金融工具

固定收益

远期合约

远期利率协议

class ql.ForwardRateAgreement(valueDate, maturityDate, position, strikeForward, notional, iborIndex, discountCurve=ql.YieldTermStructureHandle())

fra = ql.ForwardRateAgreement(
    ql.Date(15,6,2020),
    ql.Date(15,12,2020),
    ql.Position.Long,
    0.01,
    1e6,
    ql.Euribor6M(yts),
    yts
)

.NPV()

.businessDayConvention()

.calendar()

.dayCounter()

.discountCurve()

.fixingDate()

.forwardRate()

.forwardValue()

.impliedYield(underlyingSpotValue, forwardValue, settlementDate, compoundingConvention, dayCounter)

.incomeDiscountCurve()

.isExpired()

.settlementDate()

.spotIncome(yts)

.spotValue()

FixedRateBondForward

class ql.FixedRateBondForward(valueDate, maturityDate, Position::Type, strike, settlementDays, dayCounter, calendar, businessDayConvention, FixedRateBond, yieldTermStructure=ql.YieldTermStructureHandle(), incomeDiscountCurve=ql.YieldTermStructureHandle())

持仓:

ql.Position.Long
ql.Position.Short

valueDate = ql.Date(24, 6, 2020)
maturityDate = ql.Date(31, 5, 2032)
position = ql.Position.Long
strike = 100
settlementDays = 2
dayCounter = ql.Actual360()
calendar = ql.TARGET()
businessDayConvention = ql.Following
bond = ql.FixedRateBond(2, ql.TARGET(), 100.0, ql.Date(31, 5, 2032), ql.Date(30, 5, 2035), ql.Period('1Y'), [0.05], ql.ActualActual())
bond.setPricingEngine(engine)
fwd = ql.FixedRateBondForward(
    valueDate, maturityDate, position, strike, settlementDays,
    dayCounter , calendar, businessDayConvention, bond, yts, yts)

债券

赎回和到期日是根据票息数据计算的（如果有的话）。因此，传递的现金流中不得包含赎回金额。

class ql.Bond(settlementDays, calendar, issueDate, coupons)

start = ql.Date(15,12,2019)
maturity = ql.Date(15,12,2020)
schedule = ql.MakeSchedule(start, maturity, ql.Period('6M'))

interest = ql.FixedRateLeg(schedule, ql.Actual360(), [100.], [0.05])
bond = ql.Bond(0, ql.TARGET(), start, interest)

.bondYield(dayCounter, compounding, frequency, accuracy=1.0e-8, maxEvaluations=100)

.bondYield(cleanPrice, dayCounter, compounding, frequency, settlementDate=Date, accuracy=1.0e-8, maxEvaluations=100)

bond.bondYield(100, ql.Actual360(), ql.Compounded, ql.Annual)

.dirtyPrice()

bond.dirtyPrice()

.dirtyPrice(yield, dayCount, compounding, frequency)

bond.dirtyPrice(0.05, ql.Actual360(), ql.Compounded, ql.Annual)

零息债券

ql.ZeroCouponBond(settlementDays, calendar, faceAmount, maturityDate)

bond = ql.ZeroCouponBond(2, ql.TARGET(), 100, ql.Date(20,6,2020))

FixedRateBond

ql.FixedRateBond(settlementDays, calendar, faceAmount, startDate, maturityDate, tenor, coupon, paymentConvention)

ql.FixedRateBond(settlementDays, faceAmount, schedule, coupon, paymentConvention)

bond = ql.FixedRateBond(2, ql.TARGET(), 100.0, ql.Date(15,12,2019), ql.Date(15,12,2024), ql.Period('1Y'), [0.05], ql.ActualActual(ql.ActualActual.Bond))

AmortizingFixedRateBond

ql.AmortizingFixedRateBond(settlementDays, notionals, schedule, coupons, accrualDayCounter, paymentConvention=Following, issueDate=Date())

notionals = [100,100,100,50]
schedule = ql.MakeSchedule(ql.Date(25,1,2018), ql.Date(25,1,2022), ql.Period('1y'))
bond = ql.AmortizingFixedRateBond(0, notionals, schedule, [0.03], ql.Thirty360(ql.Thirty360.USA))

