public static ConvertibleBondInfo ToConvertibleBondInfo(BondInfoBase bondInfo,
string conversionStartDate,
string conversionEndDate,
string conversionStockcode,
double conversionPrice,
string dividenCurveName,
bool treatAsCommonBond = false,
string[] ebcStrikeQuoteTypes = null,
string[] ebpStrikeQuoteTypes = null)
{
var json = DataContractJsonObjectSerializer.Serialize(bondInfo);
var bondPart = DataContractJsonObjectSerializer.Deserialize <BondInfoBase>(json);
bondPart.OptionToAssPut = null;
bondPart.OptionToCall = null;
bondPart.OptionToPut = null;
var hasPut = !(bondInfo.OptionToPut == null || !bondInfo.OptionToPut.Any());
var hasCall = !(bondInfo.OptionToCall == null || !bondInfo.OptionToCall.Any());
if (!hasPut)
{
bondInfo.OptionToPut = new Dictionary <string, double>();
}
if (!hasCall)
{
bondInfo.OptionToCall = new Dictionary <string, double>();
}
var ebos = bondInfo.OptionToPut.Select(x => new VanillaOptionInfo
(tradeId: "",
strike: x.Value,
underlyingTicker: bondInfo.BondId,
underlyingInstrumentType: "Bond",
valuationParameter: null,
startDate: bondInfo.StartDate,
underlyingMaturityDate: bondInfo.MaturityDate,
exerciseDates: x.Key,
calendar: bondInfo.Calendar,
dayCount: bondInfo.DayCount,
exercise: "European",
notional: 1.0,
optionType: "Call"
)).Union(
bondInfo.OptionToCall.Select(x => new VanillaOptionInfo
("",
strike: x.Value,
underlyingTicker: bondInfo.BondId,
underlyingInstrumentType: "Bond",
valuationParameter: null,
startDate: bondInfo.StartDate,
underlyingMaturityDate: bondInfo.MaturityDate,
exerciseDates: x.Key,
calendar: bondInfo.Calendar,
optionType: "Put",
dayCount: bondInfo.DayCount,
notional: 1.0)
)
).ToArray();
var eboStrikQuoteTypes = ebcStrikeQuoteTypes ?? new string[0]
.Union(ebpStrikeQuoteTypes ?? new string[0])
.ToArray();
var conversion = new VanillaOptionInfo(
tradeId: "",
strike: conversionPrice,
underlyingTicker: bondInfo.BondId,
underlyingInstrumentType: "Stock",
valuationParameter: null,
startDate: conversionStartDate,
underlyingMaturityDate: conversionEndDate,
calendar: bondInfo.Calendar,
optionType: "Call",
exercise: "American",
dayCount: bondInfo.DayCount,
notional: 1.0,
exerciseDates: bondInfo.OptionToCall.Keys.First()
);
return(new ConvertibleBondInfo(bondPart.BondId)
{
BondPart = bondPart,
ConversionOption = conversion,
EmbeddedOptions = ebos.Any() ? ebos : null,
EboStrikeQuoteTypes = eboStrikQuoteTypes.Any() ? eboStrikQuoteTypes : null,
ValuationParameters = new OptionValuationParameters(discountCurveName: bondInfo.ValuationParamters.DiscountCurveName,
dividendCurveName: dividenCurveName,
volSurfName: conversionStockcode + "Vol",
underlyingId: conversionStockcode),
TreatAsCommonBond = treatAsCommonBond
});
}
/// <summary>
/// Return QDP bond qdp object.
