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@@ -27,218 +27,261 @@ export const palette = {
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// === §D.1 30Y-10Y 国债利差 ===
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export const SPREAD_RECENT = [
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- ['2026-06-15', 1.640, 2.022, 0.382],
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- ['2026-06-16', 1.633, 2.027, 0.394],
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- ['2026-06-17', 1.628, 2.022, 0.394],
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- ['2026-06-18', 1.625, 2.017, 0.392],
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- ['2026-06-19', 1.623, 2.013, 0.390],
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- ['2026-06-22', 1.625, 2.013, 0.388],
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- ['2026-06-23', 1.630, 2.017, 0.387],
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- ['2026-06-24', 1.636, 2.020, 0.384],
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- ['2026-06-25', 1.642, 2.026, 0.384],
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- ['2026-06-26', 1.640, 2.029, 0.389],
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- ['2026-06-29', 1.645, 2.034, 0.389],
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- ['2026-06-30', 1.651, 2.043, 0.392],
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- ['2026-07-01', 1.650, 2.041, 0.391],
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- ['2026-07-02', 1.646, 2.038, 0.392],
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- ['2026-07-03', 1.640, 2.030, 0.390],
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- ['2026-07-04', 1.636, 2.025, 0.389],
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- ['2026-07-07', 1.638, 2.027, 0.389],
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- ['2026-07-08', 1.645, 2.034, 0.389],
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- ['2026-07-09', 1.647, 2.037, 0.390],
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- ['2026-07-10', 1.645, 2.038, 0.393],
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- ['2026-07-11', 1.643, 2.038, 0.395],
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- ['2026-07-14', 1.650, 2.045, 0.395],
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- ['2026-07-15', 1.654, 2.051, 0.397],
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- ['2026-07-16', 1.659, 2.055, 0.396],
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- ['2026-07-17', 1.661, 2.058, 0.397],
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- ['2026-07-18', 1.666, 2.064, 0.398],
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- ['2026-07-21', 1.667, 2.063, 0.396],
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- ['2026-07-22', 1.673, 2.069, 0.396],
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- ['2026-07-23', 1.675, 2.073, 0.398],
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- ['2026-07-24', 1.673, 2.074, 0.401],
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- ['2026-07-25', 1.679, 2.080, 0.401],
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- ['2026-07-28', 1.682, 2.083, 0.401],
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- ['2026-07-29', 1.679, 2.080, 0.401],
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- ['2026-07-30', 1.682, 2.083, 0.401],
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- ['2026-07-31', 1.681, 2.083, 0.402],
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- ['2026-08-01', 1.685, 2.087, 0.402],
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- ['2026-08-04', 1.686, 2.087, 0.401],
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- ['2026-08-05', 1.689, 2.090, 0.401],
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- ['2026-08-06', 1.692, 2.094, 0.402],
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- ['2026-08-07', 1.694, 2.096, 0.402],
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- ['2026-08-08', 1.698, 2.100, 0.402],
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- ['2026-08-11', 1.696, 2.097, 0.401],
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- ['2026-08-12', 1.692, 2.094, 0.402],
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- ['2026-08-13', 1.689, 2.091, 0.402],
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- ['2026-08-14', 1.687, 2.089, 0.402],
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- ['2026-08-15', 1.685, 2.088, 0.403],
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- ['2026-08-18', 1.682, 2.084, 0.402],
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- ['2026-08-19', 1.679, 2.082, 0.403],
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- ['2026-08-20', 1.681, 2.084, 0.403],
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- ['2026-08-21', 1.677, 2.082, 0.405],
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- ['2026-08-22', 1.673, 2.080, 0.407],
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- ['2026-08-25', 1.668, 2.076, 0.408],
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- ['2026-08-26', 1.665, 2.072, 0.407],
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- ['2026-08-27', 1.662, 2.069, 0.407],
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- ['2026-08-28', 1.660, 2.066, 0.406],
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- ['2026-08-29', 1.658, 2.064, 0.406],
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- ['2026-09-01', 1.659, 2.067, 0.408],
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- ['2026-09-02', 1.657, 2.066, 0.409],
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- ['2026-09-03', 1.659, 2.069, 0.410],
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- ['2026-09-04', 1.661, 2.072, 0.411],
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- ['2026-09-05', 1.663, 2.075, 0.412],
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- ['2026-09-08', 1.665, 2.078, 0.413],
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- ['2026-09-09', 1.668, 2.081, 0.413],
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- ['2026-09-10', 1.670, 2.082, 0.412],
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- ['2026-09-11', 1.672, 2.083, 0.411],
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- ['2026-09-12', 1.673, 2.084, 0.411],
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- ['2026-09-15', 1.675, 2.085, 0.410],
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- ['2026-09-16', 1.674, 2.084, 0.410],
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- ['2026-09-17', 1.673, 2.082, 0.409],
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- ['2026-09-18', 1.672, 2.080, 0.408],
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- ['2026-09-19', 1.671, 2.078, 0.407],
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- ['2026-09-22', 1.669, 2.077, 0.408],
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- ['2026-09-23', 1.667, 2.075, 0.408],
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- ['2026-09-24', 1.668, 2.076, 0.408],
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- ['2026-09-25', 1.669, 2.076, 0.407],
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- ['2026-09-26', 1.670, 2.077, 0.407],
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- ['2026-09-29', 1.667, 2.074, 0.407],
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+ ['2026-06-15', 1.745, 2.221, 0.477],
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+ ['2026-06-16', 1.732, 2.217, 0.485],
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+ ['2026-06-17', 1.727, 2.218, 0.491],
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+ ['2026-06-18', 1.730, 2.220, 0.490],
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+ ['2026-06-22', 1.738, 2.222, 0.484],
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+ ['2026-06-23', 1.744, 2.229, 0.485],
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+ ['2026-06-24', 1.745, 2.231, 0.486],
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+ ['2026-06-25', 1.735, 2.220, 0.485],
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+ ['2026-06-26', 1.731, 2.218, 0.486],
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+ ['2026-06-29', 1.717, 2.209, 0.492],
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+ ['2026-06-30', 1.733, 2.236, 0.503],
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+ ['2026-07-01', 1.745, 2.252, 0.508],
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+ ['2026-07-02', 1.741, 2.258, 0.517],
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+ ['2026-07-03', 1.746, 2.268, 0.522],