浮动利率债券

ql.FloatingRateBond(settlementDays, faceAmount, schedule, index, dayCounter, paymentConvention)

schedule = ql.MakeSchedule(ql.Date(15,6,2020), ql.Date(15,6,2022), ql.Period('6m'))
index = ql.Euribor6M()
bond = ql.FloatingRateBond(2,100, schedule, index, ql.Actual360(), spreads=[0.01])

分期偿还浮动利率债券

ql.FloatingRateBond(settlementDays, notionals, schedule, index, dayCounter)

notional = [100, 50]
schedule = ql.MakeSchedule(ql.Date(15,6,2020), ql.Date(15,6,2022), ql.Period('1Y'))
index = ql.Euribor6M()
bond = ql.AmortizingFloatingRateBond(2, notional, schedule, index, ql.ActualActual(ql.ActualActual.Bond))

CMS利率债券

ql.CmsRateBond(settlementDays, faceAmount, schedule, index, dayCounter, paymentConvention, fixingDays, gearings, spreads, caps, floors)

schedule = ql.MakeSchedule(ql.Date(15,6,2020), ql.Date(15,6,2022), ql.Period('1Y'))
index = ql.EuriborSwapIsdaFixA(ql.Period('10y'))
bond = ql.CmsRateBond(2, 100, schedule, index, ql.Actual360(), ql.ModifiedFollowing, fixingDays=2, gearings=[1], spreads=[0], caps=[], floors=[])

可赎回债券

ql.CallableFixedRateBond(settlementDays, faceAmount, schedule, coupons, accrualDayCounter, paymentConvention, redemption, issueDate, putCallSchedule)

schedule = ql.MakeSchedule(ql.Date(15,6,2020), ql.Date(15,6,2022), ql.Period('1Y'))
putCallSchedule = ql.CallabilitySchedule()

my_price  = ql.BondPrice(100, ql.BondPrice.Clean)

putCallSchedule.append(
    ql.Callability(my_price, ql.Callability.Call, ql.Date(15,6,2021))
)

bond = ql.CallableFixedRateBond(2, 100, schedule, [0.01], ql.Actual360(), ql.ModifiedFollowing, 100, ql.Date(15,6,2020), putCallSchedule)

可转换债券

债券函数

bond = ql.FixedRateBond(
    2, ql.TARGET(), 100.0,
    ql.Date(15,12,2019), ql.Date(15,12,2024), ql.Period('1Y'),
    [0.05], ql.ActualActual(ql.ActualActual.Bond))

日期检查器

ql.BondFunctions.startDate(bond)
ql.BondFunctions.maturityDate(bond)
ql.BondFunctions.isTradable(bond)

现金流检查器

ql.BondFunctions.previousCashFlowDate(bond)
ql.BondFunctions.previousCashFlowDate(bond, ql.Date(15,12,2020))
ql.BondFunctions.previousCashFlowAmount(bond)
ql.BondFunctions.previousCashFlowAmount(bond, ql.Date(15,12,2020))
ql.BondFunctions.nextCashFlowDate(bond)
ql.BondFunctions.nextCashFlowDate(bond, ql.Date(15,12,2020))
ql.BondFunctions.nextCashFlowAmount(bond)
ql.BondFunctions.nextCashFlowAmount(bond, ql.Date(15,12,2020))

息票检查器

ql.BondFunctions.previousCouponRate(bond)
ql.BondFunctions.nextCouponRate(bond)
ql.BondFunctions.accrualStartDate(bond)
ql.BondFunctions.accrualEndDate(bond)
ql.BondFunctions.accrualPeriod(bond)
ql.BondFunctions.accrualDays(bond)
ql.BondFunctions.accruedPeriod(bond)
ql.BondFunctions.accruedDays(bond)
ql.BondFunctions.accruedAmount(bond)

收益率期限结构

crv = ql.FlatForward(2, ql.TARGET(), 0.04, ql.Actual360())
ql.BondFunctions.cleanPrice(bond, crv)
ql.BondFunctions.bps(bond, crv)
ql.BondFunctions.atmRate(bond, crv)

