Question

下面的例子给出在量化实验室中如何为一个Repo 7D互换定价的例子

• swapType：互换类型，Payer代表付固定端利息，收浮动端利息；
• nominal：互换面值
• startDate：互换生效日
• swapTenor：互换期限
• paymentTenor：付息周期
• fixedRate：固定端利息
• rateSpread：浮动端息差
• repoIndex：浮动端指数

这里我们使用一条平坦的收益率曲线作为远期曲线：

forwardingCurve = FlatForward(Date(2015, 8, 4), 0.05, 'Actual/360')

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)

组装成我们需要的RepoCompoundingSwap：

swap = RepoCompoundingSwap(swapType=swapType,
                          nominal=nominal,
                          startDate=startDate,
                          swapTenor=swapTenor,
                          paymentTenor=paymentTenor,
                          fixedRate=fixedRate,
                          rateSpread=rateSpread,
                          repoIndex=repoIndex)

继续的，为了计算swap的现值，我们需要定义DiscountingSwapEngine对象，这里我们同样使用一条平坦的收益率曲线：

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每条leg的具体现金流分析：在legAnalysis接受的参数中，0代表固定端，1代表浮动端。

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

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