public override IPricingResult GetRisks(Forward <Bond> trade, IMarketCondition market, PricingRequest pricingRequest)
{
var result = new PricingResult(market.ValuationDate, pricingRequest);
var bondEngine = new BondEngine();
var bMarket = market.UpdateCondition(new UpdateMktConditionPack <IYieldCurve>(x => x.DiscountCurve, market.UnderlyingDiscountCurve.Value));
if (result.IsRequested(PricingRequest.Dv01))
{
var bondZeroSpread = BondPricingFunctions.ZeroSpread(trade.Underlying, bMarket);
IMarketCondition bondMktUp;
IMarketCondition bondMktDown;
if (market.FixingCurve.HasValue)
{
bondMktUp = bMarket.UpdateCondition(
new UpdateMktConditionPack <IYieldCurve>(x => x.FixingCurve, bMarket.FixingCurve.Value.Shift(1)),
new UpdateMktConditionPack <IYieldCurve>(x => x.DiscountCurve, bMarket.DiscountCurve.Value.Shift(1).GetSpreadedCurve(new ZeroSpread(bondZeroSpread)))
);
bondMktDown = bMarket.UpdateCondition(
new UpdateMktConditionPack <IYieldCurve>(x => x.FixingCurve, bMarket.FixingCurve.Value.Shift(-1)),
new UpdateMktConditionPack <IYieldCurve>(x => x.DiscountCurve, bMarket.DiscountCurve.Value.Shift(-1).GetSpreadedCurve(new ZeroSpread(bondZeroSpread)))
);
}
else
{
bondMktUp = bMarket.UpdateCondition(
new UpdateMktConditionPack <IYieldCurve>(x => x.DiscountCurve, bMarket.DiscountCurve.Value.Shift(1).GetSpreadedCurve(new ZeroSpread(bondZeroSpread)))
);
bondMktDown = bMarket.UpdateCondition(
new UpdateMktConditionPack <IYieldCurve>(x => x.DiscountCurve, bMarket.DiscountCurve.Value.Shift(-1).GetSpreadedCurve(new ZeroSpread(bondZeroSpread)))
);
}
var fwdMarket = market.UpdateCondition(new UpdateMktConditionPack <ISpread>(x => x.CreditSpread, new ZeroSpread(bondZeroSpread)));
var upPv = bondEngine.Calculate(trade.Underlying, bondMktUp, PricingRequest.Pv).Pv;
var downPv = bondEngine.Calculate(trade.Underlying, bondMktDown, PricingRequest.Pv).Pv;
if (fwdMarket.FixingCurve.HasValue)
{
var fwdMktUp = fwdMarket.UpdateCondition(
new UpdateMktConditionPack <IYieldCurve>(x => x.FixingCurve, bMarket.FixingCurve.Value.Shift(1)),
new UpdateMktConditionPack <IYieldCurve>(x => x.DiscountCurve, bMarket.DiscountCurve.Value.Shift(1)),
new UpdateMktConditionPack <IYieldCurve>(x => x.UnderlyingDiscountCurve, bMarket.UnderlyingDiscountCurve.Value.Shift(1)),
new UpdateMktConditionPack <Dictionary <string, Tuple <PriceQuoteType, double> > >(x => x.MktQuote, bMarket.MktQuote.Value.UpdateKey(trade.Underlying.Id, Tuple.Create(PriceQuoteType.Dirty, upPv)))
);
var fwdMktDown = fwdMarket.UpdateCondition(
new UpdateMktConditionPack <IYieldCurve>(x => x.FixingCurve, bMarket.FixingCurve.Value.Shift(-1)),
new UpdateMktConditionPack <IYieldCurve>(x => x.DiscountCurve, bMarket.DiscountCurve.Value.Shift(-1)),
new UpdateMktConditionPack <IYieldCurve>(x => x.UnderlyingDiscountCurve, bMarket.UnderlyingDiscountCurve.Value.Shift(-1)),
new UpdateMktConditionPack <Dictionary <string, Tuple <PriceQuoteType, double> > >(x => x.MktQuote, bMarket.MktQuote.Value.UpdateKey(trade.Underlying.Id, Tuple.Create(PriceQuoteType.Dirty, downPv)))
);
result.Dv01 = (CalcPv(trade, fwdMktDown) - CalcPv(trade, fwdMktUp)) / 2.0;
}
else
{
var fwdMktUp = fwdMarket.UpdateCondition(
new UpdateMktConditionPack <IYieldCurve>(x => x.DiscountCurve, bMarket.DiscountCurve.Value.Shift(1)),
new UpdateMktConditionPack <IYieldCurve>(x => x.UnderlyingDiscountCurve, bMarket.UnderlyingDiscountCurve.Value.Shift(1)),
new UpdateMktConditionPack <Dictionary <string, Tuple <PriceQuoteType, double> > >(x => x.MktQuote, bMarket.MktQuote.Value.UpdateKey(trade.Underlying.Id, Tuple.Create(PriceQuoteType.Dirty, upPv)))
);
var fwdMktDown = fwdMarket.UpdateCondition(
new UpdateMktConditionPack <IYieldCurve>(x => x.DiscountCurve, bMarket.DiscountCurve.Value.Shift(-1)),
