public void WhenThereIsAGoalByAtMinuteSecondsInThePeriod_Half(string team, int minute, int second, int period, Table table)
{
ScenarioContext.Current.Get <BasePricingResponse>(Constants.KeyPricingResponse);
ScenarioContext.Current.Get <ConnectClient>(Constants.KeyConnectClient);
var stateMachine = new SS.GTP.Domain.Sports.Handball.StateMachine
{
SportType = Sport.Handball,
HalvesOrQuarters = Period.Halves,
HalfOrQuarterLength = 30,
OvertimeLength = 0
};
AddTeam1Point(stateMachine, period, minute, second);
var request = new PricingRequest();
request.FixtureState.ActionLog = stateMachine.ActionLog.ToList();
request.FixtureState.Clock.Period = 1;
var linkedCeResource = ScenarioContext.Current.Get <FixtureResource>(Constants.KeyLinkedCe);
var connectClient = ScenarioContext.Current.Get <ConnectClient>(Constants.KeyConnectClient);
connectClient.PriceFixture(linkedCeResource, request);
}
public void PricingRequestTest()
{
var pricingRequest = new PricingRequest
{
mocean_mcc = "test mcc",
mocean_mnc = "test mnc",
mocean_delimiter = "test delimiter",
mocean_resp_format = "json"
};
Assert.IsNotNull(pricingRequest.mocean_mcc);
Assert.AreEqual(pricingRequest.mocean_mcc, "test mcc");
Assert.IsNotNull(pricingRequest.mocean_mnc);
Assert.AreEqual(pricingRequest.mocean_mnc, "test mnc");
Assert.IsNotNull(pricingRequest.mocean_delimiter);
Assert.AreEqual(pricingRequest.mocean_delimiter, "test delimiter");
Assert.IsNotNull(pricingRequest.mocean_resp_format);
Assert.AreEqual(pricingRequest.mocean_resp_format, "json");
pricingRequest = new PricingRequest();
Assert.IsNull(pricingRequest.mocean_mcc);
Assert.IsNull(pricingRequest.mocean_mnc);
Assert.IsNull(pricingRequest.mocean_delimiter);
Assert.IsNull(pricingRequest.mocean_resp_format);
pricingRequest.mocean_mcc = "test mcc";
Assert.AreEqual(pricingRequest.mocean_mcc, "test mcc");
pricingRequest.mocean_mnc = "test mnc";
Assert.AreEqual(pricingRequest.mocean_mnc, "test mnc");
pricingRequest.mocean_delimiter = "test delimiter";
Assert.AreEqual(pricingRequest.mocean_delimiter, "test delimiter");
pricingRequest.mocean_resp_format = "json";
Assert.AreEqual(pricingRequest.mocean_resp_format, "json");
}
private IPricingResult CalcBond(Bond bond, IMarketCondition market, PricingRequest pricingRequest = PricingRequest.None)
{
var request = bond.BondTradeingMarket == TradingMarket.ChinaInterBank ? PricingRequest.Ai : PricingRequest.AiEod;
var bondResult = _bondEngine.Calculate(bond, market, request | PricingRequest.Cashflow | pricingRequest);
return(bondResult);
}
public async Task <PricingResponse> GetPriceDetails(PricingRequest request)
{
request.ServiceConsumer = _settings.Consumer;
return(await _proxy.GetPriceDetails.POSTAsync(request).ContinueWith((x) =>
JsonConvert.DeserializeObject <PricingResponse>(JsonConvert.SerializeObject(x.Result))));
}
public PricingResponse GetPricing(PricingRequest request)
{
return(new PricingResponse
{
Description = "Night Rate",
TotalPrice = 6.5m
});
}
public PricingResponse GetPricing(PricingRequest request)
{
return(new PricingResponse
{
Description = "Weekend Rate",
TotalPrice = 10
});
}
private void ProcessRequest(PricingRequest request)
{
Console.WriteLine(@"Finding stock prices for {0}", request.CompanyCode);
IActorRef pricingLookUpActorRef = Context.ActorOf(Props.Create <PricingLookupActor>(), "PriceLookup" + Guid.NewGuid());
pricingLookUpActorRef.Tell(request);
}
public PricingResponse GetPricing(PricingRequest request)
{
return(new PricingResponse
{
Description = "Early Bird",
TotalPrice = 13
});
}
public bool IsApplicable(PricingRequest request)
{
return(request.Entry.DayOfWeek != DayOfWeek.Saturday &&
request.Entry.DayOfWeek != DayOfWeek.Sunday &&
request.Entry.IsBetween(18, 24) &&
request.Exit.IsBetween(18, 6) &&
(
request.Exit.Day == request.Entry.Day ||
request.Exit.Day == request.Entry.Day + 1
));
}
public void TestIsApplicable(string description, string entry, string exit, decimal expectedTotalCost)
{
var request = new PricingRequest
{
Entry = DateTime.Parse(entry),
Exit = DateTime.Parse(exit)
};
var pricingResponse = _rate.GetPricing(request);
pricingResponse.TotalPrice.Should().Be(expectedTotalCost);
}
public PricingResponse GetPricing(PricingRequest request)
{
var hourlyCost = CalculateRate(request, x => x.TotalHours, HourlyRate);