收益率（又称内部收益率，即IRR）函数

rate = ql.InterestRate(0.05, ql.Actual360(), ql.Compounded, ql.Annual)
ql.BondFunctions.cleanPrice(bond, rate)
ql.BondFunctions.bps(bond, rate)
ql.BondFunctions.duration(bond, rate)
ql.BondFunctions.convexity(bond, rate)
ql.BondFunctions.basisPointValue(bond, rate)
ql.BondFunctions.yieldValueBasisPoint(bond, rate)

Z利差函数

crv = ql.FlatForward(2, ql.TARGET(), 0.04, ql.Actual360())
ql.BondFunctions.zSpread(bond, 101, crv, ql.Actual360(), ql.Compounded, ql.Annual)

互换

VanillaSwap

ql.VanillaSwap(type, nominal, fixedSchedule, fixedRate, fixedDayCount, floatSchedule, index, spread, floatingDayCount)

类型：

ql.VanillaSwap.Payer
ql.VanillaSwap.Receiver

calendar = ql.TARGET()
start = ql.Date(17,6,2019)
maturity = calendar.advance(start, ql.Period('5y'))

fixedSchedule = ql.MakeSchedule(start, maturity, ql.Period('1Y'))

floatSchedule = ql.MakeSchedule(start, maturity, ql.Period('6M'))

swap = ql.VanillaSwap(
    ql.VanillaSwap.Payer, 100,
    fixedSchedule, 0.01, ql.Thirty360(),
    floatSchedule, ql.Euribor6M(), 0, ql.Actual360()
)

互换

ql.Swap(firstLeg, secondLeg)

fixedSchedule = ql.MakeSchedule(start, maturity, ql.Period('1Y'))
fixedLeg = ql.FixedRateLeg(fixedSchedule, ql.Actual360(), [100], [0.01])

floatSchedule = ql.MakeSchedule(start, maturity, ql.Period('6M'))
floatLeg = ql.IborLeg([100], floatSchedule, ql.Euribor6M(), ql.Actual360())

swap = ql.Swap(fixedLeg, floatLeg)

创建普通利率互换

ql.MakeVanillaSwap(tenor, index, fixedRate, forwardStart)

可选参数：

固定利率计息天数计算方式
名义金额
receiveFixed,
互换类型
结算天数
生效日期
终止日期
日期生成规则
固定期限
固定收益日历
固定利率端惯例
固定利率计息天数
浮动利率期限
浮动利率日历
浮动利率惯例
浮动利率计息天数
浮动利率利差
贴现期限结构
定价引擎
固定利率端终止日期惯例
固定期限日期生成规则
固定期限月末
固定利率端首个日期
固定利率端的倒数第二个日期，
浮动利率终止日期惯例
浮动利率计息日规则
浮动利率端月末调整
浮动利率首个计息日
浮动利率倒数第二个日期

tenor = ql.Period('5y')
index = ql.Euribor6M()
fixedRate = 0.05
forwardStart = ql.Period("2D")

swap = ql.MakeVanillaSwap(tenor, index, fixedRate, forwardStart, Nominal=100)
swap = ql.MakeVanillaSwap(tenor, index, fixedRate, forwardStart, swapType=ql.VanillaSwap.Payer)

分期偿还互换

calendar = ql.TARGET()
start = ql.Date(17,6,2019)
maturity = calendar.advance(start, ql.Period('2y'))


fixedSchedule = ql.MakeSchedule(start, maturity, ql.Period('1Y'))
fixedLeg = ql.FixedRateLeg(fixedSchedule, ql.Actual360(), [100, 50], [0.01])

floatSchedule = ql.MakeSchedule(start, maturity, ql.Period('6M'))
floatLeg = ql.IborLeg([100, 100, 50, 50], floatSchedule, ql.Euribor6M(), ql.Actual360())

swap = ql.Swap(fixedLeg, floatLeg)

