createMktDataEngine

语法

createMktDataEngine(name, referenceDate, mktDataConfig, [handler], [historicalData], [engineConfig])

详情

创建市场数据（曲线/曲面等）实时构建引擎。

该引擎能够根据配置自动构建曲线和曲面等市场数据，支持历史数据回填和实时数据更新。

参数

name 字符串标量，表示引擎名称。该参数是引擎在一个数据节点上的唯一标识，可包含字母，数字和下划线，但必须以字母开头。

referenceDate DATE 类型标量，表示市场数据的参考日期。

mktDataConfig 字典或由字典组成的元组，表示市场数据构建配置。关于配置格式，请参考下文。

handler 可选参数，用于处理市场数据构建结果，可为自定义函数、共享内存表或定价引擎。其参数形式或表结构由 engineConfig.outputTime 决定：

  • engineConfig.outputTime=false：自定义函数的参数为 (kind, date, name, data)；共享内存表包含 kind(STRING)、date(DATE)、name(STRING)、data(MKTDATA) 四列。

  • engineConfig.outputTime=true：自定义函数的参数为 (eventTime, kind, date, name, data)；共享内存表包含 eventTime(NANOTIMESTAMP)、kind(STRING)、date(DATE)、name(STRING)、data(MKTDATA) 五列。

historicalData 可选参数，历史市场数据，当构建过程中无法从引擎缓存或实时流中获取所需市场数据时，将从该历史数据中获取。可以是：

  • 字典或向量：数据格式参考 instrumentPricer 函数中的 marketData 参数。

  • 自定义函数：参数是 (kind，date，name)。

engineConfig 可选参数，一个字典，用于设置引擎运行配置。字典包含如下键值对：

  • numThreads：可选，整型标量，表示工作线程数，默认 8。

  • maxQueueDepth：可选，整型标量，表示最大队列深度，默认 10,000,000。

  • useSystemTime：可选，布尔标量，表示是否使用系统时间作为事件时间。默认为 true，使用系统时间作为事件时间。

  • timeColumn：可选，字符串标量，指定时间列（NANOTIMESTAMP）作为事件时间。指定该列后，输入数据中需要包含该列。

  • outputTime：可选，布尔标量，表示是否输出事件时间。默认为 false。

返回值

返回一个市场数据引擎句柄。

mktDataConfig 配置及数据写入示例

外汇即期汇率

生成外汇即期汇率曲线需要配置的 mktDataConfig 字段包括：

  • name：必填，字符串标量，汇率表示的货币对。可选值为"EURUSD", "USDCNY", "EURCNY", "GBPCNY", "JPYCNY", "HKDCNY"。货币对的表示也可由 . 或 / 分隔，例如 "EURUSD" 也可写为 "EUR.USD" 或 "EUR/USD"。

  • type：必填，字符串标量，必须填 "FxSpotRate"。

配置示例：

config = {
    "name": "USDCNY",
    "type": "FxSpotRate"
}

说明：

在相关曲线或曲面构建过程中自动包含外汇即期汇率曲线，例如跨币种利率互换收益率曲线或外汇波动率曲面，因此无需要单独配置。仅当需要单独输出外汇即期汇率曲线时，才需要显式配置该类市场数据。

插入数据格式：

列名 类型 说明
type STRING 固定为 "FxSpotRate"
name STRING 货币对，例如 “USDCNY”（货币对的表示可由 . 或 / 分隔）。
price DOUBLE 当前报价

注：插入数据时，列名和类型必须符合以上表格定义，列顺序不作要求。

插入数据示例：

typeCol = ["FxSpot", "FxSpot", "FxSpot"]
nameCol = ["USDCNY", "EURCNY", "EURUSD"]
priceCol = [7.12, 7.88, 1.10]

data = table(typeCol as type, nameCol as name, priceCol as price)

完整示例：

referenceDate = 2025.01.01

config1 = {
    "name": "USDCNY",
    "type": "FxSpotRate"
}
config2 = {
    "name": "EURUSD",
    "type": "FxSpotRate"
}
config3 = {
    "name": "EURCNY",
    "type": "FxSpotRate"
}

engine = createMktDataEngine("MKTDATA_ENGINE", referenceDate, [config1, config2, config3])

typeCol = ["FxSpot", "FxSpot", "FxSpot"]
nameCol = ["USDCNY", "EURCNY", "EURUSD"]
priceCol = [7.12, 7.88, 1.10]

data = table(typeCol as type, nameCol as name, priceCol as price)

engine.append!(data)
sleep(100)

