
        "frequency": "NoFrequency",
        "dates": pillarDates,
        "values": pillarValues
    }
    return parseMktData(discountCurveDict)
}
def createCreditCurveForCds(asOfDate){
    pillarDates = asOfDate + [2, 8, 93, 185, 276, 367, 732, 1099, 1463]
    hazardRates = [
        0.001577614619366,
        0.001577614619366,
        0.00237392030740149,
        0.00527736067786984,
        0.00887303437629905,
        0.0151416564486811,
        0.0219406380083359,
        0.0442999285840119,
        0.0182083758016553
    ]
    creditCurveDict = {
        "mktDataType": "Curve",
        "curveType": "CreditCurve",
        "referenceDate": asOfDate,
        "currency": "CNY",
        "curveName": "CFETS_SHCH_GTJA",
        "interpMethod": "Linear",
        "extrapMethod": "Flat",
        "dayCountConvention": "Actual365",
        "dates": pillarDates,
        "values": hazardRates
    }
    return parseMktData(creditCurveDict)
}

FxVolatilitySurface


Field Name	Data Type	Description	Required
mktDataType	STRING	Must be "Surface"	√
referenceDate	DATE	Reference Date	√
surfaceType	STRING	Must be "FxVolatilitySurface"	√
smileMethod	STRING	Volatility smile method. It can be: "Linear": linear smile "CubicSpline": cubic-spline smile "SVI": SVI-model smile "SABR": SABR-model smile	√
volSmiles	DICT(STRING, ANY)vector	Volatility smiles vector. Each element is one smile . It has the following members: strikes: A DOUBLE vector indicating the strike prices. vols: A DOUBLE vector indicating the volatilities corresponding to strikes (of the same length). curveParams: A DICT(STRING, DOUBLE) indicating the model parameters for the smile method; only effective when smileMethod is "SVI" or "SABR": smileMethod = 'SVI': Must have the keys: 'a', 'b', 'rho', 'm', 'sigma' smileMethod = 'SABR': Must have the keys: 'alpha', 'beta', 'rho', 'nu' fwd (optional ): A DOUBLE scalar indicating the forward value. It is required when smileMethod is "SVI" or "SABR".	√
termDates	DATE vector	Term date corresponding to each smile in volSmiles.	√
surfaceName	STRING	Surface name	×
currencyPair	STRING	Foreign exchange currency pair. Available options: "EURUSD", "USDCNY", "EURCNY", "GBPCNY", "JPYCNY", "HKDCNY". Currency pairs may also use `.` or `/` as separators. For example, "EURUSD" can also be written as "EUR.USD" or "EUR/USD".	√

Define a MKTDATA object of FxVolatilitySurface type.

surf = {
	"surfaceName": "USDCNY",
	"mktDataType": "Surface",
	"surfaceType": "FxVolatilitySurface",
	"referenceDate": 2025.08.18,
	"smileMethod": "Linear",
	"termDates": [
		2025.08.21,
		2026.08.20
	],
	"volSmiles":[{"strikes": [6.5,7,7.5],"vols": [0.1,0.1,0.1]},{"strikes": [6.5,7,7.5],"vols": [0.1,0.1,0.1]}],
	"currencyPair": "USDCNY"
}

surfUsdCny = parseMktData(surf)

IrCapFloorVolatilitySurface


Field	Data Type	Description	Required
mktDataType	STRING	Must be "Surface"	√
referenceDate	DATE	Reference Date	√
surfaceType	STRING	Must be "IrCapFloorVolatilitySurface"	√
smileMethod	STRING	Volatility smile method. It can be: "Linear": linear smile "CubicSpline": cubic-spline smile "SVI": SVI-model smile "SABR": SABR-model smile	√
volSmiles	A tuple of DICT(STRING, ANY)	Volatility smiles vector. Each element is one smile . It has the following members: strikes: A DOUBLE vector indicating the strike prices. vols: A DOUBLE vector indicating the volatilities corresponding to strikes (of the same length). curveParams: A DICT(STRING, DOUBLE) indicating the model parameters for the smile method; only effective when smileMethod is "SVI" or "SABR": smileMethod = 'SVI': Must have the keys: 'a', 'b', 'rho', 'm', 'sigma' smileMethod = 'SABR': Must have the keys: 'alpha', 'beta', 'rho', 'nu' fwd (optional ): A DOUBLE scalar indicating the forward value. It is required when smileMethod is "SVI" or "SABR".	√
termDates	DATE vector	Term date corresponding to each smile in volSmiles.	√
surfaceName	STRING	Surface name	×
currency	STRING	Currency. It can be CNY", "USD", "EUR", "GBP", "JPY", "HKD"	√
iborIndex	STRING	Reference Rate. Available options: "LPR_1Y": 1-Year Loan Prime Rate "LPR_5Y": 5-Year Loan Prime Rate	√
volType	STRING	Volatility Type. Available valuoptionses: "Normal"(Default): Normal Volatility "Lognormal": Lognormal Volatility	×

Define a MKTDATA object of IrCapFloorVolatilitySurface type.

Lpr1yCapFloorSurf = {
    // Volatility surface name
    "surfaceName": "CNY_LPR_1Y",
    // Market data type
    "mktDataType": "Surface",
    // Surface type
    "surfaceType": "IrCapFloorVolatilitySurface",
    // Surface reference date
    "referenceDate": 2021.03.18,
    // Smile interpolation method
    "smileMethod": "Linear",
    // Term node dates
    "termDates": [
        2021.06.18,
        2021.09.17,
        2021.12.17,
        2022.03.17
    ],
    // Each termDate corresponds to a volatility smile.
    // The length of volSmiles should match the length of termDates.
    // Each smile contains:
    // strikes: strike rate nodes;
    // vols: volatilities at the corresponding strike rate nodes.
    "volSmiles":[
        {
            "strikes": [0.0, 0.03, 0.06, 0.10],
            "vols":    [0.0067, 0.0064, 0.0066, 0.0071]
        },
        {
            "strikes": [0.0, 0.03, 0.06, 0.10],
            "vols":    [0.0067, 0.0064, 0.0066, 0.0071]
        },
        {
            "strikes": [0.0, 0.03, 0.06, 0.10],
            "vols":    [0.0067, 0.0064, 0.0066, 0.0071]
        },
        {
            "strikes": [0.0, 0.03, 0.06, 0.10],
            "vols":    [0.0067, 0.0064, 0.0066, 0.0071]
        }
    ],
    // Currency
    "currency": "CNY",
    // Corresponding floating rate index
    "iborIndex": "LPR_1Y"
}
// -----------------------------------------------------
// Parse the volatility surface dictionary into a market data object recognized by the DDB system
// -----------------------------------------------------
lpr1yVolSurf = parseMktData(Lpr1yCapFloorSurf)

Related Functions

bondPledgedRepoPricer, eqDigitalOptionPricer