浮动利率互换

ql.FloatFloatSwap(ql.VanillaSwap.Payer,
                [notional] * (len(float3m)-1),
                [notional] * (len(float6m)-1),
                float3m,
                index3m,
                ql.Actual360(),
                float6m,
                index6m,
                ql.Actual360(), False, False,
                [1] * (len(float3m)-1),
                [spread] * (len(float3m)-1))

资产互换

ql.AssetSwap(payFixed, bond, cleanPrice, index, spread)

ql.AssetSwap(payFixed, bond, cleanPrice, index, spread, schedule, dayCount, bool)

payFixedRate = True
bond = ql.FixedRateBond(2, ql.TARGET(), 100.0, ql.Date(15,12,2019), ql.Date(15,12,2024),
    ql.Period('1Y'), [0.05], ql.ActualActual()
    )
bondCleanPrice = 100
index = ql.Euribor6M()
spread = 0.0
ql.AssetSwap(payFixedRate, bond, bondCleanPrice, index, spread, ql.Schedule(), ql.ActualActual(), True)

隔夜指数互换

ql.OvernightIndexedSwap(swapType, nominal, schedule, fixedRate, fixedDC, overnightIndex)

或名义金额数组

ql.OvernightIndexedSwap(swapType, nominals, schedule, fixedRate, fixedDC, overnightIndex)

可选参数：

利差=0.0
支付延迟=0
paymentAdjustment=ql.Following()
paymentCalendar=ql.Calendar()
telescopicValueDates=false

类型：

ql.OvernightIndexedSwap.Receiver
ql.OvernightIndexedSwap.Receiver

swapType = ql.OvernightIndexedSwap.Receiver
nominal = 100
schedule = ql.MakeSchedule(ql.Date(15,6,2020), ql.Date(15,6,2021), ql.Period('1Y'), calendar=ql.TARGET())
fixedRate = 0.01
fixedDC = ql.Actual360()
overnightIndex = ql.Eonia()
ois_swap = ql.OvernightIndexedSwap(swapType, nominal, schedule, fixedRate, fixedDC, overnightIndex)

创建OIS

ql.MakeOIS(swapTenor, overnightIndex, fixedRate)

可选参数：

fwdStart=Period(0, Days)
receiveFixed=True,
swapType=OvernightIndexedSwap.Payer
名义值=1.0
结算天数=2
effectiveDate=None
terminationDate=None
dateGenerationRule=DateGeneration.Backward
支付频率=每年
paymentAdjustmentConvention=Following
支付延迟=0
支付日历=None
endOfMonth=True
fixedLegDayCount=None
隔夜利率利差=0.0
discountingTermStructure=None
telescopicValueDates=False
定价引擎=无

swapTenor = ql.Period('1Y')
overnightIndex = ql.Eonia()
fixedRate = 0.01
ois_swap = ql.MakeOIS(swapTenor, overnightIndex, fixedRate)

非标准互换

ql.NonstandardSwap(swapType, fixedNominal, floatingNominal, fixedSchedule, fixedRate, fixedDayCount, floatingSchedule, iborIndex, gearing, spread, floatDayCount)

可选参数：

intermediateCapitalExchange = False
finalCapitalExchange = False,
paymentConvention = None

swapType = ql.VanillaSwap.Payer
fixedNominal = [100, 100]
floatingNominal  = [100] * 4
fixedSchedule = ql.MakeSchedule(ql.Date(15,6,2020), ql.Date(15,6,2022), ql.Period('1Y'))
fixedRate = [0.02] * 2
fixedDayCount = ql.Thirty360()
floatingSchedule = ql.MakeSchedule(ql.Date(15,6,2020), ql.Date(15,6,2022), ql.Period('6M'))
iborIndex = ql.Euribor6M()
gearing = [1.] * 4
spread = [0.] * 4
floatDayCount = iborIndex.dayCounter()
nonstandardSwap = ql.NonstandardSwap(
    swapType, fixedNominal, floatingNominal,
    fixedSchedule, fixedRate, fixedDayCount,
    floatingSchedule, iborIndex, gearing, spread, floatDayCount)