  • 本例中创建了三个构建目标，分别用于表示美元兑人民币（USDCNY）、欧元兑美元（EURUSD）和欧元兑人民币（EURCNY）这三种汇率报价。

  • 写入的数据中仅覆盖两个构建目标，共包含三条数据：其中 USDCNY 两条，EURUSD 一条。

  • 数据写入采用异步模式，因此需要预留一定的等待时间，以确保所有数据均被完整处理。

可以使用 getMktData 接口获取已构建好的市场数据。

re = getMktData(engine, "Price", referenceDate, "USDCNY")
print(re)

re = getMktData(engine, "Price", referenceDate, "EURUSD")
print(re)

re = getMktData(engine, "Price", referenceDate, "EURCNY")
print(re)

结果将显示 USDCNY 和 EURUSD 的最新市场数据；由于未写入 EURCNY 数据，调用 getMktData 将报错。

债券收益率曲线

生成债券收益率曲线需要配置的 mktDataConfig 字段包括：

  • name：必填，曲线名称

  • type：必填，必须是 "BondYieldCurve"

  • bonds：必填，构建使用的基准债券

  • currency：必填，货币单位

  • dayCountConvention：必填，日期计数惯例

  • compounding：选填，复利类型

  • frequency：选填，计息频率

  • interpMethod：选填，内插方法

  • extrapMethod：选填，外插方法

  • method：选填，曲线构建方法

上述字段要求与 bondYieldCurveBuilder 的参数保持一致。

配置示例：

bonds = array(ANY, 5)
for (i in 0..4) {
    bond_template = {
        "productType": "Cash",
        "assetType": "Bond",
        "bondType": "FixedRateBond",
        "instrumentId": "88" + lpad(string(i), 4, "0") + ".IB",
        "start": 2024.06.01,
        "maturity": 2024.06.01 + (i + 1) * 365,
        "issuePrice": 100,
        "coupon": 0.02,
        "dayCountConvention": "Actual365",
        "frequency": "Annual"
    };
    bonds[i] = parseInstrument(bond_template);
}

config = {
    "name": "CNY_TREASURY_BOND",
    "type": "BondYieldCurve",
    "bonds": bonds,
    "currency": "CNY",
    "dayCountConvention": "Actual365"
}

说明：

构建名称为 “CNY_TREASURY_BOND” 的债券收益率曲线。参考债券为五支随机生成的债券（Instrument 数据）。其他参数的使用方式可参考 bondYieldCurveBuilder 函数。构建过程中，引擎将基于参考债券的信息，和引擎参数中的 referenceDate，计算出每支债券的剩余到期时间，并按到期顺序重新排列。

插入数据格式：

列名 类型 说明
type STRING 固定为 "Bond"
name STRING 债券名称
price DOUBLE 报价

插入数据示例：

typeCol = ["Bond", "Bond", "Bond", "Bond", "Bond"]
nameCol = ["880000.IB", "880001.IB", "880002.IB", "880003.IB", "880004.IB"]
priceCol = [0.015, 0.016, 0.017, 0.018, 0.019]  // YTM

data = table(typeCol as type, nameCol as name, priceCol as price)

完整示例：

try{dropStreamEngine("MKTDATA_ENGINE")}catch(ex){}
referenceDate = 2025.01.01
bonds = array(ANY, 5)
for (i in 0..4) {
    bond_template = {
        "productType": "Cash",
        "assetType": "Bond",
        "bondType": "FixedRateBond",
        "instrumentId": "88" + lpad(string(i), 4, "0") + ".IB",
        "start": 2024.06.01,
        "maturity": 2024.06.01 + (i + 1) * 365,
        "issuePrice": 100,
        "coupon": 0.02,
        "dayCountConvention": "Actual365",
        "frequency": "Annual"
    };
    bonds[i] = parseInstrument(bond_template);
}

config = {
    "name": "CNY_TREASURY_BOND",
    "type": "BondYieldCurve",
    "bonds": bonds,
    "currency": "CNY",
    "dayCountConvention": "Actual365"
}

engine = createMktDataEngine("MKTDATA_ENGINE", referenceDate, [config])

typeCol = ["Bond", "Bond", "Bond", "Bond", "Bond"]
nameCol = ["880000.IB", "880001.IB", "880002.IB", "880003.IB", "880004.IB"]
priceCol = [0.015, 0.016, 0.017, 0.018, 0.019]  // YTM

data = table(typeCol as type, nameCol as name, priceCol as price)
engine.append!(data)
sleep(100)

re = getMktData(engine, "Curve", referenceDate, "CNY_TREASURY_BOND")
print(re)

