public void TestLoanPayment3()
{
var loanInfo = new LoanInfo()
{
Amortization = "EqualPrincipalAndInterest",
Coupon = 0.05,
Currency = "CNY",
DayCount = "B30360",
FirstPaymentDate = "20141209",
FloatingRateMultiplier = 1,
Frequency = "Monthly",
IndexType = "Gjj5YAbove",
IsFloatingRate = false,
MaturityDate = "20441109",
Notional = 10000000.00,
NumOfPayment = 360,
ResetDate = "20150101",
StartDate = "20141109",
MortgageCalcMethod = "Simple",
AbsPrepaymentModel = "Psa",
AbsDefaultModel = "Sda",
SdaMultiplier = 1,
PsaMultiplier = 0
};
var market = new MarketInfo("testMarket", "20160202")
{
HistoricalIndexRates = new Dictionary <string, Dictionary <string, double> >
{
{ "Gjj5YAbove", new Dictionary <string, double> {
{ "20140101", 0.0425 }
} },
{ "Gjj5Y", new Dictionary <string, double> {
{ "20150825", 0.0275 }
} }
}
};
QdpMarket qdpMarket;
MarketFunctions.BuildMarket(market, out qdpMarket);
var loanVf = new LoanVf(loanInfo);
var result = loanVf.ValueTrade(qdpMarket, PricingRequest.Cashflow);
var cfs = result.Cashflows;
var p =
cfs.Where(x => x.CashflowType == CashflowType.Principal || x.CashflowType == CashflowType.PrincipalLossOnDefault)
.Sum(x => x.PaymentAmount);
Assert.AreEqual(p, loanInfo.Notional, 1e-4);
//Assert.AreEqual(Math.Round(cfs[8].PaymentAmount, 2), 12115.23);
//Assert.AreEqual(Math.Round(cfs[9].PaymentAmount, 2), 41564.25);
//Assert.AreEqual(Math.Round(cfs[11].PaymentAmount, 2), 498.30);
//Assert.AreEqual(Math.Round(cfs[1435].PaymentAmount, 2), 1.28);
//Assert.AreEqual(Math.Round(cfs[1436].PaymentAmount, 2), 51141.30);
//Assert.AreEqual(Math.Round(cfs[1437].PaymentAmount, 2), 213.09);
}
public static IValuationFunction ToVf(TradeInfoBase tradeInfo)
{
IValuationFunction vf;
// sean todo // tradeInfo.GetValuationFunction
if (tradeInfo is BondInfoBase)
{
vf = new BondVf((BondInfoBase)tradeInfo);
}
else if (tradeInfo is VanillaOptionInfo)
{
vf = new VanillaOptionVf((VanillaOptionInfo)tradeInfo);
}
else if (tradeInfo is BarrierOptionInfo)
{
vf = new BarrierOptionVf((BarrierOptionInfo)tradeInfo);
}
else if (tradeInfo is BinaryOptionInfo)
{
vf = new BinaryOptionVf((BinaryOptionInfo)tradeInfo);
}
else if (tradeInfo is AsianOptionInfo)
{
vf = new AsianOptionVf((AsianOptionInfo)tradeInfo);
}
else if (tradeInfo is RainbowOptionInfo)
{
vf = new RainbowOptionVf((RainbowOptionInfo)tradeInfo);
}
else if (tradeInfo is SpreadOptionInfo)
{
vf = new SpreadOptionVf((SpreadOptionInfo)tradeInfo);
}
else if (tradeInfo is InterestRateSwapInfo)
{
vf = new InterestRateSwapVf((InterestRateSwapInfo)tradeInfo);
}
else if (tradeInfo is FixedLegInfo)
{
vf = new FixedLegVf((FixedLegInfo)tradeInfo);
}
else if (tradeInfo is FloatingLegInfo)
{
vf = new FloatingLegVf((FloatingLegInfo)tradeInfo);
}
else if (tradeInfo is BondFuturesInfo)
{
vf = new BondFuturesVf((BondFuturesInfo)tradeInfo);
