fxVolatilitySurfaceBuilder

fxVolatilitySurfaceBuilder(referenceDate, currencyPair, quoteNames, quoteTerms, quotes, spot, domesticCurve, foreignCurve, [model='SVI'])

构建外汇波动率曲面。

返回值：MKTDATA 类型标量，一个 FxVolatilitySurface 对象。

referenceDate DATE 类型标量，表示曲面的参考日期。

currencyPair STRING 类型标量，表示货币对，形式为 "EURUSD"，"EUR.USD" 或 "EUR/USD"。支持的货币对包括：

• EURUSD：欧元兑美元

• USDCNY：美元兑人民币

• EURCNY：欧元兑人民币

• GBPCNY：英镑兑人民币

• JPYCNY：日元兑人民币

• HKDCNY：港币兑人民币

quoteNames STRING 类型向量，须为 ["ATM", "D25_RR", "D25_BF", "D10_RR", "D10_BF"] 的一组排列，表示报价名称，其中：

• "ATM"：平值波动率

• "D25_RR"：Delta = 0.25 的风险逆转

• "D25_BF"：Delta = 0.25 的蝶式

• "D10_RR"：Delta = 0.1 的风险逆转

• "D10_BF"：Delta = 0.1 的蝶式

quoteTerms DURATION 或 STRING 类型向量，表示市场报价的对应期限。当为 STRING 类型标量时，除可以是能转换成 DURATION 的字符串外，还可以为以下可选值：

• "ON"：Overnight，近端起息日为 T，远端起息日为 T+1

• "TN"：Tomorrow-next，近端起息日为 T+1，远端起息日为 T+2

• "SN"：Spot-next，近端起息日为 T+2，远端起息日为 T+3

quotes DOUBLE 类型矩阵，形状为 (size(quoteTerms), size(quoteNames))。第 i 行第 j 列表示 quoteNames[j] 在 quoteTerms[i] 上的市场报价。

spot DOUBLE 类型标量，表示即期汇率。

domesticCurve MKTDATA 类型标量，一个 IrYieldCurve 对象，表示本币的折现曲线。本币折现曲线所需包含的关键字段见曲线字段要求。

foreignCurve MKTDATA 类型标量，一个 IrYieldCurve 对象，表示外币的折现曲线。外币折现曲线所需包含的关键字段见曲线字段要求。

model 可选参数，STRING 类型标量，指定构建波动率曲面所用模型。支持以下选项：

• “SVI”：默认值，Stochastic Volatility Inspired 模型

• “SABR”：Stochastic Alpha Beta Rho 模型

• “Linear”：线性模型

• “CubicSpline”：三次样条模型

refDate = 2025.08.18
ccyPair = "USDCNY"
quoteTerms = ['1d', '1w', '2w', '3w', '1M', '2M', '3M', '6M', '9M', '1y', '18M', '2y', '3y']
quoteNames = ["ATM", "D25_RR", "D25_BF", "D10_RR", "D10_BF"]
quotes = [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]
quotes = reshape(quotes, size(quoteNames):size(quoteTerms)).transpose()
spot = 7.1627
curveDates = [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]
domesticCurveInfo = {
    "mktDataType": "Curve",
    "curveType": "IrYieldCurve",
    "referenceDate": refDate,
    "currency": "CNY",
    "dayCountConvention": "Actual365",
    "compounding": "Continuous",  
    "interpMethod": "Linear",
    "extrapMethod": "Flat",
    "frequency": "Annual",
    "dates": curveDates,
    "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
}
foreignCurveInfo = {
    "mktDataType": "Curve",
    "curveType": "IrYieldCurve",
    "referenceDate": refDate,
    "currency": "USD",
    "dayCountConvention": "Actual365",
    "compounding": "Continuous",  
    "interpMethod": "Linear",
    "extrapMethod": "Flat",
    "frequency": "Annual",
    "dates": curveDates,
    "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
}
domesticCurve = parseMktData(domesticCurveInfo)
foreignCurve = parseMktData(foreignCurveInfo)
surf = fxVolatilitySurfaceBuilder(refDate, ccyPair, quoteNames, quoteTerms, quotes, spot, domesticCurve, foreignCurve)
surfDict = extractMktData(surf)
print(surfDict)

相关函数：extractMktData, parseMktData