单货币利率互换曲线

生成单货币利率互换曲线需要配置的 mktDataConfig 字段包括：

  • name：必填，曲线名称

  • type：必填，必须是 "IrSingleCurrencyCurve"

  • insts ：必填，一个 Any Vector，每个元素是一个包含三个元素的元组：[instName, instType, term]。其中，

    • instName, instType 是 STRING 标量

    • term 是 STRING 或者 DURATION 标量

  • currency：必填，货币单位

  • dayCountConvention：必填，日期计数惯例

  • discountCurve：选填，贴现曲线

  • compounding：选填，复利类型

  • frequency：选填，计息频率

除 insts 外，其它字段要求与 irSingleCurrencyCurveBuilder 参数保持一致。

配置示例：

config = {
    "name": "CNY_FR_007",
    "type": "IrSingleCurrencyCurve",
    "insts": [
        ["FR_007", "Deposit", 7d],
        ["CNY_FR_007", "IrVanillaSwap", 1M],
        ["CNY_FR_007", "IrVanillaSwap", 3M],
        ["CNY_FR_007", "IrVanillaSwap", 6M],
        ["CNY_FR_007", "IrVanillaSwap", 9M],
        ["CNY_FR_007", "IrVanillaSwap", 1y],
        ["CNY_FR_007", "IrVanillaSwap", 2y],
        ["CNY_FR_007", "IrVanillaSwap", 3y],
        ["CNY_FR_007", "IrVanillaSwap", 4y],
        ["CNY_FR_007", "IrVanillaSwap", 5y],
        ["CNY_FR_007", "IrVanillaSwap", 7y],
        ["CNY_FR_007", "IrVanillaSwap", 10y]
    ],
    "currency": "CNY",
    "dayCountConvention": "Actual365"
}

说明：

本例中，构建目标是名称为 CNY_FR_007 的 IrSingleCurrencyCurve，报价信息参考 irSingleCurrencyCurveBuilder 例2。

插入数据格式：

列名 类型 说明
type STRING 构建目标类型，目前仅支持 Deposit 或 IrVanillaSwap
name STRING 金融工具名称
term STRING/DURATION 合约剩余期限，例如 "1M"。
price DOUBLE 报价数据

插入数据示例：

typeCol = [
    "Deposit", "IrVanillaSwap", "IrVanillaSwap", "IrVanillaSwap",
    "IrVanillaSwap", "IrVanillaSwap", "IrVanillaSwap", "IrVanillaSwap",
    "IrVanillaSwap", "IrVanillaSwap", "IrVanillaSwap", "IrVanillaSwap"
]

nameCol = [
    "FR_007", "CNY_FR_007", "CNY_FR_007", "CNY_FR_007",
    "CNY_FR_007", "CNY_FR_007", "CNY_FR_007", "CNY_FR_007",
    "CNY_FR_007", "CNY_FR_007", "CNY_FR_007", "CNY_FR_007"
]

termCol = [
    7d, 1M, 3M, 6M,
    9M, 1y, 2y, 3y,
    4y, 5y, 7y, 10y
]

priceCol = [
    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

data = table(typeCol as type, nameCol as name, termCol as term, priceCol as price)

完整示例：

try{dropStreamEngine("MKTDATA_ENGINE")}catch(ex){}
referenceDate = 2021.05.26

config = {
    "name": "CNY_FR_007",
    "type": "IrSingleCurrencyCurve",
    "insts": [
        ["FR_007", "Deposit", 7d],
        ["CNY_FR_007", "IrVanillaSwap", 1M],
        ["CNY_FR_007", "IrVanillaSwap", 3M],
        ["CNY_FR_007", "IrVanillaSwap", 6M],
        ["CNY_FR_007", "IrVanillaSwap", 9M],
        ["CNY_FR_007", "IrVanillaSwap", 1y],
        ["CNY_FR_007", "IrVanillaSwap", 2y],
        ["CNY_FR_007", "IrVanillaSwap", 3y],
        ["CNY_FR_007", "IrVanillaSwap", 4y],
        ["CNY_FR_007", "IrVanillaSwap", 5y],
        ["CNY_FR_007", "IrVanillaSwap", 7y],
        ["CNY_FR_007", "IrVanillaSwap", 10y]
    ],
    "currency": "CNY",
    "dayCountConvention": "Actual365"
}

engine = createMktDataEngine("MKTDATA_ENGINE", referenceDate, [config])

