parseMktData

Syntax

parseMktData(dict)

Arguments

dict A dictionary or a STRING scalar representing a JSON-encoded dictionary that defines the market data to be parsed.

Details

Parses the given dictionary or JSON string into MKTDATA type.

Return value: A MKTDATA object.

Supported Market Data and Fields

The MKTDATA type is newly introduced in DolphinDB version 3.00.4, which provides database support for the market data used for pricing.

Currently supported types:

  • Spot prices: FxSpot (foreign exchange spot rate)

  • Term structure curves: IrYieldCurve (interest rate yield curve), AssetPriceCurve (asset price curve)

  • Volatility surfaces: FxVolatilitySurface (foreign exchange volatility surface)

FxSpot

Field Name Data Type Description Required
mktDataType STRING Must be "Spot" √
referenceDate DATE Reference Date √
version INT Version, default 0 ×
spotDate DATE Spot settlement date. Use internal static data by default. ×
spotType STRING Spot price type. Must be "FxSpot" √
value DOUBLE Spot price √
unit STRING

Unit for spot prices. Available options: "EURUSD", "USDCNY", "EURCNY", "GBPCNY", "JPYCNY", "HKDCNY".

Currency pairs may also use . or / as separators. For example, "EURUSD" can also be written as "EUR.USD" or "EUR/USD".

 √

Define a MKTDATA object of FxSpot type.

fxSpot = {
    "mktDataType": "Spot",
    "referenceDate": 2025.08.18,
    "version": 0, 
    "spotDate": 2025.08.20,
    "spotType": "FxSpot",
    "value": 7.2659,
    "unit": "USDCNY"
}

mktData = parseMktData(fxSpot)
print(mktData)

IrYieldCurve

Field Name Data Type Description Required
mktDataType STRING Must be "Curve" √
referenceDate DATE Reference Date √
version INT Version, default 0 ×
curveType STRING Must be "IrYieldCurve" √
dayCountConvention STRING

The day count convention to use. It can be:

  • "Actual360": actual/360

  • "Actual365": actual/365

  • "ActualActualISMA": actual/actual according to ISMA (International Securities Market Association) convention

  • "ActualActualISDA": actual/actual according to ISDA (International Swaps and Derivatives Association) convention.

 √
interpMethod STRING

Interpolation method. It can be:

  • "Linear": linear interpolation

  • "CubicSpline": cubic spline interpolation

  • "CubicHermiteSpline": cubic Hermite interpolation

 √
extrapMethod STRING

Extrapolation method. It can be

  • Flat: flat extrapolation

  • Linear: linear extrapolation

 √
dates DATE vector Date of each data point √
values DOUBLE vector Value of each data point, corresponding to the elements in dates. √
curveName STRING Curve name ×
currency STRING Currency. It can be CNY", "USD", "EUR", "GBP", "JPY", "HKD" √
compounding STRING

The compounding interest. It can be:

  • "Compounded": discrete compounding

  • "Simple": simple interest (no compounding).

  • "Continuous": continuous compounding.

 √
settlement DATE Settlement date. If specified, all subsequent tenor intervals are computed starting from "settlement" rather than from "referenceDate". ×
frequency INTEGRAL/STRING

The interest payment frequency. Supported values:

  • -1 or "NoFrequency": No payment frequency

  • 0 or "Once": Single lump-sum payment of principal and interest at maturity.

  • 1 or "Annual": Annually

  • 2 or "Semiannual": Semiannually

  • 3 or "EveryFourthMonth": Every four months

  • 4 or "Quarterly": Quarterly

  • 6 or "BiMonthly": Every two months

  • 12 or "Monthly": Monthly

  • 13 or "EveryFourthWeek": Every four weeks

  • 26 or "BiWeekly": Every two weeks

  • 52 or "Weekly": Weekly

  • 365 or "Daily": Daily

  • 999 or "Other": Other frequencies

 ×
curveModel STRING

Curve construction model; It can be "Bootstrap" (default), "NS", "NSS".

When the value is "NSS" or "NS", the fields interpMethod, extrapMethod, dates, and values are not required.

 ×
curveParams DICT

Model parameters. It is required when curveModel is "NSS" or "NS":

  • If curveModel = "NS": must include keys 'beta0', 'beta1', 'beta2', 'lambda'.

  • If curveModel = "NSS": must include keys 'beta0', ‘beta1', 'beta2', 'beta3', 'lambda0', 'lambda1'.