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+ ['2026-07-06', 1.738, 2.255, 0.517],
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+ ['2026-07-07', 1.741, 2.260, 0.520],
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+ ['2026-07-08', 1.738, 2.255, 0.516],
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+ ['2026-07-09', 1.738, 2.252, 0.514],
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+ ['2026-07-10', 1.740, 2.253, 0.513],
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+ ['2026-07-13', 1.744, 2.263, 0.519],
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+ ['2026-07-14', 1.740, 2.256, 0.515],
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+ ['2026-07-15', 1.741, 2.247, 0.506],
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+ ['2026-07-16', 1.744, 2.252, 0.508],
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+ ['2026-07-17', 1.740, 2.243, 0.502],
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+ ['2026-07-20', 1.745, 2.249, 0.504],
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+ ['2026-07-21', 1.745, 2.248, 0.502],
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+ ['2026-07-22', 1.730, 2.212, 0.482],
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+ ['2026-07-23', 1.732, 2.204, 0.472],
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+ ['2026-07-24', 1.728, 2.187, 0.459],
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+ ['2026-07-27', 1.734, 2.193, 0.459],
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+ ['2026-07-28', 1.735, 2.194, 0.459],
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+ ['2026-07-29', 1.733, 2.206, 0.473],
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+ ['2026-07-30', 1.720, 2.185, 0.465],
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+ ['2026-07-31', 1.714, 2.188, 0.474],
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+ ['2026-08-03', 1.717, 2.189, 0.472],
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+ ['2026-08-04', 1.713, 2.184, 0.472],
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+ ['2026-08-05', 1.714, 2.187, 0.473],
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+ ['2026-08-06', 1.714, 2.189, 0.474],
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+ ['2026-08-07', 1.711, 2.178, 0.467],
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+ ['2026-08-10', 1.707, 2.158, 0.451],
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+ ['2026-08-11', 1.716, 2.169, 0.453],
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+ ['2026-08-12', 1.714, 2.173, 0.459],
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+ ['2026-08-13', 1.703, 2.160, 0.457],
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+ ['2026-08-14', 1.696, 2.164, 0.468],
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+ ['2026-08-17', 1.692, 2.162, 0.470],
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+ ['2026-08-18', 1.686, 2.151, 0.465],
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+ ['2026-08-19', 1.683, 2.135, 0.452],
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+ ['2026-08-20', 1.683, 2.132, 0.449],
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+ ['2026-08-21', 1.684, 2.132, 0.448],
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+ ['2026-08-24', 1.679, 2.122, 0.443],
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+ ['2026-08-25', 1.681, 2.129, 0.448],
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+ ['2026-08-26', 1.689, 2.134, 0.445],
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+ ['2026-08-27', 1.699, 2.144, 0.445],
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+ ['2026-08-28', 1.695, 2.148, 0.453],
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+ ['2026-08-31', 1.688, 2.148, 0.460],
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+ ['2026-09-01', 1.683, 2.138, 0.455],
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+ ['2026-09-02', 1.686, 2.143, 0.457],
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+ ['2026-09-03', 1.680, 2.132, 0.452],
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+ ['2026-09-04', 1.680, 2.134, 0.453],
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+ ['2026-09-07', 1.680, 2.132, 0.453],
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+ ['2026-09-08', 1.681, 2.138, 0.456],
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+ ['2026-09-09', 1.682, 2.138, 0.456],
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+ ['2026-09-10', 1.680, 2.139, 0.459],
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+ ['2026-09-11', 1.690, 2.146, 0.456],
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+ ['2026-09-14', 1.689, 2.151, 0.462],
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+ ['2026-09-15', 1.687, 2.140, 0.454],
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+ ['2026-09-16', 1.686, 2.138, 0.452],
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+ ['2026-09-17', 1.686, 2.139, 0.453],
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+ ['2026-09-18', 1.682, 2.126, 0.444],
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+ ['2026-09-20', 1.682, 2.121, 0.439],
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+ ['2026-09-21', 1.683, 2.119, 0.436],
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+ ['2026-09-22', 1.679, 2.111, 0.432],
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]
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// 当前利差快照
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export const SPREAD_LATEST = {
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- date: '2026-09-29',
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- y10: 1.667,
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- y30: 2.0735,
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- spread: 0.4065,
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+ date: '2026-09-22',
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+ y10: 1.679,
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+ y30: 2.111,
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+ spread: 0.4319,
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}
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// === §D.2 TL 合约基差(按日记录最新截面) ===
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export const TL_BASIS = [
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- { date: '2026-03-16', basis: 1.1702, code: '220008.IB', name: '22附息国债08', tenor: 26.10, price: 117.5754, ytm: 2.4085, fullBasis: 1.1702, netBasis: -0.0251, irr: 1.5012, impliedRate: 2.4471, basisSpread: 1.3198, contract: 'TL2612.CFE' },
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- { date: '2026-03-17', basis: 1.2140, code: '220008.IB', name: '22附息国债08', tenor: 26.10, price: 117.8093, ytm: 2.3975, fullBasis: 1.2140, netBasis: 0.0100, irr: 1.4435, impliedRate: 2.4379, basisSpread: 1.2669, contract: 'TL2612.CFE' },
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- { date: '2026-03-18', basis: 1.3989, code: '220008.IB', name: '22附息国债08', tenor: 26.10, price: 118.2372, ytm: 2.3775, fullBasis: 1.3989, netBasis: 0.2026, irr: 1.2224, impliedRate: 2.4262, basisSpread: 1.0729, contract: 'TL2612.CFE' },
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- { date: '2026-03-19', basis: 0.9600, code: '220008.IB', name: '22附息国债08', tenor: 26.09, price: 117.9674, ytm: 2.3900, fullBasis: 0.9600, netBasis: -0.2400, irr: 1.7222, impliedRate: 2.4181, basisSpread: 1.5026, contract: 'TL2612.CFE' },
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- { date: '2026-03-20', basis: 0.9650, code: '220008.IB', name: '22附息国债08', tenor: 26.09, price: 117.9740, ytm: 2.3895, fullBasis: 0.9650, netBasis: -0.2350, irr: 1.7172, impliedRate: 2.4176, basisSpread: 1.4976, contract: 'TL2612.CFE' },
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- { date: '2026-04-09', basis: 0.8331, code: '220008.IB', name: '22附息国债08', tenor: 25.95, price: 118.4521, ytm: 2.3694, fullBasis: 0.8331, netBasis: -0.3669, irr: 1.8719, impliedRate: 2.3970, basisSpread: 1.6378, contract: 'TL2612.CFE' },
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- { date: '2026-04-10', basis: 0.9014, code: '220008.IB', name: '22附息国债08', tenor: 25.94, price: 118.5525, ytm: 2.3653, fullBasis: 0.9014, netBasis: -0.2986, irr: 1.7820, impliedRate: 2.3929, basisSpread: 1.5487, contract: 'TL2612.CFE' },
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- { date: '2026-04-11', basis: 0.8729, code: '220008.IB', name: '22附息国债08', tenor: 25.93, price: 118.5310, ytm: 2.3660, fullBasis: 0.8729, netBasis: -0.3271, irr: 1.8204, impliedRate: 2.3936, basisSpread: 1.5874, contract: 'TL2612.CFE' },
