portfolioPricer
语法
portfolioPricer(instrument, amount, pricingDate,
marketData)
参数
instrument INSTRUMENT 类型对象，表示需要定价的金融工具。可以是单个合约，也可以是多个合约。
amount INT 类型标量或向量，与 instrument 等长，表示对应的合约数量。
pricingDate DATE 类型标量，表示定价日，即计算合约价值所对应的日期。
marketData MKTDATA 类型向量，或者嵌套字典，表示市场数据。
-
MKTDATA 类型向量：
-
若为曲线类市场数据，需指定 curveName 字段。
-
若为曲面类市场数据，需指定 surfaceName 字段。
-
-
嵌套字典的结构如下：
-
第一层：key 为数据类别，可选值："Spot", "Curve", "Surface"。
-
第二层：key 为定价日期（DATE 类型标量）。
-
第三层：key 为曲线或曲面名称，value 为对应的 MKTDATA 类型标量。
-
详情
对一个或多个金融合约（可为相同类型或不同类型）进行组合定价。
返回值：DOUBLE 类型标量。
instrument 和 marketData 的匹配规则
目前支持下图分类树中叶节点所示的金融工具类型：
在定价过程中，系统会按照以下优先级确定市场数据：
-
若 instrument 中已显式指定市场数据，则直接使用该数据；
-
若未指定，则系统根据预定义规则自动匹配合适的市场数据。
以下将对不同类型金融工具的匹配规则进行说明。
债券（Bond）
债券定价需要用到折现曲线。用户可以通过 discountCurve 字段指定折现曲线名称，例如：
bond = {
"productType": "Cash",
"assetType": "Bond",
"bondType": "FixedRateBond",
"version": 0,
"instrumentId": "1382011.IB",
"start": "2013.01.14",
"maturity": "2028.01.14",
"issuePrice": 100.0,
"coupon": 0.058,
"frequency": "Annual",
"dayCountConvention": "ActualActualISDA",
"currency": "CNY", //可选字段
"subType": "MTN", //可选字段
"creditRating": "AAA", //可选字段
"discountCurve": "CNY_MTN_AAA" //可选字段
}折现曲线选择规则如下：
-
如果 discountCurve 已指定，定价函数会直接在 marketData 中查找对应曲线。
-
如果 discountCurve 未指定，指定了 currency，subType 和 creditRating。系统会自动生成名如 currency + "_" + subType + "_" + creditRating 的折现曲线，其中 currency 默认为 "CNY"。
-
如果以上这些可选字段均未指定，折现曲线默认为 "CNY_TREASURY_BOND"。
国债期货（BondFutures）
由于国债期货的可交割券为国债，在定义 instrument 时，折现曲线的选择规则如下：
-
如果 discountCurve 字段已指定，则使用用户指定的曲线进行定价。
-
如果未指定，则使用默认折现曲线 "CNY_TREASURY_BOND" 进行定价。
存款（Deposit）
存款定价仅需指定折现曲线 discountCurve：
-
如果 discountCurve 已指定，则使用用户指定的曲线进行定价。
-
如果未指定，则根据币种自动匹配折现曲线，规则如下：
| currency | discountCurve |
|---|---|
| CNY | CNY_FR_007 |
| USD | USD_SOFR |
| EUR | EUR_EONIA |
利率互换（IrFixedFloatingSwap）
利率互换定价需要传入三条曲线：discountCurve、forwardCurve 和 assetPriceCurve。当前版本仅支持以 FR_007 和 SHIBOR_3M 作为浮动参考利率的利率互换。
-
如果用户在 instrument 中指定了相应曲线，则使用用户指定的曲线进行定价。
-
如果未指定，则根据币种和浮动利率基准自动匹配三条默认曲线，如下表所示：
| currency | iborIndex | discountCurve | forwardCurve | assetPriceCurve |
|---|---|---|---|---|
| CNY | FR_007 | CNY_FR_007 | CNY_FR_007 | PRICE_FR_007 |
| CNY | SHIBOR_3M | CNY_FR_007 | CNY_SHIBOR_3M | PRICE_SHIBOR_3M |
其中 assetPriceCurve 填入的是浮动参考利率的历史数据，用于计算定价日起第一笔现金流的浮动利率。
外汇远期（FxForward）/ 外汇掉期（FxSwap）
这两类线性产品定价需要绑定 domesticCurve 和 foreignCurve，并基于 currencyPair 获取相应的 FxSpot。
-
若用户在 instrument 中指定了 domesticCurve 和 foreignCurve，则直接使用用户指定的曲线。
-
若未指定，则系统会根据货币对自动匹配默认曲线，如下表所示：
| currencyPair | domesticCurve | foreignCurve |
|---|---|---|
| USDCNY | CNY_FR_007 | USD_USDCNY_FX |
| EURCNY | CNY_FR_007 | EUR_EURCNY_FX |
| EURUSD | USD_SOFR | EUR_EURUSD_FX |
其中 foreignCurve 是根据外汇掉期交易，并结合利率平价公式推导得到的外币隐含即期曲线。
