public void TestBondPriceConversions3()
{
var bond = new FixedRateBondInfo("bond1")
{
StartDate = "2010-10-28",
MaturityDate = "2020-10-28",
Notional = 100.0,
Currency = "CNY",
FixedCoupon = 0.0367,
Calendar = "chn",
PaymentFreq = "SemiAnnual",
PaymentStub = "ShortStart",
AccrualDC = "Act365NoLeap",
DayCount = "ModifiedAfb",
AccrualBD = "None",
PaymentBD = "None",
TradingMarket = "ChinaExShg",
Settlement = "+0BD",
ValuationParamters = new SimpleCfValuationParameters("Fr007", null, "Fr007")
};
var bondVf = new BondVf(bond);
var market = TestMarket("2016-08-04", new BondMktData(bond.TradeId, "Dirty", 100.995424657531));
var result = bondVf.ValueTrade(market, PricingRequest.Ytm);
Assert.AreEqual(Math.Round(result.Ytm, 15), 0.036663932289318, 1e-13);
}
public double PriceToYield()
{
var bond = new FixedDateCouonAdjustedBondInfo("313100015")
{
StartDate = "2015-03-23",
MaturityDate = "2018-11-17",
PaymentFrequency = "Quarterly",
Notional = 32000,
AccrualDayCount = "Act365",
AccrualBusinessDayConvention = "None",
DayCount = "Act365",
PaymentBusinessDayConvention = "None",
FirstPaymentDate = "2015-06-21",
Index = "Lrb5Y",
FloatingRateMultiplier = 0.9,
FixedDateCouponAdjustedStyle = "SpecifiedDates",
AdjustMmDd = "11-18",
AmoritzationInDate = new Dictionary <string, double>
{
{ "2015-06-20", 0.125 }, //percentage of initial Notional
{ "2015-12-20", 0.125 },
{ "2016-06-20", 0.125 },
{ "2016-12-20", 0.125 },
{ "2017-06-20", 0.125 },
{ "2017-12-20", 0.125 },
{ "2018-06-20", 0.125 },
{ "2018-11-17", 0.125 },
},
};
var bondVf = new BondVf(bond);
var result = bondVf.ValueTrade(_market, PricingRequest.Ytm);
return(result.Ytm);
}
public void TestBondPriceConversions()
{
var targetDirtyPrice = new List <double>();
var targetCleanPrice = new List <double>();
var targetYtm = new List <double>();
var fixedBonds = File.ReadAllLines(@"./Data/BondFuture/QbTF1606CfTest.txt")
.Select(x =>
{
var splits = x.Split(',');
targetDirtyPrice.Add(Convert.ToDouble(splits[6]));
targetCleanPrice.Add(Convert.ToDouble(splits[7]));
targetYtm.Add(Convert.ToDouble(splits[8]));
return(new FixedRateBondInfo(splits[0])
{
StartDate = new Date(DateTime.Parse(splits[3])).ToString(),
MaturityDate = new Date(DateTime.Parse(splits[4])).ToString(),
Notional = 100.0,
Currency = "CNY",
FixedCoupon = Convert.ToDouble(splits[1]),
Calendar = "chn_ib",
PaymentFreq = (splits[2] == "Annual" ? Frequency.Annual : Frequency.SemiAnnual).ToString(),
PaymentStub = "LongEnd",
AccrualDC = "ActActIsma",
DayCount = "ActActIsma",
AccrualBD = "None",
PaymentBD = "None",
TradingMarket = "ChinaInterBank",
Settlement = "+0D",
ValuationParamters = new SimpleCfValuationParameters("Fr007", null, "Fr007")
});
}).ToArray();
for (var i = 0; i < fixedBonds.Length; ++i)
{
var bondVf = new BondVf(fixedBonds[i]);
var markets = new[]
{
TestMarket("2016-04-06", new BondMktData(fixedBonds[i].TradeId, "Dirty", targetDirtyPrice[i])),
TestMarket("2016-04-06", new BondMktData(fixedBonds[i].TradeId, "Clean", targetCleanPrice[i])),
TestMarket("2016-04-06", new BondMktData(fixedBonds[i].TradeId, "Ytm", targetYtm[i]))
};
foreach (var qdpMarket in markets)
{
var result = bondVf.ValueTrade(qdpMarket, PricingRequest.Ytm);