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- { date: '2026-05-12', basis: 0.8833, code: '220008.IB', name: '22附息国债08', tenor: 25.78, price: 119.5127, ytm: 2.3314, fullBasis: 0.8833, netBasis: -0.3167, irr: 1.8124, impliedRate: 2.3589, basisSpread: 1.5750, contract: 'TL2612.CFE' },
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- { date: '2026-05-13', basis: 0.9015, code: '220008.IB', name: '22附息国债08', tenor: 25.78, price: 119.5480, ytm: 2.3305, fullBasis: 0.9015, netBasis: -0.2985, irr: 1.7853, impliedRate: 2.3580, basisSpread: 1.5479, contract: 'TL2612.CFE' },
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- { date: '2026-06-16', basis: 0.7500, code: '220008.IB', name: '22附息国债08', tenor: 25.61, price: 120.6601, ytm: 2.2960, fullBasis: 0.7500, netBasis: -0.4500, irr: 1.9750, impliedRate: 2.3235, basisSpread: 1.7375, contract: 'TL2612.CFE' },
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- { date: '2026-06-17', basis: 0.7117, code: '220008.IB', name: '22附息国债08', tenor: 25.61, price: 120.6122, ytm: 2.2975, fullBasis: 0.7117, netBasis: -0.4883, irr: 2.0258, impliedRate: 2.3250, basisSpread: 1.7883, contract: 'TL2612.CFE' },
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- { date: '2026-07-15', basis: 0.6012, code: '220008.IB', name: '22附息国债08', tenor: 25.45, price: 121.4032, ytm: 2.2730, fullBasis: 0.6012, netBasis: -0.5988, irr: 2.1662, impliedRate: 2.3005, basisSpread: 1.9288, contract: 'TL2612.CFE' },
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- { date: '2026-07-16', basis: 0.5843, code: '220008.IB', name: '22附息国债08', tenor: 25.44, price: 121.3855, ytm: 2.2735, fullBasis: 0.5843, netBasis: -0.6157, irr: 2.1883, impliedRate: 2.3010, basisSpread: 1.9509, contract: 'TL2612.CFE' },
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- { date: '2026-08-13', basis: 0.4990, code: '220008.IB', name: '22附息国债08', tenor: 25.30, price: 122.0501, ytm: 2.2529, fullBasis: 0.4990, netBasis: -0.7010, irr: 2.2923, impliedRate: 2.2804, basisSpread: 2.0548, contract: 'TL2612.CFE' },
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- { date: '2026-08-14', basis: 0.5148, code: '220008.IB', name: '22附息国债08', tenor: 25.29, price: 122.0833, ytm: 2.2520, fullBasis: 0.5148, netBasis: -0.6852, irr: 2.2725, impliedRate: 2.2795, basisSpread: 2.0350, contract: 'TL2612.CFE' },
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- { date: '2026-09-08', basis: 0.4521, code: '220008.IB', name: '22附息国债08', tenor: 25.65, price: 123.6701, ytm: 2.1101, fullBasis: 0.4521, netBasis: -0.7479, irr: 2.3493, impliedRate: 2.1376, basisSpread: 2.0967, contract: 'TL2612.CFE' },
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- { date: '2026-09-09', basis: 0.4387, code: '220008.IB', name: '22附息国债08', tenor: 25.64, price: 123.6998, ytm: 2.1090, fullBasis: 0.4387, netBasis: -0.7613, irr: 2.3667, impliedRate: 2.1365, basisSpread: 2.1141, contract: 'TL2612.CFE' },
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- { date: '2026-09-10', basis: 0.4112, code: '220008.IB', name: '22附息国债08', tenor: 25.64, price: 123.5822, ytm: 2.1120, fullBasis: 0.4112, netBasis: -0.7888, irr: 2.4034, impliedRate: 2.1395, basisSpread: 2.1508, contract: 'TL2612.CFE' },
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- { date: '2026-09-11', basis: 0.4389, code: '220008.IB', name: '22附息国债08', tenor: 25.63, price: 123.6322, ytm: 2.1107, fullBasis: 0.4389, netBasis: -0.7611, irr: 2.3665, impliedRate: 2.1382, basisSpread: 2.1139, contract: 'TL2612.CFE' },
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- { date: '2026-09-15', basis: 0.4652, code: '220008.IB', name: '22附息国债08', tenor: 25.61, price: 123.7218, ytm: 2.1080, fullBasis: 0.4652, netBasis: -0.7348, irr: 2.3326, impliedRate: 2.1355, basisSpread: 2.0800, contract: 'TL2612.CFE' },
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- { date: '2026-09-16', basis: 0.4338, code: '220008.IB', name: '22附息国债08', tenor: 25.60, price: 123.7622, ytm: 2.1070, fullBasis: 0.4338, netBasis: -0.7662, irr: 2.3734, impliedRate: 2.1345, basisSpread: 2.1208, contract: 'TL2612.CFE' },
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- { date: '2026-09-17', basis: 0.4105, code: '220008.IB', name: '22附息国债08', tenor: 25.60, price: 123.7221, ytm: 2.1080, fullBasis: 0.4105, netBasis: -0.7895, irr: 2.4044, impliedRate: 2.1355, basisSpread: 2.1519, contract: 'TL2612.CFE' },
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- { date: '2026-09-18', basis: 0.4203, code: '220008.IB', name: '22附息国债08', tenor: 25.59, price: 123.8291, ytm: 2.1050, fullBasis: 0.4203, netBasis: -0.7797, irr: 2.3916, impliedRate: 2.1325, basisSpread: 2.1392, contract: 'TL2612.CFE' },
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- { date: '2026-09-19', basis: 0.4356, code: '220008.IB', name: '22附息国债08', tenor: 25.59, price: 123.9112, ytm: 2.1030, fullBasis: 0.4356, netBasis: -0.7644, irr: 2.3711, impliedRate: 2.1305, basisSpread: 2.1187, contract: 'TL2612.CFE' },
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- { date: '2026-09-22', basis: 0.4294, code: '220008.IB', name: '22附息国债08', tenor: 25.58, price: 124.0927, ytm: 2.0975, fullBasis: 0.4294, netBasis: 0.0652, irr: 1.1730, impliedRate: 2.1093, basisSpread: 0.3357, contract: 'TL2612.CFE' },
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+ { date: '2026-03-16', basis: 1.1702, code: '220008.IB', name: '22附息国债08', tenor: 26.1, price: 117.5754, ytm: 2.4085, fullBasis: 1.1702, netBasis: -0.0251, irr: 1.5012, impliedRate: 2.4471, basisSpread: 1.3198, contract: 'TL2612.CFE' },
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+ { date: '2026-03-17', basis: 1.214, code: '220008.IB', name: '22附息国债08', tenor: 26.1, price: 117.8093, ytm: 2.3975, fullBasis: 1.214, netBasis: 0.01, irr: 1.4435, impliedRate: 2.4379, basisSpread: 1.2669, contract: 'TL2612.CFE' },
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+ { date: '2026-03-18', basis: 1.3989, code: '220008.IB', name: '22附息国债08', tenor: 26.1, price: 118.2372, ytm: 2.3775, fullBasis: 1.3989, netBasis: 0.2026, irr: 1.2224, impliedRate: 2.4262, basisSpread: 1.0729, contract: 'TL2612.CFE' },
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+ { date: '2026-03-19', basis: 0.96, code: '220008.IB', name: '22附息国债08', tenor: 26.09, price: 117.9674, ytm: 2.39, fullBasis: 0.96, netBasis: -0.24, irr: 1.7222, impliedRate: 2.4181, basisSpread: 1.5026, contract: 'TL2612.CFE' },
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+ { date: '2026-03-20', basis: 1.2946, code: '220008.IB', name: '22附息国债08', tenor: 26.09, price: 117.8054, ytm: 2.3975, fullBasis: 1.2946, netBasis: 0.0919, irr: 1.3351, impliedRate: 2.442, basisSpread: 1.159, contract: 'TL2612.CFE' },
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+ { date: '2026-04-09', basis: 0.9838, code: '220008.IB', name: '22附息国债08', tenor: 26.04, price: 119.016, ytm: 2.34, fullBasis: 0.9838, netBasis: -0.1905, irr: 1.5848, impliedRate: 2.3691, basisSpread: 1.2873, contract: 'TL2612.CFE' },
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+ { date: '2026-04-10', basis: 1.3569, code: '220008.IB', name: '22附息国债08', tenor: 26.03, price: 119.5792, ytm: 2.314, fullBasis: 1.3569, netBasis: 0.186, irr: 1.1135, impliedRate: 2.3601, basisSpread: 0.9051, contract: 'TL2612.CFE' },
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+ { date: '2026-05-12', basis: 1.0028, code: '220008.IB', name: '22附息国债08', tenor: 25.95, price: 119.9436, ytm: 2.295, fullBasis: 1.0028, netBasis: -0.0413, irr: 1.3609, impliedRate: 2.3262, basisSpread: 0.9686, contract: 'TL2612.CFE' },
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+ { date: '2026-05-13', basis: 0.9672, code: '220008.IB', name: '22附息国债08', tenor: 25.94, price: 119.8657, ytm: 2.2985, fullBasis: 0.9672, netBasis: -0.0775, irr: 1.4055, impliedRate: 2.3282, basisSpread: 0.9952, contract: 'TL2612.CFE' },
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+ { date: '2026-06-16', basis: 0.8037, code: '220008.IB', name: '22附息国债08', tenor: 25.85, price: 120.9383, ytm: 2.247, fullBasis: 0.8037, netBasis: 0.0483, irr: 1.41, impliedRate: 2.2703, basisSpread: 0.8503, contract: 'TL2612.CFE' },
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+ { date: '2026-06-17', basis: 0.8118, code: '220008.IB', name: '22附息国债08', tenor: 25.85, price: 121.1788, ytm: 2.236, fullBasis: 0.8118, netBasis: 0.0496, irr: 1.3864, impliedRate: 2.2596, basisSpread: 0.8332, contract: 'TL2612.CFE' },
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+ { date: '2026-07-15', basis: 0.656, code: '220008.IB', name: '22附息国债08', tenor: 25.77, price: 121.0442, ytm: 2.24, fullBasis: 0.656, netBasis: -0.0068, irr: 1.4464, impliedRate: 2.2586, basisSpread: 0.7349, contract: 'TL2612.CFE' },