typeCol = [
    "Deposit", "IrVanillaSwap", "IrVanillaSwap", "IrVanillaSwap",
    "IrVanillaSwap", "IrVanillaSwap", "IrVanillaSwap", "IrVanillaSwap",
    "IrVanillaSwap", "IrVanillaSwap", "IrVanillaSwap", "IrVanillaSwap"
]

nameCol = [
    "FR_007", "CNY_FR_007", "CNY_FR_007", "CNY_FR_007",
    "CNY_FR_007", "CNY_FR_007", "CNY_FR_007", "CNY_FR_007",
    "CNY_FR_007", "CNY_FR_007", "CNY_FR_007", "CNY_FR_007"
]

termCol = [
    7d, 1M, 3M, 6M,
    9M, 1y, 2y, 3y,
    4y, 5y, 7y, 10y
]

priceCol = [
    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

data = table(typeCol as type, nameCol as name, termCol as term, priceCol as price)

engine.append!(data)
sleep(100)

re = getMktData(engine, "Curve", referenceDate, "CNY_FR_007")
print(re)

跨币种利率互换收益率曲线

生成跨币种利率互换收益率曲线需要配置的 mktDataConfig 字段包括：

  • name：必填，曲线名称

  • type：必填，必须是 "IrCrossCurrencyCurve"

  • insts ：必填，一个 Any Vector，每个元素是一个包含三个元素的元组：[instName, instType, term]。其中，

    • instName, instType 是 STRING 标量

    • term 是 STRING 或者 DURATION 标量

  • currency：必填，货币单位

  • currencyPair：必填，货币对

  • dayCountConvention：必填，日期计数惯例

  • discountCurve：必填，贴现曲线

  • compounding：选填，复利类型

  • frequency：选填，计息频率

除 insts 外，其它字段要求与 irCrossCurrencyCurveBuilder 参数保持一致。

配置示例：

config = {
    "name": "USD_USDCNY_FX",
    "type": "IrCrossCurrencyCurve",
    "insts": [
        ("USDCNY", "FxSwap", "1d"),
        ("USDCNY", "FxSwap", "1w"),
        ("USDCNY", "FxSwap", "2w"),
        ("USDCNY", "FxSwap", "3w"),
        ("USDCNY", "FxSwap", "1M"),
        ("USDCNY", "FxSwap", "2M"),
        ("USDCNY", "FxSwap", "3M"),
        ("USDCNY", "FxSwap", "6M"),
        ("USDCNY", "FxSwap", "9M"),
        ("USDCNY", "FxSwap", "1y"),
        ("USDCNY", "FxSwap", "18M"),
        ("USDCNY", "FxSwap", "2y"),
        ("USDCNY", "FxSwap", "3y")
    ],
    "currency": "USD",
    "currencyPair": "USDCNY",
    "dayCountConvention": "Actual365",
    "discountCurve": "CNY_SHIBOR_3M"
}

说明：

本例中构建目标为名称是 “USD_USDCNY_FX” 的跨币种利率互换收益率曲线。使用外汇掉期作为定价所使用的金融工具，指定构建时使用的贴现曲线为 “CNY_SHIBOR_3M”。因为跨币种利率互换收益率曲线中已经包含货币对信息，因此不需要再额外定义 FxSpot 作为构建目标。具体参数要求请参考：irCrossCurrencyCurveBuilder

插入数据格式：

列名 类型 说明
type STRING 目前仅支持 “FxSwap”
name STRING FxSwap: 对应的货币对
term STRING / DURATION 期限
price DOUBLE 报价数据

插入数据示例：

typeCol = [
    "FxSwap", "FxSwap", "FxSwap", "FxSwap",
    "FxSwap", "FxSwap", "FxSwap", "FxSwap",
    "FxSwap", "FxSwap", "FxSwap", "FxSwap",
    "FxSwap"
]
nameCol = [
    "USDCNY", "USDCNY", "USDCNY", "USDCNY",
    "USDCNY", "USDCNY", "USDCNY", "USDCNY",
    "USDCNY", "USDCNY", "USDCNY", "USDCNY",
    "USDCNY"
]
termCol = [
    "1d", "1w", "2w", "3w",
    "1M", "2M", "3M", "6M",
    "9M", "1y", "18M", "2y",
    "3y"
]
priceCol = [
    -5.54, -39.00, -75.40, -113.20,
    -177.00, -317.00, -466.00, -898.50,
    -1284.99, -1676.00, -2320.00, -2870.00,
    -3962.50
] \ 10000

data = table(typeCol as type, nameCol as name, termCol as term, priceCol as price)
insert into data values("FxSpot", "USDCNY", "0d", 7.1627)

