fxSwapPricer
语法
fxSwapPricer(instrument, pricingDate, spot, domesticCurve,
foreignCurve)
详情
计算外汇掉期的净现值。
参数
instrumentINSTRUMENT 类型标量，一个 FxSwap 对象，表示需要定价的外汇掉期。
pricingDate DATE 类型标量，表示定价日期。
spot 数值类型标量，表示汇率即期价格。
domesticCurve MKTDATA 类型标量，一个 IrYieldCurve 对象，表示本币折现曲线。
foreignCurve MKTDATA 类型标量，一个 IrYieldCurve 对象，表示外币折现曲线。
返回值
DOUBLE 类型标量。
例子
pricingDate = 2025.08.18
fxSwap = {
"productType": "Swap",
"swapType": "FxSwap",
"version": 0,
"currencyPair": "USDCNY",
"direction": "Buy",
"notional": ["USD", 1E6],
"nearStrike": 7.15,
"nearExpiry": pricingDate + 60,
"nearDelivery": pricingDate + 62,
"farStrike": 7.18,
"farExpiry": pricingDate + 180,
"farDelivery": pricingDate + 182
}
curveDates = [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]
domesticCurveInfo = {
"mktDataType": "Curve",
"curveType": "IrYieldCurve",
"referenceDate": pricingDate,
"currency": "CNY",
"dayCountConvention": "Actual365",
"compounding": "Continuous",
"interpMethod": "Linear",
"extrapMethod": "Flat",
"frequency": "Annual",
"dates": curveDates,
"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
}
foreignCurveInfo = {
"mktDataType": "Curve",
"curveType": "IrYieldCurve",
"referenceDate": pricingDate,
"currency": "USD",
"dayCountConvention": "Actual365",
"compounding": "Continuous",
"interpMethod": "Linear",
"extrapMethod": "Flat",
"frequency": "Annual",
"dates": curveDates,
"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
}
instrument = parseInstrument(fxSwap)
domesticCurve = parseMktData(domesticCurveInfo)
foreignCurve = parseMktData(foreignCurveInfo)
spot = 7.1627
npv = fxSwapPricer(instrument, pricingDate, spot, domesticCurve, foreignCurve)
print(npv)
// output:84379.328782705269986