}
else if (tradeInfo is LoanInfo)
{
vf = new LoanVf((LoanInfo)tradeInfo);
}
else if (tradeInfo is HoldingPeriodInfo)
{
vf = new HoldingPeriodVf((HoldingPeriodInfo)tradeInfo);
}
else if (tradeInfo is AbsWithRepurchaseInfo)
{
vf = new AbsWithRepurchaseVf((AbsWithRepurchaseInfo)tradeInfo);
}
else if (tradeInfo is ConvertibleBondInfo)
{
vf = new ConvertibleBondVf((ConvertibleBondInfo)tradeInfo);
}
else
{
throw new PricingLibraryException("Unknowy trade info type");
}
return(vf);
}
public void TestLoanPayment()
{
var loanInfo = new LoanInfo()
{
Amortization = "EqualPrincipalAndInterest",
Coupon = 0.045,
Currency = "CNY",
DayCount = "Act360",
FirstPaymentDate = "20141209",
FloatingRateMultiplier = 1,
Frequency = "Monthly",
IndexType = "Gjj5YAbove",
IsFloatingRate = true,
MaturityDate = "20320409",
Notional = 294150.32,
NumOfPayment = 209,
ResetDate = "20150101",
StartDate = "20141109",
MortgageCalcMethod = "Simple",
AbsPrepaymentModel = "Psa",
AbsDefaultModel = "Sda",
PsaMultiplier = 0.0,
SdaMultiplier = 0.0,
};
var market = new MarketInfo("testMarket", "20160202")
{
HistoricalIndexRates = new Dictionary <string, Dictionary <string, double> >
{
{ "Gjj5YAbove", new Dictionary <string, double> {
{ "20140101", 0.0425 }
} },
{ "Gjj5Y", new Dictionary <string, double> {
{ "20150825", 0.0275 }
} }
}
};
QdpMarket qdpMarket;
MarketFunctions.BuildMarket(market, out qdpMarket);
var loanVf = new LoanVf(loanInfo);
var result = loanVf.ValueTrade(qdpMarket, PricingRequest.Cashflow);
var cfs = result.Cashflows;
Assert.AreEqual(Math.Round(cfs.Where(c => c.PaymentDate == new Date(2014, 12, 09) && c.CashflowType == CashflowType.Principal).ToArray()[0].PaymentAmount, 2), 929.71);
Assert.AreEqual(Math.Round(cfs.Where(c => c.PaymentDate == new Date(2014, 12, 09) && c.CashflowType == CashflowType.Coupon).ToArray()[0].PaymentAmount, 2), 1103.06);
Assert.AreEqual(Math.Round(cfs.Where(c => c.PaymentDate == new Date(2015, 01, 09) && c.CashflowType == CashflowType.Principal).ToArray()[0].PaymentAmount, 2), 956.04);
Assert.AreEqual(Math.Round(cfs.Where(c => c.PaymentDate == new Date(2015, 01, 09) && c.CashflowType == CashflowType.Coupon).ToArray()[0].PaymentAmount, 2), 1119.94);
Assert.AreEqual(Math.Round(cfs.Where(c => c.PaymentDate == new Date(2015, 02, 09) && c.CashflowType == CashflowType.Principal).ToArray()[0].PaymentAmount, 2), 959.42);
Assert.AreEqual(Math.Round(cfs.Where(c => c.PaymentDate == new Date(2015, 02, 09) && c.CashflowType == CashflowType.Coupon).ToArray()[0].PaymentAmount, 2), 1035.10);
var netCf = cfs.GroupBy(x => x.PaymentDate)
.Select(x => Tuple.Create(x.Key, x.Sum(entry => entry.PaymentAmount)))
.OrderBy(x => x.Item1)
.ToArray();
foreach (var tuple in netCf)
{
if (tuple.Item1 > new Date(2015, 02, 09))
{
Assert.AreEqual(Math.Round(tuple.Item2, 2), 1994.53);
}
}
}