public static object BondEngineCalc(string bondId, string calcDate, PriceQuoteType priceQuote, double quote, PricingRequest request, FixedRateBondInfo fixedBond = null)
{
var bond = fixedBond ?? XlManager.GetTrade(bondId);
if (bond == null)
{
return(string.Format("Cannot find bond {0}.", bondId));
}
var vf = new BondVf((BondInfoBase)bond);
var bondInstrument = vf.GenerateInstrument();
var valueDate = calcDate.ToDate();
var fixingCurve = new YieldCurve(
"中债国债收收益率曲线",
valueDate,
new[]
{
new Tuple <Date, double>(valueDate, 0.0),
new Tuple <Date, double>(new Term("10Y").Next(valueDate), 0.0)
},
BusinessDayConvention.ModifiedFollowing,
new Act365(),
CalendarImpl.Get("Chn_ib"),
CurrencyCode.CNY,
Compound.Continuous,
Interpolation.ForwardFlat,
YieldCurveTrait.ForwardCurve
);
var market = new MarketCondition(
x => x.ValuationDate.Value = valueDate,
x => x.FixingCurve.Value = fixingCurve,
x =>
x.MktQuote.Value =
new Dictionary <string, Tuple <PriceQuoteType, double> > {
{ bondId, Tuple.Create(priceQuote, quote) }
},
x => x.HistoricalIndexRates.Value = HistoricalIndexRates
);
if (bond is FloatingRateBondInfo)
{
var fixingTuple = bondInstrument.Coupon.GetPrimeCoupon(HistoricalIndexRates, fixingCurve, valueDate);
var keyTenors = new string[fixingCurve.GetKeyTenors().Length];
fixingCurve.GetKeyTenors().CopyTo(keyTenors, 0);
for (var i = 0; i < keyTenors.Length; ++i)
{
market = (MarketCondition)market.UpdateCondition(new UpdateMktConditionPack <IYieldCurve>(x => x.FixingCurve, market.FixingCurve.Value.BumpKeyRate(i, fixingTuple.Item2)));
}
if (request.Equals(PricingRequest.None))
{
return(fixingTuple);
}
}
var engine = vf.GenerateEngine();
var result = engine.Calculate(bondInstrument, market, request);
if (!result.Succeeded)
{
return(string.Format("Failed to Calculate bond {0}:{1}", bondId, result.ErrorMessage));
}
return(result);
}