外汇欧式期权（FxEuropeanOption）
外汇期权定价除需使用 domesticCurve 与 foreignCurve 外，还依赖 FxSpot 和 FxVolatilitySurface。
这两个市场数据均可根据期权的 underlying（货币对） 自动匹配。
-
若用户在 instrument 中明确指定，则优先使用用户提供的 domesticCurve、foreignCurve。
-
若未指定，则系统会根据
currencyPair自动匹配，规则如下：
| currencyPair | fxSpot | domesticCurve | foreignCurve | volSurf |
|---|---|---|---|---|
| USDCNY | USDCNY | CNY_FR_007 | USD_USDCNY_FX | USDCNY |
| EURCNY | EURCNY | CNY_FR_007 | EUR_EURCNY_FX | EURCNY |
| EURUSD | EURUSD | USD_SOFR | EUR_EURUSD_FX | EURUSD |
例子
// instrument
//外汇远期
fxFwd1 = {
"productType": "Forward",
"forwardType": "FxForward",
"version": 0,
"expiry": 2025.10.08,
"delivery": 2025.10.10,
"currencyPair": "USDCNY",
"direction": "Buy",
"notional": ["USD", 1E6],
"strike": 7.2
}
fxFwdUsdCny = parseInstrument(fxFwd1)
fxFwd2 = {
"productType": "Forward",
"forwardType": "FxForward",
"version": 0,
"expiry": 2025.10.08,
"delivery": 2025.10.10,
"currencyPair": "EURCNY",
"direction": "Buy",
"notional": ["EUR", 1E6],
"strike": 8.2
}
fxFwdEurCny = parseInstrument(fxFwd2)
//外汇掉期
fxSwap1 = {
"productType": "Swap",
"swapType": "FxSwap",
"version": 0,
"currencyPair": "USDCNY",
"direction": "Buy",
"notional": ["USD", 1E6],
"nearStrike": 7.2,
"nearExpiry": 2025.12.08,
"nearDelivery": 2025.12.10,
"farStrike": 7.3,
"farExpiry": 2026.06.08,
"farDelivery": 2026.06.10
}
fxSwapUsdCny = parseInstrument(fxSwap1)
fxSwap2 = {
"productType": "Swap",
"swapType": "FxSwap",
"version": 0,
"currencyPair": "EURCNY",
"direction": "Buy",
"notional": ["EUR", 1E6],
"nearStrike": 8.2,
"nearExpiry": 2025.12.08,
"nearDelivery": 2025.12.10,
"farStrike": 8.3,
"farExpiry": 2026.06.08,
"farDelivery": 2026.06.10
}
fxSwapEurCny = parseInstrument(fxSwap2)
//外汇欧式期权
fxOption1 = {
"productType": "Option",
"optionType": "EuropeanOption",
"assetType": "FxEuropeanOption",
"version": 0,
"notional": ["USD", 1E6],
"strike": 7.0,
"maturity": 2025.12.08,
"payoffType": "Call",
"dayCountConvention": "Actual365",
"underlying": "USDCNY"
}
fxOptionUsdCny = parseInstrument(fxOption1)
fxOption2 = {
"productType": "Option",
"optionType": "EuropeanOption",
"assetType": "FxEuropeanOption",
"version": 0,
"notional": ["EUR", 1E6],
"strike": 8.0,
"maturity": 2025.12.08,
"payoffType": "Call",
"dayCountConvention": "Actual365",
"underlying": "EURCNY"
}
fxOptionEurCny= parseInstrument(fxOption2)
//债券
bond1 = {
"productType": "Cash",
"assetType": "Bond",
"bondType": "FixedRateBond",
"version": 0,
"instrumentId": "220010.IB",
"start": 2020.12.25,
"maturity": 2031.12.25,
"issuePrice": 100.0,
"coupon": 0.0149,
"frequency": "Annual",
"dayCountConvention": "ActualActualISDA",
"discountCurve": "CNY_TREASURY_BOND"
}
bond = parseInstrument(bond1)
//国债期货
