irFixedFloatingSwapPricer
语法
irFixedFloatingSwapPricer(instrument, pricingDate,
discountCurve, forwardCurve, assetPriceCurve, [setting])
详情
计算固定利率互换（IR Fixied-Floating Swap, IRS）的定价。
参数
注意：所有输入向量必须等长，输入标量将自动扩展以匹配其它向量的长度。
instrument INSTRUMENT 类型标量或向量，一个 IrFixedFloatingSwap 对象，表示需要定价的固定利率互换。
pricingDate DATE 类型标量或向量，表示定价日期。
discountCurve MKTDATA 类型标量或向量，一个 IrYieldCurve 对象，表示用于计算折现因子的即期曲线。
forwardCurve MKTDATA 类型标量或向量，一个 IrYieldCurve 对象，表示用于计算远期利率的即期曲线。
assetPriceCurve MKTDATA 类型标量或向量，一个 AssetPriceCurve 对象，用于传入利率互换浮动端参考利率的历史数据。
setting 可选参数，一个键为 STRING 类型，值为 ANY 类型的字典，用于指定计算设置，支持的键值对包括：
| key | value | 说明 |
|---|---|---|
| calcCashFlow | BOOL | 是否计算现金流 |
返回值
-
当 setting 设置 calcCashFlow 时返回一个字典或元组。
-
否则，返回一个 DOUBLE 标量或向量。
例子
例1. 以 FR_007 为参考利率的利率互换定价。
irs = {
"productType": "Swap",
"swapType": "IrSwap",
"irSwapType": "IrFixedFloatingSwap",
"start": 2025.06.16,
"maturity": 2028.06.16,
"frequency": "Quarterly",
"fixedRate": 0.018,
"calendar": "CFET",
"fixedDayCountConvention": "Actual365",
"floatingDayCountConvention": "Actual365",
"payReceive": "Pay",
"iborIndex": "FR_007",
"spread": 0.0001,
"notionalCurrency": "CNY",
"notionalAmount": 1E8
}
pricingDate = 2025.08.18
curve = {
"mktDataType": "Curve",
"curveType": "IrYieldCurve",
"referenceDate": pricingDate,
"currency": "CNY",
"curveName": "CNY_FR_007",
"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":[1.4759, 1.5331, 1.5697, 1.5239, 1.4996, 1.5144, 1.5209,
1.5539, 1.5461, 1.5316, 1.5376, 1.5435,1.5699] / 100
}
// 为了计算定价日后面的第一笔现金流用到的浮动利率，需要传入参考利率的历史数据
// 因为 FR_007 利率互换的付息频率为季度，建议传入的 FR_007 的历史定盘数据不少于 70 个交易日
fr007HistCurve = {
"mktDataType": "Curve",
"curveType": "AssetPriceCurve",
"referenceDate": pricingDate,
"currency": "CNY",
"dates":[2025.05.09, 2025.05.12, 2025.05.13, 2025.05.14, 2025.05.15, 2025.05.16, 2025.05.19, 2025.05.20, 2025.05.21, 2025.05.22,
2025.05.23, 2025.05.26, 2025.05.27, 2025.05.28, 2025.05.29, 2025.05.30, 2025.06.03, 2025.06.04, 2025.06.05, 2025.06.06,
2025.06.09, 2025.06.10, 2025.06.11, 2025.06.12, 2025.06.13, 2025.06.16, 2025.06.17, 2025.06.18, 2025.06.19, 2025.06.20,
2025.06.23, 2025.06.24, 2025.06.25, 2025.06.26, 2025.06.27, 2025.06.30, 2025.07.01, 2025.07.02, 2025.07.03, 2025.07.04,
2025.07.07, 2025.07.08, 2025.07.09, 2025.07.10, 2025.07.11, 2025.07.14, 2025.07.15, 2025.07.16, 2025.07.17, 2025.07.18,
2025.07.21, 2025.07.22, 2025.07.23, 2025.07.24, 2025.07.25, 2025.07.28, 2025.07.29, 2025.07.30, 2025.07.31, 2025.08.01,
2025.08.04, 2025.08.05, 2025.08.06, 2025.08.07, 2025.08.08, 2025.08.11, 2025.08.12, 2025.08.13, 2025.08.14, 2025.08.15
],
"values":[1.6000, 1.5600, 1.5300, 1.5500, 1.5500, 1.6300, 1.6500, 1.6000, 1.5900, 1.5800,
1.6300, 1.7000, 1.7000, 1.7000, 1.7500, 1.7500, 1.5900, 1.5800, 1.5700, 1.5600,
1.5500, 1.5500, 1.5600, 1.5900, 1.5900, 1.5700, 1.5500, 1.5600, 1.5679, 1.6000,
1.5700, 1.8500, 1.8300, 1.8400, 1.8500, 1.9500, 1.6036, 1.5800, 1.5200, 1.5000,
1.5000, 1.5100, 1.5100, 1.5300, 1.5200, 1.5500, 1.6000, 1.5400, 1.5400, 1.5000,
1.5000, 1.4800, 1.5000, 1.6000, 1.7500, 1.6400, 1.6200, 1.6300, 1.6000, 1.5000,
1.4800, 1.4700, 1.4800, 1.4900, 1.4600, 1.4600, 1.4600, 1.4800, 1.4800, 1.4900
]\100
}
instrument = parseInstrument(irs)
curve = parseMktData(curve)
discountCurve = curve
forwardCurve = curve
assetPriceCurve = parseMktData(fr007HistCurve)
// 仅计算 npv
npv = irFixedFloatingSwapPricer(instrument, pricingDate, discountCurve, forwardCurve, assetPriceCurve)
print(npv)
// 计算包括 npv、现金流
setting = {
"calcCashFlow": true
}
irFixedFloatingSwapPricer(instrument, pricingDate, discountCurve, forwardCurve, assetPriceCurve, setting)
// 同时计算多个利率互换的定价
irFixedFloatingSwapPricer([instrument, instrument], pricingDate, discountCurve, forwardCurve, assetPriceCurve, setting)
