eqAmericanOptionPricer

首发版本：3.00.5

语法

eqAmericanOptionPricer(instrument, pricingDate, spot, discountCurve, dividendCurve, volSurf, [setting], [model='BlackScholes'], [method='Analytic'])

详情

对权益类美式期权进行定价。

参数

instrument INSTRUMENT 类型标量或向量，表示需要定价的权益类美式期权。产品所需的关键字段详见产品字段说明。

pricingDate DATE 类型标量或向量，表示定价日期。

spot 数值类型标量或向量，表示现货价格。

discountCurve IrYieldCurve 类型的 MktData 标量或向量，表示折现曲线。

dividendCurve DividendCurve 类型的 MktData 标量或向量，表示股息曲线。

volSurf MKTDATA 类型（VolatilitySurface）的标量或向量，表示波动率曲面。

setting 可选参数，一个字典，用于设置定价输出。包含以下 key：

calcDelta：value 是布尔值，指定是否计算 delta
calcGamma：value 是布尔值，指定是否计算 gamma
calcVega：value 是布尔值，指定是否计算 vega
calcTheta：value 是布尔值，指定是否计算 theta
calcRhoIr：value 是布尔值，指定是否计算 rhoir
calcRhoDividend：value 是布尔值，指定是否计算 rhodividend

model 可选参数，STRING 类型标量，表示使用的模型。可选值为：

“BlackScholes”（默认值）：Black–Scholes model
“BAW”：Barone-Adesi-Whaley 公式
“AmericanBinomialTree”：美式二叉树定价模型

method 可选参数，STRING 类型标量，表示使用的方法。可选值为：

“Analytic”（默认值）：解析法，支持 model 为 BlackScholes 或 BAW。
“Tree”：树方法，支持 model 为 AmericanBinomialTree。

返回值

当未指定 setting 时：返回 DOUBLE 类型标量，表示期权的净现值（NPV）。
当指定 setting 时：返回一个字典，包含 NPV 及按 setting 指定的 Greeks 结果。

