cmFutEuropeanOptionPricer

语法

cmFutEuropeanOptionPricer(instrument, pricingDate, futPrice, discountCurve, futPriceCurve, volSurf, [setting], [model], [method])

详情

对商品期货欧式期权进行定价。

参数

instrument INSTRUMENT 类型标量或向量，表示需要定价的商品期货欧式期权。

pricingDate DATE 类型标量或向量，表示定价日期。

futPrice DOUBLE 类型标量或向量, 表示标的期货的现价。

discountCurve MKTDATA 标量或向量，表示折现曲线（IrYieldCurve）。

futPriceCurve MKTDATA 标量或向量，表示期货价格曲线（AssetPriceCurve）。

volSurf MKTDATA 标量或向量，表示波动率曲面（VolatilitySurface），该曲面由 cmFutVolatilitySurfaceBuilder 构建。

setting 可选参数，字典（Dictionary<STRING, BOOL>），用于指定是否计算希腊字母（Greeks）所代表的期权价格敏感性指标。可选值：


键	值	描述
calcDelta	布尔值，默认为 false	是否计算 Delta，即期权价格相对于标的资产价格的敏感性。
calcGamma	布尔值，默认为 false	是否计算 Gamma，即期权 Delta 相对于标的资产价格的敏感性。
calcVega	布尔值，默认为 false	是否计算 Vega，即期权价格相对于标的资产波动率的敏感性。
calcTheta	布尔值，默认为 false	是否计算 Theta，即期权价格相对于时间变化的敏感性。
calcRho	布尔值，默认为 false	是否计算 Rho，即期权价格相对于无风险利率的敏感性。

model 可选参数，STRING 类型标量。默认且唯一支持的值为“Black76”，表示采用 Black76 模型进行定价。

method 可选参数，STRING 类型标量。默认且唯一支持的值为“ Analytic”，表示采用解析法。

返回值

若不指定 setting 参数，返回 DOUBLE 类型标量，表示期权的净现值，即期权的理论价格。
若指定 setting 参数，返回字典（Dictionary<STRING, DOUBLE>），包含期权的净现值以及希腊字母（Greeks）所代表的期权价格敏感性指标。有关敏感性指标的说明请参考 settings 参数说明。

例子

pricingDate = 2019.07.08
spot = 2800.0
strike = spot * 1.2
nominal = 1.0

// Discount curve (CNY FR007) — zero rates
discountCurveInfo = {
    "mktDataType": "Curve",
    "curveType": "IrYieldCurve",
    "referenceDate": pricingDate,
    "currency": "CNY",
    "dayCountConvention": "Actual365",
    "compounding": "Continuous",
    "interpMethod": "Linear",
    "extrapMethod": "Flat",
    "frequency": "Annual",
    "dates": [pricingDate+2, pricingDate+8, pricingDate+93, pricingDate+185, pricingDate+276, pricingDate+367,
              pricingDate+732, pricingDate+1099, pricingDate+1463, pricingDate+1828, pricingDate+2558, pricingDate+3654],
    "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]
}
discountCurve = parseMktData(discountCurveInfo)

// Futures price curve (Soymeal)
futPriceCurveInfo = {
    "mktDataType": "Curve",
    "curveType": "AssetPriceCurve",
    "referenceDate": pricingDate,
    "currency": "CNY",
    "asset": "SOY_MEAL",
    "interpMethod": "Linear",
    "extrapMethod": "Flat",
    "dates": [2019.09.16, 2019.11.14, 2019.12.13, 2020.01.15, 2020.03.13],
    "values": [2784, 2821, 2772, 2847, 2775]
}
futPriceCurve = parseMktData(futPriceCurveInfo)

// Option expiries, futures maturities, strikes, market prices, payoff types
optionExpiries = [2019.08.07, 2019.10.11, 2019.11.07, 2019.12.06, 2020.02.07]
futMaturities = [2019.09.16, 2019.11.14, 2019.12.13, 2020.01.15, 2020.03.13]
strikes = [
    [2600,2650,2700,2750,2800,2850,2900,2950,3000,3050],
    [2600,2650,2700,2750,2800,2850,2900,2950,3000,3050],
    [2650,2700,2750,2800,2850,2900,2950,3000],
    [2650,2700,2750,2800,2850,2900,2950,3000],
    [2600,2650,2700,2750,2800,2850,2900]
]
optionPrices = [
    [9,17,30,48.5,57,37.5,23,13.5,7.5,4],
    [29,41.5,56.5,75.5,98,95.5,75,58.5,44.5,33.5],
    [50,68.5,90.5,89,69,52.5,39,29],
    [56,72,91,113,134.5,112.5,93,76.5],
    [58.5,75.5,95,118,119.5,98.5,80.5]
]
payoffTypes = [
    ["Put","Put","Put","Put","Call","Call","Call","Call","Call","Call"],
    ["Put","Put","Put","Put","Put","Call","Call","Call","Call","Call"],
    ["Put","Put","Put","Call","Call","Call","Call","Call"],
    ["Put","Put","Put","Put","Call","Call","Call","Call"],
    ["Put","Put","Put","Put","Call","Call","Call"]
]

// Build vol surface from quotes
volSurf = cmFutVolatilitySurfaceBuilder(pricingDate, futMaturities, optionExpiries, strikes, optionPrices, payoffTypes, discountCurve, futPriceCurve)
print(volSurf)
// Instrument
cmFutEuropeanOption = {
    "productType": "Option",
    "optionType": "EuropeanOption",
    "assetType": "CmFutEuropeanOption",
    "instrumentId": "SOYMEAL_CALL",
    "notionalAmount": nominal,
    "notionalCurrency": "CNY",
    "strike": strike,
    "maturity": pricingDate + 180,
    "payoffType": "Call",
    "dayCountConvention": "Actual365",
    "underlying": "SOY_MEAL",
    "domesticCurve": "CNY_FR_007"
}
instrument = parseInstrument(cmFutEuropeanOption)

// Price
result = cmFutEuropeanOptionPricer(instrument, pricingDate, spot, discountCurve, volSurf)

相关函数：parseMktData、parseInstrument、cmFutVolatilitySurfaceBuilder