new UpdateMktConditionPack <IYieldCurve>(x => x.UnderlyingDiscountCurve, bMarket.UnderlyingDiscountCurve.Value.Shift(-1)),
new UpdateMktConditionPack <Dictionary <string, Tuple <PriceQuoteType, double> > >(x => x.MktQuote, bMarket.MktQuote.Value.UpdateKey(trade.Underlying.Id, Tuple.Create(PriceQuoteType.Dirty, downPv)))
);
result.Dv01 = (CalcPv(trade, fwdMktDown) - CalcPv(trade, fwdMktUp)) / 2.0;
}
}
if (result.IsRequested(PricingRequest.Dv01Underlying))
{
var factor = trade.Notional / trade.Underlying.Notional;
result.Dv01Underlying = bondEngine.Calculate(trade.Underlying, bMarket, PricingRequest.Dv01).Dv01 *factor;
}
return(result);
}
public override IPricingResult Calculate(Bond bond, IMarketCondition market, PricingRequest request)
{
var beginValuation = DateTime.Now;
var result = new PricingResult(market.ValuationDate, request);
var isCleanPriceRound = bond.RoundCleanPrice;
var bondQuote = market.MktQuote.Value.ContainsKey(bond.Id) ? market.MktQuote.Value[bond.Id] : null;
var bMktQuote = new Dictionary <string, Tuple <PriceQuoteType, double> >();
IPricingResult resultOptionBond = new PricingResult(market.ValuationDate, request);
IPricingResult resultSimpleBond;
if (bondQuote != null && (bondQuote.Item1 == PriceQuoteType.YtmExecution || bondQuote.Item1 == PriceQuoteType.YtmCallExecution || bondQuote.Item1 == PriceQuoteType.YtmPutExecution))
{
bMktQuote[bond.Id] = Tuple.Create(PriceQuoteType.Ytm, bondQuote.Item2);
var ytmMarket = market.UpdateCondition(new UpdateMktConditionPack <Dictionary <string, Tuple <PriceQuoteType, double> > >(x => x.MktQuote, bMktQuote));
// Get Call or Put cleanprice
var pricingRequest = PricingRequest.CleanPrice;
if (result.IsRequested(PricingRequest.AiEod))
{
pricingRequest = pricingRequest | PricingRequest.AiEod;
}
resultOptionBond = CalcOptionBond(bond, ytmMarket, pricingRequest, bondQuote.Item1);
// Parse market
var cleanMarket = UpdateCleanPriceMarket(bond.Id, resultOptionBond.CleanPrice, isCleanPriceRound, market);
resultSimpleBond = _bondEngine.Calculate(bond, cleanMarket, request);
}
else
{
if (isCleanPriceRound && bondQuote != null)
{
if (bondQuote.Item1 == PriceQuoteType.Clean)
{
var cleanPriceMarket = UpdateCleanPriceMarket(bond.Id, bondQuote.Item2, isCleanPriceRound,
market);
resultSimpleBond = _bondEngine.Calculate(bond, cleanPriceMarket, request);
}
else
{
resultSimpleBond = _bondEngine.Calculate(bond, market, request);
var cleanPriceMarket = UpdateCleanPriceMarket(bond.Id, resultSimpleBond.CleanPrice, isCleanPriceRound, market);
resultSimpleBond = _bondEngine.Calculate(bond, cleanPriceMarket, request);
}
}
else
{
resultSimpleBond = _bondEngine.Calculate(bond, market, request);
}
// Parse market
bMktQuote[bond.Id] = Tuple.Create(PriceQuoteType.Clean, double.IsNaN(resultSimpleBond.CleanPrice) ? 0.0 : resultSimpleBond.CleanPrice);
var executionYieldPricingRequest = PricingRequest.Ytm;
if (result.IsRequested(PricingRequest.AiEod))
{
executionYieldPricingRequest = PricingRequest.Ytm | PricingRequest.AiEod;
}
var newMarket = market.UpdateCondition(new UpdateMktConditionPack <Dictionary <string, Tuple <PriceQuoteType, double> > >(x => x.MktQuote, bMktQuote));
if (result.IsRequested(PricingRequest.YtmExecution))
{
resultOptionBond = CalcOptionBond(bond, newMarket, executionYieldPricingRequest, PriceQuoteType.YtmExecution);
}
}
result = (PricingResult)resultSimpleBond;
result.YieldToCall = resultOptionBond.YieldToCall;
result.YieldToPut = resultOptionBond.YieldToPut;
result.CallDate = resultOptionBond.CallDate;
result.PutDate = resultOptionBond.PutDate;
var endValuation = DateTime.Now;
result.CalcTimeInMilliSecond = (endValuation - beginValuation).TotalMilliseconds;
return(result);
}