利率互换期权

练习

ql.EuropeanExercise(start)
ql.AmericanExercise(earliestDate, latestDate)
ql.BermudanExercise(dates)

结算类型/方法

ql.Settlement.Cash
- ql.Settlement.CollateralizedCashPrice
- ql.Settlement.ParYieldCurve
ql.Settlement.Physical
- ql.Settlement.PhysicalCleared
- ql.Settlement.PhysicalOTC

利率互换期权

ql.Swaption(swap, exercise, settlementType=ql.Settlement.Physical, settlementMethod=ql.Settlement.PhysicalOTC)

calendar = ql.TARGET()
today = ql.Date().todaysDate()
exerciseDate = calendar.advance(today, ql.Period('5y'))
exercise = ql.EuropeanExercise(exerciseDate)
swap = ql.MakeVanillaSwap(ql.Period('5y'), ql.Euribor6M(), 0.05, ql.Period('5y'))
swaption = ql.Swaption(swap, exercise)

swaption = ql.Swaption(swap, exercise, ql.Settlement.Cash, ql.Settlement.ParYieldCurve)
swaption = ql.Swaption(swap, exercise, ql.Settlement.Physical, ql.Settlement.PhysicalCleared)

非标准互换期权

浮动利率互换期权

利率上限与下限

上限

ql.Cap(floatingLeg, exerciseRates)

schedule = ql.MakeSchedule(ql.Date(15,6,2020), ql.Date(16,6,2022), ql.Period('6M'))
ibor_leg = ql.IborLeg([100], schedule, ql.Euribor6M())
strike = 0.01
cap = ql.Cap(ibor_leg, [strike])

利率下限

ql.Floor(floatingLeg, exerciseRates)

schedule = ql.MakeSchedule(ql.Date(15,6,2020), ql.Date(16,6,2022), ql.Period('6M'))
ibor_leg = ql.IborLeg([100], schedule, ql.Euribor6M())
strike = 0.00
floor = ql.Floor(ibor_leg, [strike])

领子期权

ql.Collar(floatingLeg, capRates, floorRates)

schedule = ql.MakeSchedule(ql.Date(15,6,2020), ql.Date(16,6,2022), ql.Period('6M'))
ibor_leg = ql.IborLeg([100], schedule, ql.Euribor6M())
capStrike = 0.02
floorStrike = 0.00
collar = ql.Collar(ibor_leg, [capStrike], [floorStrike])

通胀

CPI债券

ql.CPIBond(settlementDays, notional, growthOnly, baseCPI, contractObservationLag, inflationIndex, observationInterpolation, fixedSchedule, fixedRates, fixedDayCounter, fixedPaymentConvention)

calendar = ql.UnitedKingdom()

today = ql.Date(5,3,2008)
evaluationDate = calendar.adjust(today)
issue_date = calendar.advance(evaluationDate,-1, ql.Years)
maturity_date = ql.Date(2,9,2052)

settlementDays = 3
notional = 1000000
growthOnly = False
baseCPI = 206.1
contractObservationLag = ql.Period(3, ql.Months)
inflationIndex = ql.UKRPI(False)
observationInterpolation = ql.CPI.Flat
fixedSchedule = ql.MakeSchedule(issue_date, maturity_date, ql.Period(ql.Semiannual))
fixedRates = [0.1]
fixedDayCounter = ql.Actual365Fixed()
fixedPaymentConvention = ql.ModifiedFollowing

bond = ql.CPIBond(settlementDays,
                    notional,
                    growthOnly,
                    baseCPI,
                    contractObservationLag,
                    inflationIndex,
                    observationInterpolation,
                    fixedSchedule,
                    fixedRates,
                    fixedDayCounter,
                    fixedPaymentConvention)