irFixedFloatingSwapPricer(instrument, [pricingDate, pricingDate], discountCurve, forwardCurve, assetPriceCurve, setting)
irFixedFloatingSwapPricer(instrument, pricingDate, [discountCurve, discountCurve], forwardCurve, assetPriceCurve, setting)
irFixedFloatingSwapPricer(instrument, pricingDate, discountCurve, [forwardCurve, forwardCurve], assetPriceCurve, setting)
irFixedFloatingSwapPricer(instrument, pricingDate, discountCurve, forwardCurve, [assetPriceCurve, assetPriceCurve], setting)例2. 以 SHIBOR_3M 为参考利率的利率互换定价。
irs = {
"productType": "Swap",
"swapType": "IrSwap",
"irSwapType": "IrFixedFloatingSwap",
"start": 2025.06.16,
"maturity": 2028.06.16,
"frequency": "Quarterly",
"fixedRate": 0.018,
"calendar": "CFET",
"fixedDayCountConvention": "Actual365",
"floatingDayCountConvention": "Actual360",
"payReceive": "Receive",
"iborIndex": "SHIBOR_3M",
"spread": 0.0001,
"notionalCurrency": "CNY",
"notionalAmount": 1E8
}
pricingDate = 2025.08.18
curve1 = {
"mktDataType": "Curve",
"curveType": "IrYieldCurve",
"referenceDate": pricingDate,
"currency": "CNY",
"curveName": "CNY_FR_007",
"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":[1.4759, 1.5331, 1.5697, 1.5239, 1.4996, 1.5144, 1.5209,
1.5539, 1.5461, 1.5316, 1.5376, 1.5435,1.5699] / 100
}
curve2 = {
"mktDataType": "Curve",
"curveType": "IrYieldCurve",
"referenceDate": pricingDate,
"currency": "CNY",
"curveName": "CNY_SHIBOR_3M",
"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
}
// 为了计算定价日后面的第一笔现金流用到的浮动利率，需要传入参考利率的历史数据
// 因为 SHIBOR_3M 利率互换的付息频率为季度，建议传入的 SHIBOR_3M 的历史定盘数据不少于 70 个交易日
shibor3mHistCurve = {
"mktDataType": "Curve",
"curveType": "AssetPriceCurve",
"referenceDate": pricingDate,
"currency": "CNY",
"dates":[2025.05.09, 2025.05.12, 2025.05.13, 2025.05.14, 2025.05.15, 2025.05.16, 2025.05.19, 2025.05.20, 2025.05.21, 2025.05.22,
2025.05.23, 2025.05.26, 2025.05.27, 2025.05.28, 2025.05.29, 2025.05.30, 2025.06.03, 2025.06.04, 2025.06.05, 2025.06.06,
2025.06.09, 2025.06.10, 2025.06.11, 2025.06.12, 2025.06.13, 2025.06.16, 2025.06.17, 2025.06.18, 2025.06.19, 2025.06.20,
2025.06.23, 2025.06.24, 2025.06.25, 2025.06.26, 2025.06.27, 2025.06.30, 2025.07.01, 2025.07.02, 2025.07.03, 2025.07.04,
2025.07.07, 2025.07.08, 2025.07.09, 2025.07.10, 2025.07.11, 2025.07.14, 2025.07.15, 2025.07.16, 2025.07.17, 2025.07.18,
2025.07.21, 2025.07.22, 2025.07.23, 2025.07.24, 2025.07.25, 2025.07.28, 2025.07.29, 2025.07.30, 2025.07.31, 2025.08.01,
2025.08.04, 2025.08.05, 2025.08.06, 2025.08.07, 2025.08.08, 2025.08.11, 2025.08.12, 2025.08.13, 2025.08.14, 2025.08.15
],
"values":[1.6960, 1.6720, 1.6620, 1.6530, 1.6450, 1.6470, 1.6450, 1.6420, 1.6400, 1.6400,
1.6420, 1.6430, 1.6440, 1.6470, 1.6520, 1.6520, 1.6520, 1.6520, 1.6520, 1.6510,
1.6490, 1.6450, 1.6420, 1.6390, 1.6380, 1.6360, 1.6340, 1.6300, 1.6300, 1.6290,
1.6290, 1.6290, 1.6300, 1.6300, 1.6300, 1.6300, 1.6280, 1.6195, 1.6060, 1.5970,
1.5790, 1.5700, 1.5620, 1.5590, 1.5570, 1.5610, 1.5590, 1.5590, 1.5570, 1.5550,
1.5530, 1.5490, 1.5510, 1.5530, 1.5590, 1.5600, 1.5600, 1.5640, 1.5660, 1.5630,
1.5590, 1.5580, 1.5590, 1.5600, 1.5544, 1.5490, 1.5480, 1.5480, 1.5490, 1.5470
]\100
}
instrument = parseInstrument(irs)
discountCurve = parseMktData(curve1) //CNY_FR_007
forwardCurve = parseMktData(curve2) //CNY_SHIBOR_3M
assetPriceCurve = parseMktData(shibor3mHistCurve)
// 仅计算 npv
npv = irFixedFloatingSwapPricer(instrument, pricingDate, discountCurve, forwardCurve, assetPriceCurve)
print(npv)
// 计算包括 npv、现金流
setting = {
"calcCashFlow": true
}
results = irFixedFloatingSwapPricer(instrument, pricingDate, discountCurve, forwardCurve, assetPriceCurve, setting)
print(results)