完整示例：

利用市场数据引擎从 USDCNY 外汇掉期报价和人民币 CNY_FR_007 曲线，自动构建出美元的隐含收益率曲线（USD_USDCNY_FX）。

try{dropStreamEngine("MKTDATA_ENGINE")}catch(ex){}
referenceDate = 2025.08.18

config = {
    "name": "USD_USDCNY_FX",
    "type": "IrCrossCurrencyCurve",
    "insts": [
        ("USDCNY", "FxSwap", "1d"),
        ("USDCNY", "FxSwap", "1w"),
        ("USDCNY", "FxSwap", "2w"),
        ("USDCNY", "FxSwap", "3w"),
        ("USDCNY", "FxSwap", "1M"),
        ("USDCNY", "FxSwap", "2M"),
        ("USDCNY", "FxSwap", "3M"),
        ("USDCNY", "FxSwap", "6M"),
        ("USDCNY", "FxSwap", "9M"),
        ("USDCNY", "FxSwap", "1y"),
        ("USDCNY", "FxSwap", "18M"),
        ("USDCNY", "FxSwap", "2y"),
        ("USDCNY", "FxSwap", "3y")
    ],
    "currency": "USD",
    "currencyPair": "USDCNY",
    "dayCountConvention": "Actual365",
    "discountCurve": "CNY_SHIBOR_3M"
}


typeCol = [
    "FxSwap", "FxSwap", "FxSwap", "FxSwap",
    "FxSwap", "FxSwap", "FxSwap", "FxSwap",
    "FxSwap", "FxSwap", "FxSwap", "FxSwap",
    "FxSwap"
]
nameCol = [
    "USDCNY", "USDCNY", "USDCNY", "USDCNY",
    "USDCNY", "USDCNY", "USDCNY", "USDCNY",
    "USDCNY", "USDCNY", "USDCNY", "USDCNY",
    "USDCNY"
]
termCol = [
    "1d", "1w", "2w", "3w",
    "1M", "2M", "3M", "6M",
    "9M", "1y", "18M", "2y",
    "3y"
]
priceCol = [
    -5.54, -39.00, -75.40, -113.20,
    -177.00, -317.00, -466.00, -898.50,
    -1284.99, -1676.00, -2320.00, -2870.00,
    -3962.50
] \ 10000

data = table(typeCol as type, nameCol as name, termCol as term, priceCol as price)
insert into data values("FxSpot", "USDCNY", "0d", 7.1627)


cnyShibor3mDict = {
    "mktDataType": "Curve",
    "curveType": "IrYieldCurve",
    "curveName": "CNY_SHIBOR_3M",
    "referenceDate": referenceDate,
    "currency": "CNY",
    "dayCountConvention": "Actual365",
    "compounding": "Continuous",
    "interpMethod": "Linear",
    "extrapMethod": "Flat",
    "dates": [
        2025.08.21, 2025.08.27, 2025.09.03, 2025.09.10,
        2025.09.22, 2025.10.20, 2025.11.20, 2026.02.20,
        2026.05.20, 2026.08.20, 2027.02.22, 2027.08.20,
        2028.08.21
    ],
    "values": [
        1.5113, 1.5402, 1.5660, 1.5574,
        1.5556, 1.5655, 1.5703, 1.5934,
        1.6040, 1.6020, 1.5928, 1.5842,
        1.6068
    ] \ 100
}

cnyShibor3m = parseMktData(cnyShibor3mDict)

engine = createMktDataEngine("MKTDATA_ENGINE", referenceDate, [config], historicalData=[cnyShibor3m])

engine.append!(data)
sleep(100)

re = getMktData(engine, "Curve", referenceDate, "USD_USDCNY_FX")
print(re)

  1. 因为构建目标中自动包含了外汇即期汇率，因此写入数据中也需要包含相应的报价数据，否则无法构建成功。

  2. 本例中将 CNY_SHIBOR_3M 作为历史数据传入引擎，而非实时构建，因此需要提前准备一条对应曲线。

外汇波动率曲面

生成外汇波动率曲面需要配置的 mktDataConfig 字段包括：

  • name：必填，曲面名称

  • type：必填，必须是 "FxVolatilitySurface"

