private ISpread GetUnderlyingBondZeroSpread(Bond bond, IMarketCondition market)
{
if (market.CreditSpread.HasValue)
{
return(market.CreditSpread.Value);
}
else
{
var bMarket = market.UpdateCondition(new UpdateMktConditionPack <IYieldCurve>(x => x.DiscountCurve, market.UnderlyingDiscountCurve.Value));
return(new ZeroSpread(BondPricingFunctions.ZeroSpread(bond, bMarket)));
}
}
private double CalcPv(BondFutures bondFuture, IMarketCondition market)
{
var discountCurve = market.DiscountCurve.Value;
var dayCount = bondFuture.DayCount;
var tree = _interestRateModel.Tree(GetGridTimes(bondFuture, market), 0.0, discountCurve);
var deliveryTime = dayCount.CalcDayCountFraction(market.ValuationDate, bondFuture.UnderlyingMaturityDate);
var indexAtDelivery = tree.IndexAtT(deliveryTime);
var bonds = bondFuture.Deliverables;
var ais = bonds.Select(x => x.GetAccruedInterest(bondFuture.UnderlyingMaturityDate, market, true)).ToArray();
var conversionFactors = bonds.Select(x => bondFuture.GetConversionFactor(x, market)).ToArray();
var zeroSpreads =
bonds.Select((bond, i) => BondPricingFunctions.ZeroSpread(bond, market)
).ToArray();
var nNodesAtDelivery = tree.TrinomialTree.Branchings[indexAtDelivery].Size;
var futurePricesAtDelivery = new double[nNodesAtDelivery];
for (var j = 0; j < nNodesAtDelivery; ++j)
{
var simulationRate = tree.ShortRate(indexAtDelivery, j);
var bondPrices = bonds
.Select((x, i) =>
{
var cfs = x.GetCashflows(market).Where(cf => cf.PaymentDate > bondFuture.UnderlyingMaturityDate).ToArray();
var bPrice = 0.0;
foreach (var cf in cfs)
{
var T = dayCount.CalcDayCountFraction(market.ValuationDate, cf.PaymentDate);
var P = tree.DiscountBond(deliveryTime, T, simulationRate);
var rate = discountCurve.Compound.CalcRateFromDf(P, T - deliveryTime);
var df = 1.0 / discountCurve.Compound.CalcCompoundRate(T - deliveryTime, rate + zeroSpreads[i]);
bPrice += cf.PaymentAmount * df;
}
return(bPrice);
}).ToArray();
var futurePricesAtNodes = bondPrices
.Select((price, k) => price - ais[k])
.Select((cleanPrice, k) => cleanPrice / conversionFactors[k]).ToList();
futurePricesAtDelivery[j] = futurePricesAtNodes.Min();
}
return(tree.ReverseInduction(null, null, indexAtDelivery, futurePricesAtDelivery, false)[0][0]);
}
//only used if we switch from CTD model to basket model
private double CalcDv01(BondFutures bondFuture, IMarketCondition market)
{
var discountCurve = market.DiscountCurve.Value;
var dayCount = bondFuture.DayCount;
var tree = _interestRateModel.Tree(GetGridTimes(bondFuture, market), 0.0, discountCurve);
var deliveryTime = dayCount.CalcDayCountFraction(market.ValuationDate, bondFuture.UnderlyingMaturityDate);
var bonds = bondFuture.Deliverables;
var ais = bonds.Select(x => x.GetAccruedInterest(bondFuture.UnderlyingMaturityDate, market, true)).ToArray();
var conversionFactors = bonds.Select(x => bondFuture.GetConversionFactor(x, market)).ToArray();
var zeroSpreads =
bonds.Select((bond, i) =>
BondPricingFunctions.ZeroSpread(bond, market)
).ToArray();
var simulationRate = tree.ShortRate(0, 0);
var bondPrices = bonds
.Select((x, i) =>
{
