中國 Repo 7D 互換的例子 · Python 量化交易教程

# 中國 Repo 7D 互換的例子 > 來源：https://uqer.io/community/share/55c177cbf9f06c915418c641 下面的例子給出在量化實驗室中如何為一個Repo 7D互換定價的例子 + `swapType`：互換類型，`Payer`代表付固定端利息，收浮動端利息； + `nominal`：互換面值 + `startDate`：互換生效日 + `swapTenor`：互換期限 + `paymentTenor`：付息周期 + `fixedRate`：固定端利息 + `rateSpread`：浮動端息差 + `repoIndex`：浮動端指數這里我們使用一條平坦的收益率曲線作為遠期曲線： ```py forwardingCurve = FlatForward(Date(2015, 8, 4), 0.05, 'Actual/360') ``` ```py from CAL.PyCAL import * SetEvaluationDate = Date(2015, 8, 4) swapType = SwapLegType.Payer nominal = 100000000. startDate = Date(2015, 8, 7) swapTenor = Period('10Y') paymentTenor = Period('3M') fixedRate = 0.055 rateSpread = 0.0 forwardingCurve = FlatForward(Date(2015, 8, 4), 0.05, 'Actual/360') repoIndex = RepoChina('7D', yieldCurve) ``` 組裝成我們需要的`RepoCompoundingSwap`： ```py swap = RepoCompoundingSwap(swapType=swapType, nominal=nominal, startDate=startDate, swapTenor=swapTenor, paymentTenor=paymentTenor, fixedRate=fixedRate, rateSpread=rateSpread, repoIndex=repoIndex) ``` 繼續的，為了計算`swap`的現值，我們需要定義`DiscountingSwapEngine`對象，這里我們同樣使用一條平坦的收益率曲線： ```py discountingCurve = FlatForward(Date(2015, 8, 4), 0.065, 'Actual/360') pricingEngine = DiscountingSwapEngine(discountingCurve) swap.setPricingEngine(pricingEngine) print("NPV: {0:.4f}".format(swap.NPV())) print("Fair rate: {0:.4f}".format(swap.fairRate())) NPV: -2282521.8872 Fair rate: 0.0519 ``` 下面的是`swap`每條`leg`的具體現金流分析：在`legAnalysis`接受的參數中，0代表固定端，1代表浮動端。 ```py swap.legAnalysis(0).tail() ``` | | AMOUNT | NOMINAL | ACCRUAL_START_DATE | ACCRUAL_END_DATE | ACCRUAL_DAYS | INDEX | FIXING_DAYS | FIXING_DATES | INDEX_FIXING | DAY_COUNTER | ACCRUAL_PERIOD | EFFECTIVE_RATE | | --- | --- | | PAYMENT_DATE | | | | | | | | | | | | | | 2024-08-07 | 1386301 | 1e+08 | 2024-05-07 | 2024-08-07 | 92 | #NA | #NA | #NA | #NA | Actual/365 (Fixed) | 0.2520548 | 0.055 | | 2024-11-07 | 1386301 | 1e+08 | 2024-08-07 | 2024-11-07 | 92 | #NA | #NA | #NA | #NA | Actual/365 (Fixed) | 0.2520548 | 0.055 | | 2025-02-07 | 1386301 | 1e+08 | 2024-11-07 | 2025-02-07 | 92 | #NA | #NA | #NA | #NA | Actual/365 (Fixed) | 0.2520548 | 0.055 | | 2025-05-07 | 1341096 | 1e+08 | 2025-02-07 | 2025-05-07 | 89 | #NA | #NA | #NA | #NA | Actual/365 (Fixed) | 0.2438356 | 0.055 | | 2025-08-07 | 1386301 | 1e+08 | 2025-05-07 | 2025-08-07 | 92 | #NA | #NA | #NA | #NA | Actual/365 (Fixed) | 0.2520548 | 0.055 | ```py swap.legAnalysis(1).tail() ``` | | AMOUNT | NOMINAL | ACCRUAL_START_DATE | ACCRUAL_END_DATE | ACCRUAL_DAYS | INDEX | FIXING_DAYS | FIXING_DATES | INDEX_FIXING | DAY_COUNTER | ACCRUAL_PERIOD | EFFECTIVE_RATE | | --- | --- | | PAYMENT_DATE | | | | | | | | | | | | | | 2024-08-07 | 1306927 | 1e+08 | 2024-05-07 | 2024-08-07 | 92 | repoChina1W Actual/365 (Fixed) | 1 | 2024-05-06 | 0.05072614 | Actual/360 | 0.2555556 | 0.05114062 | | 2024-11-07 | 1306927 | 1e+08 | 2024-08-07 | 2024-11-07 | 92 | repoChina1W Actual/365 (Fixed) | 1 | 2024-08-06 | 0.05072614 | Actual/360 | 0.2555556 | 0.05114062 | | 2025-02-07 | 1309570 | 1e+08 | 2024-11-07 | 2025-02-07 | 92 | repoChina1W Actual/365 (Fixed) | 1 | 2024-11-06 | 0.05073319 | Actual/360 | 0.2555556 | 0.05124405 | | 2025-05-07 | 1265808 | 1e+08 | 2025-02-07 | 2025-05-07 | 89 | repoChina1W Actual/365 (Fixed) | 1 | 2025-02-06 | 0.05073319 | Actual/360 | 0.2472222 | 0.05120122 | | 2025-08-07 | 1306927 | 1e+08 | 2025-05-07 | 2025-08-07 | 92 | repoChina1W Actual/365 (Fixed) | 1 | 2025-05-06 | 0.05072614 | Actual/360 | 0.2555556 | 0.05114062 |