例子

//腾讯股票期权定价
referenceDate = 2026.02.13
// 1. Discount Curve (HKD Proxy - Simplified)
// 注意：实际生产中应使用HIBOR或OIS曲线
discountCurveDict = {
    "mktDataType": "Curve",
    "curveType": "IrYieldCurve",
    "curveName": "HKD_RF",
    "referenceDate": referenceDate,
    "currency": "HKD",
    "dayCountConvention": "Actual365",
    "compounding": "Continuous",
    "interpMethod": "Linear",
    "extrapMethod": "Flat",
    "dates": [
        referenceDate + 1, referenceDate + 30, referenceDate + 90,
        referenceDate + 180, referenceDate + 365
    ],
    "values":[0.04, 0.04, 0.04, 0.04, 0.04]
}
discountCurve = parseMktData(discountCurveDict)
// 2. Data Preparation
spot = 532.0
termDates = [2026.02.20, 2026.02.26, 2026.03.30, 2026.04.29, 2026.05.28, 2026.06.29, 2026.09.29, 2026.12.30]
// Matrices are ensured to be dense (no zeros) by Python preprocessing
callPrices = matrix(
    [102.240, 92.250, 82.270, 72.300, 62.360, 52.480, 42.710, 33.180, 24.170, 15.940, 9.000, 4.600, 2.130, 0.960, 0.370, 0.130, 0.050, 0.020, 0.010, 0.010],
    [102.480, 92.530, 82.620, 72.750, 62.980, 53.350, 43.970, 35.430, 26.800, 19.250, 12.390, 8.200, 5.010, 3.030, 1.710, 0.940, 0.490, 0.250, 0.130, 0.070],
    [105.350, 94.410, 84.930, 75.670, 66.690, 59.800, 50.880, 41.900, 34.080, 29.030, 23.600, 18.700, 14.700, 11.470, 8.880, 7.000, 5.320, 4.000, 2.990, 2.220],
    [107.770, 96.450, 87.340, 78.510, 70.000, 61.880, 55.250, 46.990, 41.510, 34.530, 29.120, 24.370, 20.000, 16.900, 13.980, 11.410, 9.320, 7.760, 6.500, 5.320],
    [109.270, 97.890, 89.050, 80.500, 72.290, 64.460, 57.080, 50.140, 45.000, 38.800, 33.130, 28.330, 24.220, 20.630, 17.580, 14.840, 12.540, 10.560, 8.850, 7.440],
    [110.210, 98.620, 90.010, 81.730, 73.930, 66.430, 59.420, 52.930, 47.380, 42.070, 36.780, 32.290, 28.310, 24.260, 21.250, 18.380, 15.900, 13.610, 11.710, 10.000],
    [115.610, 107.450, 96.760, 89.450, 82.610, 75.990, 69.870, 63.990, 58.540, 54.680, 49.600, 45.520, 40.960, 36.480, 33.520, 30.130, 27.110, 24.080, 21.680, 19.310],
    [124.400, 116.880, 109.390, 99.560, 92.910, 89.300, 82.750, 77.110, 69.700, 66.470, 61.260, 56.670, 52.370, 48.220, 44.480, 40.740, 37.360, 34.350, 31.340, 28.570]
)
putPrices = matrix(
    [0.010, 0.010, 0.030, 0.050, 0.110, 0.210, 0.460, 0.880, 1.750, 3.450, 6.570, 12.100, 19.820, 28.260, 38.190, 48.020, 58.000, 68.000, 78.000, 88.000],
    [0.050, 0.090, 0.160, 0.290, 0.510, 0.900, 1.480, 2.390, 3.930, 6.260, 10.000, 15.350, 21.820, 30.000, 39.150, 48.500, 58.190, 68.000, 80.340, 88.000],
    [0.560, 0.900, 1.410, 2.140, 3.160, 4.540, 6.360, 8.640, 11.390, 14.720, 18.710, 24.150, 30.180, 37.360, 44.600, 53.900, 61.660, 70.100, 80.340, 88.940],
    [1.310, 1.960, 2.840, 4.000, 5.470, 7.000, 9.210, 11.950, 15.110, 18.850, 23.340, 28.440, 34.710, 41.520, 48.300, 57.590, 64.690, 73.180, 81.860, 90.830],
    [2.860, 3.870, 5.230, 6.730, 8.460, 10.740, 13.480, 16.630, 20.240, 24.470, 29.080, 34.410, 40.600, 47.430, 54.580, 62.650, 70.440, 78.580, 86.920, 95.580],
    [3.790, 5.140, 6.750, 8.680, 10.870, 13.690, 16.300, 19.650, 23.400, 27.920, 32.950, 38.280, 44.180, 50.760, 57.030, 65.510, 73.230, 78.580, 86.920, 97.520],
    [8.130, 10.140, 12.540, 15.140, 17.750, 20.910, 24.310, 28.300, 32.340, 37.020, 42.040, 47.690, 53.480, 60.030, 66.160, 73.900, 80.970, 88.120, 95.810, 101.990],
    [14.020, 15.890, 18.190, 21.170, 24.270, 27.800, 31.600, 35.490, 40.040, 44.910, 49.510, 54.850, 60.560, 67.000, 72.830, 78.360, 84.930, 94.000, 102.120, 109.690]
)
strikes = matrix(
    [430.00, 440.00, 450.00, 460.00, 470.00, 480.00, 490.00, 500.00, 510.00, 520.00, 530.00, 540.00, 550.00, 560.00, 570.00, 580.00, 590.00, 600.00, 610.00, 620.00],
    [430.00, 440.00, 450.00, 460.00, 470.00, 480.00, 490.00, 500.00, 510.00, 520.00, 530.00, 540.00, 550.00, 560.00, 570.00, 580.00, 590.00, 600.00, 610.00, 620.00],
    [430.00, 440.00, 450.00, 460.00, 470.00, 480.00, 490.00, 500.00, 510.00, 520.00, 530.00, 540.00, 550.00, 560.00, 570.00, 580.00, 590.00, 600.00, 610.00, 620.00],
    [430.00, 440.00, 450.00, 460.00, 470.00, 480.00, 490.00, 500.00, 510.00, 520.00, 530.00, 540.00, 550.00, 560.00, 570.00, 580.00, 590.00, 600.00, 610.00, 620.00],
    [430.00, 440.00, 450.00, 460.00, 470.00, 480.00, 490.00, 500.00, 510.00, 520.00, 530.00, 540.00, 550.00, 560.00, 570.00, 580.00, 590.00, 600.00, 610.00, 620.00],
