cyhzzz 大宗商品业务插件 (Commodities)
概述
大宗商品业务插件是FICC业务插件层的重要组成部分，专注于大宗商品市场的分析、交易和风险管理，包括贵金属（黄金、白银、铂金）、能源（原油、天然气）、基本金属（铜、铝、锌）等。
功能模块
1. 贵金属分析
class PreciousMetalAnalyzer:
"""贵金属分析器"""
def analyze_gold_market(self, market_data):
"""
分析黄金市场
包括：价格走势、波动率分析、与美元指数相关性、实际利率影响
"""
pass
def calculate_lease_rate(self, spot_price, forward_price, tenor):
"""
计算黄金租赁利率
Lease Rate = (Forward / Spot - 1) / Tenor
"""
pass
def analyze_gold_silver_ratio(self, gold_price, silver_price):
"""
分析金银比
识别金银比交易机会
"""
pass
def calculate_storage_cost(self, metal_type, quantity, duration):
"""
计算仓储成本
包括：保险、安保、运输、融资成本
"""
pass
2. 能源分析
class EnergyAnalyzer:
"""能源分析器"""
def analyze_crude_oil_curve(self, futures_data):
"""
分析原油期货曲线
包括：期限结构（Contango/Backwardation）、裂解价差
"""
pass
def calculate_crack_spread(self, crude_price, product_prices):
"""
计算裂解价差
3:2:1 Crack Spread = (2 * Gasoline + 1 * Diesel - 3 * Crude) / 3
"""
pass
def analyze_natural_gas_storage(self, storage_data, injection_withdrawal):
"""
分析天然气库存
季节性分析、供需平衡
"""
pass
def calculate_convenience_yield(self, spot_price, futures_price, rate, storage_cost, tenor):
"""
计算便利收益
反映持有实物商品的非货币收益
"""
pass
3. 基本金属分析
class BaseMetalAnalyzer:
"""基本金属分析器"""
def analyze_copper_market(self, market_data, inventory_data, china_demand):
"""
分析铜市场
关注：全球库存、中国需求、矿山供应、废铜供应
"""
pass
def calculate_lme_basis(self, lme_price, domestic_price, fx_rate, duties, freight):
"""
计算LME基差
识别内外盘套利机会
"""
pass
def analyze_inventory_cycle(self, inventory_data, consumption_data, production_data):
"""
分析库存周期
识别主动补库、被动补库、主动去库、被动去库阶段
"""
pass
def calculate_mining_cost_curve(self, mine_production_data):
"""
计算矿山成本曲线
分析价格支撑位、90分位成本线
"""
pass
4. 商品衍生品定价
class CommodityDerivativePricer:
"""商品衍生品定价器"""
def price_commodity_future(self, spot_price, cost_of_carry, convenience_yield, rate, tenor):
"""
定价商品期货
F = S × exp((r + u - y) × T)
u: storage cost rate
y: convenience yield
"""
pass
def price_commodity_option(self, option_params, market_data, model="black_76"):
"""
定价商品期权
Models: Black-76, Black-Scholes, American Binomial
"""
pass
def price_commodity_swap(self, swap_params, forward_curve, discount_curve):
"""
定价商品互换
包括：浮动对固定、浮动对浮动、基差互换
"""
pass
def price_gold_lease(self, lease_params, gold_rate_curve):
"""
定价黄金租赁
"""
pass
与核心插件的集成
# 商品业务插件使用核心服务示例
from core_plugins.ficc_core import CurveBuilder, PricingEngine
from core_plugins.risk_management import MarketRiskManager
class CommoditiesPlugin:
def __init__(self):
self.curve_builder = CurveBuilder()
self.risk_manager = MarketRiskManager()
self.gold_analyzer = PreciousMetalAnalyzer()
self.energy_analyzer = EnergyAnalyzer()
self.pricer = CommodityDerivativePricer()
def analyze_gold_portfolio(self, gold_positions, market_data):
# 分析黄金市场
market_analysis = self.gold_analyzer.analyze_gold_market(
market_data=market_data
)
# 计算租赁利率
for position in gold_positions:
if position.is_lease:
lease_rate = self.gold_analyzer.calculate_lease_rate(
spot_price=market_data.spot_price,
forward_price=market_data.forward_price,
tenor=position.tenor
)
# 衍生品定价
for option in gold_positions.options:
option_price = self.pricer.price_commodity_option(
option_params=option.params,
market_data=market_data,
model="black_76"
)
# 风险计算
var_result = self.risk_manager.calculate_var(
portfolio=gold_positions,
method="historical",
confidence=0.99
)
return {
"market_analysis": market_analysis,
"var_result": var_result
}
依赖项
- pandas >= 2.0.0
- numpy >= 1.24.0