/// <summary>
/// Evaluates the implied quote.
/// </summary>
/// <returns></returns>
private Decimal EvaluateConvexityAdjustment(Decimal rate)
{
return(FuturesAnalytics.FuturesMarginWithArrearsConvexityAdjustment(rate,
(double)AnalyticParameters.YearFraction,
(double)AnalyticParameters.TimeToExpiry,
(double)AnalyticParameters.Volatility));
}
/// <summary>
/// Evaluates the implied quote.
/// </summary>
/// <returns></returns>
private Decimal EvaluateImpliedQuote()
{
var impliedRate = EvaluateImpliedRate();
var result = FuturesAnalytics.FuturesImpliedQuoteFromMarginAdjusted(impliedRate,
(double)AnalyticParameters.TimeToExpiry, (double)AnalyticParameters.Volatility);
return(result);
}
public void FuturesImpliedQuoteFromMarginAdjustedWithArrearsTest()
{
decimal actual = FuturesAnalytics.FuturesImpliedQuoteFromMarginAdjustedWithArrears(0.055m, 3, 0.25, 0.2);
Assert.AreEqual(0.0550820401094303d, (double)actual, 0.000000001);
actual = FuturesAnalytics.FuturesImpliedQuoteFromMarginAdjustedWithArrears(0.055m, 3, 0, 0.2);
Assert.AreEqual(0.055m, actual);
}
public void FuturesImpliedQuoteWithArrearsTest()
{
decimal actual = FuturesAnalytics.FuturesImpliedQuoteWithArrears(0.055m, 3, 0.25, 0.2);
Assert.AreEqual(0.0550782877822222d, (double)actual, 0.000000001);
actual = FuturesAnalytics.FuturesImpliedQuoteWithArrears(0.055m, 3, 0, 0.2);
Assert.AreEqual(0.055m, actual);
}
/// <summary>
/// Evaluates the implied quote.
/// </summary>
/// <returns></returns>
private Decimal EvaluateImpliedQuote()
{
try
{
var result = FuturesAnalytics.FuturesImpliedQuoteFromMarginAdjustedWithArrears(EvaluateImpliedRate(),
(double)AnalyticParameters.YearFraction,
(double)AnalyticParameters.TimeToExpiry,
(double)AnalyticParameters.Volatility);
return(result);
}
catch
{
throw new System.Exception("Real solution does not exist");
}
}
/// <summary>
/// Evaluates the implied quote.
/// </summary>
/// <returns></returns>
private Decimal EvaluateImpliedQuote()//TODo the aqdjustment needs to be at the rate, not the implied rate.
{
try
{
var result = FuturesAnalytics.FuturesImpliedQuoteFromMarginAdjustedWithArrears(EvaluateImpliedRate(),
(double)AnalyticParameters.YearFraction,
(double)AnalyticParameters.TimeToExpiry,
(double)AnalyticParameters.Volatility);
return(result);
}
catch
{
throw new Exception("Real solution does not exist");
}
}
///<summary>
///</summary>
///<param name="futuresPrice"></param>
///<param name="absoluteVol"></param>
///<param name="meanReversion"></param>
///<param name="valueDate"></param>
///<param name="expiryMonthYear"></param>
///<param name="xlHolidays"></param>
///<returns></returns>
public double CMEConvexityAdjustment(double futuresPrice, double absoluteVol, double meanReversion, DateTime valueDate, DateTime expiryMonthYear, [Optional] Excel.Range xlHolidays)
{
object[,] values = xlHolidays.get_Value(System.Reflection.Missing.Value) as object[, ];
object[,] holidays;
if (values.GetType().Name == "Missing")
{
holidays = new Object[1, 1];
holidays[0, 0] = new DateTime(1, 1, 1);
}
else
{
holidays = ArrayHelper.RangeToMatrix(values);
}
return(FuturesAnalytics.CMEConvexityAdjustment(futuresPrice, absoluteVol, meanReversion, valueDate, expiryMonthYear, holidays));
}
public void TestFuturesMarginWithArrearsConvexityAdjustment()
{
for (var i = 0; i < 10; i++)
{
var rate = (decimal)(50 + i);
var cvt = FuturesAnalytics.FuturesMarginWithArrearsConvexityAdjustment(rate / 1000, 0.25, 3.0, .2);
var result = FuturesAnalytics.FuturesImpliedQuoteFromMarginAdjustedWithArrears(rate / 1000 - cvt, 0.25, 3.0, .2);
Debug.WriteLine(String.Format("rate : {0} convexity: {1} implied: {2}", rate / 1000, cvt * 10000, result));
}
decimal actual = FuturesAnalytics.FuturesMarginWithArrearsConvexityAdjustment(0.055m, 0.25, 3d, 0.2);
Assert.AreEqual(0.0005720703761657d, (double)actual, 0.000000001);
actual = FuturesAnalytics.FuturesMarginWithArrearsConvexityAdjustment(0.055m, 0.25, 0, 0.2);
Assert.AreEqual(0, actual);
}
public void FuturesImpliedQuoteFromMarginAdjustedTest()
{
for (var i = 0; i < 10; i++)
{
decimal rate = 50 + i;
decimal adjustedRate = FuturesAnalytics.FuturesImpliedQuoteFromMarginAdjusted(rate / 1000, 3.0, .2);
decimal arrearsAdjustedRate = FuturesAnalytics.FuturesImpliedQuoteWithArrears(adjustedRate, 0.25, 3.0, .2);
decimal cvt = FuturesAnalytics.FuturesImpliedQuoteFromMarginAdjustedWithArrears(arrearsAdjustedRate, 3.0, 0.25, .2);
Assert.AreEqual((double)rate / 1000, (double)cvt, 0.01);
Debug.WriteLine(String.Format("rate : {0} adjustedRate: {1} arrearsAdjustedRate: {2} cvt: {3}", rate / 1000, adjustedRate, arrearsAdjustedRate, cvt));
}
decimal actual = FuturesAnalytics.FuturesImpliedQuoteFromMarginAdjusted(0.055m, 3, 0.2);
Assert.AreEqual(0.055486651d, (double)actual, 0.000000001);
actual = FuturesAnalytics.FuturesImpliedQuoteFromMarginAdjusted(0.055m, 0, 0.2);
Assert.AreEqual(0.055m, actual);
}
/// <summary>
/// Evaluates the implied futures quote from a provided convexity adjusted forward.