var dailyCost = CalculateRate(request, x => x.TotalDays, DailyRate);
return(new PricingResponse
{
Description = "Standard Rate",
TotalPrice = Math.Min(hourlyCost, dailyCost)
});
}
public async Task <IActionResult> CalculatePrice(PricingRequest pricingRequest)
{
var price = await _pricingService.CalculateMonthlyPremiumAsync(
new PricingDto
{
Age = pricingRequest.Age,
CoverAmount = pricingRequest.CoverAmount,
OccupationId = pricingRequest.OccupationId
});
return(Ok(price));
}
public void TestIsApplicable(string description, string entry, string exit, bool expectedIsApplicable)
{
var request = new PricingRequest
{
Entry = DateTime.Parse(entry),
Exit = DateTime.Parse(exit)
};
var isApplicable = _rate.IsApplicable(request);
isApplicable.Should().Be(expectedIsApplicable);
}
public PricingResponse GetPricing(PricingRequest request)
{
if (request.Exit < request.Entry)
{
// AJB: implement fluid validation
throw new Exception("Entry must be earlier than Exit");
}
return(_rates
.Where(x => x.IsApplicable(request))
.Select(x => x.GetPricing(request))
.OrderBy(x => x.TotalPrice)
.First());
}
/// <summary>
/// main method for handling requests send to this handler
/// </summary>
/// <param name="context"></param>
public void ProcessRequest(HttpContext context)
{
// get data
string xml = new StreamReader(context.Request.InputStream).ReadToEnd();
XDocument doc = XDocument.Load(new StringReader(xml));
XNamespace xns = XNamespace.Get("http://schemas.xmlsoap.org/soap/envelope/");
AuthHeader header = GetSoapHeader(doc.Descendants(xns + "Header").First().FirstNode);
PricingRequest body = GetSoapBody(doc.Descendants(xns + "Body").First().FirstNode);
// process pricing
ProductReturn returnedPrices = new ProductReturn();
IUserProfileLogic profileLogic = _scope.GetService(typeof(IUserProfileLogic)) as IUserProfileLogic;
UserProfileReturn profileLogicReturn = profileLogic.GetUserProfile(header.UserName, false);
if (profileLogicReturn.UserProfiles.Count > 0)
{
UserProfile profile = profileLogicReturn.UserProfiles[0];
PagedResults <Customer> customers = profileLogic.CustomerSearch(profile, body.customerNumber, new Core.Models.Paging.PagingModel(), string.Empty, CustomerSearchType.Customer);
if (customers.TotalResults > 0)
{
returnedPrices.Products.AddRange(GetItemPricing(customers.Results[0].CustomerBranch, body.customerNumber, body.products, ConvertEffectiveDate(body.effDate)));
}
}
// return results
SoapEnvelope soap = new SoapEnvelope();
soap.Body.Response.Results = GetProductString(returnedPrices);
XmlSerializer serializer = new XmlSerializer(soap.GetType());
XmlSerializerNamespaces namespaces = new XmlSerializerNamespaces();
namespaces.Add("xsi", "http://www.w3.org/2001/XMLSchema-instance");
namespaces.Add("xsd", "http://www.w3.org/2001/XMLSchema");
namespaces.Add("soap", "http://schemas.xmlsoap.org/soap/envelope/");
serializer.Serialize(context.Response.OutputStream, soap, namespaces);
context.Response.ContentType = "text/xml";
}
private void LookupPrice(PricingRequest request)
{
WebClient client = new WebClient();
var address = new Uri(String.Format(api, request.CompanyCode));
client.DownloadStringTaskAsync(address).ContinueWith(
httpRequest =>
{
var response = httpRequest.Result;
var json = JsonConvert.DeserializeObject <RootObject>(response);
decimal price = json.data[0].sellPrice1 == "-"
? Decimal.Zero
: Decimal.Parse(json.data[0].sellPrice1);
return(new PricingResponse(request.CompanyCode, price, "NSE"));
}, TaskContinuationOptions.AttachedToParent & TaskContinuationOptions.ExecuteSynchronously).PipeTo(Self);
}
public static PricingRequest[] Split(this PricingRequest request)
{
var result = new List <PricingRequest>();
const ulong min = 0x1UL;
var max = Enum.GetValues(typeof(PricingRequest)).Cast <ulong>().Max();
for (var e = min; e <= max; e = e << 1)
{
if ((request & (PricingRequest)e) == (PricingRequest)e)
{
result.Add((PricingRequest)e);
}
}
return(result.ToArray());
}
//希望这个放入tradebaseinfo对应的类
public virtual IPricingResult ValueTrade(QdpMarket market, PricingRequest request)
{
try
{
var instrument = GenerateInstrument();
Logger.InfoFormat("Valuing trade of type {0}", instrument.GetType().Name);
var marketCondition = GenerateMarketCondition(market);
var engine = GenerateEngine();
var result = engine.Calculate(instrument, marketCondition, request);
return(result);
}