var cfs = x.GetCashflows(market).Where(cf => cf.PaymentDate > bondFuture.UnderlyingMaturityDate).ToArray();
var bPrice = 0.0;
foreach (var cf in cfs)
{
var T = dayCount.CalcDayCountFraction(market.ValuationDate, cf.PaymentDate);
var P = tree.DiscountBond(deliveryTime, T, simulationRate);
var rate = discountCurve.Compound.CalcRateFromDf(P, T - deliveryTime);
var df = 1.0 / discountCurve.Compound.CalcCompoundRate(T - deliveryTime, rate + zeroSpreads[i]);
bPrice += cf.PaymentAmount * df;
}
return(bPrice);
}).ToArray();
var futurePrices = bondPrices
.Select((price, k) => price - ais[k])
.Select((cleanPrice, k) => cleanPrice / conversionFactors[k]).ToList();
var futurePrice = futurePrices.Min();
var index = futurePrices.FirstIndexOf(x => (x - futurePrice).IsAlmostZero());
var ctdBond = bonds[index];
var ctdBondPrice = market.MktQuote.Value[ctdBond.Id];
return
(new BondEngine().Calculate(ctdBond, market, PricingRequest.Dv01).Dv01);
}
public override IPricingResult GetRisks(Forward <Bond> trade, IMarketCondition market, PricingRequest pricingRequest)
{
var result = new PricingResult(market.ValuationDate, pricingRequest);
var bondEngine = new BondEngine();
var bMarket = market.UpdateCondition(new UpdateMktConditionPack <IYieldCurve>(x => x.DiscountCurve, market.UnderlyingDiscountCurve.Value));
if (result.IsRequested(PricingRequest.Dv01))
{
var bondZeroSpread = BondPricingFunctions.ZeroSpread(trade.Underlying, bMarket);
IMarketCondition bondMktUp;
IMarketCondition bondMktDown;
if (market.FixingCurve.HasValue)
{
bondMktUp = bMarket.UpdateCondition(
new UpdateMktConditionPack <IYieldCurve>(x => x.FixingCurve, bMarket.FixingCurve.Value.Shift(1)),
new UpdateMktConditionPack <IYieldCurve>(x => x.DiscountCurve, bMarket.DiscountCurve.Value.Shift(1).GetSpreadedCurve(new ZeroSpread(bondZeroSpread)))
);
bondMktDown = bMarket.UpdateCondition(
new UpdateMktConditionPack <IYieldCurve>(x => x.FixingCurve, bMarket.FixingCurve.Value.Shift(-1)),
new UpdateMktConditionPack <IYieldCurve>(x => x.DiscountCurve, bMarket.DiscountCurve.Value.Shift(-1).GetSpreadedCurve(new ZeroSpread(bondZeroSpread)))
);
}
else
{
bondMktUp = bMarket.UpdateCondition(
new UpdateMktConditionPack <IYieldCurve>(x => x.DiscountCurve, bMarket.DiscountCurve.Value.Shift(1).GetSpreadedCurve(new ZeroSpread(bondZeroSpread)))
);
bondMktDown = bMarket.UpdateCondition(
new UpdateMktConditionPack <IYieldCurve>(x => x.DiscountCurve, bMarket.DiscountCurve.Value.Shift(-1).GetSpreadedCurve(new ZeroSpread(bondZeroSpread)))
);
}
var fwdMarket = market.UpdateCondition(new UpdateMktConditionPack <ISpread>(x => x.CreditSpread, new ZeroSpread(bondZeroSpread)));
var upPv = bondEngine.Calculate(trade.Underlying, bondMktUp, PricingRequest.Pv).Pv;
var downPv = bondEngine.Calculate(trade.Underlying, bondMktDown, PricingRequest.Pv).Pv;
if (fwdMarket.FixingCurve.HasValue)
{
var fwdMktUp = fwdMarket.UpdateCondition(
new UpdateMktConditionPack <IYieldCurve>(x => x.FixingCurve, bMarket.FixingCurve.Value.Shift(1)),
new UpdateMktConditionPack <IYieldCurve>(x => x.DiscountCurve, bMarket.DiscountCurve.Value.Shift(1)),