/// This currently only works for margined futures without an arrears adjustment.
/// </summary>
/// <param name="impliedRate"></param>
/// <param name="timeToExpiry"></param>
/// <param name="volatility"></param>
/// <returns></returns>
public decimal FuturesImpliedQuoteFromMarginAdjusted(decimal impliedRate, double timeToExpiry, double volatility)
{
return(FuturesAnalytics.FuturesImpliedQuoteFromMarginAdjusted(impliedRate, timeToExpiry, volatility));
}
/// <summary>
/// Evaluates the implied quote.
/// </summary>
/// <param name="rate"></param>
/// <param name="timeToExpiry"></param>
/// <param name="volatility"></param>
/// <returns></returns>
public decimal FuturesMarginConvexityAdjustment(decimal rate, double timeToExpiry, double volatility)
{
return(FuturesAnalytics.FuturesMarginConvexityAdjustment(rate, timeToExpiry, volatility));
}
///<summary>
///</summary>
///<param name="contract"></param>
///<param name="futuresPrice"></param>
///<returns></returns>
public double NZSFEBondTickValue(string contract, double futuresPrice)
{
contract = contract.ToUpper();
return(FuturesAnalytics.NZSFEBondTickValue(contract, futuresPrice));
}
/// <summary>
/// Evaluates the implied futures quote from a provided convexity adjusted forward.
/// This currently only works for margined futures without an arrears adjustment.
/// </summary>
/// <param name="impliedRate"></param>
/// <param name="yearFraction"></param>
/// <param name="timeToExpiry"></param>
/// <param name="volatility"></param>
/// <returns></returns>
public Decimal FuturesImpliedQuoteWithArrears(Decimal impliedRate, double yearFraction, double timeToExpiry, double volatility)
{
return(FuturesAnalytics.FuturesImpliedQuoteWithArrears(impliedRate, yearFraction, timeToExpiry, volatility));
}
/// <summary>
/// Evaluates the implied quote.
/// </summary>
/// <returns></returns>
private Decimal EvaluateConvexityAdjustment()
{
return(FuturesAnalytics.FuturesMarginConvexityAdjustment(AnalyticParameters.Rate,
(double)AnalyticParameters.TimeToExpiry, (double)AnalyticParameters.Volatility));
}
///<summary>
///</summary>
///<param name="futuresPrice"></param>
///<returns></returns>
public double SFEBillTickValue(double futuresPrice)
{
return(FuturesAnalytics.SFEBillTickValue(futuresPrice));
}
/// <summary>
/// Evaluates the implied futures quote from a provided convexity adjusted forward.
/// </summary>
/// <param name="impliedRate"></param>
/// <param name="timeToExpiry"></param>
/// <param name="yearFraction"></param>
/// <param name="volatility"></param>
/// <returns></returns>
public decimal FuturesImpliedQuoteFromMarginAdjustedWithArrears(decimal impliedRate, double yearFraction, double timeToExpiry, double volatility)
{
return(FuturesAnalytics.FuturesImpliedQuoteFromMarginAdjustedWithArrears(impliedRate, yearFraction, timeToExpiry, volatility));
}
/// <summary>
/// Evaluates the futures arrears convexity adjustment.
/// </summary>
/// <param name="rate"></param>
/// <param name="yearFraction"></param>
/// <param name="timeToExpiry"></param>
/// <param name="volatility"></param>
/// <returns></returns>
public decimal FuturesMarginWithArrearsConvexityAdjustment(decimal rate, double yearFraction, double timeToExpiry, double volatility)
{
return(FuturesAnalytics.FuturesMarginWithArrearsConvexityAdjustment(rate, yearFraction, timeToExpiry, volatility));
}
///<summary>
///</summary>
///<param name="contract"></param>
///<param name="futuresPrice"></param>
///<returns></returns>
public double SFEBondPrice(string contract, double futuresPrice)
{
contract = contract.ToUpper();
return(FuturesAnalytics.SFEBondPrice(contract, futuresPrice));
}