public static Date GetFxSpotDate(Date startDate,
DayGap settlement,
CurrencyCode fgnCcy,
CurrencyCode domCcy,
ICalendar fgnCalendar,
ICalendar domCalendar)
{
//中国外汇交易中心产品指引(外汇市场)V1.8 58页
var foreignSpotDate = settlement.Get(fgnCalendar, startDate);
var domesticSpotDate = settlement.Get(domCalendar, startDate);
var usdCalendar = CalendarImpl.Get(Calendar.Usd);
if (fgnCcy == CurrencyCode.USD)
{
if (!usdCalendar.IsHoliday(domesticSpotDate))
{
return(domesticSpotDate);
}
}
if (domCcy == CurrencyCode.USD)
{
if (!usdCalendar.IsHoliday(foreignSpotDate))
{
return(foreignSpotDate);
}
}
var guessSettlementDate = foreignSpotDate > domesticSpotDate ? foreignSpotDate : domesticSpotDate;
if (usdCalendar.IsHoliday(guessSettlementDate) || fgnCalendar.IsHoliday(guessSettlementDate) || domCalendar.IsHoliday(guessSettlementDate))
{
//find next biz day for foreign currency and domestic currency
while (fgnCalendar.IsHoliday(guessSettlementDate) || domCalendar.IsHoliday(guessSettlementDate))
{
guessSettlementDate = new Term("1D").Next(guessSettlementDate);
}
return(guessSettlementDate);
}
return(guessSettlementDate);
}
/// <summary>
/// 计算一个金融衍生品交易的定价和风险指标
/// </summary>
/// <param name="trade">交易</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(TTrade trade, IMarketCondition market, PricingRequest request)
{
var result = new PricingResult(market.ValuationDate, request);
if (result.IsRequested(PricingRequest.Pv))
{
result.Pv = CalcPv(trade, market);
}
if (result.IsRequested(PricingRequest.Carry))
{
result.Carry = CalcCarry(trade, market);
}
if (result.IsRequested(PricingRequest.Dv01))
{
if (double.IsNaN(result.Pv))
{
result.Pv = CalcPv(trade, market);
}
var mktDown = market.FixingCurve.HasValue
? market.UpdateCondition(
new UpdateMktConditionPack <IYieldCurve>(x => x.DiscountCurve, market.DiscountCurve.Value.Shift(1)),
new UpdateMktConditionPack <IYieldCurve>(x => x.FixingCurve, market.FixingCurve.Value.Shift(1)))
: market.UpdateCondition(
new UpdateMktConditionPack <IYieldCurve>(x => x.DiscountCurve, market.DiscountCurve.Value.Shift(1)));
result.Dv01 = CalcPv(trade, mktDown) - result.Pv;
}
if (result.IsRequested(PricingRequest.Cashflow))
{
result.Cashflows = trade.GetCashflows(market, false);
}
//Ai and AiEod are mutually exclusive requests
var isEod = result.IsRequested(PricingRequest.AiEod);
if (result.IsRequested(PricingRequest.Ai) || result.IsRequested(PricingRequest.AiEod))
{
if (result.Cashflows == null || result.Cashflows.Length == 0)
{
result.Cashflows = trade.GetCashflows(market, false);
}
result.Ai = trade.GetAccruedInterest(market.ValuationDate, market, isEod);
}
if (result.IsRequested(PricingRequest.KeyRateDv01))
{
if (double.IsNaN(result.Pv))
{
result.Pv = CalcPv(trade, market);
}
var dc = new Dictionary <string, CurveRisk[]>();
var fc = new Dictionary <string, CurveRisk[]>();
Parallel.Invoke(
() => CalcDiscountDv01(trade, market, result.Pv, ref dc),
() => CalcResetDv01(trade, market, result.Pv, ref fc)
);
result.KeyRateDv01 = PricingResultExtension.Aggregate(dc, fc);
}
if (result.IsRequested(PricingRequest.FairQuote))
{
result.FairQuote = GetFairQuote(trade, market);
}
