cmFutVolatilitySurfaceBuilder

首发版本：3.00.5

语法

cmFutVolatilitySurfaceBuilder(referenceDate, futMaturities, optionExpiries, strikes, optionPrices, payoffTypes, discountCurve, futPriceCurve, [formula="Black76"], [model="SVI"], [surfaceName])

详情

构建商品期货期权波动率曲面。

参数

注：所有输入向量必须等长。

referenceDate DATE 类型标量，表示参考日期，即曲线的生成日期。

futMaturities DATE 类型向量，表示标的期货合约的到期日。

optionExpiries DATE 类型向量，表示期权合约的到期日。注：optionExpiries 中的每个日期必须早于或等于 futMaturities 中对应位置的标的期货到期日。

strikes 元组，其中每个元素是一个 DOUBLE 类型向量，表示期权合约的执行价。

optionPrices 元组，其中每个元素是一个 DOUBLE 类型向量，表示期权合约价格。

payoffTypes 元组，其中每个元素是一个 STRING 类型向量，表示期权类型，可选 “Call”（看涨）或 “Put”（看跌）。

注：strikes、optionPrices、payoffTypes 每个对应位置的向量元素长度相同。

discountCurve IrYieldCurve 对象，表示折现曲线。

futPriceCurve AssetPriceCurve 对象，表示期货价格曲线。

formula 可选参数，STRING 类型标量，表示计算隐含波动率的公式，可选值为：

“Black76”：默认值，Black76 公式，一般用于欧式期权
“BAW”：Barone-Adesi-Whaley 公式，一般用于美式期权

model 可选参数，STRING 类型标量，指定构建波动率曲面所用模型。支持以下选项：

“SVI”：默认值，Stochastic Volatility Inspired 模型
“SABR”：Stochastic Alpha Beta Rho 模型
“Linear”：线性模型
“CubicSpline”：三次样条模型

surfaceName 可选参数，STRING 类型标量，表示曲面名称。

返回值

一个 MKTDATA 类型 VolatilitySurface 对象。

例子

例1. 下例展示如何使用棉花期货期权市场数据构建波动率曲面，并通过三维图表可视化波动率随到期时间和行权价的变化趋势：

// CF 棉花期货期权波动率曲面构建示例

// 曲线构建的参考日期
referenceDate = 2026.02.11
// 期权到期日
optionExpiries = [2026.04.13,2026.06.11,2026.08.12,2026.12.11]
// 标的期货合约到期日（与期权到期日一一对应）
futMaturities  = [2026.05.22,2026.07.17,2026.09.17,2027.01.19]
// strikes: list of strike vectors (每个期权到期日对应一组 strikes)
strikes = [
    [11600.0,11800.0,12000.0,12200.0,12400.0,12600.0,12800.0,13000.0,13200.0,13400.0,13600.0,13800.0,14000.0,14200.0,14400.0,14600.0,14800.0,15000.0,15200.0,15400.0,15600.0,15800.0,16000.0,16200.0,16400.0],
    [13200.0,13400.0,13600.0,13800.0,14000.0,14200.0,14400.0,14600.0,14800.0,15000.0,15200.0,15400.0,15600.0,15800.0,16000.0,16200.0,16400.0],
    [12200.0,12400.0,12600.0,12800.0,13000.0,13200.0,13400.0,13600.0,13800.0,14000.0,14200.0,14400.0,14600.0,14800.0,15000.0,15200.0,15400.0,15600.0,15800.0,16000.0,16200.0,16400.0,16600.0],
    [13600.0,13800.0,14000.0,14200.0,14400.0,14600.0,14800.0,15000.0,15200.0,15400.0,15600.0,15800.0,16000.0,16200.0,16400.0,16600.0]
]

// optionPrices: 每个到期日对应的 option price 向量
optionPrices = [
    [2.0,2.0,3.0,4.0,6.0,8.0,10.0,14.0,20.0,28.0,40.0,57.0,84.0,125.0,187.0,276.0,299.0,240.0,200.0,171.0,149.0,133.0,118.0,107.0,98.0],
    [35.0,49.0,69.0,99.0,145.0,212.0,303.0,416.0,422.0,367.0,321.0,285.0,251.0,226.0,200.0,182.0,164.0],
    [23.0,28.0,33.0,41.0,51.0,64.0,82.0,106.0,140.0,189.0,255.0,340.0,444.0,563.0,503.0,451.0,408.0,372.0,342.0,313.0,291.0,269.0,249.0],
    [147.0,185.0,234.0,290.0,362.0,446.0,540.0,653.0,772.0,713.0,658.0,617.0,580.0,546.0,523.0,500.0]
]

