portfolioPricer

First introduced in version: 3.00.4

Syntax

portfolioPricer(instrument, amount, pricingDate, marketData)

Details

Prices a portfolio.

Parameters

instrument is an INSTRUMENT object indicating the instrument(s) to be priced. It can be a single contract or multiple contracts.

amount is an INT scalar or a vector of the same length as instrument, indicating the amount of the contracts.

pricingDate is a DATE scalar specifying the pricing date.

marketData A MKTDATA vector, a nested dictionary, the handle of a market data engine or a user-defined function, indicating the market data.

  • For a MKTDATA vector:

    • Specify curveName for the curve market data.

    • Specify surfaceName for the surface market data.

  • For a nested dictionary:

    • First level: The key is the market data types. It can be "Price", "Curve", or "Surface".

    • Second level: The key is the pricing date and the value is a DATE scalar.

    • Third level: The key is the curve or surface name and the value is the corresponding MKTDATA scalar.

  • For a user-defined function: parameters should be (kind, date, name).

Returns

A DOUBLE scalar.

Matching Rules of Instrument and MarketData

The matching between instrument and marketData is not positional (one-to-one by index), but name-based. Regardless of whether instrument or marketData is passed as a vector, the system first determines the market data names required for pricing each contract, and then looks up MKTDATA objects with matching names in marketData.

  1. The system determines which market data names a contract requires, based on explicit fields in instrument (such as discountCurve or forwardCurve) or the predefined rules defined in the sections below.

  2. The system looks up the corresponding MKTDATA objects by name in marketData and uses them for pricing.

Therefore, even if both instrument and marketData are vectors, their lengths do not need to match; it is only required that marketData contains all the named market data needed for pricing every contract.

The sections below describe the matching rules between instrument and marketData by instrument type. The tables and rule descriptions in each asset-type section constitute the complete set of predefined rules for that type; the system determines the required market data names according to these rules and performs the lookup in marketData accordingly.

Bond (Bond)

Bond pricing requires a discount curve. Specify the discount curve name via the "discountCurve" field, for example:

bond = {
    "productType": "Cash",
    "assetType": "Bond",
    "bondType": "FixedRateBond",
    "instrumentId": "1382011.IB",
    "start": 2013.01.14,
    "maturity": 2028.01.14,
    "issuePrice": 100.0,
    "coupon": 0.058,
    "frequency": "Annual",
    "dayCountConvention": "ActualActualISDA",
    "currency": "CNY",              //optional
    "subType": "MTN",               //optional
    "creditRating": "AAA",          //optional
    "discountCurve": "CNY_MTN_AAA"  //optional
}

The rules for selecting the discount curve during pricing are as follows:

  • If "discountCurve" is specified, the function looks up the corresponding curve directly in the marketData parameter.

  • If "discountCurve" is not specified but "currency", "subType", and "creditRating" are specified, the system automatically generates a discount curve name of the form currency + "_" + subType + "_" + creditRating, where "currency" defaults to "CNY".

  • If none of the optional fields are provided, the discount curve defaults to "CNY_TREASURY_BOND".

A floating-rate bond also requires a forward curve:

  • The discount-curve selection rules are the same as for other bond types.

  • The INSTRUMENT must specify a forward curve name in forwardCurve, and marketData must provide an IrYieldCurve with the same name. No default forward curve name is generated for floating-rate bonds.

  • If spreadCurve is specified, marketData must also provide a spread curve with the same name.

Treasury Futures (BondFutures)

The deliverable basket of treasury futures are treasury bonds, the rules for selecting the discount curve when defining the instrument are:

  • If the "discountCurve" field is specified, use the specified curve for pricing.

  • If not, use the default discount curve "CNY_TREASURY_BOND".

Deposit (Deposit)

For deposit pricing, specify only the discount curve "discountCurve":

  • If the "discountCurve" field is specified, use the specified curve for pricing.

  • If not, the system automatically matches the discount curve based on the currency.

currency discountCurve
CNY CNY_FR_007
USD USD_SOFR
EUR EUR_EONIA

IR Fixed-Floating Swap (IrFixedFloatingSwap)

Pricing an IR Fixed-Floating Swap requires three curves: discountCurve, forwardCurve, and assetPriceCurve. The current version only supports swaps that use FR_007 or SHIBOR_3M as the floating reference rate.

  • If the curve is specified in the instrument parameter, use the specified curve for pricing.

  • If not, the system automatically selects default curves based on the currency and the floating reference rate.

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

The assetPriceCurve is the historical data of the floating reference rate, which is used to calculate the floating rate for the first cash flow of the pricing date.

Foreign Exchange Forward (FxForward) / Foreign Exchange Swap (FxSwap)

Pricing these two linear products requires binding "domesticCurve" and "foreignCurve", and retrieving the corresponding "FxSpot" based on the "currencyPair".

  • If the user specifies "domesticCurve" and "foreignCurve", use the specified curves.

  • If not, the system automatically selects default curves according to the "currencyPair".

currencyPair domesticCurve foreignCurve
USDCNY CNY_FR_007 USD_USDCNY_FX
EURCNY CNY_FR_007 EUR_EURCNY_FX
EURUSD USD_SOFR EUR_EURUSD_FX

The "foreignCurve" is the implied foreign discount curve inferred using the covered interest rate parity formula based on foreign exchange swap.

Fx European Style Option (FxEuropeanOption)

In addition to "domesticCurve" and "foreignCurve", Fx European Style Option pricing also requires "FxSpot" and the "FxVolatilitySurface". Both of these market data can be automatically matched based on the "underlying" (the currency pair).

  • If the instrument explicitly specifies "domesticCurve", "foreignCurve", use them directly.

  • If not, the system automatically matches based on "underlying" (the currency pair).