bondFut1 = {
"productType": "Futures",
"futuresType": "BondFutures",
"version": 0,
"instrumentId": "T2509",
"nominal": 100.0,
"maturity": "2025.09.12",
"settlement": "2025.09.16",
"underlying": bond1,
"nominalCouponRate": 0.03
}
bondFut = parseInstrument(bondFut1)
//存款
deposit1 = {
"productType": "Cash",
"assetType": "Deposit",
"version": 0,
"start": 2025.06.15,
"maturity": 2025.12.15,
"rate": 0.02,
"dayCountConvention": "Actual360",
"notional":["CNY", 1E6],
"payReceive": "Receive"
}
deposit = parseInstrument(deposit1)
//利率互换
irs1 = {
"productType": "Swap",
"swapType": "IrSwap",
"irSwapType": "IrFixedFloatingSwap",
"version": 0,
"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,
"notional":["CNY", 1E8]
}
irs = parseInstrument(irs1)
//mktData
aod = 2025.08.18
fxSpot1 = {
"mktDataType": "Spot",
"spotType": "FxSpot",
"version": 0,
"spotDate": aod+2 ,
"referenceDate": aod ,
"value": 7.1627,
"unit": "USDCNY"
}
fxSpotUsdCny = parseMktData(fxSpot1)
fxSpot2 = {
"mktDataType": "Spot",
"spotType": "FxSpot",
"version": 0,
"spotDate": aod+2 ,
"referenceDate": aod ,
"value": 8.3768,
"unit": "EURCNY"
}
fxSpotEurCny = parseMktData(fxSpot2)
curve1 = {
"mktDataType": "Curve",
"curveType": "IrYieldCurve",
"curveName": "CNY_FR_007",
"referenceDate": aod,
"currency": "CNY",
"dayCountConvention": "ActualActualISDA",
"compounding": "Continuous",
"interpMethod": "Linear",
"extrapMethod": "Flat",
"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] / 100.0
}
curveCnyFr007 = parseMktData(curve1)
curve2 = {
"mktDataType": "Curve",
"curveType": "IrYieldCurve",
"curveName": "USD_USDCNY_FX",
"referenceDate": aod ,
"currency": "USD",
"dayCountConvention": "ActualActualISDA",
"compounding": "Continuous",
"interpMethod": "Linear",
"extrapMethod": "Flat",
"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":[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] / 100.0
}
curveUsdUsdCnyFx = parseMktData(curve2)
curve3 = {
"mktDataType": "Curve",
"curveType": "IrYieldCurve",
"curveName": "EUR_EURCNY_FX",
"referenceDate": aod,
"currency": "EUR",
"dayCountConvention": "ActualActualISDA",
"compounding": "Continuous",
"interpMethod": "Linear",
"extrapMethod": "Flat",
"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":[1.9165, 1.9672, 1.8576, 1.8709, 1.8867, 1.8749,1.8700,
1.8576, 1.9253, 1.9738, 1.9908, 1.9850, 2.0362] / 100.0
}
curveEurEurCnyFx = parseMktData(curve3)
surf1 = {
"surfaceName": "USDCNY",
"mktDataType": "Surface",
"surfaceType": "FxVolatilitySurface",
"version": 0,
"referenceDate": "2025.08.18",
"smileMethod": "Linear",
"termDates": [
"2025.08.21",
"2026.08.20"
],
"volSmiles":[{"strikes": [6.5,7,7.5],"vols": [0.1,0.1,0.1]},{"strikes": [6.5,7,7.5],"vols": [0.1,0.1,0.1]}],