catch (Exception ex)
{
return(new PricingResult(market.ReferenceDate, request)
{
Succeeded = false,
ErrorMessage = ex.Message
});
}
}
private IPricingResult CalcOptionBond(Bond bond, IMarketCondition market, PricingRequest request, PriceQuoteType?optionRequestType)
{
var result = new PricingResult(market.ValuationDate, request);
var optionFlg = optionRequestType == PriceQuoteType.YtmExecution ||
optionRequestType == PriceQuoteType.YtmCallExecution ||
optionRequestType == PriceQuoteType.YtmPutExecution;
// Get Call Execution
if (optionFlg)
{
if (bond.OptionToCall != null)
{
var optionCallResult = CalcOption(bond.OptionToCall, bond, market, request, bond.PaymentFreq);
result.CallDate = double.IsNaN(optionCallResult.Item2) ? null : optionCallResult.Item1;
result.YieldToCall = optionCallResult.Item2;
result.CleanPrice = optionCallResult.Item3;
}
if (bond.OptionToPut != null)
{
var optionPutResult = CalcOption(bond.OptionToPut, bond, market, request, bond.PaymentFreq);
result.PutDate = double.IsNaN(optionPutResult.Item2) ? null : optionPutResult.Item1;
result.YieldToPut = optionPutResult.Item2;
result.CleanPrice = double.IsNaN(result.CleanPrice) ? optionPutResult.Item3 : result.CleanPrice;
}
else if (bond.OptionToAssPut != null)
{
// Get Put Execution for ass type
Frequency frequency;
var optionPut = ParseAssPut(bond, out frequency);
var optionAssPutResult = CalcOption(optionPut, bond, market, request, frequency);
result.PutDate = double.IsNaN(optionAssPutResult.Item2) ? null : optionAssPutResult.Item1;
result.YieldToPut = optionAssPutResult.Item2;
result.CleanPrice = double.IsNaN(result.CleanPrice) ? optionAssPutResult.Item3 : result.CleanPrice;
}
}
return(result);
}
public async Task Test_Pricing_request__Correct_response(object input)
{
// Prepare
PricingRequest request = (PricingRequest)input;
// Pre-validate
Assert.NotNull(request);
// Perform
PricingResponse response = await _adapter.GetPriceDetails(request);
// Post-validate
Assert.NotNull(response);
Assert.Equal(request.Header.DistributorId, response.Header.DistributorId);
Assert.True(!string.IsNullOrWhiteSpace(response.Header.ExternalOrderNumber));
if (!string.IsNullOrWhiteSpace(request.Header.ExternalOrderNumber))
{
Assert.Equal(request.Header.ExternalOrderNumber, response.Header.ExternalOrderNumber);
}
Assert.Equal(request.Lines.Length, response.Lines.Length);
Assert.True(response.Header.TotalDue > 0);
Assert.True(response.Header.VolumePoints > 0);
}
public override IPricingResult Calculate(CdsProtectionLeg protectionLeg, IMarketCondition market,
PricingRequest request)
{
var result = new PricingResult(market.ValuationDate, request);
var start = protectionLeg.StartDate;
var maturity = protectionLeg.UnderlyingMaturityDate;
var valuationDate = market.ValuationDate;
if (market.ValuationDate >= maturity)
{
result.Pv = 0.0;
}
else
{
var tmpStart = valuationDate <= start ? start : valuationDate;
var step = (maturity - tmpStart) / NumIntegrationInterval;
var term = new Term(step, Period.Day);
var pv = 0.0;
var df = market.DiscountCurve.Value.GetDf(valuationDate, tmpStart);
var prob = market.SurvivalProbabilityCurve.Value.GetSpotRate(tmpStart);
for (var i = 0; i < NumIntegrationInterval; ++i)
{
var tmpDate = term.Next(tmpStart, i + 1);
var dfTmp = market.DiscountCurve.Value.GetDf(valuationDate, tmpDate);
var probTmp = market.SurvivalProbabilityCurve.Value.GetSpotRate(tmpDate);
pv += (df + dfTmp) * (prob - probTmp);
df = dfTmp;
prob = probTmp;
}
pv *= 0.5 * (1 - protectionLeg.RecoveryRate);
result.Pv = protectionLeg.Notional * pv;
}
return(result);
}
public override IPricingResult Calculate(FxOption fxOption, IMarketCondition market, PricingRequest request)
{
var newMarket = market.UpdateCondition(
new UpdateMktConditionPack <IYieldCurve>(x => x.DividendCurves, market.FgnDiscountCurve.Value),
new UpdateMktConditionPack <double>(x => x.SpotPrices.Value.Values.First(), market.GetFxRate(GetSpotDate(market.ValuationDate, fxOption), fxOption.DomCcy, fxOption.FgnCcy))
);
return(new AnalyticalVanillaEuropeanOptionEngine().Calculate(fxOption, newMarket, request));
}
public override IPricingResult Calculate(ConstantLeveragedNote cln, IMarketCondition market, PricingRequest request)
{
var result = new PricingResult(market.ValuationDate, request);
double finalNoteValue;