Assert.AreEqual(Math.Round(result.DirtyPrice, 4), targetDirtyPrice[i], 1e-5);
Assert.AreEqual(Math.Round(result.CleanPrice, 4), targetCleanPrice[i], 1e-5);
Assert.AreEqual(Math.Round(result.Ytm, 6), targetYtm[i], 1e-7);
}
}
}
public void TestFixedDateCouponAdjustedBond1()
{
var bond = new FixedDateCouonAdjustedBondInfo("313100015")
{
StartDate = "2015-03-23",
MaturityDate = "2018-11-17",
PaymentFreq = "Quarterly",
Notional = 32000,
AccrualDC = "Act365",
AccrualBD = "None",
DayCount = "Act365",
PaymentBD = "None",
FirstPaymentDate = "2015-06-21",
Index = "Lrb5Y",
FloatingRateMultiplier = 0.9,
FixedDateCouponAdjustedStyle = "SpecifiedDates",
AdjustMmDd = "11-18",
AmoritzationInDate = new Dictionary <string, double>
{
{ "2015-06-20", 0.125 }, //percentage of initial Notional
{ "2015-12-20", 0.125 },
{ "2016-06-20", 0.125 },
{ "2016-12-20", 0.125 },
{ "2017-06-20", 0.125 },
{ "2017-12-20", 0.125 },
{ "2018-06-20", 0.125 },
{ "2018-11-17", 0.125 },
},
//Settlment = "+0BD",
//PaymentStub = "ShortEnd",
//Calendar = "chn_ib",
//Currency = "CNY",
//TradingMarket = "ChinaInterBank",
//IsZeroCouponBond = false,
//IssuePrice = 100,
//ValuationParamters = new SimpleCfValuationParameters("Fr007", "", "Fr007")
};
var marketInfo = TestMarket("2015-03-23", new BondMktData(bond.TradeId, "Dirty", bond.Notional));
var bondVf = new BondVf(bond);
var result = bondVf.ValueTrade(marketInfo, PricingRequest.Cashflow);
var expectedResults = new[]
{
"Coupon 459.9715 CNY@2015-06-20",
"Coupon 4.5222 CNY@2015-06-21",
"Coupon 416.0416 CNY@2015-09-21",
"Coupon 392.6367 CNY@2015-12-20",
"Coupon 3.4915 CNY@2015-12-21",
"Coupon 317.7271 CNY@2016-03-21",
"Coupon 317.7271 CNY@2016-06-20",
"Coupon 2.9096 CNY@2016-06-21",
"Coupon 267.6822 CNY@2016-09-21",
"Coupon 261.863 CNY@2016-12-20",
"Coupon 2.3277 CNY@2016-12-21",
"Coupon 209.4904 CNY@2017-03-21",
"Coupon 211.8181 CNY@2017-06-20",
"Coupon 1.7458 CNY@2017-06-21",
"Coupon 160.6093 CNY@2017-09-21",
"Coupon 157.1178 CNY@2017-12-20",
"Coupon 1.1638 CNY@2017-12-21",
"Coupon 104.7452 CNY@2018-03-21",
"Coupon 105.909 CNY@2018-06-20",
"Coupon 0.5819 CNY@2018-06-21",
"Coupon 53.5364 CNY@2018-09-21",
"Coupon 33.1693 CNY@2018-11-17",
"Principal 4000 CNY@2015-06-20",
"Principal 4000 CNY@2015-12-20",
"Principal 4000 CNY@2016-06-20",
"Principal 4000 CNY@2016-12-20",
"Principal 4000 CNY@2017-06-20",
"Principal 4000 CNY@2017-12-20",
"Principal 4000 CNY@2018-06-20",
"Principal 4000 CNY@2018-11-17",
};
for (var i = 0; i < result.Cashflows.Length; ++i)
{
Assert.AreEqual(result.Cashflows[i].ToString(), expectedResults[i]);
}
}
public void TestFloatingBondPriceConversions()
{
var targetDirtyPrice = new List <double>();
//var targetCleanPrice = new List<double>();
//var targetYtm = new List<double>();
var floatingBonds = File.ReadAllLines(@"./Data/BondFuture/QbTF1606CfTest.txt")
.Select(x =>
{
var splits = x.Split(',');
targetDirtyPrice.Add(Convert.ToDouble(splits[6]));
//targetCleanPrice.Add(Convert.ToDouble(splits[7]));
//targetYtm.Add(Convert.ToDouble(splits[8]));
return(new FloatingRateBondInfo(splits[0])
{
StartDate = new Date(DateTime.Parse(splits[3])).ToString(),
MaturityDate = new Date(DateTime.Parse(splits[4])).ToString(),
Notional = 100.0,
Currency = "CNY",