 ×

Define a MKTDATA object of IrYieldCurve type.

aod = 2025.07.01
curve = {
    "mktDataType": "Curve",
    "curveType": "IrYieldCurve",
    "version": 0, 
    "referenceDate": aod,
    "currency": "CNY",
    "dayCountConvention": "Actual365",
    "compounding": "Continuous",
    "interpMethod": "Linear",
    "extrapMethod": "Flat",
    "dates":[2025.07.07,2025.07.10,2025.07.17,2025.07.24,2025.08.04,2025.09.03,2025.10.09,2026.01.05,
        2026.04.03,2026.07.03,2027.01.04,2027.07.05,2028.07.03],
    "values":[0.015785,0.015931,0.016183,0.016381,0.016493,0.016503,0.016478,0.016234,0.016321,
        0.016378,0.015508,0.015185,0.014901],
    "settlement": aod+2
}

mktData = parseMktData(curve)
print(mktData)

IrYieldCurve(non-bond)

Field Name Data Type Description Required
mktDataType STRING Must be "Curve" √
referenceDate DATE Reference Date √
version INT Version, default 0 ×
curveType STRING Must be "IrYieldCurve" √
dayCountConvention STRING

The day count convention to use. It can be:

  • "Actual360": actual/360

  • "Actual365": actual/365

  • "ActualActualISMA": actual/actual according to ISMA (International Securities Market Association) convention

  • "ActualActualISDA": actual/actual according to ISDA (International Swaps and Derivatives Association) convention.

 √
interpMethod STRING

Interpolation method. It can be:

  • "Linear": linear interpolation

  • "CubicSpline": cubic spline interpolation

  • "CubicHermiteSpline": cubic Hermite interpolation

 √
extrapMethod STRING

Extrapolation method. It can be

  • Flat: flat extrapolation

  • Linear: linear extrapolation

 √
dates DATE vector Date of each data point √
values DOUBLE vector Value of each data point, corresponding to the elements in dates. √
curveName STRING Curve name ×
currency STRING Currency. It can be CNY", "USD", "EUR", "GBP", "JPY", "HKD" √
compounding STRING

The compounding interest. It can be:

  • "Compounded": discrete compounding

  • "Simple": simple interest (no compounding).

  • "Continuous": continuous compounding.

 √
settlement DATE Settlement date. If specified, all subsequent tenor intervals are computed starting from "settlement" rather than from "referenceDate". ×
frequency INTEGRAL/STRING

The interest payment frequency. Supported values:

  • -1 or "NoFrequency": No payment frequency

  • 0 or "Once": Single lump-sum payment of principal and interest at maturity.

  • 1 or "Annual": Annually

  • 2 or "Semiannual": Semiannually

  • 3 or "EveryFourthMonth": Every four months

  • 4 or "Quarterly": Quarterly

  • 6 or "BiMonthly": Every two months

  • 12 or "Monthly": Monthly

  • 13 or "EveryFourthWeek": Every four weeks

  • 26 or "BiWeekly": Every two weeks

  • 52 or "Weekly": Weekly

  • 365 or "Daily": Daily

  • 999 or "Other": Other frequencies

 ×
curveModel STRING

Curve construction model; Currently, only "Bootstrap" is supported.

 ×
curveParams DICT Model parameters. ×

AssetPriceCurve

Field Name Data Type Description Required
mktDataType STRING Must be "Curve" √
referenceDate DATE Reference Date √
version INT Version, default 0 ×
curveType STRING Must be "AssetPriceCurve" √
dates DATE vector Date of each data point √
values DOUBLE vector Value of each data point, corresponding to the elements in dates. √
curveName STRING Curve name ×

Define a MKTDATA object of AssetPriceCurve type.

curve = {
    "mktDataType": "Curve",
    "curveType": "AssetPriceCurve",
    "version": 0, 
    "referenceDate": 2024.06.28,
    "curveName": "PRICE_SHIBOR_3M",
    "dates": [2024.06.21, 2024.06.24, 2024.06.25, 2024.06.26,2024.06.27],
    "values": [1.923, 1.922, 1.921, 1.919, 1.918]/100
}

mktData = parseMktData(curve)
print(mktData)

FxVolatilitySurface

Field Name Data Type Description Required
mktDataType STRING Must be "Surface" √
referenceDate DATE Reference Date √
version INT Version, default 0 ×
surfaceType STRING Must be "FxVolatilitySurface" √
smileMethod STRING

Volatility smile method. It can be:

  • "Linear": linear smile

  • "CubicSpline": cubic-spline smile

  • "SVI": SVI-model smile

  • "SABR": SABR-model smile

 √
volSmiles DICT(STRING, ANY)vector

Volatility smiles vector. Each element is one smile . It has the following members:

  • strikes: A DOUBLE vector indicating the strike prices.

  • vols: A DOUBLE vector indicating the volatilities corresponding to strikes (of the same length).

  • curveParams: A DICT(STRING, DOUBLE) indicating the model parameters for the smile method; only effective when smileMethod is "SVI" or "SABR":

    • smileMethod = 'SVI': Must have the keys: 'a', 'b', 'rho', 'm', 'sigma'

    • smileMethod = 'SABR':

      Must have the keys: 'alpha', 'beta', 'rho', 'nu'

  • fwd (optional ): A DOUBLE scalar indicating the forward value. It is required when smileMethod is "SVI" or "SABR".

 √
termDates DATE vector Term date corresponding to each smile in volSmiles. √
surfaceName STRING Surface name ×
currencyPair STRING

Foreign exchange currency pair. Available options: "EURUSD", "USDCNY", "EURCNY", "GBPCNY", "JPYCNY", "HKDCNY".

Currency pairs may also use . or / as separators. For example, "EURUSD" can also be written as "EUR.USD" or "EUR/USD".

 √

Define a MKTDATA object of FxVolatilitySurface type.

surf = {
	"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(surf)