if (result.IsRequested(PricingRequest.MacDuration))
{
if (result.Cashflows == null || result.Cashflows.Length == 0)
{
result.Cashflows = trade.GetCashflows(market, false);
}
var weightedCf = 0.0;
var totalCf = 0.0;
foreach (var cashflow in result.Cashflows)
{
if (cashflow.PaymentDate > market.ValuationDate)
{
var t = market.DiscountCurve.Value.DayCount.CalcDayCountFraction(market.ValuationDate, cashflow.PaymentDate);
var df = market.DiscountCurve.Value.GetDf(market.ValuationDate, cashflow.PaymentDate);
weightedCf += cashflow.PaymentAmount * df * t;
totalCf += cashflow.PaymentAmount * df;
}
}
result.MacDuration = weightedCf / totalCf;
}
if (result.IsRequested(PricingRequest.Pv01))
{
result.Pv01 = CalcPv01(trade, market, result.Pv);
}
Date valueDate = result.ValuationDate;
if (result.IsRequested(PricingRequest.ProductSpecific))
{
var yieldCurve = market.DiscountCurve.Value;
#region
var psDict = new Dictionary <string, Dictionary <string, RateRecord> >();
var dayGap = new DayGap("+0BD");
var T = (trade is InterestRateSwap) ? (trade as InterestRateSwap).FloatingLeg : trade as SwapLeg;
//forward rate points
var tenors = new[] { "1D", "7D", "3M", "1Y" };
var fwdStartInTenors = new List <string> {
"1D", "1W", "2W", "1M", "2M", "3M", "4M", "5M", "6M", "7M", "8M", "9M", "10M", "11M", "1Y"
};
var totalMonths = Convert.ToInt16((yieldCurve.KeyPoints.Last().Item1 - yieldCurve.KeyPoints.First().Item1) / 30.0) + 1;
for (var i = 15; i <= totalMonths; i += 3)
{
fwdStartInTenors.Add(i + "M");
}
foreach (var tenor in tenors)
{
var fwdRates = new Dictionary <string, RateRecord>();
var fwdTerm = new Term(tenor);
foreach (var fwdStartInTenor in fwdStartInTenors)
{
var fwdStartDate = dayGap.Get(T.Calendar, new Term(fwdStartInTenor).Next(valueDate));
var fwdEndDate = dayGap.Get(T.Calendar, fwdTerm.Next(fwdStartDate));
if (fwdEndDate < yieldCurve.KeyPoints.Last().Item1)
{
fwdRates[fwdStartInTenor] = new RateRecord()
{
Date = fwdStartDate.ToString(),
Rate = yieldCurve.GetForwardRate(fwdStartDate, fwdTerm)
};
}
}
psDict["forwardrates" + tenor] = fwdRates;
}
//spot rate
var spotRates = new Dictionary <string, RateRecord>();
var spotInTenors = fwdStartInTenors;
foreach (var spotInTenor in spotInTenors)
{
var spotDate = dayGap.Get(T.Calendar, new Term(spotInTenor).Next(valueDate));
if (spotDate <= yieldCurve.KeyPoints.Last().Item1)
{
spotRates[spotInTenor] = new RateRecord
{
Date = spotDate.ToString(),
Rate = yieldCurve.ZeroRate(valueDate, spotDate, Compound.Simple)
};
}
}
psDict["spotRates"] = spotRates;
//key rates
var rates = new Dictionary <string, RateRecord>();
var ccTenors = yieldCurve.GetKeyTenors().ToArray();
var mktInstruments = yieldCurve.MarketInstruments;
if (mktInstruments != null)
{
if (mktInstruments.Length != ccTenors.Length)
{
throw new PricingBaseException("Number of calibration instruments mismatches number of calibrated points!");
}
}
for (var i = 0; i < ccTenors.Count(); ++i)
{
//var spotDate = mktInstruments != null ? mktInstruments[i].Instrument.GetClibrationDate() : dayGap.Get(T.Calendar, new Term(ccTenors[i]).Next(valueDate));
var spotDate = dayGap.Get(T.Calendar, new Term(ccTenors[i]).Next(valueDate));