new UpdateMktConditionPack <IYieldCurve>(x => x.UnderlyingDiscountCurve, bMarket.UnderlyingDiscountCurve.Value.Shift(1)),
new UpdateMktConditionPack <Dictionary <string, Tuple <PriceQuoteType, double> > >(x => x.MktQuote, bMarket.MktQuote.Value.UpdateKey(trade.Underlying.Id, Tuple.Create(PriceQuoteType.Dirty, upPv)))
);
var fwdMktDown = fwdMarket.UpdateCondition(
new UpdateMktConditionPack <IYieldCurve>(x => x.FixingCurve, bMarket.FixingCurve.Value.Shift(-1)),
new UpdateMktConditionPack <IYieldCurve>(x => x.DiscountCurve, bMarket.DiscountCurve.Value.Shift(-1)),
new UpdateMktConditionPack <IYieldCurve>(x => x.UnderlyingDiscountCurve, bMarket.UnderlyingDiscountCurve.Value.Shift(-1)),
new UpdateMktConditionPack <Dictionary <string, Tuple <PriceQuoteType, double> > >(x => x.MktQuote, bMarket.MktQuote.Value.UpdateKey(trade.Underlying.Id, Tuple.Create(PriceQuoteType.Dirty, downPv)))
);
result.Dv01 = (CalcPv(trade, fwdMktDown) - CalcPv(trade, fwdMktUp)) / 2.0;
}
else
{
var fwdMktUp = fwdMarket.UpdateCondition(
new UpdateMktConditionPack <IYieldCurve>(x => x.DiscountCurve, bMarket.DiscountCurve.Value.Shift(1)),
new UpdateMktConditionPack <IYieldCurve>(x => x.UnderlyingDiscountCurve, bMarket.UnderlyingDiscountCurve.Value.Shift(1)),
new UpdateMktConditionPack <Dictionary <string, Tuple <PriceQuoteType, double> > >(x => x.MktQuote, bMarket.MktQuote.Value.UpdateKey(trade.Underlying.Id, Tuple.Create(PriceQuoteType.Dirty, upPv)))
);
var fwdMktDown = fwdMarket.UpdateCondition(
new UpdateMktConditionPack <IYieldCurve>(x => x.DiscountCurve, bMarket.DiscountCurve.Value.Shift(-1)),
new UpdateMktConditionPack <IYieldCurve>(x => x.UnderlyingDiscountCurve, bMarket.UnderlyingDiscountCurve.Value.Shift(-1)),
new UpdateMktConditionPack <Dictionary <string, Tuple <PriceQuoteType, double> > >(x => x.MktQuote, bMarket.MktQuote.Value.UpdateKey(trade.Underlying.Id, Tuple.Create(PriceQuoteType.Dirty, downPv)))
);
result.Dv01 = (CalcPv(trade, fwdMktDown) - CalcPv(trade, fwdMktUp)) / 2.0;
}
}
if (result.IsRequested(PricingRequest.Dv01Underlying))
{
var factor = trade.Notional / trade.Underlying.Notional;
result.Dv01Underlying = bondEngine.Calculate(trade.Underlying, bMarket, PricingRequest.Dv01).Dv01 *factor;
}
return(result);
}
/// <summary>
/// 计算一个债券的估值和基本风险指标
/// </summary>
/// <param name="bond">债券</param>
/// <param name="market">市场数据对象</param>
/// <param name="request">计算请求类型</param>
/// <returns>计算结果</returns>
public override IPricingResult Calculate(Bond bond, IMarketCondition market, PricingRequest request)
{
var result = new PricingResult(market.ValuationDate, request);
var cfs = bond.GetCashflows(market, true);
var cfAis = bond.GetAiCashflows(market, false);
//Ai and AiEod are mutually exclusive requests
var isEod = result.IsRequested(PricingRequest.AiEod);
if (result.IsRequested(PricingRequest.Ai) || result.IsRequested(PricingRequest.AiEod))
{
result.Ai = bond.GetAccruedInterest(market.ValuationDate, cfAis, isEod);
result.AiDays = bond.GetAccruedInterestDays(market.ValuationDate, cfAis, isEod);
}
if (result.IsRequested(PricingRequest.Ytm) || result.IsRequested(PricingRequest.DirtyPrice) || result.IsRequested(PricingRequest.CleanPrice) ||