// payoffTypes: 期权类型，用字符串 "Put"/"Call" 表示
payoffTypes = [
    ["Put","Put","Put","Put","Put","Put","Put","Put","Put","Put","Put","Put","Put","Put","Put","Put","Call","Call","Call","Call","Call","Call","Call","Call","Call"],
    ["Put","Put","Put","Put","Put","Put","Put","Put","Call","Call","Call","Call","Call","Call","Call","Call","Call"],
    ["Put","Put","Put","Put","Put","Put","Put","Put","Put","Put","Put","Put","Put","Put","Call","Call","Call","Call","Call","Call","Call","Call","Call"],
    ["Put","Put","Put","Put","Put","Put","Put","Put","Put","Call","Call","Call","Call","Call","Call","Call"]
]

// 构建折现曲线
discountCurve = parseMktData({
    "mktDataType": "Curve", "curveType": "IrYieldCurve", "referenceDate": referenceDate,
    "currency": "CNY", "dayCountConvention": "Actual365", "compounding": "Continuous",
    "interpMethod": "Linear", "extrapMethod": "Flat",
    "dates": [referenceDate+1, referenceDate+365], "values": [0.02, 0.02], "name": "CONST_IR"
})

// 商品远期曲线
futPriceCurve = parseMktData({
    "mktDataType": "Curve", "curveType": "AssetPriceCurve", "referenceDate": referenceDate,
    "dates": [2026.05.22,2026.07.17,2026.09.17,2027.01.19], "values": [14705.0,14675.0,14800.0,15200.0]
})

// 构建波动率曲面
surf = cmFutVolatilitySurfaceBuilder(referenceDate, futMaturities, optionExpiries, strikes, optionPrices, payoffTypes, discountCurve, futPriceCurve, formula='Black76', model='SVI', surfaceName='CF_surface');
print(surf);

// 生成波动率预测数据用于可视化
dts = (0..20)*0.05
ks = (0..40)*((max(strikes[0])-min(strikes[0]))\40)+min(strikes[0])
m = optionVolPredict(surf, dts, ks).rename!(dts, ks)

// 绘制曲面图
plot(
    m,
    title=["棉花期货期权 2026-02-11", "K", "T", "vol"],
    chartType=SURFACE)

输出返回：

例2. 下例展示如何使用铜期货期权市场数据构建波动率曲面，并通过三维图表可视化波动率随到期时间和行权价的变化趋势：

// cu 铜期货期权波动率曲面构建示例

// 曲线构建的参考日期
referenceDate = 2025.12.02
// 期权到期日
optionExpiries = [2025.12.25, 2026.01.26, 2026.02.13, 2026.03.25, 2026.04.24, 2026.05.25, 2026.06.24, 2026.07.27]
// 标的期货合约到期日（与期权到期日一一对应）
futMaturities  = [2026.01.15, 2026.02.24, 2026.03.16, 2026.04.15, 2026.05.15, 2026.06.15, 2026.07.15, 2026.08.17]

// strikes: list of strike vectors (每个期权到期日对应一组 strikes)
strikes = [
    [64000, 65000, 66000, 67000, 68000, 69000, 70000, 71000, 72000, 73000, 74000, 75000, 76000, 77000, 78000, 79000, 80000, 82000, 84000, 86000, 88000, 90000, 92000, 94000, 96000, 98000, 100000],  //1
    [64000, 65000, 66000, 67000, 68000, 69000, 70000, 71000, 72000, 73000, 74000, 75000, 76000, 77000, 78000, 79000, 80000, 82000, 84000, 86000, 88000, 90000, 92000, 94000, 96000, 98000, 100000], //2
    [64000, 65000, 66000, 67000, 68000, 69000, 70000, 71000, 72000, 73000, 74000, 75000, 76000, 77000, 78000, 79000, 80000, 82000, 84000, 86000, 88000, 90000, 92000, 94000, 96000, 98000, 100000], //3
    [68000, 69000, 70000, 71000, 72000, 73000, 74000, 75000, 76000, 77000, 78000, 79000, 80000, 82000, 84000, 86000, 88000, 90000, 92000, 94000, 96000, 98000, 100000], //4
    [70000, 71000, 72000, 73000, 74000, 75000, 76000, 77000, 78000, 79000, 80000, 82000, 84000, 86000, 88000, 90000, 92000, 94000, 96000, 98000, 100000], //5
    [76000, 77000, 78000, 79000, 80000, 82000, 84000, 86000, 88000, 90000, 92000, 94000, 96000, 98000], //6
    [76000, 77000, 78000, 79000, 80000, 82000, 84000, 86000, 88000, 90000, 92000, 94000, 96000, 98000], //7
    [76000, 77000, 78000, 79000, 80000, 82000, 84000, 86000, 88000, 90000, 92000, 94000, 96000, 98000] //8
]

