cyhzzz 固收业务插件 (Fixed Income)
概述
固收业务插件是FICC业务插件层的重要组成部分，专注于固定收益类产品的分析、估值和风险管理，包括利率债、信用债、利率衍生品等。
功能模块
1. 债券估值与分析
class BondAnalyzer:
"""债券分析器"""
def calculate_ytm(self, bond, price):
"""计算到期收益率(YTM)"""
pass
def calculate_duration(self, bond, yield_curve):
"""
计算久期
- Modified Duration: 修正久期
- Macaulay Duration: 麦考利久期
- Effective Duration: 有效久期（含权债）
"""
pass
def calculate_convexity(self, bond, yield_curve):
"""计算凸性"""
pass
def calculate_carry(self, bond, funding_rate):
"""
计算Carry
Carry = Coupon Income - Funding Cost
"""
pass
def calculate_roll_down(self, bond, yield_curve, horizon=1):
"""
计算Roll-down收益
假设收益率曲线不变，债券沿曲线向短期移动带来的价格变化
"""
pass
2. 债券组合分析
class BondPortfolioAnalyzer:
"""债券组合分析器"""
def calculate_portfolio_yield(self, portfolio):
"""计算组合收益率"""
pass
def calculate_portfolio_duration(self, portfolio):
"""计算组合久期"""
pass
def calculate_key_rate_duration(self, portfolio, key_tenors):
"""
计算关键利率久期(KRD)
分析组合对不同期限利率变动的敏感度
"""
pass
def calculate_yield_curve_exposure(self, portfolio):
"""
计算收益率曲线敞口
分析组合对曲线平行移动、陡峭化、平坦化的敏感度
"""
pass
def attribution_analysis(self, portfolio, start_date, end_date):
"""
归因分析
分解组合收益来源：
1. Carry (票息收入)
2. Roll-down (骑乘效应)
3. Rate Change (利率变动)
4. Spread Change (利差变动)
5. Selection (个券选择)
"""
pass
3. 信用分析
class CreditAnalyzer:
"""信用分析器"""
def calculate_spread_metrics(self, bond, benchmark_curve):
"""
计算利差指标
- G-Spread: 相对于政府债的利差
- I-Spread: 相对于互换曲线的利差
- Z-Spread: 零波动率利差
- ASW: 资产互换利差
"""
pass
def calculate_credit_metrics(self, bond):
"""
计算信用指标
- 违约概率(PD)
- 违约损失率(LGD)
- 预期损失(EL)
"""
pass
def analyze_credit_curve(self, issuer_curve):
"""
分析信用曲线
分析同一发行人在不同期限的信用利差结构
"""
pass
4. 利率衍生品分析
class RatesDerivativeAnalyzer:
"""利率衍生品分析器"""
def price_ir_swap(self, swap_params, discount_curve, forward_curve):
"""
定价利率互换
计算：
- 固定端现值
- 浮动端现值
- 互换价值（对固定端支付方）
"""
pass
def price_swaption(self, swaption_params, discount_curve, vol_surface):
"""
定价互换期权
Models: Black, Normal, SABR
"""
pass
def price_cap_floor(self, cap_floor_params, discount_curve, vol_surface):
"""定价利率上限/下限"""
pass
def calculate_swap_risk_metrics(self, swap, curves):
"""
计算互换风险指标
- PV01: 利率变动1bp对价值的影响
- Bucketed PV01: 各期限的PV01
- Convexity: 凸性调整
"""
pass
与核心插件的集成
# 固收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 FixedIncomePlugin:
def __init__(self):
self.curve_builder = CurveBuilder()
self.pricing_engine = PricingEngine()
self.risk_manager = MarketRiskManager()
self.bond_analyzer = BondAnalyzer()
self.portfolio_analyzer = BondPortfolioAnalyzer()
def analyze_bond_portfolio(self, portfolio, market_data):
# 构建收益率曲线
yield_curve = self.curve_builder.build_yield_curve(
instruments=market_data.get_instruments(),
method="cubic_spline"
)
# 组合分析
portfolio_metrics = {
"yield": self.portfolio_analyzer.calculate_portfolio_yield(portfolio),
"duration": self.portfolio_analyzer.calculate_portfolio_duration(portfolio),
"krd": self.portfolio_analyzer.calculate_key_rate_duration(
portfolio,
key_tenors=[0.5, 1, 2, 5, 10]
),
"attribution": self.portfolio_analyzer.attribution_analysis(
portfolio,
start_date="2024-01-01",
end_date="2024-12-31"
)
}
# 风险计算
var_result = self.risk_manager.calculate_var(
portfolio=portfolio,
method="historical",
confidence=0.99
)
return {
"portfolio_metrics": portfolio_metrics,
"risk_metrics": var_result,
"yield_curve": yield_curve
}
依赖项
- pandas >= 2.0.0
- numpy >= 1.24.0
- scipy >= 1.11.0