  • names：必填，为 ["ATM", "D25_RR", "D25_BF", "D10_RR", "D10_BF"] 的一组排列，表示报价名称

  • terms：必填，市场报价的对应期限

  • currencyPair：必填，货币对

  • domesticCurve：必填，本币折现曲线

  • foreignCurve：必填，外币折现曲线

  • model：选填。构建波动率曲面所用模型

上述字段要求与 fxVolatilitySurfaceBuilder 参数保持一致。

配置示例：

config = {
    "name": "USDCNY",
    "type": "FxVolatilitySurface",
    "names": ["ATM", "D25_RR", "D25_BF", "D10_RR", "D10_BF"],
    "terms": ["1d", "1w", "2w", "3w", "1M", "2M", "3M", "6M", "9M", "1y", "18M", "2y", "3y"],
    "currencyPair": "USDCNY",
    "domesticCurve": "CNY_FR_007",
    "foreignCurve": "USD_USDCNY_FX",
    "model": "SVI"
}

说明：

本例中构建目标是名为 USDCNY 的外汇波动率曲面。使用 CNY_FR_007 作为本币的折现曲线，USD_USDCNY_FX 作为外币的折现曲线，并且使用模型 SVI 进行曲面构建。

插入数据格式：

列名 类型 说明
type STRING 固定为 FxOption
name STRING 货币对
subType STRING “ATM” / “D25_RR” / “D25_BF” / “D10_RR” / “D10_BF”
term STRING / DURATION 期限
price DOUBLE 报价数据

插入数据示例：

typeCol = take("FxOption", 65)
nameCol = take("USDCNY", 65)
subTypeCol = take(["ATM"], 13)
    .append!(take(["D25_RR"], 13))
    .append!(take(["D25_BF"], 13))
    .append!(take(["D10_RR"], 13))
    .append!(take(["D10_BF"], 13))
termCol = take([
    "1d", "1w", "2w", "3w", "1M", "2M", "3M", "6M", "9M", "1y", "18M", "2y", "3y"
], 65)
priceCol = [
    0.030000, -0.007500, 0.003500, -0.010000, 0.005500, 
    0.020833, -0.004500, 0.002000, -0.006000, 0.003800, 
    0.022000, -0.003500, 0.002000, -0.004500, 0.004100, 
    0.022350, -0.003500, 0.002000, -0.004500, 0.004150, 
    0.024178, -0.003000, 0.002200, -0.004750, 0.005500, 
    0.027484, -0.002650, 0.002220, -0.004000, 0.005650, 
    0.030479, -0.002500, 0.002400, -0.003500, 0.005750, 
    0.035752, -0.000500, 0.002750,  0.000000, 0.006950, 
    0.038108,  0.001000, 0.002800,  0.003000, 0.007550, 
    0.039492,  0.002250, 0.002950,  0.005000, 0.007550, 
    0.040500,  0.004000, 0.003100,  0.007000, 0.007850, 
    0.041750,  0.005250, 0.003350,  0.008000, 0.008400, 
    0.044750,  0.006250, 0.003400,  0.009000, 0.008550
].reshape(5:13).transpose().flatten()

data = table(typeCol as type, nameCol as name, subTypeCol as subType, termCol as term, priceCol as price)
insert into data values("FxSpot", "USDCNY", "", "0d", 7.1627)

完整示例：

本例说明如何使用 DolphinDB 的市场数据引擎（createMktDataEngine）来构建和管理 USDCNY 外汇波动率曲面。包含如下步骤：

  1. 构造波动率报价数据、即期汇率、收益率曲线数据。

  2. 使用 parseMktData 将字典格式的曲线数据解析为 MKTDATA 类型对象。

  3. 创建名为 "MKTDATA_ENGINE" 的市场数据引擎，配置 USDCNY 波动率曲面的构建参数（使用 SVI 模型）。然后将 CNY_FR_007 和 USD_USDCNY_FX 作为历史数据传入引擎。

  4. 通过 getMktData 从引擎中获取构建完成的 USDCNY 外汇波动率曲面，该曲面可用于后续的外汇期权定价。

try{dropStreamEngine("MKTDATA_ENGINE")}catch(ex){}
referenceDate = 2025.08.18

config = {
    "name": "USDCNY",
    "type": "FxVolatilitySurface",
    "names": ["ATM", "D25_RR", "D25_BF", "D10_RR", "D10_BF"],
    "terms": ["1d", "1w", "2w", "3w", "1M", "2M", "3M", "6M", "9M", "1y", "18M", "2y", "3y"],
    "currencyPair": "USDCNY",
    "domesticCurve": "CNY_FR_007",
    "foreignCurve": "USD_USDCNY_FX",
    "model": "SVI"
}