result.IsRequested(PricingRequest.ModifiedDuration) || result.IsRequested(PricingRequest.Convexity) ||
(result.IsRequested(PricingRequest.DollarDuration)) || result.IsRequested(PricingRequest.DollarConvexity) ||
result.IsRequested(PricingRequest.MacDuration) || result.IsRequested(PricingRequest.Pv01) ||
result.IsRequested(PricingRequest.ZeroSpread) || result.IsRequested(PricingRequest.Dv01) ||
result.IsRequested(PricingRequest.KeyRateDv01))
{
double unitDirtyPrice = 0;
double unitCleanPrice = 0;
if (double.IsNaN(result.Ai))
{
result.Ai = bond.GetAccruedInterest(market.ValuationDate, cfAis, isEod);
result.AiDays = bond.GetAccruedInterestDays(market.ValuationDate, cfAis, isEod);
}
var bondQuote = market.MktQuote.Value[bond.Id];
if (bondQuote.Item1 == PriceQuoteType.Dirty)
{
result.DirtyPrice = bondQuote.Item2 * bond.Notional / 100.0;
result.Ytm = _bondYieldPricer.YieldFromFullPrice(cfs, bond.PaymentDayCount, bond.PaymentFreq, bond.StartDate, market.ValuationDate, result.DirtyPrice, bond.BondTradeingMarket, bond.IrregularPayment);
result.CleanPrice = result.DirtyPrice - result.Ai;
unitDirtyPrice = bondQuote.Item2;
unitCleanPrice = result.CleanPrice / bond.Notional * 100.0;
}
else if (bondQuote.Item1 == PriceQuoteType.Clean)
{
result.CleanPrice = bondQuote.Item2 * bond.Notional / 100.0;
result.DirtyPrice = result.CleanPrice + result.Ai;
unitCleanPrice = bondQuote.Item2;
unitDirtyPrice = result.DirtyPrice / bond.Notional * 100;
result.Ytm = _bondYieldPricer.YieldFromFullPrice(cfs, bond.PaymentDayCount, bond.PaymentFreq, bond.StartDate, market.ValuationDate, result.DirtyPrice, bond.BondTradeingMarket, bond.IrregularPayment);
}
else
{
result.Ytm = bondQuote.Item2;
result.DirtyPrice = _bondYieldPricer.FullPriceFromYield(cfs, bond.PaymentDayCount, bond.PaymentFreq, bond.StartDate, market.ValuationDate, result.Ytm, bond.BondTradeingMarket, bond.IrregularPayment);
result.CleanPrice = result.DirtyPrice - result.Ai;
unitCleanPrice = result.CleanPrice / 100.0;
unitDirtyPrice = result.DirtyPrice / 100.0;
}
if (result.IsRequested(PricingRequest.Convexity) || result.IsRequested(PricingRequest.ModifiedDuration) ||
result.IsRequested(PricingRequest.DollarConvexity) || result.IsRequested(PricingRequest.DollarDuration) ||
result.IsRequested(PricingRequest.MacDuration) || result.IsRequested(PricingRequest.Pv01))
{
result.MacDuration = _bondYieldPricer.GetMacDuration(cfs, bond.PaymentDayCount, bond.PaymentFreq, bond.StartDate, market.ValuationDate, result.Ytm, bond.BondTradeingMarket);
//modified duration here = 1% move, price change, per 100 notional dollar bond
result.ModifiedDuration = BondPricingFunctions.GetModifiedDuration(cfs, bond.PaymentDayCount, bond.PaymentFreq, bond.StartDate, market.ValuationDate, result.Ytm, bond.BondTradeingMarket, bond.IrregularPayment, _bondYieldPricer);
//1% convexity here, modified duration move, further multiplied by 10000
result.Convexity = BondPricingFunctions.GetConvexity(cfs, bond.PaymentDayCount, bond.PaymentFreq, bond.StartDate, market.ValuationDate, result.Ytm,
