中国 Repo 7D 互换的例子

来源：https://uqer.io/community/share/55c177cbf9f06c915418c641

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.PyCALimport *SetEvaluationDate = Date(2015,8,4)swapType = SwapLegType.Payernominal =100000000.startDate = Date(2015,8,7)swapTenor = Period('10Y')paymentTenor = Period('3M')fixedRate =0.055rateSpread =0.0forwardingCurve = 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:-2282521.8872Fair 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()

swap.legAnalysis(1).tail()