CPISwap

ql.CPISwap(swapType, nominal, subtractInflationNominal, spread, floatDayCount, schedule, floatPaymentConvention, fixingDays, floatIndex, fixedRate, baseCPI, fixedDayCount, schedule, fixedPaymentConvention, contractObservationLag, fixedIndex, observationInterpolation)

swapType = ql.CPISwap.Payer
nominal = 1e6
subtractInflationNominal = True
spread = 0.0
floatDayCount = ql.Actual365Fixed()
floatPaymentConvention = ql.ModifiedFollowing
fixingDays = 0;
floatIndex = ql.GBPLibor(ql.Period('6M'))
fixedRate = 0.1;
baseCPI = 206.1;
fixedDayCount = ql.Actual365Fixed()
fixedPaymentConvention = ql.ModifiedFollowing;
fixedIndex = ql.UKRPI(False);
contractObservationLag = ql.Period('3M')
observationInterpolation = ql.CPI.Linear
startDate = ql.Date(2,10,2007)
endDate = ql.Date(2,10,2052)
schedule = ql.MakeSchedule(startDate, endDate, ql.Period('6m'))
zisV = ql.CPISwap(
    swapType, nominal, subtractInflationNominal, spread,
    floatDayCount, schedule, floatPaymentConvention, fixingDays, floatIndex,
    fixedRate, baseCPI, fixedDayCount, schedule, fixedPaymentConvention,
    contractObservationLag, fixedIndex, observationInterpolation)

零息通胀互换

ql.ZeroCouponInflationSwap(swapType, notional, start, maturity, calendar, BusinessDayConvention, DayCounter, fixedRate, ZeroInflationIndex, observationLag)

swapType = ql.ZeroCouponInflationSwap.Payer
calendar = ql.TARGET()
nominal = 1e6
startDate = ql.Date(11,1,2022)
endDate = ql.Date(11,1,2023)
fixedRate = 0.1;
dc = ql.Actual365Fixed()
inflationIndex = ql.EUHICPXT(True)
contractObservationLag = ql.Period(3, ql.Months)
bdc = ql.ModifiedFollowing
swap = ql.ZeroCouponInflationSwap(swapType, nominal, startDate, endDate, calendar, bdc, dc, fixedRate, inflationIndex, contractObservationLag)

年度通胀互换

ql.YearOnYearInflationSwap(swapType, nominal, fixedSchedule, fixedRate, fixedDayCounter, yoySchedule, index, lag, spread, yoyDayCounter, paymentCalendar)

swapType = ql.YearOnYearInflationSwap.Payer
nominal = 1e6
startDate = ql.Date(2,10,2007)
endDate = ql.Date(2,10,2052)

fixedSchedule = ql.MakeSchedule(startDate, endDate, ql.Period('6m'))
fixedRate = 0.1;
fixedDayCounter = ql.Actual365Fixed()
yoySchedule = ql.MakeSchedule(startDate, endDate, ql.Period('6m'))
index = ql.YYEUHICP(False)
lag = ql.Period('3m')
spread = 0.0
yoyDayCounter = ql.Actual365Fixed()
paymentCalendar = ql.TARGET()

swap = ql.YearOnYearInflationSwap(swapType, nominal, fixedSchedule, fixedRate, fixedDayCounter, yoySchedule, index, lag, spread, yoyDayCounter, paymentCalendar)

同比通胀上限

YoYInflationFloor

YoYInflationCollar

信用

信用违约互换

ql.CreditDefaultSwap(side, nominal, spread, cdsSchedule, convention, dayCounter)

side = ql.Protection.Seller
nominal = 10e6
spread = 34.6 / 10000
cdsSchedule = ql.MakeSchedule(ql.Date(20, 12, 2019), ql.Date(20, 12, 2024), ql.Period('3M'),
                            ql.Quarterly, ql.TARGET(), ql.Following, ql.Unadjusted, ql.DateGeneration.TwentiethIMM)

cds = ql.CreditDefaultSwap(side, nominal, spread, cdsSchedule, ql.Following, ql.Actual360())

信用违约互换期权

ql.CdsOption(CreditDefaultSwap, exercise, knocksOut=true)

expiry = ql.Date(15,6,2020)
exercise = ql.EuropeanExercise(expiry)
ql.CdsOption(cds, exercise, True)

期权

普通期权

ql.VanillaOption(payoff, europeanExercise)

行权类型：

ql.EuropeanExercise(date)
ql.AmericanExercise(最早日期, 最晚日期)
ql.BermudanExercise(dates)
ql.RebatedExercise

