public void UpdateVersionTest()
{
BondEngine bondEngine = new BondEngine();
float defaultCurrentVersion;
defaultCurrentVersion = bondEngine.CurrentVersion;
bondEngine.UpdateVersion(2.1f);
float updatedEngineVersion;
updatedEngineVersion = bondEngine.CurrentVersion;
bondEngine.UpdateVersion(-2);
float downgradeEngineVersion;
downgradeEngineVersion = bondEngine.CurrentVersion;
bondEngine.UpdateVersion(.5f);
float upgradeEngineVersion;
upgradeEngineVersion = bondEngine.CurrentVersion;
Assert.AreEqual(defaultCurrentVersion, 2.0f);
Assert.AreEqual(updatedEngineVersion, 2.0f);
Assert.AreEqual(downgradeEngineVersion, 2.0f);
Assert.AreEqual(upgradeEngineVersion, 2.5f);
}
private void DoTestPureBond(Bond bond, Double expected, String date = "2017-10-20", Double precision = 1e-4)
{
var bondengine = new BondEngine();
var market = TestMarket_Jin(date, spot: 6.07, CBprice: 97.5);
var res = bondengine.Calculate(bond, market, PricingRequest.Pv | PricingRequest.ZeroSpread | PricingRequest.ZeroSpreadDelta | PricingRequest.Ytm);
var pv = res.Pv;
Assert.AreEqual(expected, pv, precision);
}
public void TestQbTfDeliverableBondYield()
{
var files = new[] { "QbTF1606CfTest.txt", "QbTF1609CfTest.txt", "QbTF1612CfTest.txt" };
for (var k = 0; k < files.Length; ++k)
{
var bondPrices = new Dictionary <string, Tuple <PriceQuoteType, double> >();
var targetYtm = new List <double>();
var targetAi = new List <double>();
var bonds = File.ReadAllLines(@"./Data/BondFuture/" + files[k])
.Select(x =>
{
var splits = x.Split(',');
var startDate = new Date(DateTime.Parse(splits[3]));
var maturityDate = new Date(DateTime.Parse(splits[4]));
var rate = Convert.ToDouble(splits[1]);
var frequency = splits[2] == "Annual" ? Frequency.Annual : Frequency.SemiAnnual;
targetYtm.Add(Convert.ToDouble(splits[8]));
targetAi.Add(Convert.ToDouble(splits[6]) - Convert.ToDouble(splits[7]));
bondPrices[splits[0]] = Tuple.Create(PriceQuoteType.Dirty, Convert.ToDouble(splits[6]));
return(new Bond(
splits[0],
startDate,
maturityDate,
100.0,
CurrencyCode.CNY,
new FixedCoupon(rate),
CalendarImpl.Get("chn_ib"),
frequency,
Stub.LongEnd,
new ActActIsma(),
new ActActIsma(),
BusinessDayConvention.None,
BusinessDayConvention.None,
null,
TradingMarket.ChinaInterBank));
}).ToArray();
var market = new BondFutureTests().TestMarket("2016-04-06", bondPrices);
var engine = new BondEngine();
for (var i = 0; i < bonds.Length; ++i)
{
var result = engine.Calculate(bonds[i], market, PricingRequest.Ytm | PricingRequest.Ai);
Assert.AreEqual(Math.Round(result.Ai, 4), targetAi[i], 1e-5);
Assert.AreEqual(Math.Round(result.Ytm, 6), targetYtm[i], 1e-7);
}
}
}
public void PureBondPnLTest()
{
var bond = GeliBondPart();
var t = "2017-10-25";
var t1 = "2017-10-26";
var bondengine = new BondEngine();
var tClose = 97.5;
var t1Close = 96.5;
var tMarket = TestMarket_Jin(t, spot: 6.07, CBprice: tClose, yield: 0.05); //actually bond price
var tMarketRollToT1 = TestMarket_Jin(t1, spot: 6.07, CBprice: tClose, yield: 0.05);
var t1Market = TestMarket_Jin(t1, spot: 6.07, CBprice: t1Close, yield: 0.055);
var actualPnl = t1Close - tClose;
var pricingRequests = PricingRequest.Pv | PricingRequest.ZeroSpread | PricingRequest.ZeroSpreadDelta | PricingRequest.Ytm | PricingRequest.AiEod | PricingRequest.KeyRateDv01 | PricingRequest.Convexity;
var tResult = bondengine.Calculate(bond, tMarket, pricingRequests);
var t1Result = bondengine.Calculate(bond, t1Market, pricingRequests);
var tResultRecalibrated = bondengine.Calculate(bond, tMarketRollToT1, PricingRequest.Pv);
//1.
