public QdpMarket TestMarket(string valueDate, BondMktData bondMktData)
{
var historiclIndexRates = HistoricalDataLoadHelper.HistoricalIndexRates;
var curveConvention = new CurveConvention("fr007CurveConvention",
"CNY",
"ModifiedFollowing",
"Chn_ib",
"Act365",
"Continuous",
"CubicHermiteMonotic");
var fr007CurveName = "Fr007";
var fr007RateDefinition = new[]
{
new RateMktData("1D", 0.035, "Spot", "None", fr007CurveName),
new RateMktData("5Y", 0.035, "Spot", "None", fr007CurveName),
};
var curveDefinition = new[]
{
new InstrumentCurveDefinition(fr007CurveName, curveConvention, fr007RateDefinition, "SpotCurve"),
};
var marketInfo = new MarketInfo("tmpMarket", valueDate, curveDefinition)
{
BondMktDatas = new[] { bondMktData },
HistoricalIndexRates = historiclIndexRates
};
QdpMarket market;
MarketFunctions.BuildMarket(marketInfo, out market);
return(market);
}
private IMarketCondition GenerateMarketConditionFromPrebuilt(PrebuiltQdpMarket prebuiltMarket)
{
var valuationParameter = TradeInfo.ValuationParamters;
BondMktData bondMktData = null;
if (prebuiltMarket.BondPrices.ContainsKey(TradeInfo.TradeId))
{
bondMktData = prebuiltMarket.BondPrices[TradeInfo.TradeId];
}
if (valuationParameter == null)
{
return(new MarketCondition(
x => x.ValuationDate.Value = prebuiltMarket.ReferenceDate,
x => x.DiscountCurve.Value = null,
x => x.FixingCurve.Value = null,
x => x.RiskfreeCurve.Value = null,
x => x.MktQuote.Value = new Dictionary <string, Tuple <PriceQuoteType, double> > {
{ TradeInfo.TradeId, Tuple.Create((bondMktData == null || string.IsNullOrEmpty(bondMktData.PriceQuoteType)) ? PriceQuoteType.None : bondMktData.PriceQuoteType.ToPriceQuoteType(), (bondMktData == null ? 100.0 : bondMktData.Quote)) }
},
x => x.HistoricalIndexRates.Value = prebuiltMarket.HistoricalIndexRates));
}
var fixingCurveName = string.IsNullOrEmpty(valuationParameter.FixingCurveName)
? valuationParameter.DiscountCurveName
: valuationParameter.FixingCurveName;
return(new MarketCondition(
x => x.ValuationDate.Value = prebuiltMarket.ReferenceDate,
x => x.DiscountCurve.Value = prebuiltMarket.YieldCurves[valuationParameter.DiscountCurveName],
x => x.FixingCurve.Value = prebuiltMarket.YieldCurves[fixingCurveName],
x => x.RiskfreeCurve.Value = prebuiltMarket.YieldCurves[valuationParameter.RiskfreeCurveName],
x => x.MktQuote.Value = new Dictionary <string, Tuple <PriceQuoteType, double> > {
{ TradeInfo.TradeId, Tuple.Create((bondMktData == null || string.IsNullOrEmpty(bondMktData.PriceQuoteType)) ? PriceQuoteType.None : bondMktData.PriceQuoteType.ToPriceQuoteType(), (bondMktData == null ? 100.0 : bondMktData.Quote)) }
},
x => x.HistoricalIndexRates.Value = prebuiltMarket.HistoricalIndexRates
));
}
/// <summary>
/// Add bond market data definition to an existing market.
/// </summary>
/// <param name="marketName">The Existing Market Name</param>
/// <param name="bondId">The Bond Id</param>
/// <param name="quoteType">The Price quote type(Clean, Dirty, Ytm, YtmExecution)</param>
/// <param name="quote">The quote of bond</param>
/// <param name="isOverride">if true, then add or override. if false, then ignore(default true)</param>
/// <returns>if succeeded, return true. if failed, return error message : "Market {market object name} is not available!"</returns>
public static object xl_MktAddBondData(string marketName, string bondId, string quoteType, double quote, bool isOverride = true)
{
var marketData = new BondMktData(bondId, quoteType, quote);
return(XlManager.MergeMarketInfo(marketName, marketData, isOverride));
}
private IMarketCondition GenerateMarketConditionFromPrebuilt(PrebuiltQdpMarket prebuiltMarket)
{
var valuationParameter = TradeInfo.ValuationParamters;
var mktQuote = new Dictionary <string, Tuple <PriceQuoteType, double> >();
try
{
if (prebuiltMarket.BondFuturePrices.ContainsKey(TradeInfo.TradeId))
{
var futurePrice = prebuiltMarket.BondFuturePrices[TradeInfo.TradeId];
mktQuote[TradeInfo.TradeId] = Tuple.Create(PriceQuoteType.Dirty, futurePrice);
}
else
{
mktQuote[TradeInfo.TradeId] = null;
}
foreach (var deliverableBondInfo in TradeInfo.DeliverableBondInfos)
{
//var bondMktData =
BondMktData bondMktData = null;
if (prebuiltMarket.BondPrices.ContainsKey(deliverableBondInfo.TradeId))
{
bondMktData = prebuiltMarket.BondPrices[deliverableBondInfo.TradeId];
}
if (bondMktData != null)
{
mktQuote[deliverableBondInfo.TradeId] = Tuple.Create(bondMktData.PriceQuoteType.ToPriceQuoteType(), bondMktData.Quote);
}
var tfBondId = TradeInfo.TradeId + "_" + deliverableBondInfo.TradeId;
BondMktData tfMktData = null;
if (prebuiltMarket.BondPrices.ContainsKey(tfBondId))
{
tfMktData = prebuiltMarket.BondPrices[tfBondId];
}
if (tfMktData != null)
{
mktQuote[tfBondId] = Tuple.Create(tfMktData.PriceQuoteType.ToPriceQuoteType(), tfMktData.Quote);
}
}
}
catch (Exception ex)
{
throw new PricingBaseException(string.Format("Market price is missing, detailed message: {0}", ex.Message));
}
var fixingCurveName = valuationParameter.FixingCurveName;
if (string.IsNullOrEmpty(fixingCurveName))
{
fixingCurveName = valuationParameter.DiscountCurveName;
}
return(new MarketCondition(
x => x.ValuationDate.Value = prebuiltMarket.ReferenceDate,
x => x.DiscountCurve.Value = prebuiltMarket.YieldCurves[valuationParameter.DiscountCurveName],
x => x.FixingCurve.Value = prebuiltMarket.YieldCurves[fixingCurveName],
x => x.RiskfreeCurve.Value = prebuiltMarket.YieldCurves[valuationParameter.RiskfreeCurveName],
x => x.MktQuote.Value = mktQuote,
x => x.HistoricalIndexRates.Value = prebuiltMarket.HistoricalIndexRates
));
}