收益：

ql.Option.Call
ql.Option.Put

strike = 100.0
maturity = ql.Date(15,6,2025)
option_type = ql.Option.Call

payoff = ql.PlainVanillaPayoff(option_type, strike)
binaryPayoff = ql.CashOrNothingPayoff(option_type, strike, 1)

europeanExercise = ql.EuropeanExercise(maturity)
europeanOption = ql.VanillaOption(payoff, europeanExercise)

americanExercise = ql.AmericanExercise(ql.Date().todaysDate(), maturity)
americanOption = ql.VanillaOption(payoff, americanExercise)

bermudanExercise = ql.BermudanExercise([ql.Date(15,6,2024), ql.Date(15,6,2025)])
bermudanOption = ql.VanillaOption(payoff, bermudanExercise)

binaryOption = ql.VanillaOption(binaryPayoff, european_exercise)

亚式期权

ql.DiscreteAveragingAsianOption(averageType, runningAccumulator, pastFixings, fixingDates, payoff, exercise)

平均类型：

ql.ContinuousAveragingAsianOption(arithmeticAverage, vanillaPayoff, europeanExercise)
ql.DiscreteAveragingAsianOption(算术平均, 算术运行累加器, 已确定价格数量, 亚式期权未来定价日期, 普通期权收益, 欧式行权)

平均值定义：

ql.Average().Arithmetic
ql.Average().Geometric

today = ql.Date().todaysDate()
periods = [ql.Period("6M"), ql.Period("12M"), ql.Period("18M"), ql.Period("24M")]

pastFixings = 0 # Empty because this is a new contract
asianFutureFixingDates = [today + period for period in periods]
asianExpiryDate = today + periods[-1]

strike = 100
vanillaPayoff = ql.PlainVanillaPayoff(ql.Option.Call, strike)
europeanExercise = ql.EuropeanExercise(asianExpiryDate)

arithmeticAverage = ql.Average().Arithmetic
arithmeticRunningAccumulator = 0.0
discreteArithmeticAsianOption = ql.DiscreteAveragingAsianOption(arithmeticAverage, arithmeticRunningAccumulator, pastFixings, asianFutureFixingDates, vanillaPayoff, europeanExercise)

geometricAverage = ql.Average().Geometric
geometricRunningAccumulator = 1.0
discreteGeometricAsianOption = ql.DiscreteAveragingAsianOption(geometricAverage, geometricRunningAccumulator, pastFixings, asianFutureFixingDates, vanillaPayoff, europeanExercise)

continuousGeometricAsianOption = ql.ContinuousAveragingAsianOption(geometricAverage, vanillaPayoff, europeanExercise)

障碍期权

ql.BarrierOption(barrierType, barrier, rebate, payoff, exercise)

障碍类型：

ql.Barrier.UpIn
ql.Barrier.UpOut
ql.Barrier.DownIn
ql.Barrier.DownOut

T = 1
K = 100.
barrier = 110.
rebate = 0.
barrierType = ql.Barrier.UpOut

today = ql.Date().todaysDate()
maturity = today + ql.Period(int(T*365), ql.Days)

payoff = ql.PlainVanillaPayoff(ql.Option.Call, K)
amExercise = ql.AmericanExercise(today, maturity, True)
euExercise = ql.EuropeanExercise(maturity)

barrierOption = ql.BarrierOption(barrierType, barrier, rebate, payoff, euExercise)

ql.DoubleBarrierOption(barrierType, barrier_lo, barrier_hi, rebate, payoff, exercise)

双障碍类型：

ql.DoubleBarrier.KnockIn
ql.DoubleBarrier.KnockOut
ql.DoubleBarrier.KIKO
ql.DoubleBarrier.KOKI