var timePnL = tResultRecalibrated.Pv - tResult.Pv;
var curveMove = (0.055 - 0.05) * 1e4;
var pv01 = tResult.KeyRateDv01.First();
var pv01PnL = pv01.Value.Select(x => new CurveRisk(x.Tenor, 1.0 * x.Risk * curveMove));
var curvePnL = pv01PnL.Sum(x => x.Risk);
var zspreadPnL = (t1Result.ZeroSpread - tResult.ZeroSpread) * tResult.ZeroSpreadDelta * 1e4;
var carryPnL = t1Result.Ai - tResult.Ai;
var rolllDown = timePnL - carryPnL;
var pnlConverixy = 0.5 * Math.Pow(t1Result.Ytm - tResult.Ytm, 2.0) * tResult.Convexity * tClose; //originally without
var estimatedPL = timePnL + curvePnL + zspreadPnL + pnlConverixy;
Assert.AreEqual(true, Math.Abs((estimatedPL - actualPnl) / actualPnl) < 0.01);
}
public void ConstructorTest()
{
BondEngine bondEngine = new BondEngine();
PhysicsEngineState defaultPhysicsEngineState;
defaultPhysicsEngineState = bondEngine.PhysicsEngine.Simulating;
float defaultEngineVersion;
defaultEngineVersion = bondEngine.CurrentVersion;
string defaultProgrammingLang;
defaultProgrammingLang = bondEngine.ProgrammingLanguage;
string infoBondEngine = bondEngine.Info();
Assert.AreEqual(defaultPhysicsEngineState, PhysicsEngineState.THREE_D);
Assert.AreEqual(defaultEngineVersion, 2.0);
Assert.AreEqual(defaultProgrammingLang, "C++");
Assert.AreEqual(infoBondEngine, string.Format("This engine is currently running with {0} based physics, is running current version {1}, " +
"and uses {2} programming language", PhysicsEngineState.THREE_D, 2.0, "C++"));
}
public void BondForwardTest()
{
var bond = new Bond(
"010000",
new Date(2013, 2, 25),
new Date(2015, 2, 25),
100,
CurrencyCode.CNY,
new FixedCoupon(0.0375),
CalendarImpl.Get("chn_ib"),
Frequency.SemiAnnual,
Stub.LongEnd,
new ActActIsma(),
new Act365(),
BusinessDayConvention.None,
BusinessDayConvention.None,
null,
TradingMarket.ChinaInterBank
);
var bondForward = new Forward <Bond>(
new Date(2013, 5, 28),
new Date(2013, 8, 28),
100.0,
98.57947065,
bond,
CurrencyCode.CNY
);
var referenceDate = new Date(2013, 8, 23);
var yieldCurve = new YieldCurve(
"中债国债收收益率曲线",
referenceDate,
new[]
{
Tuple.Create((ITerm) new Term("1D"), 0.035),
Tuple.Create((ITerm) new Term("1Y"), 0.035)
},
BusinessDayConvention.ModifiedFollowing,
new Act365(),
CalendarImpl.Get("chn_ib"),
CurrencyCode.CNY,
Compound.Simple,
Interpolation.CubicHermiteMonotic,
YieldCurveTrait.SpotCurve
);
var market = new MarketCondition
(
x => x.ValuationDate.Value = referenceDate,
x => x.MktQuote.Value = new Dictionary <string, Tuple <PriceQuoteType, double> > {
{ "010000", Tuple.Create(PriceQuoteType.Dirty, 99.71798177) }
},
x => x.DiscountCurve.Value = yieldCurve,
x => x.FixingCurve.Value = yieldCurve,
x => x.RiskfreeCurve.Value = yieldCurve,
x => x.UnderlyingDiscountCurve.Value = yieldCurve,
x => x.HistoricalIndexRates.Value = new Dictionary <IndexType, SortedDictionary <Date, double> >()
);
var bondengine = new BondEngine();