result.Pv = CalcPv(cln, market, out finalNoteValue);
var startFxRate = cln.FxRates[cln.StartDate];
var endFxRate = cln.FxRates[market.ValuationDate];
result.Delta = finalNoteValue * cln.TargetLeverage * endFxRate / startFxRate;
return(result);
}
public override IPricingResult Calculate(HoldingPeriod holdingPeriod, IMarketCondition market, PricingRequest request)
{
var beginValuation = DateTime.Now;
var result = new PricingResult(market.ValuationDate, request);
var psDict = new Dictionary <string, Dictionary <string, RateRecord> >();
var bondId = holdingPeriod.Id;
var startDate = holdingPeriod.StartDate;
var endDate = holdingPeriod.UnderlyingMaturityDate;
var bond = holdingPeriod.UnderlyingBond;
_roundCleanPrice = holdingPeriod.UnderlyingBond.RoundCleanPrice;
var startBondId = bondId + "_Start";
var endBondId = bondId + "_End";
// Create start and end bond market
var startMarket = CreateMarketCondition(bondId, startBondId, startDate, market, holdingPeriod.StartFixingRate);
var endMarket = CreateMarketCondition(bondId, endBondId, endDate, market, holdingPeriod.EndFixingRate);
// Calc Ai
var startAiCashflow = CalcBond(bond, startMarket);
var endAiCashflow = CalcBond(bond, endMarket);
var principalBetweenTemp = startAiCashflow.Cashflows.Where(x => x.CashflowType == CashflowType.Principal && x.AccrualEndDate > startDate && x.AccrualEndDate <= endDate).Sum(cashflow => cashflow.PaymentAmount);
var interestBetweenTemp = startAiCashflow.Cashflows.Where(x => x.CashflowType == CashflowType.Coupon && x.AccrualEndDate > startDate && x.AccrualEndDate <= endDate).Sum(cashflow => cashflow.PaymentAmount);
var yieldPricer = new HoldingPeriodYieldPricer(holdingPeriod, startAiCashflow.Ai, endAiCashflow.Ai, principalBetweenTemp, interestBetweenTemp);
var holdingPeriodResult = new Dictionary <string, double>();
holdingPeriodResult["holdingCost"] = double.IsNaN(holdingPeriod.HoldingCost) ? 0.0 : holdingPeriod.HoldingCost;
holdingPeriodResult["startFrontCommission"] = double.IsNaN(holdingPeriod.StartFrontCommission) ? 0.0 : holdingPeriod.StartFrontCommission;
holdingPeriodResult["startBackCommission"] = double.IsNaN(holdingPeriod.StartBackCommission) ? 0.0 : holdingPeriod.StartBackCommission;
holdingPeriodResult["endFrontCommission"] = double.IsNaN(holdingPeriod.EndFrontCommission) ? 0.0 : holdingPeriod.EndFrontCommission;
holdingPeriodResult["endBackCommission"] = double.IsNaN(holdingPeriod.EndBackCommission) ? 0.0 : holdingPeriod.EndBackCommission;
// option date
holdingPeriodResult["hasStartOption"] = ExecutionOptionDate(startDate, holdingPeriod.UnderlyingBond, startAiCashflow.Cashflows) == null ? 1.0 : 0.0;
holdingPeriodResult["hasEndOption"] = ExecutionOptionDate(endDate, holdingPeriod.UnderlyingBond, endAiCashflow.Cashflows) == null ? 1.0 : 0.0;
var isCalcStartCleanPrice = false;
var isCalcEndCleanPrice = false;
string functionType = "";
double inputPar1 = 0.0;
double inputPar2 = 0.0;
if (result.IsRequested(PricingRequest.NetAnnualizedYield))
{
var startResult = CalcStartBond(startMarket, bondId, bond, holdingPeriodResult);
var endResult = CalcEndBond(endMarket, bondId, bond, holdingPeriodResult);
var startCleanPrice = _roundCleanPrice ? Math.Round(startResult.CleanPrice, 4, MidpointRounding.AwayFromZero) : startResult.CleanPrice;
var endCleanPrice = _roundCleanPrice ? Math.Round(endResult.CleanPrice, 4, MidpointRounding.AwayFromZero) : endResult.CleanPrice;
// Calc
functionType = "AnnualYieldFromCleanPrice";
inputPar1 = startCleanPrice;
inputPar2 = endCleanPrice;
}
else if (result.IsRequested(PricingRequest.CleanPrice) && market.MktQuote.Value[bondId].Item1 == PriceQuoteType.None)
{
if (market.MktQuote.Value.ContainsKey(startBondId))
{
var startResult = CalcStartBond(startMarket, bondId, bond, holdingPeriodResult);
var startCleanPrice = _roundCleanPrice ? Math.Round(startResult.CleanPrice, 4, MidpointRounding.AwayFromZero) : startResult.CleanPrice;
var annualizedYield = market.MktQuote.Value[bondId].Item2;
// Calc
functionType = "EndCleanPriceFromAnnual";
inputPar1 = startCleanPrice;
inputPar2 = annualizedYield;
isCalcEndCleanPrice = true;
}
else if (market.MktQuote.Value.ContainsKey(endBondId))
{
var endResult = CalcEndBond(endMarket, bondId, bond, holdingPeriodResult);
var annualizedYield = market.MktQuote.Value[bondId].Item2;
