/// <summary> /// Generate CTD dates and set CTD coupon rate and conversion factor. /// </summary> protected void GenerateCTD(double baseDate, double issueDate, double maturityDate, double couponInterval, double firstCouponDate, double penultimateCouponDate, DayCount dayCount, IHolidayCalendar calendar, double couponRate, double conversionFactor) { if (conversionFactor <= 0.0) { return; // No CTD details or details invalid } BondFutureOption deal = (BondFutureOption)fDeal; // Validation of settlement date not done for CTD details on price factor if (deal.Settlement_Date >= maturityDate) { throw new AnalyticsException("Settlement date must be before cheapest-to-deliver maturity date."); } DateGenerationResults dateGenerationResults = deal.GetDateGenerationResults(issueDate, maturityDate, couponInterval, firstCouponDate, penultimateCouponDate, dayCount, calendar); fPayDates = dateGenerationResults.PayDates; fAccruals = dateGenerationResults.AccrualYearFractions; fIssueDate = issueDate; fMaturityDate = maturityDate; fCouponInterval = couponInterval; fCouponRate = couponRate; fConversionFactor = conversionFactor; fAccrual = PricingFunctions.AccruedInterest(deal.Settlement_Date, fIssueDate, fPayDates, fAccruals, fCouponRate, 1.0, null); double strike = PriceTransform(deal.Strike); double tSettle = CalcUtils.DaysToYears(deal.Settlement_Date - baseDate); double tMaturity = CalcUtils.DaysToYears(fMaturityDate - baseDate); fStrikeYield = PricingFunctions.BondYieldFromPrice(tSettle, tMaturity, couponRate, couponInterval, strike); }
/// <summary> /// Returns bond option's dirty strike. /// </summary> public double DirtyStrike(double strikePrice, DateList payDates, double[] accruals) { var strike = Percentage.PercentagePoint * strikePrice; if (Strike_Is_Clean == YesNo.Yes) { strike += PricingFunctions.AccruedInterest(Expiry_Date, Issue_Date, payDates, accruals, Percentage.PercentagePoint * Coupon_Rate, 1, null); } return(strike); }