eqVolatilitySurfaceBuilder
语法
eqVolatilitySurfaceBuilder(referenceDate, optionExpiries, strikes, optionPrices,
payoffTypes, spot, discountCurve, dividendCurve, [model='SVI'], [surfaceName])
详情
构建权益类期权波动率曲面。
参数
referenceDate DATE 类型标量，表示曲面的参考日期。
optionExpiries DATE 类型向量，表示期权合约的到期日。
strikes DOUBLE 类型矩阵，列数与 optionExpries 一致，表示期权合约的执行价。
optionPrices DOUBLE 类型矩阵，列数与 optionExpries 一致，表示期权合约的价格。
payoffTypes STRING 类型矩阵，列数与 optionExpries 一致，表示期权类型。可选 “Call” 和 “Put”。
注意： strikes ， optionPrices ， payoffTypes 形状要求一致。
spot DOUBLE 类型标量，表示即期价格。
discountCurve IrYieldCurve 对象，表示折现曲线。
dividendCurve DividendCurve 对象，表示标的分红曲线。
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”。
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
下面展示标的为科创 50ETF(588080.SH) 期权的波动率曲面构建过程。
referenceDate = 2026.02.11
spot = 1.5007
// 1. Term Structure
termDates = [2026.02.25, 2026.03.25, 2026.06.24, 2026.09.23]
// 2. Raw Data Matrices (Aligned)
callPrices = matrix(
[0.2402, 0.1908, 0.1415, 0.0927, 0.0496, 0.0199, 0.0075, 0.0032, 0.0014, 0.0010, 0.0007, 0.0002],
[0.2398, 0.1956, 0.1516, 0.1095, 0.0780, 0.0530, 0.0347, 0.0232, 0.0152, 0.0101, 0.0069, 0.0043],
[0.2537, 0.2137, 0.1803, 0.1494, 0.1252, 0.1051, 0.0871, 0.0717, 0.0597, 0.0500, 0.0421, 0.0361],
[0.2730, 0.2442, 0.2086, 0.1816, 0.1676, 0.1439, 0.1301, 0.1099, 0.0961, 0.0848, 0.0748, 0.0663]
)
putPrices = matrix(
[0.0003, 0.0003, 0.0004, 0.0018, 0.0085, 0.0297, 0.0671, 0.1130, 0.1601, 0.2084, 0.2609, 0.3124],
[0.0033, 0.0062, 0.0114, 0.0215, 0.0383, 0.0621, 0.0947, 0.1331, 0.1767, 0.2114, 0.2565, 0.3032],
[0.0234, 0.0349, 0.0505, 0.0713, 0.0936, 0.1237, 0.1562, 0.1919, 0.2218, 0.2610, 0.3010, 0.3437],
[0.0445, 0.0640, 0.0808, 0.1062, 0.1312, 0.1615, 0.1882, 0.2187, 0.2567, 0.2937, 0.3323, 0.3777]
)
strikes = matrix(
[1.2500, 1.3000, 1.3500, 1.4000, 1.4500, 1.5000, 1.5500, 1.6000, 1.6500, 1.7000, 1.7500, 1.8000],
[1.2500, 1.3000, 1.3500, 1.4000, 1.4500, 1.5000, 1.5500, 1.6000, 1.6500, 1.7000, 1.7500, 1.8000],
[1.2500, 1.3000, 1.3500, 1.4000, 1.4500, 1.5000, 1.5500, 1.6000, 1.6500, 1.7000, 1.7500, 1.8000],
[1.2500, 1.3000, 1.3500, 1.4000, 1.4500, 1.5000, 1.5500, 1.6000, 1.6500, 1.7000, 1.7500, 1.8000]
)
// 3. Discount Curve
discountCurveDict = {
"mktDataType": "Curve",
"curveType": "IrYieldCurve",
"curveName": "CNY_RF",
"referenceDate": referenceDate,
"currency": "CNY",
"dayCountConvention": "Actual365",
"compounding": "Continuous",
"interpMethod": "Linear",
"extrapMethod": "Flat",
"dates": [referenceDate + 1, referenceDate + 3650],
"values":[0.02, 0.02]
}
discountCurve = parseMktData(discountCurveDict)
// 4. Implied Dividend Curve
// Using Call-Put Parity on the full matrices
dividendCurve = eqDividendCurveBuilder(
referenceDate, termDates, "CallPutParity", ,
callPrices, putPrices, strikes, spot, discountCurve, "Actual365"
)
// 5. Volatility Surface Construction Data
// Selecting OTM options: Puts for Low Strikes, Calls for High Strikes
optionExpiries = termDates
optionPrices = matrix(
[0.0003, 0.0003, 0.0004, 0.0018, 0.0085, 0.0297, 0.0075, 0.0032, 0.0014, 0.0010, 0.0007, 0.0002],
[0.0033, 0.0062, 0.0114, 0.0215, 0.0383, 0.0621, 0.0347, 0.0232, 0.0152, 0.0101, 0.0069, 0.0043],
[0.0234, 0.0349, 0.0505, 0.0713, 0.0936, 0.1237, 0.0871, 0.0717, 0.0597, 0.0500, 0.0421, 0.0361],
[0.0445, 0.0640, 0.0808, 0.1062, 0.1312, 0.1615, 0.1301, 0.1099, 0.0961, 0.0848, 0.0748, 0.0663]
)
payoffTypes = matrix(
["Put", "Put", "Put", "Put", "Put", "Put", "Call", "Call", "Call", "Call", "Call", "Call"],
["Put", "Put", "Put", "Put", "Put", "Put", "Call", "Call", "Call", "Call", "Call", "Call"],
["Put", "Put", "Put", "Put", "Put", "Put", "Call", "Call", "Call", "Call", "Call", "Call"],
["Put", "Put", "Put", "Put", "Put", "Put", "Call", "Call", "Call", "Call", "Call", "Call"]
)
// 6. Build Surface.
surf = eqVolatilitySurfaceBuilder(
referenceDate,
optionExpiries,
strikes, // Matrix
optionPrices, // Matrix (OTM)
payoffTypes, // Matrix ("Call"/"Put")
spot,
discountCurve,
dividendCurve,
"SABR", // Model
"588080.SH" // Name
)
print(surf)
// 波动率曲面可视化
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)
plot(
m,
title=["Vol Surface", "K", "T", "vol"],
chartType=SURFACE)