rates[ccTenors[i]] = new RateRecord()
{
ContinuousRate = yieldCurve.ZeroRate(valueDate, spotDate),
Date = spotDate.ToString(),
DiscountFactor = yieldCurve.GetDf(valueDate, spotDate),
Rate = mktInstruments == null?yieldCurve.GetSpotRate(spotDate) : mktInstruments[i].TargetValue,
ProductType = mktInstruments == null ? "None" : (mktInstruments[i].Instrument is Deposit) ? "Index" : "Swap",
ZeroRate = yieldCurve.ZeroRate(valueDate, spotDate, Compound.Simple),
Term = ccTenors[i]
};
}
psDict["rates"] = rates;
//discount at cash flow dates
var dfs = new Dictionary <string, RateRecord>();
var dates = result.Cashflows.Select(x => x.PaymentDate);
foreach (var date in dates)
{
dfs[date.ToString()] = new RateRecord
{
DiscountFactor = yieldCurve.GetDf(date)
};
}
psDict["discountfactor"] = dfs;
//qb rate return
result.ProductSpecific = psDict;
#endregion
}
return(result);
}
public double GetFixingRate(IYieldCurve fixingCurve,
ICalendar resetCalendar,
IDayCount dayCount,
Date accStartDate,
Date accEndDate,
ITerm resetTerm,
ITerm fixingTenor,
DayGap fixingToResetGap,
Stub resetStub,
BusinessDayConvention resetBda,
double couponSpread,
double capRate,
double floorRate,
out CfCalculationDetail[] resetDetails,
IDictionary <Date, double> historicalRate = null,
FloatingCouponCalcType frnCalc = FloatingCouponCalcType.SimpleFrn,
double stepWiseCompensationCoupon = 0.0,
double multiplier = 1.0)
{
var details = new List <CfCalculationDetail>();
var resetPriods = resetTerm == null
? new List <Date> {
accStartDate, accEndDate
}
: new Schedule(accStartDate, accEndDate, resetTerm, resetStub, resetCalendar, resetBda).ToList();
for (var i = 0; i < resetPriods.Count - 1; ++i)
{
var resetStartDate = resetPriods[i];
var resetEndDate = resetPriods[i + 1];
if (resetEndDate > accEndDate)
{
resetEndDate = accEndDate;
}
var fixingStartDate = fixingToResetGap.Get(resetCalendar, resetStartDate);
var forwardCompound = frnCalc == FloatingCouponCalcType.ZzFrn ? Compound.Continuous : IndexType.ForwardCompound();
details.Add(new CfCalculationDetail(
resetStartDate,
resetEndDate,
fixingStartDate,
multiplier * GetResetRate(fixingCurve, fixingStartDate, resetCalendar, fixingTenor, AverageDays, historicalRate, forwardCompound, IndexType.DayCount()) + stepWiseCompensationCoupon,
dayCount.CalcDayCountFraction(resetStartDate, resetEndDate, accStartDate, accEndDate),
resetStartDate < (fixingCurve == null ? fixingStartDate : fixingCurve.ReferenceDate)));
}
resetDetails = details.ToArray();
var totalDcf = resetDetails.Sum(x => x.FixingDcf);
double couponRate;
switch (CouponCompound)
{
case CouponCompound.Compounded:
couponRate =
(resetDetails.Select(x =>
{
var coupon = FilterRate(x.FixingRate + couponSpread, capRate, floorRate);
return(1.0 + coupon * x.FixingDcf);
})
.Aggregate(1.0, (current, v) => current * v) - 1.0) / totalDcf;
return(couponRate);
case CouponCompound.Simple:
couponRate =
resetDetails.Select(x =>
{
var coupon = FilterRate(x.FixingRate + couponSpread, capRate, floorRate);
return(coupon * x.FixingDcf);
}).Sum() / totalDcf;
return(couponRate);
default:
throw new PricingLibraryException("Unknow type of coupon compund type" + CouponCompound);
}
}