typeCol = take("FxOption", 65)
nameCol = take("USDCNY", 65)
subTypeCol = take(["ATM"], 13)
    .append!(take(["D25_RR"], 13))
    .append!(take(["D25_BF"], 13))
    .append!(take(["D10_RR"], 13))
    .append!(take(["D10_BF"], 13))
termCol = take([
    "1d", "1w", "2w", "3w", "1M", "2M", "3M", "6M", "9M", "1y", "18M", "2y", "3y"
], 65)
priceCol = [
    0.030000, -0.007500, 0.003500, -0.010000, 0.005500, 
    0.020833, -0.004500, 0.002000, -0.006000, 0.003800, 
    0.022000, -0.003500, 0.002000, -0.004500, 0.004100, 
    0.022350, -0.003500, 0.002000, -0.004500, 0.004150, 
    0.024178, -0.003000, 0.002200, -0.004750, 0.005500, 
    0.027484, -0.002650, 0.002220, -0.004000, 0.005650, 
    0.030479, -0.002500, 0.002400, -0.003500, 0.005750, 
    0.035752, -0.000500, 0.002750,  0.000000, 0.006950, 
    0.038108,  0.001000, 0.002800,  0.003000, 0.007550, 
    0.039492,  0.002250, 0.002950,  0.005000, 0.007550, 
    0.040500,  0.004000, 0.003100,  0.007000, 0.007850, 
    0.041750,  0.005250, 0.003350,  0.008000, 0.008400, 
    0.044750,  0.006250, 0.003400,  0.009000, 0.008550
].reshape(5:13).transpose().flatten()

data = table(typeCol as type, nameCol as name, subTypeCol as subType, termCol as term, priceCol as price)
insert into data values("FxSpot", "USDCNY", "", "0d", 7.1627)

domesticCurveDict = {
    "mktDataType": "Curve",
    "curveName": "CNY_FR_007",
    "curveType": "IrYieldCurve",
    "referenceDate": referenceDate,
    "currency": "CNY",
    "dayCountConvention": "Actual365",
    "compounding": "Continuous",  
    "interpMethod": "Linear",
    "extrapMethod": "Flat",
    "frequency": "Annual",
    "dates": [
        2025.08.21, 2025.08.27, 2025.09.03, 2025.09.10, 2025.09.22,
        2025.10.20, 2025.11.20, 2026.02.24, 2026.05.20, 2026.08.20,
        2027.02.22, 2027.08.20, 2028.08.21
    ],
    "values": [
        1.5113, 1.5402, 1.5660, 1.5574, 1.5556,
        1.5655, 1.5703, 1.5934, 1.6040, 1.6020, 
        1.5928, 1.5842, 1.6068
    ] \ 100
}
domesticCurve = parseMktData(domesticCurveDict)

foreignCurveDict = {
    "mktDataType": "Curve",
    "curveName": "USD_USDCNY_FX",
    "curveType": "IrYieldCurve",
    "referenceDate": referenceDate,
    "currency": "USD",
    "dayCountConvention": "Actual365",
    "compounding": "Continuous",  
    "interpMethod": "Linear",
    "extrapMethod": "Flat",
    "frequency": "Annual",
    "dates": [
        2025.08.21, 2025.08.27, 2025.09.03, 2025.09.10, 2025.09.22,
        2025.10.20, 2025.11.20, 2026.02.24, 2026.05.20, 2026.08.20,
        2027.02.22, 2027.08.20, 2028.08.21
    ],
    "values": [
        4.3345, 4.3801, 4.3119, 4.3065, 4.2922, 
        4.2196, 4.1599, 4.0443, 4.0244, 3.9698, 
        3.7740, 3.6289, 3.5003
    ] \ 100
}
foreignCurve = parseMktData(foreignCurveDict)

engine = createMktDataEngine("MKTDATA_ENGINE", referenceDate, [config], historicalData=[domesticCurve, foreignCurve])

engine.append!(data)
sleep(100)

re = getMktData(engine, "Surface", referenceDate, "USDCNY")
print(re)