bond.BondTradeingMarket, bond.IrregularPayment, _bondYieldPricer);
//1% impact, dollar duration is modified duration in dollar term, but scales with notional, for calculating bond book avg portfolio duration, and display purpose
result.DollarModifiedDuration = result.ModifiedDuration * unitDirtyPrice * 0.0001 * bond.Notional;
//1% impact, dollar convexity is for calculating both pnl and avg book convexity
result.DollarConvexity = result.Convexity / 100 * unitDirtyPrice * bond.Notional;
//1bp dollar impact, scales with Notional
result.Pv01 = (-result.DollarModifiedDuration + 0.5 * result.DollarConvexity * 0.0001 * 0.0001) / 100.0;
}
}
if (result.IsRequested(PricingRequest.Pv))
{
result.Pv = cfs.Where(x => x.PaymentDate > market.ValuationDate)
.Sum(x => x.PaymentAmount * market.DiscountCurve.Value.GetDf(market.ValuationDate, x.PaymentDate));
}
if (result.IsRequested(PricingRequest.ZeroSpread) || result.IsRequested(PricingRequest.Dv01) || result.IsRequested(PricingRequest.KeyRateDv01) || result.IsRequested(PricingRequest.ZeroSpreadDelta))
{
result.ZeroSpread = BondPricingFunctions.ZeroSpread(cfs, market.DiscountCurve.Value, market.ValuationDate, result.DirtyPrice);
result.ZeroSpreadDelta = BondPricingFunctions.ZeroSpreadRisk(cfs, market.DiscountCurve.Value, market.ValuationDate, result.ZeroSpread);
if (market.CreditSpread.HasValue)
{
market =
market.UpdateCondition(new UpdateMktConditionPack <IYieldCurve>(x => x.DiscountCurve,
market.DiscountCurve.Value.GetSpreadedCurve(market.CreditSpread.Value)));
}
else
{
market =
market.UpdateCondition(new UpdateMktConditionPack <IYieldCurve>(x => x.DiscountCurve,
market.DiscountCurve.Value.GetSpreadedCurve(new ZeroSpread(result.ZeroSpread))));
}
}
if (result.IsRequested(PricingRequest.Dv01))
{
result.Dv01 = base.Calculate(bond, market, PricingRequest.Dv01).Dv01;
}
if (result.IsRequested(PricingRequest.KeyRateDv01))
{
result.KeyRateDv01 = base.Calculate(bond, market, PricingRequest.KeyRateDv01).KeyRateDv01;
}
if (result.IsRequested(PricingRequest.Cashflow))
{
result.Cashflows = bond.GetCashflows(market, false);
result.CashflowDict = result.Cashflows.ToDictionary(x => x.ToCfKey(), x => x.PaymentAmount);
}
//if (bond.Coupon is FloatingCoupon)
//{
// var primeRateDate = market.ValuationDate;
// //var primeRateCashflow = cfAis.FirstOrDefault(x => x.AccrualEndDate > market.ValuationDate && x.AccrualStartDate <= market.ValuationDate);
// //if (primeRateCashflow != null)
// //{
// // primeRateDate = primeRateCashflow.AccrualStartDate;
// //}
// var fixingCurve = market.FixingCurve ?? market.DiscountCurve ?? market.RiskfreeCurve;
// var fixingTuple = bond.Coupon.GetPrimeCoupon(market.HistoricalIndexRates, fixingCurve.Value, primeRateDate);
// if (fixingTuple != null && fixingTuple.Item1 != null)
// result.ProductSpecific = new Dictionary<string, Dictionary<string, RateRecord>>
// {
// {
// "currentPrimeRate",
// new Dictionary<string, RateRecord>
// {
// {
// bond.Id,
// new RateRecord
// {
// Rate = fixingTuple.Item2,
// Date = fixingTuple.Item1.ToString()
// }
// }
// }
// }
// };
//}
return(result);
}