var endCleanPrice = _roundCleanPrice ? Math.Round(endResult.CleanPrice, 4, MidpointRounding.AwayFromZero) : endResult.CleanPrice;
// Calc
functionType = "StartCleanPriceFromAnnual";
inputPar1 = endCleanPrice;
inputPar2 = annualizedYield;
isCalcStartCleanPrice = true;
}
}
else if (result.IsRequested(PricingRequest.CleanPrice) && market.MktQuote.Value.ContainsKey(bondId) &&
market.MktQuote.Value[bondId].Item1 == PriceQuoteType.NetPnl)
{
if (market.MktQuote.Value.ContainsKey(startBondId))
{
var startResult = CalcStartBond(startMarket, bondId, bond, holdingPeriodResult);
var netPnl = market.MktQuote.Value[bondId].Item2;
var startCleanPrice = _roundCleanPrice ? Math.Round(startResult.CleanPrice, 4, MidpointRounding.AwayFromZero) : startResult.CleanPrice;
// Calc
functionType = "EndCleanPriceFromPnl";
inputPar1 = startCleanPrice;
inputPar2 = netPnl;
isCalcEndCleanPrice = true;
}
else if (market.MktQuote.Value.ContainsKey(endBondId))
{
var endResult = CalcEndBond(endMarket, bondId, bond, holdingPeriodResult);
var netPnl = market.MktQuote.Value[bondId].Item2;
var endCleanPrice = _roundCleanPrice ? Math.Round(endResult.CleanPrice, 4, MidpointRounding.AwayFromZero) : endResult.CleanPrice;
// Calc
functionType = "StartCleanPriceFromPnl";
inputPar1 = endCleanPrice;
inputPar2 = netPnl;
isCalcStartCleanPrice = true;
}
}
else
{
CalcStartBond(startMarket, bondId, bond, holdingPeriodResult);
CalcEndBond(endMarket, bondId, bond, holdingPeriodResult);
}
// Calc
yieldPricer.CalcAnnualizedYieldCleanPrice(functionType, inputPar1, inputPar2, holdingPeriodResult);
if (isCalcStartCleanPrice)
{
// Calc startDate bond
var mktQuote = new Dictionary <string, Tuple <PriceQuoteType, double> > {
{ bondId, Tuple.Create(PriceQuoteType.Clean, holdingPeriodResult["startCleanPrice"]) }
};
var newMarket = startMarket.UpdateCondition(new UpdateMktConditionPack <Dictionary <string, Tuple <PriceQuoteType, double> > >(x => x.MktQuote, mktQuote));
CalcStartBond(newMarket, bondId, bond, holdingPeriodResult);
}
if (isCalcEndCleanPrice)
{
// Calc endDate bond
var mktQuote = new Dictionary <string, Tuple <PriceQuoteType, double> > {
{ bondId, Tuple.Create(PriceQuoteType.Clean, holdingPeriodResult["endCleanPrice"]) }
};
var newMarket = endMarket.UpdateCondition(new UpdateMktConditionPack <Dictionary <string, Tuple <PriceQuoteType, double> > >(x => x.MktQuote, mktQuote));
CalcEndBond(newMarket, bondId, bond, holdingPeriodResult);
}
ParseResult(psDict, bondId, holdingPeriodResult);
result.ProductSpecific = psDict;
var endValuation = DateTime.Now;
result.CalcTimeInMilliSecond = (endValuation - beginValuation).TotalMilliseconds;
return(result);
}
public override IPricingResult Calculate(BinaryOption trade, IMarketCondition market, PricingRequest request)
{
var result = new PricingResult(market.ValuationDate, request);
if (trade.BinaryOptionPayoffType == BinaryOptionPayoffType.CashOrNothing)
{
var factor = (double)BinaryOptionReplicationStrategy;
var lowStrike = trade.Strike + Offset * (factor - 1.0) / 2.0;
var highStrike = trade.Strike + Offset * (factor + 1.0) / 2.0;
//if call, replicate by call spreads,
//if put, replicate by put spreads
var lowStrikeOption = new VanillaOption(trade.StartDate, trade.UnderlyingMaturityDate, trade.Exercise, trade.OptionType, lowStrike, trade.UnderlyingProductType, trade.Calendar, trade.DayCount, trade.PayoffCcy, trade.SettlementCcy, trade.ExerciseDates, trade.ObservationDates, trade.Notional);
var highStrikeOption = new VanillaOption(trade.StartDate, trade.UnderlyingMaturityDate, trade.Exercise, trade.OptionType, highStrike, trade.UnderlyingProductType, trade.Calendar, trade.DayCount, trade.PayoffCcy, trade.SettlementCcy, trade.ExerciseDates, trade.ObservationDates, trade.Notional);
var engine = new AnalyticalVanillaEuropeanOptionEngine();
var lowResult = engine.Calculate(lowStrikeOption, market, request);
var highResult = engine.Calculate(highStrikeOption, market, request);
var sign = trade.OptionType == OptionType.Call ? 1.0 : -1.0;
factor = sign * trade.CashOrNothingAmount / Offset;
//calc basic stuff
if (result.IsRequested(PricingRequest.Pv))
{
result.Pv = (lowResult.Pv - highResult.Pv) * factor;
}
if (AnalyticalOptionPricerUtil.isBasicPricing(result))
{
result.Delta = (lowResult.Delta - highResult.Delta) * factor;
result.DeltaCash = result.Delta * market.SpotPrices.Value.Values.First();