// optionPrices: 每个到期日对应的 option price 向量
optionPrices = [
    [25090, 24090, 23090, 22090, 21090, 20090, 19090, 18090, 17090, 16090, 15090, 14090, 13090, 12092, 11100, 10114, 9138 , 7240 , 5468 , 3898 , 2600 , 1608 , 914  , 482  , 232  , 102  , 40   ], // 1
    [25080, 24080, 23080, 22080, 21080, 20080, 19080, 18080, 17080, 16080, 15084, 14092, 13106, 12132, 11168, 10218, 9290 , 7520 , 5896 , 4462 , 3246 , 2266 , 1516 , 972  , 596  , 350  , 196  ], // 2
    [25030, 24030, 23030, 22030, 21030, 20030, 19030, 18030, 17034, 16044, 15058, 14082, 13116, 12164, 11230, 10316, 9426 , 7736 , 6196 , 4832 , 3660 , 2696 , 1930 , 1338 , 894  , 586  , 370   ], // 3
    [20970, 19970, 18970, 17972, 16980, 15996, 15018, 14052, 13100, 12162, 11244, 10348, 9478 , 7830 , 6336 , 5010 , 3864 , 2906 , 2136 , 1522 , 1066 , 722  , 480   ], // 4
    [18952, 17958, 16974, 15996, 15030, 14076, 13136, 12214, 11314, 10438, 9590 , 7986 , 6522 , 5228 , 4102 , 3150 , 2370 , 1742 , 1254 , 886  , 608   ], // 5
    [12830, 11924, 11040, 10182, 9350 , 7786 , 6372 , 5110 , 4030 , 3104 , 2354 , 1740 , 1270 , 904  ], // 6
    [13176, 12314, 11476, 10670, 9888 , 8416 , 7068 , 5874 , 4814 , 3890 , 3102 , 2450 , 1908 , 1468  ], // 7
    [12848, 11988, 11148, 10346, 9568 , 8102 , 6772 , 5590 , 4546 , 3644 , 2890 , 2260 , 1740 , 1320  ] // 8
]

// payoffTypes: 期权类型，用字符串 "Put"/"Call" 表示
payoffTypes = [
    take("Call", size(optionPrices[0])),
    take("Call", size(optionPrices[1])),
    take("Call", size(optionPrices[2])),
    take("Call", size(optionPrices[3])),
    take("Call", size(optionPrices[4])),
    take("Call", size(optionPrices[5])),
    take("Call", size(optionPrices[6])),
    take("Call", size(optionPrices[7]))
]

// 构建折现曲线
pillar_dates = [
    referenceDate + 2,
    referenceDate + 8,
    referenceDate + 93,
    referenceDate + 185,
    referenceDate + 276,
    referenceDate + 367,
    referenceDate + 732,
    referenceDate + 1099,
    referenceDate + 1463,
    referenceDate + 1828,
    referenceDate + 2558,
    referenceDate + 3654
]

pillar_values = [
    0.0145993931630537,
    0.0229075517972275,
    0.0253020667393029,
    0.0257564866303201,
    0.0259751440992468,
    0.0260355181479988,
    0.0265336263144786,
    0.0272721454114050,
    0.0282024453631075,
    0.0290231222075799,
    0.0304665029488732,
    0.0319855013976250
]

curve_dict = {
    "mktDataType": "Curve",
    "curveType": "IrYieldCurve",
    "referenceDate": referenceDate,
    "currency": "CNY",
    "dayCountConvention": "Actual365",
    "compounding": "Continuous",
    "interpMethod": "Linear",
    "extrapMethod": "Flat",
    "frequency": "", 
    "dates": pillar_dates,
    "values": pillar_values,
    "name": "CNY_FR_007"
}

discountCurve = parseMktData(curve_dict)

print(discountCurve)

// 构建期货价格曲线
curve_dict = {
    "mktDataType": "Curve",
    "curveType": "AssetPriceCurve",
    "referenceDate": referenceDate,
    "dates":[2025.12.15, 2026.01.15, 2026.02.24, 2026.03.16, 2026.04.15, 2026.05.15, 2026.06.15, 2026.07.15, 2026.08.17, 2026.09.15, 2026.10.15, 2026.11.16],
    "values":[88770, 89090, 89080, 89030, 88970, 88950, 88590, 88660, 88350, 88120, 87910, 87840]
}
futPriceCurve = parseMktData(curve_dict)
print(futPriceCurve)

// 构建波动率曲面
surf = cmFutVolatilitySurfaceBuilder(referenceDate, futMaturities, optionExpiries, strikes, optionPrices, payoffTypes, discountCurve, futPriceCurve, formula='Black76', model='SVI', surfaceName='cu_future_option_vol_surface');

// 生成波动率预测数据用于可视化
dts = (0..20)*0.05
ks = (0..40)*((max(strikes[0])-min(strikes[0]))\40)+min(strikes[0])
m = optionVolPredict(surf, dts, ks).rename!(dts, ks)

// 绘制曲面图
plot(
    m,
    title=["Vol Surface", "K", "T", "vol"],
    chartType=SURFACE)

输出返回：

相关函数：parseMktData