T = 1
K = 100.
barrier_lo, barrier_hi = 90., 110.
rebate = 0.
barrierType = ql.DoubleBarrier.KnockOut

today = ql.Date().todaysDate()
maturity = today + ql.Period(int(T*365), ql.Days)

payoff = ql.PlainVanillaPayoff(ql.Option.Call, K)
euExercise = ql.EuropeanExercise(maturity)

doubleBarrierOption = ql.DoubleBarrierOption(barrierType, barrier_lo, barrier_hi, rebate, payoff, euExercise)

ql.PartialTimeBarrierOption(barrierType, barrieRange, barrier, rebate, coverEventDate, payoff, exercise)

部分障碍区间类型：

ql.PartialBarrier.Start: 从期权生命周期开始监控障碍条件，直到所谓的覆盖事件发生。
ql.PartialBarrier.EndB1: 监控从覆盖事件到行权日期间的障碍水平；只有当障碍被触及或从任意方向突破时才会触发敲出，无论监控开始时标的资产的价值如何。
ql.PartialBarrier.EndB2: 监控从覆盖事件到行权日期间的障碍条件；如果在监控开始时标的资产价格处于障碍错误的一侧，则立即触发敲出。

today = ql.Date().todaysDate()
maturity = calendar.advance(today, ql.Period(360, ql.Days))
K = 110.
barrier = 125.
rebate = 0.
barrier_type = ql.Barrier.UpOut
cover_event_date = calendar.advance(today, ql.Period(180, ql.Days))

payoff = ql.PlainVanillaPayoff(ql.Option.Call, K)
exercise = ql.EuropeanExercise(maturity)

partial_time_barrier_opt = ql.PartialTimeBarrierOption(
      barrier_type,
      ql.PartialBarrier.EndB1, # time range for partial-time barrier option
      barrier, rebate,
      cover_event_date,
      payoff, exercise
  )

篮子期权

ql.BasketOption(payoff, exercise)

收益类型：

ql.MinBasketPayoff(payoff)
ql.AverageBasketPayoff(payoff, numInstruments)
ql.MaxBasketPayoff(payoff)

today = ql.Date().todaysDate()
exp_date = today + ql.Period(1, ql.Years)
strike = 100
number_of_underlyings = 5

exercise = ql.EuropeanExercise(exp_date)
vanillaPayoff = ql.PlainVanillaPayoff(ql.Option.Call, strike)

payoffMin = ql.MinBasketPayoff(vanillaPayoff)
basketOptionMin = ql.BasketOption(payoffMin, exercise)

payoffAverage = ql.AverageBasketPayoff(vanillaPayoff, number_of_underlyings)
basketOptionAverage = ql.BasketOption(payoffAverage, exercise)

payoffMax = ql.MaxBasketPayoff(vanillaPayoff)
basketOptionMax = ql.BasketOption(payoffMax, exercise)

Cliquet期权

远期期权

ql.ForwardVanillaOption(moneyness, resetDate, payoff, exercise)

today = ql.Date().todaysDate()
resetDate = today + ql.Period(1, ql.Years)
expiryDate = today + ql.Period(2, ql.Years)
moneyness, strike = 1., 100 # nb. strike is required for the payoff, but ignored in pricing

exercise = ql.EuropeanExercise(expiryDate)
vanillaPayoff = ql.PlainVanillaPayoff(ql.Option.Call, strike)

forwardStartOption = ql.ForwardVanillaOption(moneyness, resetDate, vanillaPayoff, exercise)

金融工具

固定收益

远期合约

远期利率协议

FixedRateBondForward

债券

债券

零息债券

FixedRateBond

AmortizingFixedRateBond

浮动利率债券

分期偿还浮动利率债券

CMS利率债券

可赎回债券

可转换债券

债券函数

互换

VanillaSwap

互换

创建普通利率互换

分期偿还互换

浮动利率互换

资产互换

隔夜指数互换

创建OIS

非标准互换

利率互换期权

利率互换期权

非标准互换期权

浮动利率互换期权

利率上限与下限

上限

利率下限

领子期权

通胀

CPI债券

CPISwap

零息通胀互换

年度通胀互换

同比通胀上限

YoYInflationFloor

YoYInflationCollar

信用

信用违约互换

信用违约互换期权

期权

普通期权

亚式期权

障碍期权

篮子期权

Cliquet期权

远期期权

Quanto期权