    [430.00, 440.00, 450.00, 460.00, 470.00, 480.00, 490.00, 500.00, 510.00, 520.00, 530.00, 540.00, 550.00, 560.00, 570.00, 580.00, 590.00, 600.00, 610.00, 620.00],
    [430.00, 440.00, 450.00, 460.00, 470.00, 480.00, 490.00, 500.00, 510.00, 520.00, 530.00, 540.00, 550.00, 560.00, 570.00, 580.00, 590.00, 600.00, 610.00, 620.00],
    [430.00, 440.00, 450.00, 460.00, 470.00, 480.00, 490.00, 500.00, 510.00, 520.00, 530.00, 540.00, 550.00, 560.00, 570.00, 580.00, 590.00, 600.00, 610.00, 620.00]
)
optionPrices = matrix(
    [0.010, 0.010, 0.030, 0.050, 0.110, 0.210, 0.460, 0.880, 1.750, 3.450, 6.570, 4.600, 2.130, 0.960, 0.370, 0.130, 0.050, 0.020, 0.010, 0.010],
    [0.050, 0.090, 0.160, 0.290, 0.510, 0.900, 1.480, 2.390, 3.930, 6.260, 10.000, 8.200, 5.010, 3.030, 1.710, 0.940, 0.490, 0.250, 0.130, 0.070],
    [0.560, 0.900, 1.410, 2.140, 3.160, 4.540, 6.360, 8.640, 11.390, 14.720, 18.710, 18.700, 14.700, 11.470, 8.880, 7.000, 5.320, 4.000, 2.990, 2.220],
    [1.310, 1.960, 2.840, 4.000, 5.470, 7.000, 9.210, 11.950, 15.110, 18.850, 23.340, 24.370, 20.000, 16.900, 13.980, 11.410, 9.320, 7.760, 6.500, 5.320],
    [2.860, 3.870, 5.230, 6.730, 8.460, 10.740, 13.480, 16.630, 20.240, 24.470, 29.080, 28.330, 24.220, 20.630, 17.580, 14.840, 12.540, 10.560, 8.850, 7.440],
    [3.790, 5.140, 6.750, 8.680, 10.870, 13.690, 16.300, 19.650, 23.400, 27.920, 32.950, 32.290, 28.310, 24.260, 21.250, 18.380, 15.900, 13.610, 11.710, 10.000],
    [8.130, 10.140, 12.540, 15.140, 17.750, 20.910, 24.310, 28.300, 32.340, 37.020, 42.040, 45.520, 40.960, 36.480, 33.520, 30.130, 27.110, 24.080, 21.680, 19.310],
    [14.020, 15.890, 18.190, 21.170, 24.270, 27.800, 31.600, 35.490, 40.040, 44.910, 49.510, 56.670, 52.370, 48.220, 44.480, 40.740, 37.360, 34.350, 31.340, 28.570]
)
payoffTypes = matrix(
    ["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", "Put", "Put", "Call", "Call", "Call", "Call", "Call", "Call", "Call", "Call", "Call"],
    ["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", "Put", "Put", "Call", "Call", "Call", "Call", "Call", "Call", "Call", "Call", "Call"],
    ["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", "Put", "Put", "Call", "Call", "Call", "Call", "Call", "Call", "Call", "Call", "Call"],
    ["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", "Put", "Put", "Call", "Call", "Call", "Call", "Call", "Call", "Call", "Call", "Call"]
)
// 3. Build Dividend Curve (CallPutParity)
// 使用 Call-Put Parity 从期权价格中隐含出分红（股息）曲线
dividendCurve = eqDividendCurveBuilder(
    referenceDate, termDates, "CallPutParity", ,
    callPrices, putPrices, strikes, spot, discountCurve, "Actual365"
)
// 4. Build Volatility Surface (SVI Model)
// 构建波动率曲面
surface = eqVolatilitySurfaceBuilder(
        referenceDate,
        termDates,
        strikes,
        optionPrices,
        payoffTypes,
        spot,
        discountCurve,
        dividendCurve,
        "SVI"
)
// 5. Pricing Test: eqAmericanOptionPricer
optionDict = {
    "productType": "Option",
    "optionType": "AmericanOption",
    "assetType": "EqAmericanOption",
    "notionalCurrency": "HKD",    // price currency
    "notionalAmount": 1,          // 份数      
    "strike": 530.0,
    "maturity": 2026.02.24,
    "payoffType": "Call",
    "dayCountConvention": "Actual365",
    "underlying": "00700.HK"
}
instrument = parseInstrument(optionDict)
res = eqAmericanOptionPricer(
        instrument,
        referenceDate,
        spot,
        discountCurve,
        dividendCurve,
        surface,
        setting={"calcDelta": true, "calcGamma": true, "calcVega": true, "calcTheta": true, "calcRho": true, "calcRhoIr": true, "calcRhoDividend": true}
)
print(res)

产品字段说明


字段名	类型	描述	是否必填
productType	STRING	固定填 "Option"	是
optionType	STRING	固定填 "AmericanOption"	是
assetType	STRING	固定填 "EqAmericanOption"	是
notionalAmount	DOUBLE	名义本金额	是
notionalCurrency	STRING	名义本金货币，默认值为 "CNY"	否
instrumentId	STRING	合约代码，如代码 `TCH250328C0040000`的解读如下： `TCH`: 标的为腾讯控股 `250328`: 到期日为2025年3月28日。 `C`: 期权类型为认购（Call） `0040000`: 行权价为400.00港元。	否
direction	STRING	买卖方向 Buy Sell，默认为 Buy	否
maturity	DATE	到期日	是
strike	DOUBLE	执行价格	是
payoffType	STRING	枚举，可选 "Call" 和 "Put"	是
underlying	STRING	标的期货合约代码，如 `TCH`	是
dayCountConvention	STRING	日期计数惯例, 可选 "ActualActualISDA", "ActualActualISMA", "Actual365", "Actual360"	是
discountCurve	STRING	定价时参考的贴现曲线名称，人民币存款默认为 "CNY_FR_007"	否
dividendCurve	STRING	定价时参考的股息曲线名称	否