Spread = Convert.ToDouble(splits[1]),
Calendar = "chn_ib",
PaymentFreq = (splits[2] == "Annual" ? Frequency.Annual : Frequency.SemiAnnual).ToString(),
PaymentStub = "LongEnd",
AccrualDC = "Act365",
DayCount = "Act365",
AccrualBD = "None",
PaymentBD = "ModifiedFollowing",
TradingMarket = "ChinaInterBank",
Settlement = "+0BD",
ValuationParamters = new SimpleCfValuationParameters("Fr007", "Fr007", "Fr007"),
Index = IndexType.Fr007.ToString(),
ResetDC = DayCount.Act365.ToString(),
ResetAverageDays = 1,
ResetTerm = "1W",
ResetStub = Stub.LongEnd.ToString(),
ResetBD = BusinessDayConvention.ModifiedFollowing.ToString(),
ResetToFixingGap = "-1BD",
FloatingCalc = "SimpleFrn",
ResetCompound = CouponCompound.Simple.ToString()
});
}).ToArray();
for (var i = 0; i < floatingBonds.Length; ++i)
{
var bondVf = new BondVf(floatingBonds[i]);
var markets = new[]
{
TestMarket("2014-10-21", new BondMktData(floatingBonds[i].TradeId, "Dirty", targetDirtyPrice[i])),
//TestMarket("2014-10-21", new BondMktData(floatingBonds[i].TradeId, "Clean", targetCleanPrice[i])),
//TestMarket("2014-10-21", new BondMktData(floatingBonds[i].TradeId, "Ytm", targetYtm[i]))
};
foreach (var qdpMarket in markets)
{
var result = bondVf.ValueTrade(qdpMarket, PricingRequest.Ytm);
Console.WriteLine("DirtyPrice:{0}", result.DirtyPrice);
Console.WriteLine("CleanPrice:{0}", result.CleanPrice);
Console.WriteLine("Ytm:{0}", result.Ytm);
//Assert.AreEqual(targetDirtyPrice[i], Math.Round(result.DirtyPrice, 4), 1e-5);
//Assert.AreEqual(targetCleanPrice[i], Math.Round(result.CleanPrice, 4), 1e-5);
//Assert.AreEqual(targetYtm[i], Math.Round(result.Ytm, 6), 1e-7);
}
}
}
public void TestStepWiseCompensationRate()
{
//为什么没输入tradedate？应该有tradedate为交易属性
var bond = new FixedRateBondInfo("bond1")
{
StartDate = "2016-10-28",
MaturityDate = "2020-10-28",
Notional = 100.0, //trade
Currency = "CNY",
FixedCoupon = 0.0367,
Calendar = "chn",
PaymentFreq = "Annual", //付息频率
PaymentStub = "ShortStart", //instrument
AccrualDC = "ActActIsma", // 日期规则，应计利息
DayCount = "ModifiedAfb", // 收益率的日期规则
AccrualBD = "None", //应计利息 日期调整规则 instrument
PaymentBD = "None", //支付利息 日期调整规则
TradingMarket = "ChinaExShg", //交易市场
Settlement = "+0BD", //BD工作日， 后可以拿到交易的东西 instrument
CompensationRate = new Dictionary <int, double> // :
//补偿利率的意思是有些债券会根据年限的变化增长利息
//2，0.01是指第二年开始利率增加0.01
{
{ 2, 0.01 },
{ 3, 0.015 }
},
ValuationParamters = new SimpleCfValuationParameters("Fr007", null, "Fr007")
};
var bondVf = new BondVf(bond);
var market = TestMarket("2016-08-04", new BondMktData(bond.TradeId, "Dirty", 100.995424657531));
var result = bondVf.ValueTrade(market, PricingRequest.Cashflow);
var nettedCfs = result.Cashflows.GroupBy(cf => cf.PaymentDate)
.Select(item => new Cashflow(item.Min(x => x.AccrualStartDate), item.Max(x => x.AccrualEndDate), item.Key, item.Sum(entry => entry.PaymentAmount), item.First().PaymentCurrency, CashflowType.Coupon, item.Aggregate(true, (current, v) => current && v.IsFixed), double.NaN, item.Min(x => x.CalculationDetails), item.Min(x => x.RefStartDate), item.Max(x => x.RefEndDate), item.Max(entry => entry.StartPrincipal), item.Sum(entry => entry.CouponRate)))
.OrderBy(cf => cf.PaymentDate)
.ToArray();
Assert.AreEqual(nettedCfs[0].PaymentAmount, 3.67, 1e-3);