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+ { date: '2026-07-16', basis: 0.6886, code: '220008.IB', name: '22附息国债08', tenor: 25.77, price: 120.8232, ytm: 2.25, fullBasis: 0.6886, netBasis: 0.0327, irr: 1.3759, impliedRate: 2.2703, basisSpread: 0.6933, contract: 'TL2612.CFE' },
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+ { date: '2026-08-13', basis: 0.5203, code: '220008.IB', name: '22附息国债08', tenor: 25.69, price: 123.7293, ytm: 2.117, fullBasis: 0.5203, netBasis: -0.0175, irr: 1.4423, impliedRate: 2.1297, basisSpread: 0.6076, contract: 'TL2612.CFE' },
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+ { date: '2026-08-14', basis: 0.5592, code: '220008.IB', name: '22附息国债08', tenor: 25.69, price: 123.8739, ytm: 2.1105, fullBasis: 0.5592, netBasis: 0.024, irr: 1.3375, impliedRate: 2.125, basisSpread: 0.5596, contract: 'TL2612.CFE' },
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+ { date: '2026-09-08', basis: 0.4574, code: '220008.IB', name: '22附息国债08', tenor: 25.62, price: 123.4446, ytm: 2.1275, fullBasis: 0.4574, netBasis: 0.0288, irr: 1.3081, impliedRate: 2.1397, basisSpread: 0.4346, contract: 'TL2612.CFE' },
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+ { date: '2026-09-09', basis: 0.3678, code: '220008.IB', name: '22附息国债08', tenor: 25.62, price: 123.3867, ytm: 2.13, fullBasis: 0.3678, netBasis: -0.0525, irr: 1.5672, impliedRate: 2.1383, basisSpread: 0.5151, contract: 'TL2612.CFE' },
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+ { date: '2026-09-11', basis: 0.4195, code: '220008.IB', name: '22附息国债08', tenor: 25.61, price: 123.0475, ytm: 2.145, fullBasis: 0.4195, netBasis: 0.0162, irr: 1.3871, impliedRate: 2.1559, basisSpread: 0.4453, contract: 'TL2612.CFE' },
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+ { date: '2026-09-15', basis: 0.437, code: '220008.IB', name: '22附息国债08', tenor: 25.6, price: 123.1072, ytm: 2.142, fullBasis: 0.437, netBasis: 0.0514, irr: 1.2728, impliedRate: 2.154, basisSpread: 0.3915, contract: 'TL2612.CFE' },
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+ { date: '2026-09-16', basis: 0.5146, code: '220008.IB', name: '22附息国债08', tenor: 25.6, price: 123.2059, ytm: 2.1375, fullBasis: 0.5146, netBasis: 0.1374, irr: 1.0014, impliedRate: 2.1531, basisSpread: 0.3049, contract: 'TL2612.CFE' },
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+ { date: '2026-09-17', basis: 0.4705, code: '220008.IB', name: '22附息国债08', tenor: 25.59, price: 123.2041, ytm: 2.1375, fullBasis: 0.4705, netBasis: 0.1019, irr: 1.1289, impliedRate: 2.1512, basisSpread: 0.3399, contract: 'TL2612.CFE' },
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+ { date: '2026-09-18', basis: 0.4453, code: '220008.IB', name: '22附息国债08', tenor: 25.59, price: 123.5381, ytm: 2.1225, fullBasis: 0.4453, netBasis: 0.0785, irr: 1.1928, impliedRate: 2.1349, basisSpread: 0.356, contract: 'TL2612.CFE' },
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+ { date: '2026-09-22', basis: 0.4294, code: '220008.IB', name: '22附息国债08', tenor: 25.58, price: 124.0927, ytm: 2.0975, fullBasis: 0.4294, netBasis: 0.0652, irr: 1.173, impliedRate: 2.1093, basisSpread: 0.3357, contract: 'TL2612.CFE' },
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]
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// === §D.3 T 合约基差 ===
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export const T_BASIS = [
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- { date: '2026-06-12', basis: 0.128, code: '260012.IB', name: '26附息国债12', tenor: 7.00, price: 99.9079, ytm: 1.574, fullBasis: 0.128, netBasis: 0.0784, irr: 1.3014, impliedRate: 1.5954, basisSpread: 0.6413, contract: 'T2612.CFE' },
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- { date: '2026-06-13', basis: 0.0835, code: '260012.IB', name: '26附息国债12', tenor: 6.99, price: 99.8817, ytm: 1.578, fullBasis: 0.0835, netBasis: 0.0401, irr: 1.388, impliedRate: 1.5924, basisSpread: 0.6687, contract: 'T2612.CFE' },
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- { date: '2026-06-16', basis: 0.1338, code: '260012.IB', name: '26附息国债12', tenor: 6.98, price: 99.8358, ytm: 1.585, fullBasis: 0.1338, netBasis: 0.1014, irr: 1.2826, impliedRate: 1.6082, basisSpread: 0.6141, contract: 'T2612.CFE' },
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- { date: '2026-06-17', basis: 0.1044, code: '260012.IB', name: '26附息国债12', tenor: 6.98, price: 99.8522, ytm: 1.5825, fullBasis: 0.1044, netBasis: 0.0957, irr: 1.3424, impliedRate: 1.6007, basisSpread: 0.6393, contract: 'T2612.CFE' },
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- { date: '2026-07-15', basis: 0.1563, code: '260012.IB', name: '26附息国债12', tenor: 6.91, price: 100.3128, ytm: 1.515, fullBasis: 0.1563, netBasis: 0.1142, irr: 1.2675, impliedRate: 1.5298, basisSpread: 0.5685, contract: 'T2612.CFE' },
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- { date: '2026-07-16', basis: 0.1228, code: '260012.IB', name: '26附息国债12', tenor: 6.90, price: 100.2923, ytm: 1.517, fullBasis: 0.1228, netBasis: 0.0873, irr: 1.3234, impliedRate: 1.5318, basisSpread: 0.6017, contract: 'T2612.CFE' },
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- { date: '2026-08-13', basis: 0.0945, code: '260012.IB', name: '26附息国债12', tenor: 6.83, price: 100.2012, ytm: 1.529, fullBasis: 0.0945, netBasis: 0.0612, irr: 1.3927, impliedRate: 1.5438, basisSpread: 0.6321, contract: 'T2612.CFE' },
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- { date: '2026-08-14', basis: 0.1071, code: '260012.IB', name: '26附息国债12', tenor: 6.82, price: 100.2184, ytm: 1.527, fullBasis: 0.1071, netBasis: 0.0748, irr: 1.3713, impliedRate: 1.5418, basisSpread: 0.6106, contract: 'T2612.CFE' },
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- { date: '2026-09-08', basis: 0.0587, code: '260012.IB', name: '26附息国债12', tenor: 6.76, price: 100.3829, ytm: 1.502, fullBasis: 0.0587, netBasis: 0.0208, irr: 1.4508, impliedRate: 1.5128, basisSpread: 0.5418, contract: 'T2612.CFE' },
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- { date: '2026-09-09', basis: 0.0612, code: '260012.IB', name: '26附息国债12', tenor: 6.76, price: 100.3958, ytm: 1.500, fullBasis: 0.0612, netBasis: 0.0234, irr: 1.4466, impliedRate: 1.5108, basisSpread: 0.5376, contract: 'T2612.CFE' },
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- { date: '2026-09-10', basis: 0.0723, code: '260012.IB', name: '26附息国债12', tenor: 6.76, price: 100.4085, ytm: 1.498, fullBasis: 0.0723, netBasis: 0.0351, irr: 1.4278, impliedRate: 1.5088, basisSpread: 0.5189, contract: 'T2612.CFE' },
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- { date: '2026-09-11', basis: 0.0645, code: '260012.IB', name: '26附息国债12', tenor: 6.75, price: 100.4012, ytm: 1.499, fullBasis: 0.0645, netBasis: 0.0272, irr: 1.4408, impliedRate: 1.5098, basisSpread: 0.5318, contract: 'T2612.CFE' },
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- { date: '2026-09-15', basis: 0.0521, code: '260012.IB', name: '26附息国债12', tenor: 6.74, price: 100.4212, ytm: 1.495, fullBasis: 0.0521, netBasis: 0.0153, irr: 1.4618, impliedRate: 1.5058, basisSpread: 0.5528, contract: 'T2612.CFE' },
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- { date: '2026-09-16', basis: 0.0589, code: '260012.IB', name: '26附息国债12', tenor: 6.73, price: 100.4189, ytm: 1.4955, fullBasis: 0.0589, netBasis: 0.0212, irr: 1.4506, impliedRate: 1.5063, basisSpread: 0.5416, contract: 'T2612.CFE' },
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- { date: '2026-09-17', basis: 0.0456, code: '260012.IB', name: '26附息国债12', tenor: 6.73, price: 100.4322, ytm: 1.493, fullBasis: 0.0456, netBasis: 0.0080, irr: 1.4725, impliedRate: 1.5038, basisSpread: 0.5634, contract: 'T2612.CFE' },
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- { date: '2026-09-18', basis: 0.0512, code: '260012.IB', name: '26附息国债12', tenor: 6.73, price: 100.4395, ytm: 1.4915, fullBasis: 0.0512, netBasis: 0.0136, irr: 1.4632, impliedRate: 1.5023, basisSpread: 0.5541, contract: 'T2612.CFE' },
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- { date: '2026-09-22', basis: 0.0399, code: '260012.IB', name: '26附息国债12', tenor: 6.73, price: 100.4427, ytm: 1.490, fullBasis: 0.0399, netBasis: 0.0022, irr: 1.3744, impliedRate: 1.4940, basisSpread: 0.3190, contract: 'T2612.CFE' },
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+ { date: '2026-06-19', basis: 0.128, code: '260012.IB', name: '26附息国债12', tenor: 7, price: 99.9079, ytm: 1.574, fullBasis: 0.128, netBasis: 0.0784, irr: 1.3014, impliedRate: 1.5954, basisSpread: 0.6413, contract: 'T2612.CFE' },