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

Examples

// instrument

//FX Forward
fxFwd1 = {
    "productType": "Forward",
    "forwardType": "FxForward",
    "expiry": 2025.10.08,
    "delivery": 2025.10.10,
    "currencyPair": "USDCNY",
    "direction": "Buy",
    "notionalCurrency": "USD",
    "notionalAmount": 1E6,
    "strike": 7.2
}

fxFwdUsdCny = parseInstrument(fxFwd1)

fxFwd2 = {
    "productType": "Forward",
    "forwardType": "FxForward",
    "expiry": 2025.10.08,
    "delivery": 2025.10.10,
    "currencyPair": "EURCNY",
    "direction": "Buy",
    "notionalCurrency": "EUR",
    "notionalAmount": 1E6,
    "strike": 8.2
}

fxFwdEurCny = parseInstrument(fxFwd2)

//FX Swap
fxSwap1 = {
    "productType": "Swap",
    "swapType": "FxSwap",
    "currencyPair": "USDCNY",
    "direction": "Buy",
    "notionalCurrency": "USD",
    "notionalAmount": 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",
    "currencyPair": "EURCNY",
    "direction": "Buy",
    "notionalCurrency": "EUR",
    "notionalAmount": 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)

//FX European Option
fxOption1 = {
    "productType": "Option",
    "optionType": "EuropeanOption",
    "assetType": "FxEuropeanOption",
    "notionalCurrency": "USD",
    "notionalAmount": 1E6,
    "strike": 7.0,
    "maturity": 2025.12.08,
    "payoffType": "Call",
    "dayCountConvention": "Actual365",
    "underlying": "USDCNY"
}

fxOptionUsdCny = parseInstrument(fxOption1)

fxOption2 = {
    "productType": "Option",
    "optionType": "EuropeanOption",
    "assetType": "FxEuropeanOption",
    "notionalCurrency": "EUR",
    "notionalAmount": 1E6,
    "strike": 8.0,
    "maturity": 2025.12.08,
    "payoffType": "Call",
    "dayCountConvention": "Actual365",
    "underlying": "EURCNY"
}

fxOptionEurCny= parseInstrument(fxOption2)

//Bond
bond1 = {
    "productType": "Cash",
    "assetType": "Bond",
    "bondType": "FixedRateBond",
    "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)

//Government Bond Futures
bondFut1 = {
    "productType": "Futures",
    "futuresType": "BondFutures",
    "instrumentId": "T2509",
    "nominal": 100.0,
    "maturity": 2025.09.12,
    "settlement": 2025.09.16,
    "underlying": bond1,
    "nominalCouponRate": 0.03
}

bondFut = parseInstrument(bondFut1)

//Deposit
deposit1 = {
    "productType": "Cash",
    "assetType": "Deposit",
    "start": 2025.06.15,
    "maturity": 2025.12.15,
    "rate": 0.02,
    "dayCountConvention": "Actual360",
    "notionalCurrency":"CNY",
    "notionalAmount": 1E6,
    "payReceive": "Receive"
}

deposit = parseInstrument(deposit1)

//Interest Rate Swap
irs1 =  {
    "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
}

irs = parseInstrument(irs1)


//mktData
aod = 2025.08.18

fxSpot1 = {
    "mktDataType": "Price",
    "priceType": "FxSpotRate",
    "spotDate": aod+2 ,
    "referenceDate": aod ,
    "value": 7.1627,
    "unit": "USDCNY"
}

fxSpotUsdCny = parseMktData(fxSpot1)

fxSpot2 = {
    "mktDataType": "Price",
    "priceType": "FxSpotRate",
    "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",
	"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",
	"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",
    "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 = {"Price": dSpots,
            "Curve": dCurves,
            "Surface": dSurfs}
results2 = portfolioPricer(instrument, amount, pricingDate, mktData2)
print(results2)

Price with market data engine:

tbdata = table(1:0, `eventTime`type`subType`name`term`price, [NANOTIMESTAMP, STRING, STRING, STRING, STRING, DOUBLE])
insert into tbdata values(now(), "Bond", string(), "0001", "1d", 3.2415)
insert into tbdata values(now(), "Bond", string(), "0002", "1d", 2.1584)
bond1 = {
    "productType": "Cash",
    "assetType": "Bond",
    "bondType": "FixedRateBond",
    "nominal": 100,
    "instrumentId": "0001",
    "start": 2022.05.15,
    "maturity": 2032.05.15,
    "dayCountConvention": "ActualActualISDA",
    "coupon": 0.0276,
    "issuePrice": 100.0,
    "frequency": "Semiannual"
}
bond2 = {
    "productType": "Cash",
    "assetType": "Bond",
    "bondType": "FixedRateBond",
    "nominal": 100,
    "instrumentId": "0002",
    "start": 2023.05.15,
    "maturity": 2033.05.15,
    "dayCountConvention": "ActualActualISDA",
    "coupon": 0.0276,
    "issuePrice": 100.0,
    "frequency": "Semiannual"
}
bondcurveConfig = {
	"name":"CNY_TREASURY_BOND",
	"type": "BondYieldCurve",
	"bonds":[parseInstrument(bond1), parseInstrument(bond2)],
	"currency": "CNY",
	"dayCountConvention": "ActualActualISDA",
	"compounding": "Compounded",
	"frequency": "Semiannual",
	"interpMethod": "Linear",
	"extrapMethod": "Flat",
	"method": "Bootstrap"
}
engine1 = createMktDataEngine("engine1", 2022.06.10, bondcurveConfig)
engine1.append!(tbdata)
sleep(1000)
ins = parseInstrument(bond1)
results3 = portfolioPricer([ins], [1], 2022.06.10, engine1)
print(results3)

Related functions: instrumentPricer, createMktDataEngine