/// </summary>
/// <param name="tradeId"></param>
/// <param name="startDate"></param>
/// <param name="maturityDate"></param>
/// <param name="notional"></param>
/// <param name="calendar"></param>
/// <param name="currency"></param>
/// <param name="accrualDayCount"></param>
/// <param name="accrualBusinessDayConvention"></param>
/// <param name="paymentDayCount"></param>
/// <param name="paymentFrequency"></param>
/// <param name="paymentStub"></param>
/// <param name="paymentBusinessDayConvention"></param>
/// <param name="settlement"></param>
/// <param name="settlementCoupon"></param>
/// <param name="issuePrice"></param>
/// <param name="firstPaymentDate"></param>
/// <param name="issueRate"></param>
/// <param name="amoritzationInIndex"></param>
/// <param name="renormalizeAfterAmoritzation"></param>
/// <param name="compensationRate"></param>
/// <param name="optionToCall"></param>
/// <param name="optionToPut"></param>
/// <param name="optionToAssPut"></param>
/// <param name="fixedCoupon"></param>
/// <param name="index"></param>
/// <param name="resetDayCount"></param>
/// <param name="resetCompound"></param>
/// <param name="resetStub"></param>
/// <param name="resetBusinessDayConvention"></param>
/// <param name="resetToFixingGap"></param>
/// <param name="resetTerm"></param>
/// <param name="resetAverageDays"></param>
/// <param name="resetRateDigits"></param>
/// <param name="spread"></param>
/// <param name="floatingRateMultiplier"></param>
/// <param name="stickToEom"></param>
/// <returns></returns>
private static object xl_Bond(
string tradeId,
string startDate = null,
string maturityDate = null,
double notional = 100,
string calendar = "chn_ib",
string currency = "CNY",
string accrualDayCount = "Act365",
string accrualBusinessDayConvention = "ModifiedFollowing",
string paymentDayCount = "Act365",
string paymentFrequency = "SemiAnnual",
string paymentStub = "ShortStart",
string paymentBusinessDayConvention = "ModifiedFollowing",
string settlement = "+0D",
double settlementCoupon = double.NaN,
double issuePrice = double.NaN,
string firstPaymentDate = null,
double issueRate = double.NaN,
Dictionary <int, double> amoritzationInIndex = null,
bool renormalizeAfterAmoritzation = false,
Dictionary <int, double> compensationRate = null,
Dictionary <string, double> optionToCall = null,
Dictionary <string, double> optionToPut = null,
Dictionary <string, double> optionToAssPut = null,
double fixedCoupon = double.NaN,
string index = null,
string resetDayCount = null,
string resetCompound = null,
string resetStub = null,
string resetBusinessDayConvention = null,
string resetToFixingGap = null,
string resetTerm = null,
int resetAverageDays = 1,
int resetRateDigits = 12,
double spread = double.NaN,
double floatingRateMultiplier = double.NaN,
bool stickToEom = false)
{
var tradeInfo = XlManager.GetTrade(tradeId);
if (!(tradeInfo is BondInfoBase))
{
startDate = startDate ?? DateTime.Now.ToString("yyyy-MM-dd");
maturityDate = maturityDate ?? new Term("1Y").Next(startDate.ToDate()).ToString();
BondInfoBase bondInfo = null;
if (string.IsNullOrWhiteSpace(index))
{
bondInfo = new FixedRateBondInfo(tradeId)
{
FixedCoupon = double.IsNaN(fixedCoupon) ? 0.03 : fixedCoupon
};
}
else
{
bondInfo = new FloatingRateBondInfo(tradeId)
{
Index = index ?? "Shibor3M",
ResetDC = resetDayCount ?? "Act365",
ResetCompound = resetCompound ?? "Simple",
ResetStub = resetStub ?? "ShortStart",
ResetBD = resetBusinessDayConvention ?? "ModifiedFollowing",
ResetToFixingGap = resetToFixingGap ?? "-1BD",
ResetTerm = resetTerm ?? "3M",
Spread = double.IsNaN(spread) ? 0.0 : spread,
ResetAverageDays = resetAverageDays,
ResetRateDigits = resetRateDigits,
FloatingRateMultiplier = double.IsNaN(floatingRateMultiplier) ? 1.0 : floatingRateMultiplier,
FloatingCalc = "ZzFrn",
CapRate = 100,
FloorRate = -100
};
}
bondInfo.StartDate = startDate;
bondInfo.MaturityDate = maturityDate;
bondInfo.Calendar = calendar;
bondInfo.PaymentFreq = paymentFrequency;
bondInfo.StickToEom = stickToEom;
bondInfo.PaymentStub = paymentStub;
bondInfo.Notional = notional;
bondInfo.Currency = currency;
bondInfo.AccrualDC = accrualDayCount;
bondInfo.DayCount = paymentDayCount;
bondInfo.AccrualBD = accrualBusinessDayConvention;
bondInfo.PaymentBD = paymentBusinessDayConvention;
bondInfo.Settlement = settlement;
bondInfo.SettlementCoupon = settlementCoupon;
bondInfo.TradingMarket = calendar == "chn_ib"
? TradingMarket.ChinaInterBank.ToString()
: TradingMarket.ChinaExShe.ToString();
bondInfo.IsZeroCouponBond = !double.IsNaN(issuePrice);
bondInfo.IssuePrice = issuePrice;
bondInfo.FirstPaymentDate = firstPaymentDate;
bondInfo.AmortizationType = "None";
bondInfo.AmoritzationInIndex = amoritzationInIndex;
bondInfo.RenormAmortization = renormalizeAfterAmoritzation;
bondInfo.CompensationRate = compensationRate;
bondInfo.IssueRate = issueRate;
bondInfo.OptionToCall = optionToCall;
bondInfo.OptionToPut = optionToPut;
bondInfo.OptionToAssPut = optionToAssPut;
bondInfo.ValuationParamters = new SimpleCfValuationParameters("中债国债收益率曲线", "", "中债国债收益率曲线");
XlManager.AddTrades(new[] { bondInfo });
tradeInfo = bondInfo;
}
return(tradeInfo.ToTradeInfoInLabelData(null));
}