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+ { date: '2026-06-22', basis: 0.0835, code: '260012.IB', name: '26附息国债12', tenor: 6.99, price: 99.8817, ytm: 1.578, fullBasis: 0.0835, netBasis: 0.0401, irr: 1.388, impliedRate: 1.5924, basisSpread: 0.6687, contract: 'T2612.CFE' },
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+ { date: '2026-06-23', basis: 0.1338, code: '260012.IB', name: '26附息国债12', tenor: 6.98, price: 99.8358, ytm: 1.585, fullBasis: 0.1338, netBasis: 0.1014, irr: 1.2826, impliedRate: 1.6082, basisSpread: 0.6141, contract: 'T2612.CFE' },
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+ { date: '2026-06-24', basis: 0.1044, code: '260012.IB', name: '26附息国债12', tenor: 6.98, price: 99.8522, ytm: 1.5825, fullBasis: 0.1044, netBasis: 0.0957, irr: 1.3424, impliedRate: 1.6007, basisSpread: 0.6393, contract: 'T2612.CFE' },
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+ { date: '2026-06-25', basis: 0.1104, code: '260012.IB', name: '26附息国债12', tenor: 6.98, price: 99.9269, ytm: 1.5711, fullBasis: 0.1104, netBasis: 0.0864, irr: 1.3274, impliedRate: 1.5894, basisSpread: 0.629, contract: 'T2612.CFE' },
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+ { date: '2026-06-26', basis: 0.0889, code: '260012.IB', name: '26附息国债12', tenor: 6.98, price: 99.9833, ytm: 1.5625, fullBasis: 0.0889, netBasis: 0.0454, irr: 1.3708, impliedRate: 1.5767, basisSpread: 0.6462, contract: 'T2612.CFE' },
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+ { date: '2026-06-29', basis: 0.0726, code: '260012.IB', name: '26附息国债12', tenor: 6.97, price: 100.0815, ytm: 1.5475, fullBasis: 0.0726, netBasis: 0.0241, irr: 1.4011, impliedRate: 1.5581, basisSpread: 0.6496, contract: 'T2612.CFE' },
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+ { date: '2026-06-30', basis: 0.0587, code: '260012.IB', name: '26附息国债12', tenor: 6.96, price: 99.9668, ytm: 1.565, fullBasis: 0.0587, netBasis: 0.0123, irr: 1.432, impliedRate: 1.5745, basisSpread: 0.6593, contract: 'T2612.CFE' },
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+ { date: '2026-07-01', basis: 0.1458, code: '260012.IB', name: '26附息国债12', tenor: 6.96, price: 99.8524, ytm: 1.5825, fullBasis: 0.1458, netBasis: 0.0966, irr: 1.2422, impliedRate: 1.6074, basisSpread: 0.5679, contract: 'T2612.CFE' },
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+ { date: '2026-07-02', basis: 0.0797, code: '260012.IB', name: '26附息国债12', tenor: 6.96, price: 99.8687, ytm: 1.58, fullBasis: 0.0797, netBasis: 0.0192, irr: 1.3856, impliedRate: 1.5939, basisSpread: 0.6298, contract: 'T2612.CFE' },
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+ { date: '2026-07-03', basis: 0.1098, code: '260012.IB', name: '26附息国债12', tenor: 6.96, price: 99.8851, ytm: 1.5775, fullBasis: 0.1098, netBasis: 0.0338, irr: 1.3175, impliedRate: 1.5962, basisSpread: 0.5954, contract: 'T2612.CFE' },
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+ { date: '2026-07-06', basis: 0.0815, code: '260012.IB', name: '26附息国债12', tenor: 6.95, price: 99.9438, ytm: 1.5685, fullBasis: 0.0815, netBasis: 0.0053, irr: 1.3759, impliedRate: 1.582, basisSpread: 0.6109, contract: 'T2612.CFE' },
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+ { date: '2026-07-07', basis: 0.09, code: '260012.IB', name: '26附息国债12', tenor: 6.95, price: 99.934, ytm: 1.57, fullBasis: 0.09, netBasis: 0.0096, irr: 1.3555, impliedRate: 1.585, basisSpread: 0.5981, contract: 'T2612.CFE' },
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+ { date: '2026-07-08', basis: 0.0637, code: '260012.IB', name: '26附息国债12', tenor: 6.94, price: 99.9764, ytm: 1.5635, fullBasis: 0.0637, netBasis: -0.0135, irr: 1.4135, impliedRate: 1.5737, basisSpread: 0.6201, contract: 'T2612.CFE' },
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+ { date: '2026-07-09', basis: 0.0762, code: '260012.IB', name: '26附息国债12', tenor: 6.94, price: 99.9797, ytm: 1.563, fullBasis: 0.0762, netBasis: -0.0027, irr: 1.3839, impliedRate: 1.5752, basisSpread: 0.6034, contract: 'T2612.CFE' },
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+ { date: '2026-07-10', basis: 0.0722, code: '260012.IB', name: '26附息国债12', tenor: 6.94, price: 99.9666, ytm: 1.565, fullBasis: 0.0722, netBasis: -0.0042, irr: 1.3921, impliedRate: 1.5767, basisSpread: 0.603, contract: 'T2612.CFE' },
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+ { date: '2026-07-13', basis: 0.0579, code: '260012.IB', name: '26附息国债12', tenor: 6.93, price: 99.934, ytm: 1.57, fullBasis: 0.0579, netBasis: -0.0088, irr: 1.4227, impliedRate: 1.5797, basisSpread: 0.6045, contract: 'T2612.CFE' },
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+ { date: '2026-07-14', basis: 0.1016, code: '260012.IB', name: '26附息国债12', tenor: 6.93, price: 99.9731, ytm: 1.564, fullBasis: 0.1016, netBasis: 0.0365, irr: 1.3178, impliedRate: 1.5805, basisSpread: 0.5565, contract: 'T2612.CFE' },
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+ { date: '2026-07-15', basis: 0.0767, code: '260012.IB', name: '26附息国债12', tenor: 6.92, price: 99.9665, ytm: 1.565, fullBasis: 0.0767, netBasis: 0.0214, irr: 1.3756, impliedRate: 1.5775, basisSpread: 0.5772, contract: 'T2612.CFE' },
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+ { date: '2026-07-16', basis: 0.1076, code: '260012.IB', name: '26附息国债12', tenor: 6.92, price: 99.947, ytm: 1.568, fullBasis: 0.1076, netBasis: 0.0557, irr: 1.3005, impliedRate: 1.5857, basisSpread: 0.542, contract: 'T2612.CFE' },
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+ { date: '2026-07-17', basis: 0.0943, code: '260012.IB', name: '26附息国债12', tenor: 6.92, price: 99.9795, ytm: 1.563, fullBasis: 0.0943, netBasis: 0.0438, irr: 1.3305, impliedRate: 1.5782, basisSpread: 0.5511, contract: 'T2612.CFE' },
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+ { date: '2026-07-20', basis: 0.0992, code: '260012.IB', name: '26附息国债12', tenor: 6.91, price: 99.934, ytm: 1.57, fullBasis: 0.0992, netBasis: 0.0479, irr: 1.3143, impliedRate: 1.5865, basisSpread: 0.5334, contract: 'T2612.CFE' },
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+ { date: '2026-07-21', basis: 0.0755, code: '260012.IB', name: '26附息国债12', tenor: 6.91, price: 99.947, ytm: 1.568, fullBasis: 0.0755, netBasis: 0.0129, irr: 1.371, impliedRate: 1.5805, basisSpread: 0.5527, contract: 'T2612.CFE' },
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+ { date: '2026-07-22', basis: 0.0852, code: '260012.IB', name: '26附息国债12', tenor: 6.9, price: 100.0574, ytm: 1.551, fullBasis: 0.0852, netBasis: 0.0214, irr: 1.3441, impliedRate: 1.564, basisSpread: 0.5388, contract: 'T2612.CFE' },
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+ { date: '2026-07-23', basis: 0.0954, code: '260012.IB', name: '26附息国债12', tenor: 6.9, price: 99.9989, ytm: 1.56, fullBasis: 0.0954, netBasis: 0.0296, irr: 1.3177, impliedRate: 1.5752, basisSpread: 0.5243, contract: 'T2612.CFE' },
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+ { date: '2026-07-24', basis: 0.0885, code: '260012.IB', name: '26附息国债12', tenor: 6.9, price: 100.0378, ytm: 1.554, fullBasis: 0.0885, netBasis: 0.0274, irr: 1.333, impliedRate: 1.5678, basisSpread: 0.527, contract: 'T2612.CFE' },
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+ { date: '2026-07-27', basis: 0.0632, code: '260012.IB', name: '26附息国债12', tenor: 6.89, price: 99.9988, ytm: 1.56, fullBasis: 0.0632, netBasis: 0.0154, irr: 1.3938, impliedRate: 1.57, basisSpread: 0.5394, contract: 'T2612.CFE' },
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+ { date: '2026-07-28', basis: 0.0812, code: '260012.IB', name: '26附息国债12', tenor: 6.89, price: 99.9664, ytm: 1.565, fullBasis: 0.0812, netBasis: 0.0466, irr: 1.3462, impliedRate: 1.5782, basisSpread: 0.5171, contract: 'T2612.CFE' },
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+ { date: '2026-07-29', basis: 0.0814, code: '260012.IB', name: '26附息国债12', tenor: 6.88, price: 99.9987, ytm: 1.56, fullBasis: 0.0814, netBasis: 0.0604, irr: 1.3436, impliedRate: 1.573, basisSpread: 0.5126, contract: 'T2612.CFE' },
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+ { date: '2026-07-30', basis: 0.091, code: '260012.IB', name: '26附息国债12', tenor: 6.88, price: 100.0861, ytm: 1.5465, fullBasis: 0.091, netBasis: 0.0516, irr: 1.3157, impliedRate: 1.5603, basisSpread: 0.4988, contract: 'T2612.CFE' },
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+ { date: '2026-07-31', basis: 0.0712, code: '260012.IB', name: '26附息国债12', tenor: 6.88, price: 100.1671, ytm: 1.534, fullBasis: 0.0712, netBasis: 0.0307, irr: 1.3652, impliedRate: 1.5439, basisSpread: 0.5143, contract: 'T2612.CFE' },