result.Gamma = (lowResult.Gamma - highResult.Gamma) * factor;
result.GammaCash = result.Gamma * market.SpotPrices.Value.Values.First() * market.SpotPrices.Value.Values.First() / 100;
result.Vega = (lowResult.Vega - highResult.Vega) * factor;
result.Rho = (lowResult.Rho - highResult.Rho) * factor;
result.Theta = (lowResult.Theta - highResult.Theta) * factor;
}
if (AnalyticalOptionPricerUtil.isHighOrderPricing(result))
{
result.DDeltaDvol = (lowResult.DDeltaDvol - highResult.DDeltaDvol) * factor;
result.DVegaDvol = (lowResult.DVegaDvol - highResult.DVegaDvol) * factor;
result.DVegaDt = (lowResult.DVegaDt - highResult.DVegaDt) * factor;
result.DDeltaDt = (lowResult.DDeltaDt - highResult.DDeltaDt) * factor;
}
}
else if (trade.BinaryOptionPayoffType == BinaryOptionPayoffType.AssetOrNothing)
{
var binaryCfOption = new BinaryOption(trade.StartDate, trade.UnderlyingMaturityDate, trade.Exercise, trade.OptionType,
trade.Strike, trade.UnderlyingProductType, BinaryOptionPayoffType.CashOrNothing, 1.0, trade.Calendar,
trade.DayCount, trade.PayoffCcy,
trade.SettlementCcy, trade.ExerciseDates, trade.ObservationDates);
var binaryResult = Calculate(binaryCfOption, market, request);
var vanillaOption = new VanillaOption(trade.StartDate, trade.UnderlyingMaturityDate, trade.Exercise, trade.OptionType,
trade.Strike, trade.UnderlyingProductType, trade.Calendar, trade.DayCount, trade.PayoffCcy,
trade.SettlementCcy, trade.ExerciseDates, trade.ObservationDates, trade.Notional);
var engine = new AnalyticalVanillaEuropeanOptionEngine();
var vanillaResult = engine.Calculate(vanillaOption, market, request);
var sign = trade.OptionType == OptionType.Call ? 1.0 : -1.0;
if (result.IsRequested(PricingRequest.Pv))
{
result.Pv = sign * vanillaResult.Pv + trade.Strike * binaryResult.Pv;
}
if (AnalyticalOptionPricerUtil.isBasicPricing(result))
{
result.Delta = sign * vanillaResult.Delta + trade.Strike * binaryResult.Delta;
result.DeltaCash = result.Delta * market.SpotPrices.Value.Values.First();
result.Gamma = sign * vanillaResult.Gamma + trade.Strike * binaryResult.Gamma;
result.GammaCash = result.Gamma * market.SpotPrices.Value.Values.First() * market.SpotPrices.Value.Values.First() / 100;
result.Vega = sign * vanillaResult.Vega + trade.Strike * binaryResult.Vega;
result.Rho = sign * vanillaResult.Rho + trade.Strike * binaryResult.Rho;
result.Theta = sign * vanillaResult.Theta + trade.Strike * binaryResult.Theta;
}
if (AnalyticalOptionPricerUtil.isHighOrderPricing(result))
{
result.DDeltaDvol = sign * vanillaResult.DDeltaDvol + trade.Strike * binaryResult.DDeltaDvol;
result.DVegaDvol = sign * vanillaResult.DVegaDvol + trade.Strike * binaryResult.DVegaDvol;
result.DVegaDt = sign * vanillaResult.DVegaDt + trade.Strike * binaryResult.DVegaDt;
result.DDeltaDt = sign * vanillaResult.DDeltaDt + trade.Strike * binaryResult.DDeltaDt;
}
}
return(result);
}
public override IPricingResult Calculate(BondFutures bondFuture, IMarketCondition market, PricingRequest request)
{
var beginValuation = DateTime.Now;
var pricingRequest = CheckParameterCondition(bondFuture, market, request);
//if (result.IsRequested(PricingRequest.Dv01))
//{
// result.Dv01 = CalcDv01(bondFuture, market);
//}
var result = new PricingResult(market.ValuationDate, pricingRequest);
//if (result.IsRequested(PricingRequest.Pv))
//{
// result.Pv = CalcPv(bondFuture, market);
//}
if (result.IsRequested(PricingRequest.DirtyPrice))
{
result.DirtyPrice = market.MktQuote.Value.Where(x => x.Key == bondFuture.Id).Select(x => x.Value.Item2).First() * bondFuture.Notional / 100;
}
if (result.IsRequested(PricingRequest.ConvertFactors))
{
result.ConvertFactors = CalcConvertFactors(bondFuture, market);
}
if (result.IsRequested(PricingRequest.Irr) || result.IsRequested(PricingRequest.Pv01) ||
result.IsRequested(PricingRequest.KeyRateDv01) ||
result.IsRequested(PricingRequest.ZeroSpread) || result.IsRequested(PricingRequest.ZeroSpreadDelta) ||
result.IsRequested(PricingRequest.UnderlyingPv) || result.IsRequested(PricingRequest.Basis) ||
result.IsRequested(PricingRequest.Convexity) || result.IsRequested(PricingRequest.Ytm) ||
result.IsRequested(PricingRequest.CheapestToDeliver) ||
result.IsRequested(PricingRequest.ModifiedDuration) || result.IsRequested(PricingRequest.MacDuration)
)
{
//TODO: wierd update logic, why bother?