"currencyPair": "USDCNY"
}
surfUsdCny = parseMktData(surf1)
surf2 = {
"surfaceName": "EURCNY",
"mktDataType": "Surface",
"surfaceType": "FxVolatilitySurface",
"version": 0,
"referenceDate": "2025.08.18",
"smileMethod": "Linear",
"termDates": [
"2025.08.21",
"2026.08.20"
],
"volSmiles":[{"strikes": [7.5,8.0,8.5],"vols": [0.1,0.1,0.1]},{"strikes": [7.5,8.0,8.5],"vols": [0.1,0.1,0.1]}],
"currencyPair": "EURCNY"
}
surfEurCny = parseMktData(surf2)
bondCurve = {
"mktDataType": "Curve",
"curveType": "IrYieldCurve",
"referenceDate": aod,
"currency": "CNY",
"curveName": "CNY_TREASURY_BOND",
"dayCountConvention": "ActualActualISDA",
"compounding": "Compounded",
"interpMethod": "Linear",
"extrapMethod": "Flat",
"frequency": "Annual",
// 0.083 0.25 0.5 1.0 2.0 3.0 5.0 7.0 10.0 15.0 20.0 30.0 40.0 50.0
"dates":[2025.09.18, 2025.11.18, 2026.02.18, 2026.08.18, 2027.08.18, 2028.08.18, 2030.08.18,
2032.08.18, 2035.08.18, 2040.08.18, 2045.08.18, 2055.08.18,2065.08.18, 2075.08.18],
"values":[1.3000, 1.3700, 1.3898, 1.3865, 1.4299, 1.4471, 1.6401,
1.7654, 1.7966, 1.9930, 2.1834, 2.1397, 2.1987, 2.2225] / 100.0
}
curveCnyTreasuryBond = parseMktData(bondCurve)
fr007HistCurve = {
"mktDataType": "Curve",
"curveType": "AssetPriceCurve",
"curveName": "PRICE_FR_007",
"version": 0,
"referenceDate": aod,
"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
}
priceCurveFr007 = parseMktData(fr007HistCurve)
instrument = [fxFwdUsdCny, fxFwdEurCny, fxSwapUsdCny, fxSwapEurCny,
fxOptionUsdCny, fxOptionEurCny, bond, bondFut, deposit, irs]
mktData= [fxSpotUsdCny, fxSpotEurCny, curveCnyFr007,
curveUsdUsdCnyFx, curveEurEurCnyFx, surfUsdCny,
surfEurCny, curveCnyTreasuryBond, priceCurveFr007]
pricingDate = aod
amount = [1, 2, 3, 4, 5, 6, -7, -8, 9, 10]
// case1: mktData is a vector
results1 = portfolioPricer(instrument, amount, pricingDate, mktData)
print(results1)
// case2: mktData is a dict
spots = dict(string, MKTDATA)
spots["USDCNY"] = fxSpotUsdCny
spots["EURCNY"] = fxSpotEurCny
curves = dict(string, MKTDATA)
curves["CNY_FR_007"] = curveCnyFr007
curves["USD_USDCNY_FX"] = curveUsdUsdCnyFx
curves["EUR_EURCNY_FX"] = curveEurEurCnyFx
curves["CNY_TREASURY_BOND"] = curveCnyTreasuryBond
curves["PRICE_FR_007"] = priceCurveFr007
surfs = dict(string, MKTDATA)
surfs["USDCNY"] = surfUsdCny
surfs["EURCNY"] = surfEurCny
dSpots = dict(DATE, ANY)
dSpots[aod] = spots
dCurves = dict(DATE, ANY)
dCurves[aod] = curves
dSurfs = dict(DATE, ANY)
dSurfs[aod] = surfs
mktData2 = dict(STRING, ANY)
mktData2 = {"Spot": dSpots,
"Curve": dCurves,
"Surface": dSurfs}
results2 = portfolioPricer(instrument, amount, pricingDate, mktData2)
print(results2)相关函数：instrumentPricer