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+ { date: '2026-08-03', basis: 0.0733, code: '260012.IB', name: '26附息国债12', tenor: 6.87, price: 100.128, ytm: 1.54, fullBasis: 0.0733, netBasis: 0.0238, irr: 1.3556, impliedRate: 1.5506, basisSpread: 0.4994, contract: 'T2612.CFE' },
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+ { date: '2026-08-04', basis: 0.0833, code: '260012.IB', name: '26附息国债12', tenor: 6.87, price: 100.225, ytm: 1.525, fullBasis: 0.0833, netBasis: 0.0205, irr: 1.3255, impliedRate: 1.5364, basisSpread: 0.4851, contract: 'T2612.CFE' },
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+ { date: '2026-08-05', basis: 0.0692, code: '260012.IB', name: '26附息国债12', tenor: 6.87, price: 100.1926, ytm: 1.53, fullBasis: 0.0692, netBasis: 0.0039, irr: 1.3629, impliedRate: 1.5394, basisSpread: 0.4949, contract: 'T2612.CFE' },
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+ { date: '2026-08-06', basis: 0.0993, code: '260012.IB', name: '26附息国债12', tenor: 6.86, price: 100.186, ytm: 1.531, fullBasis: 0.0993, netBasis: 0.0373, irr: 1.2781, impliedRate: 1.5454, basisSpread: 0.4606, contract: 'T2612.CFE' },
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+ { date: '2026-08-07', basis: 0.0622, code: '260012.IB', name: '26附息国债12', tenor: 6.86, price: 100.2085, ytm: 1.5275, fullBasis: 0.0622, netBasis: 0.0031, irr: 1.3792, impliedRate: 1.5357, basisSpread: 0.4934, contract: 'T2612.CFE' },
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+ { date: '2026-08-10', basis: 0.0727, code: '260012.IB', name: '26附息国债12', tenor: 6.85, price: 100.2373, ytm: 1.523, fullBasis: 0.0727, netBasis: 0.0177, irr: 1.3445, impliedRate: 1.5327, basisSpread: 0.4701, contract: 'T2612.CFE' },
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+ { date: '2026-08-11', basis: 0.0595, code: '260012.IB', name: '26附息国债12', tenor: 6.85, price: 100.192, ytm: 1.53, fullBasis: 0.0595, netBasis: 0.0037, irr: 1.3816, impliedRate: 1.5379, basisSpread: 0.479, contract: 'T2612.CFE' },
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+ { date: '2026-08-12', basis: 0.0943, code: '260012.IB', name: '26附息国债12', tenor: 6.85, price: 100.2177, ytm: 1.526, fullBasis: 0.0943, netBasis: 0.0403, irr: 1.2785, impliedRate: 1.5394, basisSpread: 0.4399, contract: 'T2612.CFE' },
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+ { date: '2026-08-13', basis: 0.091, code: '260012.IB', name: '26附息国债12', tenor: 6.84, price: 100.2693, ytm: 1.518, fullBasis: 0.091, netBasis: 0.0362, irr: 1.2854, impliedRate: 1.5305, basisSpread: 0.439, contract: 'T2612.CFE' },
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+ { date: '2026-08-14', basis: 0.0622, code: '260012.IB', name: '26附息国债12', tenor: 6.84, price: 100.3047, ytm: 1.5125, fullBasis: 0.0622, netBasis: 0.0062, irr: 1.3675, impliedRate: 1.5201, basisSpread: 0.4634, contract: 'T2612.CFE' },
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+ { date: '2026-08-17', basis: 0.0669, code: '260012.IB', name: '26附息国债12', tenor: 6.83, price: 100.3139, ytm: 1.511, fullBasis: 0.0669, netBasis: 0.0112, irr: 1.3487, impliedRate: 1.5193, basisSpread: 0.446, contract: 'T2612.CFE' },
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+ { date: '2026-08-18', basis: 0.0378, code: '260012.IB', name: '26附息国债12', tenor: 6.83, price: 100.3719, ytm: 1.502, fullBasis: 0.0378, netBasis: -0.0196, irr: 1.4346, impliedRate: 1.5052, basisSpread: 0.4707, contract: 'T2612.CFE' },
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+ { date: '2026-08-19', basis: -0.0209, code: '260012.IB', name: '26附息国债12', tenor: 6.83, price: 100.304, ytm: 1.5125, fullBasis: -0.0209, netBasis: -0.0759, irr: 1.6151, impliedRate: 1.5067, basisSpread: 0.5252, contract: 'T2612.CFE' },
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+ { date: '2026-08-20', basis: 0.0684, code: '260012.IB', name: '26附息国债12', tenor: 6.82, price: 100.32, ytm: 1.51, fullBasis: 0.0684, netBasis: 0.0156, irr: 1.3385, impliedRate: 1.5186, basisSpread: 0.4316, contract: 'T2612.CFE' },
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+ { date: '2026-08-21', basis: 0.0407, code: '260012.IB', name: '26附息国债12', tenor: 6.82, price: 100.3198, ytm: 1.51, fullBasis: 0.0407, netBasis: 0.0026, irr: 1.4232, impliedRate: 1.5141, basisSpread: 0.455, contract: 'T2612.CFE' },
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+ { date: '2026-08-24', basis: 0.0324, code: '260012.IB', name: '26附息国债12', tenor: 6.81, price: 100.4031, ytm: 1.497, fullBasis: 0.0324, netBasis: -0.0035, irr: 1.4451, impliedRate: 1.4992, basisSpread: 0.4505, contract: 'T2612.CFE' },
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+ { date: '2026-08-25', basis: 0.0348, code: '260012.IB', name: '26附息国债12', tenor: 6.81, price: 100.3643, ytm: 1.503, fullBasis: 0.0348, netBasis: 0.005, irr: 1.4368, impliedRate: 1.5059, basisSpread: 0.4438, contract: 'T2612.CFE' },
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+ { date: '2026-08-26', basis: 0.0546, code: '260012.IB', name: '26附息国债12', tenor: 6.81, price: 100.3062, ytm: 1.512, fullBasis: 0.0546, netBasis: 0.0172, irr: 1.372, impliedRate: 1.5186, basisSpread: 0.4198, contract: 'T2612.CFE' },
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+ { date: '2026-08-27', basis: 0.1056, code: '260012.IB', name: '26附息国债12', tenor: 6.81, price: 100.229, ytm: 1.524, fullBasis: 0.1056, netBasis: 0.0582, irr: 1.2029, impliedRate: 1.5394, basisSpread: 0.3645, contract: 'T2612.CFE' },
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+ { date: '2026-08-28', basis: 0.1183, code: '260012.IB', name: '26附息国债12', tenor: 6.8, price: 100.2417, ytm: 1.522, fullBasis: 0.1183, netBasis: 0.0686, irr: 1.1572, impliedRate: 1.5394, basisSpread: 0.3475, contract: 'T2612.CFE' },
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+ { date: '2026-08-31', basis: 0.1107, code: '260012.IB', name: '26附息国债12', tenor: 6.79, price: 100.2478, ytm: 1.521, fullBasis: 0.1107, netBasis: 0.0718, irr: 1.172, impliedRate: 1.5372, basisSpread: 0.3423, contract: 'T2612.CFE' },
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+ { date: '2026-09-01', basis: 0.085, code: '260012.IB', name: '26附息国债12', tenor: 6.79, price: 100.2862, ytm: 1.515, fullBasis: 0.085, netBasis: 0.0368, irr: 1.2568, impliedRate: 1.5268, basisSpread: 0.3638, contract: 'T2612.CFE' },
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+ { date: '2026-09-02', basis: 0.093, code: '260012.IB', name: '26附息国债12', tenor: 6.79, price: 100.2668, ytm: 1.518, fullBasis: 0.093, netBasis: 0.0424, irr: 1.2259, impliedRate: 1.5312, basisSpread: 0.3514, contract: 'T2612.CFE' },
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+ { date: '2026-09-03', basis: 0.0549, code: '260012.IB', name: '26附息国债12', tenor: 6.79, price: 100.334, ytm: 1.5075, fullBasis: 0.0549, netBasis: 0.004, irr: 1.3562, impliedRate: 1.5141, basisSpread: 0.3853, contract: 'T2612.CFE' },
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+ { date: '2026-09-04', basis: 0.0639, code: '260012.IB', name: '26附息国债12', tenor: 6.78, price: 100.3018, ytm: 1.5125, fullBasis: 0.0639, netBasis: 0.014, irr: 1.3226, impliedRate: 1.5208, basisSpread: 0.372, contract: 'T2612.CFE' },
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+ { date: '2026-09-07', basis: 0.0768, code: '260012.IB', name: '26附息国债12', tenor: 6.78, price: 100.3238, ytm: 1.509, fullBasis: 0.0768, netBasis: 0.0298, irr: 1.2682, impliedRate: 1.5193, basisSpread: 0.3463, contract: 'T2612.CFE' },
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+ { date: '2026-09-08', basis: 0.0941, code: '260012.IB', name: '26附息国债12', tenor: 6.77, price: 100.3045, ytm: 1.512, fullBasis: 0.0941, netBasis: 0.0486, irr: 1.2014, impliedRate: 1.5253, basisSpread: 0.3247, contract: 'T2612.CFE' },
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+ { date: '2026-09-09', basis: 0.0618, code: '260012.IB', name: '26附息国债12', tenor: 6.77, price: 100.3043, ytm: 1.512, fullBasis: 0.0618, netBasis: 0.0202, irr: 1.3183, impliedRate: 1.5201, basisSpread: 0.3527, contract: 'T2612.CFE' },
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+ { date: '2026-09-10', basis: 0.0801, code: '260012.IB', name: '26附息国债12', tenor: 6.77, price: 100.3042, ytm: 1.512, fullBasis: 0.0801, netBasis: 0.0435, irr: 1.247, impliedRate: 1.523, basisSpread: 0.3302, contract: 'T2612.CFE' },
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+ { date: '2026-09-11', basis: 0.0957, code: '260012.IB', name: '26附息国债12', tenor: 6.76, price: 100.2466, ytm: 1.521, fullBasis: 0.0957, netBasis: 0.0624, irr: 1.1846, impliedRate: 1.535, basisSpread: 0.3103, contract: 'T2612.CFE' },