Assert.AreEqual(nettedCfs[1].PaymentAmount, 4.67, 1e-3);
Assert.AreEqual(nettedCfs[2].PaymentAmount, 6.17, 1e-3);
Assert.AreEqual(nettedCfs[3].PaymentAmount, 106.17, 1e-3);
//Date tradedate = new Date(2016, 11, 28);
//Date startdate = new Date(2016, 10, 28);
//Date maturitydate = new Date(2020, 10, 28);
//var bond_v2 = new V2.FixedRateBondInfo("bond1",tradedate, startdate,maturitydate, V2.TradeType.Buy, 100, 1000);
//var bond2s = CreateBonds();
//var singlebond = bond2s[0];
//var marketV2 = CreateTestMarket("2016-11-28", singlebond);
//IPricingResult ipResult = bond_v2.CalculateRisks(marketV2, PricingRequest.Cashflow);
//var nettedCfs2 = ipResult.Cashflows.GroupBy(cf => cf.PaymentDate)
// .Select(item => new Cashflow(item.Min(x => x.AccrualStartDate), item.Max(x => x.AccrualEndDate), item.Key, item.Sum(entry => entry.PaymentAmount), item.First().PaymentCurrency, CashflowType.Coupon, item.Aggregate(true, (current, v) => current && v.IsFixed), double.NaN, item.Min(x => x.CalculationDetails), item.Min(x => x.RefStartDate), item.Max(x => x.RefEndDate), item.Max(entry => entry.StartPrincipal), item.Sum(entry => entry.CouponRate)))
// .OrderBy(cf => cf.PaymentDate)
// .ToArray();
//string results = "0:" + nettedCfs2[0].PaymentAmount + "1:" + nettedCfs2[1].PaymentAmount +"2:" + nettedCfs2[2].PaymentAmount +"3:" + nettedCfs2[3].PaymentAmount; ;
//System.Diagnostics.Debugger.Log(2, "results", results);
}
public void TestFixedDateCouponAdjustedBond2()
{
var bond = new FixedDateCouonAdjustedBondInfo("1141100129")
{
StartDate = "2015-03-23",
MaturityDate = "2018-04-24",
PaymentFreq = "Quarterly",
Notional = 4000,
AccrualDC = "Act365",
AccrualBD = "None",
DayCount = "Act365",
PaymentBD = "None",
FirstPaymentDate = "2015-06-21",
Index = "Lrb5Y",
FloatingRateMultiplier = 1.0,
FixedDateCouponAdjustedStyle = "Follow",
AdjustMmDd = "11-08",
AmoritzationInDate = new Dictionary <string, double>
{
{ "2015-05-18", 0.25 }, //percentage of initial Notional
{ "2015-11-19", 0.25 },
{ "2016-05-18", 0.5 }
},
//Settlment = "+0BD",
//PaymentStub = "ShortEnd",
//Calendar = "chn_ib",
//Currency = "CNY",
//TradingMarket = "ChinaInterBank",
//IsZeroCouponBond = false,
//IssuePrice = 100,
//ValuationParamters = new SimpleCfValuationParameters("Fr007", "", "Fr007")
};
var marketInfo = TestMarket("2015-03-23", new BondMktData(bond.TradeId, "Dirty", bond.Notional));
var bondVf = new BondVf(bond);
var result = bondVf.ValueTrade(marketInfo, PricingRequest.Cashflow);
var expectedResults = new[]
{
"Coupon 36.2082 CNY@2015-05-18",
"Coupon 16.4877 CNY@2015-06-21",
"Coupon 44.6137 CNY@2015-09-21",
"Coupon 28.611 CNY@2015-11-19",
"Coupon 10.3452 CNY@2015-12-21",
"Coupon 29.4192 CNY@2016-03-21",
"Coupon 18.7507 CNY@2016-05-18",
"Coupon 0 CNY@2016-06-21",
"Coupon 0 CNY@2016-09-21",
"Coupon 0 CNY@2016-12-21",
"Coupon 0 CNY@2017-03-21",
"Coupon 0 CNY@2017-06-21",
"Coupon 0 CNY@2017-09-21",
"Coupon 0 CNY@2017-12-21",
"Coupon 0 CNY@2018-03-21",
"Coupon 0 CNY@2018-04-24",
"Principal 1000 CNY@2015-05-18",
"Principal 1000 CNY@2015-11-19",
"Principal 2000 CNY@2016-05-18",
};
for (var i = 0; i < result.Cashflows.Length; ++i)
{
Assert.AreEqual(result.Cashflows[i].ToString(), expectedResults[i]);
}
}