  1. 因为构建目标中自动包含了外汇即期汇率曲线，因此写入数据中也需要包含相应的报价数据，否则无法构建成功。

  2. 本例中将 CNY_FR_007 和 USD_USDCNY_FX 作为历史数据传入引擎，而非实时构建，因此需要提前准备对应曲线。

handler 参数示例

指定为自定义函数

以构建外汇即期汇率曲线为例，定义一个自定义函数，打印构建出来的市场数据。

def myHandler(kind, date, name, data) {
    print(data)
}

try{dropStreamEngine("MKTDATA_ENGINE")}catch(ex){}
referenceDate = 2025.01.01

config1 = {
    "name": "USDCNY",
    "type": "FxSpotRate"
}
config2 = {
    "name": "EURUSD",
    "type": "FxSpotRate"
}
config3 = {
    "name": "EURCNY",
    "type": "FxSpotRate"
}

engine = createMktDataEngine("MKTDATA_ENGINE", referenceDate, [config1, config2, config3], handler=myHandler)

typeCol = ["FxSpot", "FxSpot", "FxSpot"]
nameCol = ["USDCNY", "EURCNY", "EURUSD"]
priceCol = [7.12, 7.88, 1.10]

data = table(typeCol as type, nameCol as name, priceCol as price)

engine.append!(data)
sleep(100)

指定为共享内存表

定义一个结构如下的共享表（需保证列顺序一致）。

列名 类型
kind STRING
date DATE
name STRING
data MKTDATA

完整示例

share streamTable(1:0, `kind`date`name`data, [STRING, DATE, STRING, MKTDATA]) as st

try{dropStreamEngine("MKTDATA_ENGINE")}catch(ex){}
referenceDate = 2025.01.01

config1 = {
    "name": "USDCNY",
    "type": "FxSpotRate"
}
config2 = {
    "name": "EURUSD",
    "type": "FxSpotRate"
}
config3 = {
    "name": "EURCNY",
    "type": "FxSpotRate"
}

engine = createMktDataEngine("MKTDATA_ENGINE", referenceDate, [config1, config2, config3], handler=st)

typeCol = ["FxSpot", "FxSpot", "FxSpot"]
nameCol = ["USDCNY", "EURCNY", "EURUSD"]
priceCol = [7.12, 7.88, 1.10]

data = table(typeCol as type, nameCol as name, priceCol as price)

engine.append!(data)
sleep(100)

print(select * from st)

指定为定价引擎

创建一个定价引擎，并传入 handler 参数。

完整示例

try{dropStreamEngine("MKTDATA_ENGINE")}catch(ex){}
try{dropStreamEngine("PRICING_ENGINE")}catch(ex){}
referenceDate = 2025.01.01

bonds = array(ANY, 5)
for (i in 0..4) {
    bond_template = {
        "productType": "Cash",
        "assetType": "Bond",
        "bondType": "FixedRateBond",
        "instrumentId": "88" + lpad(string(i), 4, "0") + ".IB",
        "start": 2024.06.01,
        "maturity": 2024.06.01 + (i + 1) * 365,
        "issuePrice": 100,
        "coupon": 0.02,
        "dayCountConvention": "Actual365",
        "frequency": "Annual"
    };
    bonds[i] = parseInstrument(bond_template);
}

config = {
    "name": "CNY_TREASURY_BOND",
    "type": "BondYieldCurve",
    "bonds": bonds,
    "currency": "CNY",
    "dayCountConvention": "Actual365"
}

bondDict = {
    "productType": "Cash",
    "assetType": "Bond",
    "bondType": "FixedRateBond",
    "instrumentId": "880010.IB",
    "start": 2028.05.01,
    "maturity": 2038.05.01,
    "issuePrice": 100,
    "coupon": 0.02,
    "dayCountConvention": "Actual365",
    "frequency": "Annual",
    "discountCurve": "CNY_TREASURY_BOND"
}
bond = parseInstrument(bondDict)

share streamTable(1:0, `name`date`price, [STRING, DATE, DOUBLE]) as priceSt

pricingEngine = createPricingEngine("PRICING_ENGINE", [bond], tableInsert{priceSt})

mktdataEngine = createMktDataEngine("MKTDATA_ENGINE", referenceDate, [config], handler=pricingEngine)

typeCol = ["Bond", "Bond", "Bond", "Bond", "Bond"]
nameCol = ["880000.IB", "880001.IB", "880002.IB", "880003.IB", "880004.IB"]
priceCol = [0.015, 0.016, 0.017, 0.018, 0.019]  // YTM

data = table(typeCol as type, nameCol as name, priceCol as price)

mktdataEngine.append!(data)
sleep(100)

re = getMktData(mktdataEngine, "Curve", referenceDate, "CNY_TREASURY_BOND")
print(re)

print(select * from priceSt)

本例中使用 880000.IB ~ 880004.IB作为基准债券构建曲线 CNY_TREASURY_BOND，并将该曲线作为定价引擎的输入曲线，对 880010.IB 定价。最后输出定价结果到 priceSt 表中。

相关函数：appendMktData, append!, getMktData, createPricingEngine