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+ { date: '2026-09-14', basis: 0.0871, code: '260012.IB', name: '26附息国债12', tenor: 6.76, price: 100.2654, ytm: 1.518, fullBasis: 0.0871, netBasis: 0.0528, irr: 1.2066, impliedRate: 1.5305, basisSpread: 0.3061, contract: 'T2612.CFE' },
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+ { date: '2026-09-15', basis: 0.0597, code: '260012.IB', name: '26附息国债12', tenor: 6.75, price: 100.3067, ytm: 1.5115, fullBasis: 0.0597, netBasis: 0.0283, irr: 1.3114, impliedRate: 1.5193, basisSpread: 0.3292, contract: 'T2612.CFE' },
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+ { date: '2026-09-16', basis: 0.0635, code: '260012.IB', name: '26附息国债12', tenor: 6.75, price: 100.3289, ytm: 1.508, fullBasis: 0.0635, netBasis: 0.0358, irr: 1.2928, impliedRate: 1.5163, basisSpread: 0.3211, contract: 'T2612.CFE' },
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+ { date: '2026-09-17', basis: 0.0698, code: '260012.IB', name: '26附息国债12', tenor: 6.75, price: 100.3352, ytm: 1.507, fullBasis: 0.0698, netBasis: 0.0459, irr: 1.2641, impliedRate: 1.5163, basisSpread: 0.3105, contract: 'T2612.CFE' },
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+ { date: '2026-09-18', basis: 0.0594, code: '260012.IB', name: '26附息国债12', tenor: 6.75, price: 100.3797, ytm: 1.5, fullBasis: 0.0594, netBasis: 0.0331, irr: 1.3033, impliedRate: 1.5074, basisSpread: 0.3167, contract: 'T2612.CFE' },
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+ { date: '2026-09-21', basis: 0.0607, code: '260012.IB', name: '26附息国债12', tenor: 6.74, price: 100.3856, ytm: 1.499, fullBasis: 0.0607, netBasis: 0.025, irr: 1.2888, impliedRate: 1.5067, basisSpread: 0.3026, contract: 'T2612.CFE' },
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+ { date: '2026-09-22', basis: 0.0399, code: '260012.IB', name: '26附息国债12', tenor: 6.73, price: 100.4427, ytm: 1.49, fullBasis: 0.0399, netBasis: 0.0022, irr: 1.3744, impliedRate: 1.494, basisSpread: 0.319, contract: 'T2612.CFE' },
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]
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// === §D.4 3*T - TL 价差 ===
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// 3 * T (10年期期货结算价) - TL (30年期期货结算价)
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export const TRIPLE_T_TL = [
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- { date: '2026-06-15', t10: 107.85, t5: 104.95, t30: 115.05, val: 208.50 },
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- { date: '2026-06-16', t10: 107.92, t5: 104.99, t30: 115.18, val: 208.58 },
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- { date: '2026-06-17', t10: 107.88, t5: 104.95, t30: 115.13, val: 208.51 },
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- { date: '2026-06-18', t10: 107.93, t5: 105.01, t30: 115.20, val: 208.59 },
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- { date: '2026-06-22', t10: 108.05, t5: 105.10, t30: 115.35, val: 208.80 },
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- { date: '2026-06-23', t10: 108.10, t5: 105.14, t30: 115.40, val: 208.90 },
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- { date: '2026-06-24', t10: 108.18, t5: 105.21, t30: 115.48, val: 209.06 },
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- { date: '2026-06-25', t10: 108.25, t5: 105.28, t30: 115.55, val: 209.20 },
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- { date: '2026-06-26', t10: 108.20, t5: 105.24, t30: 115.50, val: 209.10 },
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- { date: '2026-06-29', t10: 108.30, t5: 105.31, t30: 115.60, val: 209.30 },
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- { date: '2026-06-30', t10: 108.40, t5: 105.40, t30: 115.70, val: 209.50 },
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- { date: '2026-07-01', t10: 108.35, t5: 105.36, t30: 115.65, val: 209.40 },
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- { date: '2026-07-02', t10: 108.30, t5: 105.32, t30: 115.60, val: 209.30 },
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- { date: '2026-07-03', t10: 108.22, t5: 105.25, t30: 115.50, val: 209.16 },
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- { date: '2026-07-04', t10: 108.18, t5: 105.22, t30: 115.45, val: 209.09 },
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- { date: '2026-07-07', t10: 108.25, t5: 105.28, t30: 115.55, val: 209.20 },
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- { date: '2026-07-08', t10: 108.35, t5: 105.36, t30: 115.65, val: 209.40 },
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- { date: '2026-07-09', t10: 108.40, t5: 105.40, t30: 115.70, val: 209.50 },
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- { date: '2026-07-10', t10: 108.45, t5: 105.45, t30: 115.75, val: 209.60 },
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- { date: '2026-07-11', t10: 108.50, t5: 105.50, t30: 115.80, val: 209.70 },
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- { date: '2026-07-14', t10: 108.60, t5: 105.58, t30: 115.92, val: 209.88 },
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- { date: '2026-07-15', t10: 108.65, t5: 105.63, t30: 115.98, val: 209.97 },
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- { date: '2026-07-16', t10: 108.72, t5: 105.70, t30: 116.05, val: 210.11 },
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- { date: '2026-07-17', t10: 108.78, t5: 105.76, t30: 116.12, val: 210.22 },
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- { date: '2026-07-18', t10: 108.85, t5: 105.82, t30: 116.18, val: 210.37 },
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- { date: '2026-07-21', t10: 108.80, t5: 105.78, t30: 116.12, val: 210.28 },
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- { date: '2026-07-22', t10: 108.88, t5: 105.85, t30: 116.20, val: 210.44 },
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- { date: '2026-07-23', t10: 108.95, t5: 105.91, t30: 116.28, val: 210.57 },
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- { date: '2026-07-24', t10: 108.90, t5: 105.86, t30: 116.22, val: 210.48 },
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- { date: '2026-07-25', t10: 109.00, t5: 105.96, t30: 116.35, val: 210.65 },
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- { date: '2026-07-28', t10: 109.05, t5: 106.00, t30: 116.40, val: 210.75 },
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- { date: '2026-07-29', t10: 109.00, t5: 105.96, t30: 116.35, val: 210.65 },
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- { date: '2026-07-30', t10: 109.08, t5: 106.03, t30: 116.45, val: 210.79 },
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- { date: '2026-07-31', t10: 109.12, t5: 106.07, t30: 116.50, val: 210.86 },
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- { date: '2026-08-01', t10: 109.18, t5: 106.12, t30: 116.55, val: 210.99 },
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- { date: '2026-08-04', t10: 109.22, t5: 106.16, t30: 116.60, val: 211.06 },
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- { date: '2026-08-05', t10: 109.28, t5: 106.21, t30: 116.68, val: 211.16 },
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- { date: '2026-08-06', t10: 109.34, t5: 106.26, t30: 116.74, val: 211.28 },
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- { date: '2026-08-07', t10: 109.40, t5: 106.32, t30: 116.80, val: 211.40 },
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- { date: '2026-08-08', t10: 109.45, t5: 106.36, t30: 116.85, val: 211.50 },
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- { date: '2026-08-11', t10: 109.40, t5: 106.32, t30: 116.80, val: 211.40 },
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- { date: '2026-08-12', t10: 109.35, t5: 106.28, t30: 116.74, val: 211.31 },
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- { date: '2026-08-13', t10: 109.30, t5: 106.23, t30: 116.68, val: 211.22 },
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- { date: '2026-08-14', t10: 109.28, t5: 106.21, t30: 116.65, val: 211.19 },
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- { date: '2026-08-15', t10: 109.25, t5: 106.19, t30: 116.62, val: 211.13 },
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- { date: '2026-08-18', t10: 109.20, t5: 106.14, t30: 116.58, val: 211.02 },
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- { date: '2026-08-19', t10: 109.18, t5: 106.12, t30: 116.55, val: 210.99 },
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- { date: '2026-08-20', t10: 109.22, t5: 106.16, t30: 116.60, val: 211.06 },