var mktQuote = market.MktQuote.Value.Keys.Where(quoteKey => !quoteKey.Contains(bondFuture.Id + "_")).ToDictionary(quoteKey => quoteKey, quoteKey => market.MktQuote.Value[quoteKey]);
var updateMarket = market.UpdateCondition(new UpdateMktConditionPack <Dictionary <string, Tuple <PriceQuoteType, double> > >(x => x.MktQuote, mktQuote));
var yieldPricer = new BondFuturesYieldPricer(bondFuture, updateMarket);
//calculate convert factors
if (!result.ConvertFactors.Any())
{
result.ConvertFactors = CalcConvertFactors(bondFuture, market);
}
var convertFactors = result.ConvertFactors;
//calculate IRR
result.ProductSpecific = yieldPricer.CalcEquation("FromFuturesPriceAndBondPrice");
//calculate pv01
var maxIrr = result.ProductSpecific["Irr"].Values.Select(x => x.Rate).Max();
var ctdBondId = result.ProductSpecific["Irr"].First(x => x.Value.Rate == maxIrr).Key;
var ctdBond = bondFuture.Deliverables.First(x => x.Id == ctdBondId);
var cf = convertFactors[ctdBondId];
var scaling = bondFuture.Notional / (100.0 * cf);
var engine = new BondEngineCn();
result.CheapestToDeliver = ctdBondId;
//two risks here are CTD risk, not bond futures risk
var resultCTD = engine.Calculate(ctdBond, market, PricingRequest.All);
result.ZeroSpread = resultCTD.ZeroSpread;
result.UnderlyingPv = resultCTD.Pv * scaling;
result.Basis = yieldPricer.CalcFutureCtdBasis(ctdBond, cf);
result.Ytm = resultCTD.Ytm;
result.MacDuration = resultCTD.MacDuration;
result.ModifiedDuration = resultCTD.ModifiedDuration;
result.Convexity = resultCTD.Convexity;
result.DollarConvexity = resultCTD.DollarConvexity * scaling; // 1% price impact
result.DollarModifiedDuration = resultCTD.DollarModifiedDuration * scaling; // same order of magnitutude of CTD dollar modifiedDuration, good for pnl attribution
//convert to bond futures risk
result.Pv01 = resultCTD.Pv01 * scaling; // underlying pv01 is
foreach (var kvp in resultCTD.KeyRateDv01)
{
foreach (var risk in kvp.Value)
{
risk.Risk *= scaling;
}
}
result.KeyRateDv01 = resultCTD.KeyRateDv01;
result.ZeroSpreadDelta = resultCTD.ZeroSpreadDelta * scaling;
}
if (result.IsRequested(PricingRequest.FairQuote))
{
var mktQuote = market.MktQuote.Value.Keys.Where(quoteKey => !quoteKey.Equals(bondFuture.Id)).ToDictionary(quoteKey => quoteKey, quoteKey => market.MktQuote.Value[quoteKey]);
var updateMarket = market.UpdateCondition(new UpdateMktConditionPack <Dictionary <string, Tuple <PriceQuoteType, double> > >(x => x.MktQuote, mktQuote));
var yieldPricer = new BondFuturesYieldPricer(bondFuture, updateMarket);
result.ProductSpecific = yieldPricer.CalcEquation("FromBondPriceAndIrr");
}
if (result.IsRequested(PricingRequest.MktQuote))
{
result.ProductSpecific = CalcMktFuturePrice(bondFuture, market);
}
if (result.IsRequested(PricingRequest.UnderlyingFairQuote))
{
var mktQuote = market.MktQuote.Value.Keys.Where(quoteKey => quoteKey.Contains(bondFuture.Id)).ToDictionary(quoteKey => quoteKey, quoteKey => market.MktQuote.Value[quoteKey]);
var updateMarket = market.UpdateCondition(new UpdateMktConditionPack <Dictionary <string, Tuple <PriceQuoteType, double> > >(x => x.MktQuote, mktQuote));
var yieldPricer = new BondFuturesYieldPricer(bondFuture, updateMarket);
result.ProductSpecific = yieldPricer.CalcEquation("FromFuturesPriceAndIrr");
}
var endValuation = DateTime.Now;
result.CalcTimeInMilliSecond = (endValuation - beginValuation).TotalMilliseconds;
return(result);
}
private PricingRequest CheckParameterCondition(BondFutures bondFuture, IMarketCondition market, PricingRequest request)
{
var pricingRequest = request;
var tfId = bondFuture.Id;
var bondIds = bondFuture.Deliverables.Select(x => x.Id).ToArray();
var treasuryIds = bondIds.Select(x => tfId + "_" + x).ToArray();
var mktQuotes = market.MktQuote.Value;
if (mktQuotes != null && mktQuotes.Count > 0)
{
var tfHasValue = mktQuotes.ContainsKey(tfId);
var bondHasValue = bondIds.Select(x => mktQuotes.ContainsKey(x)).Count(y => y) > 0;
var treasuryHasValue = treasuryIds.Select(x => mktQuotes.ContainsKey(x)).Count(y => y) > 0;
if (request == PricingRequest.All)
{
if (tfHasValue && bondHasValue)
{
pricingRequest = PricingRequest.Irr;
}
else if (bondHasValue && treasuryHasValue)
{
pricingRequest = PricingRequest.FairQuote;
}
else if (tfHasValue && treasuryHasValue)
{
pricingRequest = PricingRequest.UnderlyingFairQuote;
}
}
}
return(pricingRequest);
}
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);
