irSingleCurrencyCurveBuilder

irSingleCurrencyCurveBuilder(referenceDate, currency, instNames, instTypes, terms, quotes, dayCountConvention, [discountCurve], [compounding='Continuous'], [frequency='Annual'], [curveName])

构建单货币利率互换收益率曲线。目前仅支持 CNY_FR_007 和 CNY_SHIBOR_3M 两条曲线构建。

返回值：MKTDATA 类型对象。

referenceDate DATE 类型标量，收益率曲线的参考日期。

currency STRING 类型标量，表示曲线定义的货币，目前仅支持 "CNY"。

instNames STRING 类型向量，表示金融工具名称。

instTypes STRING 类型向量，表示金融工具类型。暂时仅支持 "Deposit" 和 "IrVanillaSwap"。

terms DURATION 类型向量，表示合约剩余期限，例如 "1M"。

quotes 数值向量，表示构建曲线所需的市场报价。

dayCountConvention STRING 类型标量，表示计息日数规则，可选值为：

• "Actual360": 实际/360

• "Actual365": 实际/365

• "ActualActualISMA": 实际/实际，遵循 ISMA（International Securities Market Association，国际证券市场协会）规则

• "ActualActualISDA"：实际/实际，遵循 ISDA（International Swaps and Derivatives Association，国际掉期及衍生工具协会）规则。

discountCurve 可选参数，MKTDATA 类型对象（IrYieldCurve），表示贴现曲线。当构建目标曲线的市场工具在自身定价时需要外部贴现曲线，则通过该参数指定。若不传入，则默认不使用外部贴现曲线。曲线所需包含的关键字段见曲线字段要求。

compounding 可选参数，STRING 类型标量，表示利率复利方式。可选值为：

• "Compounded"：离散复利。

• "Simple"：单利。

• "Continuous"：默认值，连续复利。

frequency 可选参数，STRING 类型标量，表示计算贴现因子的频率。可选值为：

• "NoFrequency"：无计息频率

• "Annual"：默认值，每年付息一次

• "Semiannual"：每半年付息一次

• "EveryFourthMonth"：每四个月付息一次

• "Quarterly"：每季度付息一次

• "BiMonthly"：每两月付息一次

• "Monthly"：每月付息一次

• "EveryFourthWeek"：每四周付息一次

• "BiWeekly"：每两周付息一次

• "Weekly"：每周付息一次

• "Daily"：每日付息一次

• "Other"：其他计息频率

curveName 可选参数，STRING 类型标量，表示生成的曲线名称，默认为空。

例1. 构建一条以人民币计价、参考 FR007 浮动利率的利率互换曲线。

referenceDate = 2021.05.26
currency = "CNY"
terms = [7d, 1M, 3M, 6M, 9M, 1y, 2y, 3y, 4y, 5y, 7y, 10y]
instNames = take("CNY_FR_007", size(terms))
instNames[0] = "FR_007"
instTypes = take("IrVanillaSwap", size(terms))
instTypes[0] = "Deposit"
quotes = [2.3500, 2.3396, 2.3125, 2.3613, 2.4075, 2.4513, 2.5750, 2.6763, 2.7650, 2.8463, 2.9841, 3.1350]\100
dayCountConvention = "Actual365"
curve = irSingleCurrencyCurveBuilder(referenceDate, currency, instNames, instTypes, terms, quotes, dayCountConvention, curveName="CNY_FR_007")
curveDict = extractMktData(curve)
print(curveDict)

例2. 根据短期存款和利率互换市场报价，构建人民币利率互换收益率曲线。

referenceDate = 2021.05.26
currency = "CNY"
terms = [1w, 2w, 1M, 3M, 6M, 9M, 1y, 2y, 3y, 4y, 5y, 7y, 10y]
instNames = take("CNY_SHIBOR_3M", size(terms))
instNames[0] = "SHIBOR_1W"
instNames[1] = "SHIBOR_2W"
instNames[2] = "SHIBOR_1M"
instNames[3] = "SHIBOR_3M"
instTypes = take("IrVanillaSwap", size(terms))
instTypes[0] = "Deposit"
instTypes[1] = "Deposit"
instTypes[2] = "Deposit"
instTypes[3] = "Deposit"
quotes = [2.269,
          2.311,
          2.405,
          2.479,
          2.6013,
          2.7038,
          2.7725,
          2.9625,
          3.11,
          3.24,
          3.3513,
          3.5313,
          3.7125]/100
dayCountConvention = "Actual365"
curve = irSingleCurrencyCurveBuilder(referenceDate, currency, instNames, instTypes, terms, quotes, dayCountConvention)
curveDict = extractMktData(curve)
print(curveDict)

例3. 构建一个双曲线利率互换收益率曲线（CNY_SHIBOR_3M）。

referenceDate = 2021.05.26
currency = "CNY"
curveName = "CNY_SHIBOR_3M"
discountCurve = {
    "mktDataType": "Curve",
    "curveType": "IrYieldCurve",
    "curveName": "CNY_FR_007",
    "referenceDate": referenceDate,
    "currency": "CNY",
    "dayCountConvention": "Actual365",
    "compounding": "Continuous",
    "interpMethod": "Linear",
    "extrapMethod": "Flat",
    "dates":[2021.06.02,2021.06.28,2021.08.27,2021.11.29,2022.02.28,2022.05.27,2023.05.29,2024.05.27,2025.05.27,2026.05.27,2028.05.29,2031.05.27],
    "values": [2.3495, 2.3376, 2.3063, 2.3543, 2.4004, 2.4442, 2.5686, 2.6715, 2.7625, 2.8468, 2.9922, 3.1559] / 100.0
}
discountCurve = parseMktData(discountCurve)
terms = [1w, 2w, 1M, 3M, 6M, 9M, 1y, 2y, 3y, 4y, 5y, 7y, 10y]
instNames = take("CNY_SHIBOR_3M", size(terms))
instNames[0] = "SHIBOR_1W"
instNames[1] = "SHIBOR_2W"
instNames[2] = "SHIBOR_1M"
instNames[3] = "SHIBOR_3M"
instTypes = take("IrVanillaSwap", size(terms))
instTypes[0] = "Deposit"
instTypes[1] = "Deposit"
instTypes[2] = "Deposit"
instTypes[3] = "Deposit"
quotes = [2.269,
          2.311,
          2.405,
          2.479,
          2.6013,
          2.7038,
          2.7725,
          2.9625,
          3.11,
          3.24,
          3.3513,
          3.5313,
          3.7125]/100
dayCountConvention = "Actual365"

curve = irSingleCurrencyCurveBuilder(referenceDate, currency, instNames, instTypes, terms, quotes, dayCountConvention, discountCurve)
curveDict = extractMktData(curve)
print(curveDict)

相关函数：bondYieldCurveBuilder, extractMktData, irCrossCurrencyCurveBuilder，parseMktData