var zeroSpread = bondengine.Calculate(bond, market, PricingRequest.ZeroSpread).ZeroSpread;
var engine = new ForwardEngine <Bond>();
var result = engine.Calculate(bondForward, market, PricingRequest.Pv);
Assert.AreEqual(-0.68888788, result.Pv, 1e-8);
}
public double ModelValue(IMarketCondition market, MktInstrumentCalibMethod calibMethod = MktInstrumentCalibMethod.Default)
{
var engine = new BondEngine();
return(engine.CalcPv(this, market));
}
private static ConvertibleBondAnalytics computeAnalytics(IMarketCondition market, ConvertibleBond cb, double putRedemptionPrice)
{
//analytics part
var cbSpot = market.MktQuote.Value[cb.Bond.Id].Item2;
var stockPrice = market.SpotPrices.Value.Values.First();
var conversionValue = stockPrice * cb.ConversionRatio;
var premiumToShareInPct = (cbSpot / conversionValue - 1) * 100; // in Pct
var arbitragePL = conversionValue - cbSpot; //buy cb, sell stock
var timeToMaturity = (cb.UnderlyingMaturityDate - market.ValuationDate) / 365.0;
//bond analytics
var bondengine = new BondEngine();
var yieldToMaturity = bondengine.Calculate(cb.Bond, market, PricingRequest.Ytm).Ytm * 100.0;
var bondFloor = bondengine.Calculate(cb.Bond, market, PricingRequest.Pv).Pv;
double premiumToBondInPct = (cbSpot / bondFloor - 1) * 100; //in Pct
//parity vs bond floor premium
var parityFloorPremiumInPct = (conversionValue / bondFloor - 1) * 100.0;
//option analytics
var impliedOptionValue = cbSpot - bondFloor;
var impliedUnitOptionPremium = impliedOptionValue / cb.ConversionRatio;
var option = createOption(strike: cb.ConversionOption.Strike, expiry: cb.ConversionOption.UnderlyingMaturityDate, firstConversionDate: cb.ConversionOption.StartDate, American: false);
var engine = new AnalyticalVanillaEuropeanOptionEngine();
var impliedVol = engine.ImpliedVol(option, market, impliedUnitOptionPremium);
//Note: assume simple calc here: putPrice 103, current price 109.69, then if we can put the bond now, returnOnPut = (103 - 109.69)/109.69
var returnOnPut = (putRedemptionPrice / cbSpot - 1.0) * 100;
//cb style based on parity/ bond floor relationship
//if parity is worth 20% more than bond floor, then stock like
//if parity is worth -20% less than bond floor, then bond like
//otherwise, cb is in balance mode
var cbStatus = ConvertibleBondStatus.Balance;
if (parityFloorPremiumInPct > 20)
{
cbStatus = ConvertibleBondStatus.StockLike;
}
else if (parityFloorPremiumInPct < -20)
{
cbStatus = ConvertibleBondStatus.BondLike;
}
return(new ConvertibleBondAnalytics(
conversionValue: conversionValue,
premiumToShareInPct: premiumToShareInPct,
arbitragePL: arbitragePL,
timeToMaturity: timeToMaturity,
yieldToMaturity: yieldToMaturity,
bondFloor: bondFloor,
premiumToBondInPct: premiumToBondInPct,
parityFloorPremiumInPct: parityFloorPremiumInPct,
optionValue: impliedOptionValue,
impliedVol: impliedVol,
returnOnPut: returnOnPut,
cbStatus: cbStatus));
}
