Financepy Derivatives

基于 FinancePy 框架的金融工具日期处理与定价能力，支持多国节假日日历与天数计数约定处理，生成债券和互换现金流调度，计算收益率和价格。

Security Scan

The skill's description (FinancePy derivatives/date utilities) is broadly consistent with its contents, but the runtime instructions reference additional dependencies (ZVT, Python 3.12+, env paths like ZVT_HOME, pip installs and local filesystem checks) that are not declared in the registry metadata — this mismatch warrants caution.

Purpose & Capability

Name/description describe FinancePy date & pricing utilities and that matches the contained references and use cases. However the SKILL.md and human_summary also embed an end-to-end ZVT-based quant pipeline (data fetch/backtest) and require ZVT-related preconditions; the registry metadata declared no required binaries, env vars or config paths, creating a mismatch between claimed minimal requirements and actual capabilities/dependencies.

Instruction Scope

SKILL.md instructs the agent to run Python precondition checks (python3 -c ...), inspect or create files under ZVT_HOME (~/.zvt), run pip install zvt if missing, reload seed.yaml and consult multiple internal reference files. Those actions involve reading/writing local filesystem state and invoking Python — they go beyond a purely passive documentation skill and are not reflected in the declared requirements.

Install Mechanism

This is an instruction-only skill with no install spec or archive downloads, which lowers install-time risk. The SKILL.md does suggest using Python 3.12+ and an environment (uv package manager) and includes fallback pip install instructions in preconditions, but no remote arbitrary binary fetches or extract operations are present.

Credentials

Registry metadata lists no required environment variables, but SKILL.md and references read ZVT_HOME and run checks that depend on Python packages and writable host directories. The skill also references external data providers (eastmoney, joinquant, qmt) that may require separate credentials (not declared). The requested access is plausible for a backtest/data pipeline, but the skill should have declared these requirements.

Persistence & Privilege

always:false and normal autonomous invocation setting. The skill does not declare force-install or modification of other skills or global agent settings. The instructions will create/check files under its own expected data directory (~/.zvt), which is typical for a data/backtest tool.

What to consider before installing

This skill mixes FinancePy pricing functionality with a ZVT-based data/backtest pipeline but the registry metadata doesn't declare the runtime requirements it actually expects. Before installing or invoking: (1) expect to have Python 3.12+ and be prepared to let the agent run python -c checks and possibly pip-install 'zvt'; (2) confirm you are comfortable the agent may read/write a ZVT home directory (defaults to ~/.zvt) and may attempt to fetch market data from providers (some require API keys/accounts); (3) if you need only pure pricing utilities (no data collection/backtest), ask the skill/author for a minimal variant that does not require ZVT or filesystem changes. If you plan to run the skill, run it in a controlled environment (virtualenv or isolated container) and review/backup any existing ~/.zvt content first.

FinancePy 衍生品定价 (financepy-derivatives)

基于 FinancePy 框架的金融工具日期处理与定价能力，支持多国节假日日历与天数计数约定处理，生成债券和互换现金流调度，计算收益率和价格。

Pipeline

data_collection -> data_storage -> factor_computation -> target_selection -> trading_execution -> visualization

Top Use Cases (88 total)

Holiday Calendar Usage (UC-101)

Determining business days and holidays for different countries to correctly schedule financial transactions and settlements Triggers: calendar, holiday, business days

Financial Date Creation and Manipulation (UC-103)

Creating and manipulating financial dates including adding days, months, tenors, and handling weekends for trade scheduling Triggers: date creation, add days, add months

Day Count Conventions Introduction (UC-104)

Calculating year fractions and day counts using various conventions (ACT/360, ACT/365, 30/360) for interest accrual calculations Triggers: day count, year fraction, accrued interest

For all 88 use cases, see references/USE_CASES.md.

Execute trigger: When user intent matches intent_router.uc_entries[].positive_terms AND user uses action verb (run/execute/跑/执行/backtest/fetch/collect)

What I'll Ask You

• Target market: A-share (default), HK, or crypto? (US stocks in ZVT are half-baked — stockus_nasdaq_AAPL exists but coverage is thin)
• Data source / provider: eastmoney (free, no account), joinquant (account+paid), baostock (free, good history), akshare, or qmt (broker)?
• Strategy type: MACD golden-cross, MA crossover, volume breakout, fundamental screen, or custom factor?
• Time range: start_timestamp and end_timestamp for backtest period
• Target entity IDs: specific stocks (stock_sh_600000) or index components (SZ1000)?

Semantic Locks (Fatal)

ID	Rule	On Violation
SL-01	Execute sell orders before buy orders in every trading cycle	halt
SL-02	Trading signals MUST use next-bar execution (no look-ahead)	halt
SL-03	Entity IDs MUST follow format entity_type_exchange_code	halt
SL-04	DataFrame index MUST be MultiIndex (entity_id, timestamp)	halt
SL-05	TradingSignal MUST have EXACTLY ONE of: position_pct, order_money, order_amount	halt
SL-06	filter_result column semantics: True=BUY, False=SELL, None/NaN=NO ACTION	halt
SL-07	Transformer MUST run BEFORE Accumulator in factor pipeline	halt
SL-08	MACD parameters locked: fast=12, slow=26, signal=9	halt

Full lock definitions: references/LOCKS.md

Top Anti-Patterns (15 total)

• AP-DERIVATIVES-PRICING-001: Instrument NPV called without attached pricing engine
• AP-DERIVATIVES-PRICING-002: BSM forward price ignores dividend yield
• AP-DERIVATIVES-PRICING-003: Negative discount factors passed to log-domain interpolation

All 15 anti-patterns: references/ANTI_PATTERNS.md

Evidence Quality Notice

[QUALITY NOTICE] This crystal was compiled from blueprint finance-bp-101. Evidence verify ratio = 3.4% and audit fail total = 34. Generated results may have uncaptured requirement gaps. Verify critical decisions against source files (LATEST.yaml / LATEST.jsonl).

Reference Files

File	Contents	When to Load
references/seed.yaml	V6+ 全量权威 (source-of-truth)	有行为/决策争议时必读
references/ANTI_PATTERNS.md	15 条跨项目反模式	开始实现前
references/WISDOM.md	跨项目精华借鉴	架构决策时
references/CONSTRAINTS.md	domain + fatal 约束	规则冲突时
references/USE_CASES.md	全量 KUC-* 业务场景	需要完整示例时
references/LOCKS.md	SL-* + preconditions + hints	生成回测/交易代码前
references/COMPONENTS.md	AST 组件地图（按 module 拆分）	查 API 时

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Compiled by Doramagic crystal-compilation-v6.1 from finance-bp-101 blueprint at 2026-04-22T13:00:46.579380+00:00. See human_summary.md for non-technical overview.