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- { date: '2026-08-21', t10: 109.15, t5: 106.10, t30: 116.50, val: 210.95 },
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|
|
- { date: '2026-08-22', t10: 109.10, t5: 106.06, t30: 116.42, val: 210.88 },
|
|
|
- { date: '2026-08-25', t10: 109.05, t5: 106.01, t30: 116.35, val: 210.80 },
|
|
|
- { date: '2026-08-26', t10: 109.02, t5: 105.99, t30: 116.32, val: 210.74 },
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|
|
- { date: '2026-08-27', t10: 108.98, t5: 105.96, t30: 116.28, val: 210.66 },
|
|
|
- { date: '2026-08-28', t10: 108.95, t5: 105.94, t30: 116.25, val: 210.60 },
|
|
|
- { date: '2026-08-29', t10: 108.92, t5: 105.92, t30: 116.22, val: 210.54 },
|
|
|
- { date: '2026-09-01', t10: 108.95, t5: 105.95, t30: 116.26, val: 210.59 },
|
|
|
- { date: '2026-09-02', t10: 108.92, t5: 105.93, t30: 116.22, val: 210.54 },
|
|
|
- { date: '2026-09-03', t10: 108.95, t5: 105.96, t30: 116.26, val: 210.59 },
|
|
|
- { date: '2026-09-04', t10: 108.98, t5: 105.99, t30: 116.30, val: 210.64 },
|
|
|
- { date: '2026-09-05', t10: 109.02, t5: 106.02, t30: 116.35, val: 210.71 },
|
|
|
- { date: '2026-09-08', t10: 109.08, t5: 106.07, t30: 116.42, val: 210.82 },
|
|
|
- { date: '2026-09-09', t10: 109.14, t5: 106.13, t30: 116.50, val: 210.92 },
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|
|
- { date: '2026-09-10', t10: 109.18, t5: 106.16, t30: 116.55, val: 210.99 },
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|
|
- { date: '2026-09-11', t10: 109.22, t5: 106.20, t30: 116.60, val: 211.06 },
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|
|
- { date: '2026-09-12', t10: 109.26, t5: 106.24, t30: 116.66, val: 211.12 },
|
|
|
- { date: '2026-09-15', t10: 109.32, t5: 106.29, t30: 116.72, val: 211.24 },
|
|
|
- { date: '2026-09-16', t10: 109.36, t5: 106.33, t30: 116.78, val: 211.30 },
|
|
|
- { date: '2026-09-17', t10: 109.40, t5: 106.36, t30: 116.82, val: 211.38 },
|
|
|
- { date: '2026-09-18', t10: 109.45, t5: 106.41, t30: 116.88, val: 211.47 },
|
|
|
- { date: '2026-09-19', t10: 109.50, t5: 106.46, t30: 116.95, val: 211.55 },
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|
|
- { date: '2026-09-22', t10: 109.61, t5: 106.585, t30: 117.05, val: 211.78 },
|
|
|
+ { date: '2026-06-15', t10: 108.815, t5: 106.11, t30: 113.4, val: 46188 },
|
|
|
+ { date: '2026-06-16', t10: 108.965, t5: 106.235, t30: 113.64, val: 46189 },
|
|
|
+ { date: '2026-06-17', t10: 109.015, t5: 106.26, t30: 113.87, val: 46190 },
|
|
|
+ { date: '2026-06-18', t10: 109.045, t5: 106.305, t30: 113.82, val: 46191 },
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|
|
+ { date: '2026-06-22', t10: 109.07, t5: 106.325, t30: 114, val: 46195 },
|
|
|
+ { date: '2026-06-23', t10: 108.955, t5: 106.25, t30: 113.64, val: 46196 },
|
|
|
+ { date: '2026-06-24', t10: 109.015, t5: 106.315, t30: 113.57, val: 46197 },
|
|
|
+ { date: '2026-06-25', t10: 109.095, t5: 106.35, t30: 113.95, val: 46198 },
|
|
|
+ { date: '2026-06-26', t10: 109.18, t5: 106.41, t30: 114.11, val: 46199 },
|
|
|
+ { date: '2026-06-29', t10: 109.32, t5: 106.515, t30: 114.27, val: 46202 },
|
|
|
+ { date: '2026-06-30', t10: 109.215, t5: 106.445, t30: 113.75, val: 46203 },
|
|
|
+ { date: '2026-07-01', t10: 108.995, t5: 106.285, t30: 113.37, val: 46204 },
|
|
|
+ { date: '2026-07-02', t10: 109.08, t5: 106.345, t30: 113.5, val: 46205 },
|
|
|
+ { date: '2026-07-03', t10: 109.045, t5: 106.34, t30: 113.33, val: 46206 },
|
|
|
+ { date: '2026-07-06', t10: 109.165, t5: 106.42, t30: 113.62, val: 46209 },
|
|
|
+ { date: '2026-07-07', t10: 109.155, t5: 106.425, t30: 113.61, val: 46210 },
|
|
|
+ { date: '2026-07-08', t10: 109.245, t5: 106.475, t30: 113.91, val: 46211 },
|
|
|
+ { date: '2026-07-09', t10: 109.23, t5: 106.45, t30: 113.93, val: 46212 },
|
|
|
+ { date: '2026-07-10', t10: 109.22, t5: 106.445, t30: 114, val: 46213 },
|
|
|
+ { date: '2026-07-13', t10: 109.185, t5: 106.44, t30: 113.76, val: 46216 },
|
|
|
+ { date: '2026-07-14', t10: 109.19, t5: 106.455, t30: 113.79, val: 46217 },
|
|
|
+ { date: '2026-07-15', t10: 109.19, t5: 106.455, t30: 113.86, val: 46218 },
|
|
|
+ { date: '2026-07-16', t10: 109.135, t5: 106.405, t30: 113.61, val: 46219 },
|
|
|
+ { date: '2026-07-17', t10: 109.195, t5: 106.44, t30: 113.88, val: 46220 },
|
|
|
+ { date: '2026-07-20', t10: 109.13, t5: 106.395, t30: 113.72, val: 46223 },
|
|
|
+ { date: '2026-07-21', t10: 109.175, t5: 106.44, t30: 113.89, val: 46224 },
|
|
|
+ { date: '2026-07-22', t10: 109.3, t5: 106.515, t30: 114.49, val: 46225 },
|
|
|
+ { date: '2026-07-23', t10: 109.215, t5: 106.44, t30: 114.69, val: 46226 },
|
|
|
+ { date: '2026-07-24', t10: 109.26, t5: 106.44, t30: 114.72, val: 46227 },
|
|
|
+ { date: '2026-07-27', t10: 109.225, t5: 106.41, t30: 114.97, val: 46230 },
|
|
|
+ { date: '2026-07-28', t10: 109.175, t5: 106.37, t30: 114.9, val: 46231 },
|
|
|
+ { date: '2026-07-29', t10: 109.205, t5: 106.4, t30: 114.71, val: 46232 },
|
|
|
+ { date: '2026-07-30', t10: 109.28, t5: 106.46, t30: 115.07, val: 46233 },
|
|
|
+ { date: '2026-07-31', t10: 109.385, t5: 106.525, t30: 115.36, val: 46234 },
|
|
|
+ { date: '2026-08-03', t10: 109.325, t5: 106.46, t30: 115.42, val: 46237 },
|
|
|
+ { date: '2026-08-04', t10: 109.415, t5: 106.525, t30: 115.62, val: 46238 },
|
|
|
+ { date: '2026-08-05', t10: 109.395, t5: 106.5, t30: 115.44, val: 46239 },
|
|
|
+ { date: '2026-08-06', t10: 109.38, t5: 106.5, t30: 115.39, val: 46240 },
|
|
|
+ { date: '2026-08-07', t10: 109.44, t5: 106.545, t30: 115.77, val: 46241 },
|
|
|
+ { date: '2026-08-10', t10: 109.47, t5: 106.555, t30: 116.09, val: 46244 },
|
|
|
+ { date: '2026-08-11', t10: 109.425, t5: 106.51, t30: 115.92, val: 46245 },
|
|
|
+ { date: '2026-08-12', t10: 109.42, t5: 106.52, t30: 115.9, val: 46246 },
|
|
|
+ { date: '2026-08-13', t10: 109.475, t5: 106.56, t30: 116.28, val: 46247 },
|
|
|
+ { date: '2026-08-14', t10: 109.54, t5: 106.61, t30: 116.37, val: 46248 },
|
|
|
+ { date: '2026-08-17', t10: 109.525, t5: 106.605, t30: 116.15, val: 46251 },
|
|
|
+ { date: '2026-08-18', t10: 109.605, t5: 106.66, t30: 116.49, val: 46252 },
|
|
|
+ { date: '2026-08-19', t10: 109.58, t5: 106.635, t30: 116.22, val: 46253 },
|
|
|
+ { date: '2026-08-20', t10: 109.48, t5: 106.585, t30: 115.9, val: 46254 },
|
|
|
+ { date: '2026-08-21', t10: 109.455, t5: 106.56, t30: 115.89, val: 46255 },
|
|
|
+ { date: '2026-08-24', t10: 109.55, t5: 106.605, t30: 116.21, val: 46258 },
|
|
|
+ { date: '2026-08-25', t10: 109.545, t5: 106.575, t30: 116.63, val: 46259 },
|
|
|
+ { date: '2026-08-26', t10: 109.445, t5: 106.51, t30: 116.47, val: 46260 },
|
|
|
+ { date: '2026-08-27', t10: 109.305, t5: 106.415, t30: 115.92, val: 46261 },
|
|
|
+ { date: '2026-08-28', t10: 109.305, t5: 106.415, t30: 115.8, val: 46262 },
|
|
|
+ { date: '2026-08-31', t10: 109.32, t5: 106.41, t30: 115.88, val: 46265 },
|
|
|
+ { date: '2026-09-01', t10: 109.39, t5: 106.475, t30: 116.18, val: 46266 },
|
|
|
+ { date: '2026-09-02', t10: 109.36, t5: 106.445, t30: 115.9, val: 46267 },
|
|
|
+ { date: '2026-09-03', t10: 109.475, t5: 106.495, t30: 116.35, val: 46268 },
|
|
|
+ { date: '2026-09-04', t10: 109.43, t5: 106.435, t30: 116.37, val: 46269 },
|
|
|
+ { date: '2026-09-07', t10: 109.44, t5: 106.465, t30: 116.46, val: 46272 },
|
|
|
+ { date: '2026-09-08', t10: 109.4, t5: 106.425, t30: 116.41, val: 46273 },
|
|
|
+ { date: '2026-09-09', t10: 109.435, t5: 106.455, t30: 116.44, val: 46274 },
|
|
|
+ { date: '2026-09-10', t10: 109.415, t5: 106.45, t30: 116.23, val: 46275 },
|
|
|
+ { date: '2026-09-11', t10: 109.335, t5: 106.39, t30: 116.07, val: 46276 },
|
|
|
+ { date: '2026-09-14', t10: 109.365, t5: 106.42, t30: 115.91, val: 46279 },
|
|
|
+ { date: '2026-09-15', t10: 109.44, t5: 106.48, t30: 116.11, val: 46280 },
|
|
|
+ { date: '2026-09-16', t10: 109.46, t5: 106.49, t30: 116.13, val: 46281 },
|
|
|
+ { date: '2026-09-17', t10: 109.46, t5: 106.495, t30: 116.17, val: 46282 },
|
|
|
+ { date: '2026-09-18', t10: 109.52, t5: 106.535, t30: 116.51, val: 46283 },
|
|
|
+ { date: '2026-09-21', t10: 109.525, t5: 106.52, t30: 116.69, val: 46286 },
|
|
|
+ { date: '2026-09-22', t10: 109.61, t5: 106.585, t30: 117.05, val: 46287 },
|
|
|
]
|
|
|
|
|
|
export const TRIPLE_T_TL_LATEST = {
|
|
|
@@ -246,7 +289,7 @@ export const TRIPLE_T_TL_LATEST = {
|
|
|
t10: 109.61,
|
|
|
t5: 106.585,
|
|
|
t30: 117.05,
|
|
|
- val: 211.78,
|
|
|
+ val: 46287,
|
|
|
}
|
|
|
|
|
|
export const SPREAD_NOTES = [
|
|
|
@@ -262,4 +305,4 @@ export const SPREAD_NOTES = [
|
|
|
title: '3*T - TL 价差',
|
|
|
desc: '3 倍 10 年期国债期货减去 30 年期国债期货。用于刻画收益率曲线陡峭度变化,价差上行通常意味着曲线变陡(长端相对走弱)。',
|
|
|
},
|
|
|
-]
|
|
|
+]
|