}
public override IPricingResult Calculate(Bond bond, IMarketCondition market, PricingRequest request)
{
var beginValuation = DateTime.Now;
var result = new PricingResult(market.ValuationDate, request);
var isCleanPriceRound = bond.RoundCleanPrice;
var bondQuote = market.MktQuote.Value.ContainsKey(bond.Id) ? market.MktQuote.Value[bond.Id] : null;
var bMktQuote = new Dictionary <string, Tuple <PriceQuoteType, double> >();
IPricingResult resultOptionBond = new PricingResult(market.ValuationDate, request);
IPricingResult resultSimpleBond;
if (bondQuote != null && (bondQuote.Item1 == PriceQuoteType.YtmExecution || bondQuote.Item1 == PriceQuoteType.YtmCallExecution || bondQuote.Item1 == PriceQuoteType.YtmPutExecution))
{
bMktQuote[bond.Id] = Tuple.Create(PriceQuoteType.Ytm, bondQuote.Item2);
var ytmMarket = market.UpdateCondition(new UpdateMktConditionPack <Dictionary <string, Tuple <PriceQuoteType, double> > >(x => x.MktQuote, bMktQuote));
// Get Call or Put cleanprice
var pricingRequest = PricingRequest.CleanPrice;
if (result.IsRequested(PricingRequest.AiEod))
{
pricingRequest = pricingRequest | PricingRequest.AiEod;
}
resultOptionBond = CalcOptionBond(bond, ytmMarket, pricingRequest, bondQuote.Item1);
// Parse market
var cleanMarket = UpdateCleanPriceMarket(bond.Id, resultOptionBond.CleanPrice, isCleanPriceRound, market);
resultSimpleBond = _bondEngine.Calculate(bond, cleanMarket, request);
}
else
{
if (isCleanPriceRound && bondQuote != null)
{
if (bondQuote.Item1 == PriceQuoteType.Clean)
{
var cleanPriceMarket = UpdateCleanPriceMarket(bond.Id, bondQuote.Item2, isCleanPriceRound,
market);
resultSimpleBond = _bondEngine.Calculate(bond, cleanPriceMarket, request);
}
else
{
resultSimpleBond = _bondEngine.Calculate(bond, market, request);
var cleanPriceMarket = UpdateCleanPriceMarket(bond.Id, resultSimpleBond.CleanPrice, isCleanPriceRound, market);
resultSimpleBond = _bondEngine.Calculate(bond, cleanPriceMarket, request);
}
}
else
{
resultSimpleBond = _bondEngine.Calculate(bond, market, request);
}
// Parse market
bMktQuote[bond.Id] = Tuple.Create(PriceQuoteType.Clean, double.IsNaN(resultSimpleBond.CleanPrice) ? 0.0 : resultSimpleBond.CleanPrice);
var executionYieldPricingRequest = PricingRequest.Ytm;
if (result.IsRequested(PricingRequest.AiEod))
{
executionYieldPricingRequest = PricingRequest.Ytm | PricingRequest.AiEod;
}
var newMarket = market.UpdateCondition(new UpdateMktConditionPack <Dictionary <string, Tuple <PriceQuoteType, double> > >(x => x.MktQuote, bMktQuote));
if (result.IsRequested(PricingRequest.YtmExecution))
{
resultOptionBond = CalcOptionBond(bond, newMarket, executionYieldPricingRequest, PriceQuoteType.YtmExecution);
}
}
result = (PricingResult)resultSimpleBond;
result.YieldToCall = resultOptionBond.YieldToCall;
result.YieldToPut = resultOptionBond.YieldToPut;
result.CallDate = resultOptionBond.CallDate;
result.PutDate = resultOptionBond.PutDate;
var endValuation = DateTime.Now;
result.CalcTimeInMilliSecond = (endValuation - beginValuation).TotalMilliseconds;
return(result);
}
private Tuple <Date, double, double> CalcOption(Dictionary <string, double> optionInfo, Bond bond, IMarketCondition market, PricingRequest request, Frequency frequency = Frequency.None)
{
var paymentDaycount = bond.BondTradeingMarket == TradingMarket.ChinaInterBank
? (IDayCount) new ActActIsma()
: new ModifiedAfb();
if (optionInfo != null && optionInfo.Count > 0)
{
var execution = optionInfo.Where(x => x.Key.ToDate() > market.ValuationDate).OrderBy(x => x.Key.ToDate()).FirstOrDefault();
var maturityDate = execution.Key.ToDate();
if (maturityDate != null)
{
var executionBond = new Bond(bond.Id,
bond.StartDate,
maturityDate,
bond.Notional,
bond.Currency,
bond.Coupon,
bond.Calendar,
frequency,
bond.Stub,
bond.AccrualDayCount,
paymentDaycount,
bond.AccrualBizDayRule,
bond.PaymentBizDayRule,
bond.SettlmentGap,
bond.BondTradeingMarket,
bond.StickToEom,
bond.Redemption,
bond.FirstPaymentDate,
bond.IsZeroCouponBond,
bond.IssuePrice,
bond.IssueRate,
AmortizationType.None,
bond.AmortizationInDates,
bond.AmortizationInIndex,
bond.RenormalizeAfterAmoritzation,
bond.StepWiseCompensationRate);
var executionResult = _bondEngine.Calculate(executionBond, market, request);
return(Tuple.Create(maturityDate, executionResult.Ytm, executionResult.CleanPrice));
}
}
return(Tuple.Create(Date.MaxValue, double.NaN, double.NaN));
}
