/// <summary>
/// Process the bond message described by msg.
/// </summary>
/// <param name="msg"> The message. This cannot be null.</param>
/// <returns> True if it succeeds, false if it fails</returns>
bool ProcessBondMessage([NotNull] BondsResponseMessage msg)
{
WriteLineInColor("Received Bonds Response Message", ConsoleColor.Yellow);
RILogManager.Default?.SendInformation("Received Bonds Response Message");
WriteLineInColor(msg.message + ":\n"
+ " issue: " + msg.issue + "\n"
+ " maturity: " + msg.maturity + "\n"
+ " coupon: " + msg.coupon + "\n"
+ " frequency: " + msg.frequency + "\n\n"
+ " yield: " + msg.yield + " "
+ msg.compounding + "\n"
+ " price: " + msg.price + "\n"
+ " yield': " + msg.calcYield + "\n"
+ " price': " + msg.price2, ConsoleColor.Yellow);
msg.ID = new Random().Next(20000001, 3000000);
using (var _db = new LiteDatabase(connectionString))
{
Thread.Sleep(5);
_db.Shrink();
var collection = _db.GetCollection <BondsResponseMessage>();
collection.EnsureIndex(x => x.ID);
collection.Insert(msg);
}
return(true);
}
////////////////////////////////////////////////////////////////////////////////////////////////////
/// <summary> Process the bonds response described by msg. </summary>
///
/// <param name="msg"> The message. </param>
///
/// <returns> True if it succeeds, false if it fails. </returns>
////////////////////////////////////////////////////////////////////////////////////////////////////
public bool ProcessBondsResponse(BondsResponseMessage msg)
{
Console.WriteLine(msg.message + ":\n"
+ " issue: " + msg.issue + "\n"
+ " maturity: " + msg.maturity + "\n"
+ " coupon: " + msg.coupon + "\n"
+ " frequency: " + msg.frequency + "\n\n"
+ " yield: " + msg.yield + " "
+ msg.compounding + "\n"
+ " price: " + msg.price + "\n"
+ " yield': " + msg.calcYield + "\n"
+ " price': " + msg.price2);
return(true);
}
////////////////////////////////////////////////////////////////////////////////////////////////////
/// <summary> Publish bond response message. </summary>
///
/// <param name="msg"> The message. </param>
/// <param name="topic"> The topic. </param>
/// <param name="routingID"> (Optional) Identifier for the routing. </param>
////////////////////////////////////////////////////////////////////////////////////////////////////
public void PublishBondResponseMessage(BondsResponseMessage msg, string topic, string routingID = "")
{
Bus.Publish(msg, topic);
}
////////////////////////////////////////////////////////////////////////////////////////////////////
/// <summary> Tests yield. </summary>
///
/// <param name="ms"> The milliseconds. </param>
///
/// <returns> True if the test passes, false if the test fails. </returns>
////////////////////////////////////////////////////////////////////////////////////////////////////
public bool testYield(QuantMicroService ms)
{
//"Testing consistency of bond price/yield calculation...");
CommonVars vars = new CommonVars();
double tolerance = 1.0e-7;
int maxEvaluations = 100;
int[] issueMonths = new int[] { -24, -18, -12, -6, 0, 6, 12, 18, 24 };
int[] lengths = new int[] { 3, 5, 10, 15, 20 };
int settlementDays = 3;
double[] coupons = new double[] { 0.02, 0.05, 0.08 };
Frequency[] frequencies = new Frequency[] { Frequency.Semiannual, Frequency.Annual };
DayCounter bondDayCount = new Thirty360();
BusinessDayConvention accrualConvention = BusinessDayConvention.Unadjusted;
BusinessDayConvention paymentConvention = BusinessDayConvention.ModifiedFollowing;
double redemption = 100.0;
double[] yields = new double[] { 0.03, 0.04, 0.05, 0.06, 0.07 };
Compounding[] compounding = new Compounding[] { Compounding.Compounded, Compounding.Continuous };
foreach (var t in issueMonths)
{
foreach (var t1 in lengths)
{
foreach (var t2 in coupons)
{
foreach (var t3 in frequencies)
{
foreach (var t4 in compounding)
{
Date dated = vars.calendar.advance(vars.today, t, TimeUnit.Months);
Date issue = dated;
Date maturity = vars.calendar.advance(issue, t1, TimeUnit.Years);
Schedule sch = new Schedule(dated, maturity, new Period(t3), vars.calendar,
accrualConvention, accrualConvention, DateGeneration.Rule.Backward, false);
FixedRateBond bond = new FixedRateBond(settlementDays, vars.faceAmount, sch,
new List <double>()
{
t2
}, bondDayCount, paymentConvention, redemption, issue);
foreach (var t5 in yields)
{
double price = bond.cleanPrice(t5, bondDayCount, t4, t3);
double calculated = bond.yield(price, bondDayCount, t4, t3, null,
tolerance, maxEvaluations);
double price2 = bond.cleanPrice(calculated, bondDayCount, t4, t3);
BondsResponseMessage r = new BondsResponseMessage();
r.message = (Math.Abs(price - price2) / price > tolerance) ?
"yield recalculation failed:" : "";
r.issue = issue;
r.maturity = maturity;
r.coupon = t2;
r.frequency = (int)t3;
r.yield = t5;
r.compounding = (t4 == Compounding.Compounded
? "compounded" : "continuous");
r.price = price;
r.price2 = price2;
r.calcYield = calculated;
ms.PublishBondResponseMessage(r, "BondResponse");
if (Math.Abs(t5 - calculated) > tolerance)
{
return(Math.Abs(price - price2) / price > tolerance);
}
}
}
}
}
}
}
return(true);
}