eqProxyVolatilitySurfaceBuilder
语法
eqProxyVolatilitySurfaceBuilder(referenceDate, proxyExpiries, proxyStrikes,
proxyCallPrices, proxyPutPrices, proxySpot, spot, discountCurve, dividendCurve,
[model=”SVI”], [surfaceName])
详情
构造权益类代理波动率曲面。
参数
referenceDate DATE 类型标量，表示参考日期。
proxyExpiries DATE 类型向量，表示代理期权合约的到期日。
proxyStrikes DOUBLE 类型矩阵，表示代理期权合约的执行价，列数与 proxyExpiries 一致。
proxyCallPrices DOUBLE 类型矩阵，表示代理期权合约的看涨报价，列数与 proxyExpiries 一致，行数与 proxyStrikes 一致。
proxyPutPrices DOUBLE 类型矩阵，表示代理期权合约的看跌报价，列数与 proxyExpiries 一致，行数与 proxyStrikes 一致。
proxySpot DOUBLE 类型标量，表示代理期权的现货报价。
spot DOUBLE 类型标量，表示期权的现货报价。
discountCurve MKTDATA 标量或向量，表示折现曲线（IrYieldCurve）。
dividendCurve MKTDATA 标量或向量，表示股息曲线（DividendCurve）。该曲线通过
eqDividendCurveBuilder 构建。
model 可选参数，STRING 类型标量，表示构建波动率微笑的模型。默认值为 “SVI”， 可选值为“SABR”， “Linear”，“CubicSpline”， “SVI”。
surfaceName 可选参数，STRING 类型标量，表示曲面名称。
返回值
一个 VolatilitySurface 对象。
例子
referenceDate = 2025.11.12
// parse For discount curve: CNY_FR_007
discountCurveDict = {
"mktDataType": "Curve",
"curveType": "IrYieldCurve",
"curveName": "CNY_FR_007",
"referenceDate": referenceDate,
"currency": "CNY",
"dayCountConvention": "Actual365",
"compounding": "Continuous",
"interpMethod": "Linear",
"extrapMethod": "Flat",
"dates": [
2025.11.13, 2025.11.19, 2025.11.26, 2025.12.03, 2025.12.12,
2026.01.12, 2026.02.12, 2026.05.12, 2026.08.12, 2026.11.12,
2027.05.12, 2027.11.12, 2028.11.12
],
"values":[
0.015219, 0.015311, 0.015668, 0.015948, 0.016003,
0.015557, 0.015474, 0.015278, 0.01517, 0.01515,
0.015306, 0.015462, 0.015716
]
}
discountCurve = parseMktData(discountCurveDict)
// build eq dividend curve
spot = 7.285
term_dates = [2026.01.28, 2026.03.25, 2026.06.23, 2026.12.23]
call_prices = matrix(
[1.2850, 1.0350, 0.7850, 0.5350, 0.3078, 0.1618, 0.0730, 0.0318, 0.0141, 0.0073],
[1.2850, 1.0350, 0.7850, 0.5350, 0.3421, 0.2235, 0.1388, 0.0898, 0.0544, 0.0362],
[1.2850, 1.0350, 0.7850, 0.5350, 0.3901, 0.2851, 0.2087, 0.1495, 0.1083, 0.0788],
[1.2850, 1.0350, 0.7850, 0.5350, 0.2850, 0.0945, 0.0168, 0.0031, 0.0016, 0.0012]
)
put_prices = matrix(
[0.0040, 0.0086, 0.0189, 0.0408, 0.0938, 0.1934, 0.3500, 0.5638, 0.7947, 1.0380],
[0.0279, 0.0493, 0.0847, 0.1428, 0.2354, 0.3668, 0.5289, 0.7182, 0.9429, 1.1685],
[0.1000, 0.1525, 0.2224, 0.3175, 0.4276, 0.5790, 0.7471, 0.9336, 1.1392, 1.3555],
[0.0012, 0.0013, 0.0021, 0.0048, 0.0139, 0.0710, 0.2414, 0.4752, 0.7342, 0.9793]
)
strikes = matrix(
[6.00, 6.25, 6.50, 6.75, 7.00, 7.25, 7.50, 7.75, 8.00, 8.25],
[6.00, 6.25, 6.50, 6.75, 7.00, 7.25, 7.50, 7.75, 8.00, 8.25],
[6.00, 6.25, 6.50, 6.75, 7.00, 7.25, 7.50, 7.75, 8.00, 8.25],
[6.00, 6.25, 6.50, 6.75, 7.00, 7.25, 7.50, 7.75, 8.00, 8.25]
)
dividendCurve = eqDividendCurveBuilder(referenceDate, term_dates, "CallPutParity", ,
call_prices, put_prices, strikes, spot, discountCurve, "Actual365");
// build eq proxy volatility surface
expiries = [2026.01.28, 2026.03.25, 2026.06.23, 2026.12.23]
call_prices = matrix(
[1.2850, 1.0350, 0.7850, 0.5350, 0.3078, 0.1618, 0.0730, 0.0318, 0.0141, 0.0073],
[1.2850, 1.0350, 0.7850, 0.5350, 0.3421, 0.2235, 0.1388, 0.0898, 0.0544, 0.0362],
[1.2850, 1.0350, 0.7850, 0.5350, 0.3901, 0.2851, 0.2087, 0.1495, 0.1083, 0.0788],
[1.2850, 1.0350, 0.7850, 0.5350, 0.2850, 0.0945, 0.0168, 0.0031, 0.0016, 0.0012]
)
put_prices = matrix(
[0.0040, 0.0086, 0.0189, 0.0408, 0.0938, 0.1934, 0.3500, 0.5638, 0.7947, 1.0380],
[0.0279, 0.0493, 0.0847, 0.1428, 0.2354, 0.3668, 0.5289, 0.7182, 0.9429, 1.1685],
[0.1000, 0.1525, 0.2224, 0.3175, 0.4276, 0.5790, 0.7471, 0.9336, 1.1392, 1.3555],
[0.0012, 0.0013, 0.0021, 0.0048, 0.0139, 0.0710, 0.2414, 0.4752, 0.7342, 0.9793]
)
strikes = matrix(
[6.00, 6.25, 6.50, 6.75, 7.00, 7.25, 7.50, 7.75, 8.00, 8.25],
[6.00, 6.25, 6.50, 6.75, 7.00, 7.25, 7.50, 7.75, 8.00, 8.25],
[6.00, 6.25, 6.50, 6.75, 7.00, 7.25, 7.50, 7.75, 8.00, 8.25],
[6.00, 6.25, 6.50, 6.75, 7.00, 7.25, 7.50, 7.75, 8.00, 8.25]
)
proxy_spot = 7.285
spot = 7169.79
surface = eqProxyVolatilitySurfaceBuilder(referenceDate, expiries, strikes,
call_prices, put_prices, proxy_spot, spot, discountCurve, dividendCurve , "SVI")
print(surface)