public void TestConvertibleBondWhenCallOnMaturity()
{
var bond = new FixedRateBondInfo("110030.SH")
{
StartDate = "2014-12-25",
MaturityDate = "2019-12-25",
Notional = 100.0,
Currency = "CNY",
FixedCoupon = 0.006,
Calendar = "chn",
PaymentFreq = "Annual",
PaymentStub = "ShortStart",
AccrualDC = "Act365NoLeap",
DayCount = "ModifiedAfb",
AccrualBD = "None",
PaymentBD = "None",
TradingMarket = "ChinaExShg",
Settlement = "+0BD",
CompensationRate = new Dictionary <int, double>()
{
{ 2, 0.002 }, { 3, 0.002 }, { 4, 0.005 }, { 5, 0.005 }
},
ValuationParamters = new SimpleCfValuationParameters("Fr007", null, "Fr007"),
RedemptionRate = 1.06,
RedemptionIncludeLastCoupon = true
};
var bondVf = new BondVf(bond);
var market = TestMarket("2017-10-20", new BondMktData(bond.TradeId, "Dirty", 95.90891));
//var result = bondVf.ValueTrade(market, PricingRequest.Ytm);
XlManager.AddTrades(new TradeInfoBase[] { bond });
var ytm = XlUdf.xl_YieldFromPrice("110030.SH", "2017-10-20", 95.90891);
}
public void TestBondCurvePnLFromUnChangedMkt()
{
const string tradeId = "TEST_TRADE";
const string t0MarketName = "Market2017-11-15";
const string t1MarketName = "Market2017-11-16";
var curveName = "BondCurve";
var curveDefinitions = GetTestBondPnLCurveDefinition(curveName);
//var t0MarketInfo = new MarketInfo(t0MarketName,
// bondDataDefinitions: new[] { new BondMktData(tradeId, "Dirty", 97.0) })
//{
// ReferenceDate = "2017-11-15",
// YieldCurveDefinitions = curveDefinitions.ToArray(),
// HistoricalIndexRates = HistoricalDataLoadHelper.HistoricalIndexRates
//};
//var t1MarketInfo = new MarketInfo(t1MarketName)
//{
// ReferenceDate = "2017-11-16",
// YieldCurveDefinitions = curveDefinitions.ToArray(),
// HistoricalIndexRates = HistoricalDataLoadHelper.HistoricalIndexRates
//};
//XlManager.LoadMarket(t0MarketInfo);
//XlManager.LoadMarket(t1MarketInfo);
//XlManager.AddTrades(new TradeInfoBase[] { GetTestBondTrade(tradeId, curveName: curveName) });
//var result = XlManager.xl_PnL(new string[] { tradeId }, t0MarketName, t1MarketName);
//var curvePnL = result[tradeId].YieldCurvePnL[curveName].Sum(x=> x.Risk);
//var curveRisk = result[tradeId].YieldCurvePnL[curveName + "KeyRateDv01"].Sum(x => x.Risk);
//Assert.AreEqual(0.0, curvePnL, double.Epsilon);
//Assert.AreEqual(-5.30227200201989, curveRisk, 1e-8);
XlManager.AddHistoricalIndexRates(HistoricalDataLoadHelper.HistoricalIndexRatesMarket);
XlManager.CreatePrebuiltMarket(t0MarketName, "2017-11-15");
XlManager.AddBondPrice(tradeId, t0MarketName, "Dirty", 97.0);
foreach (var curveDefinition in curveDefinitions)
{
XlManager.AddYieldCurve(curveDefinition.Name, t0MarketName, "2017-11-15", curveDefinition);
}
XlManager.CreatePrebuiltMarket(t1MarketName, "2017-11-16");
foreach (var curveDefinition in curveDefinitions)
{
XlManager.AddYieldCurve(curveDefinition.Name, t1MarketName, "2017-11-16", curveDefinition);
}
XlManager.AddTrades(new TradeInfoBase[] { GetTestBondTrade(tradeId, curveName: curveName) });
var result = XlManager.xl_PnLWithPreBuiltMarket(new string[] { tradeId }, t0MarketName, t1MarketName);
var curvePnL = result[tradeId].YieldCurvePnL[curveName].Sum(x => x.Risk);
var curveRisk = result[tradeId].YieldCurvePnL[curveName + "KeyRateDv01"].Sum(x => x.Risk);
Assert.AreEqual(0.0, curvePnL, double.Epsilon);
Assert.AreEqual(-5.30227200201989, curveRisk, 1e-8);
}
public void TestSwapCurveRepricing()
{
var ReferenceDate = "2017-11-15";
const string t0MarketName = "Market2017-11-15";
var curveName = "Fr007SwapCurve";
//Calibrate curve
var curveDefinitions = GetTestIrsCurveDefinition(curveName);
var t0MarketInfo = new MarketInfo(t0MarketName)
{
ReferenceDate = ReferenceDate,
YieldCurveDefinitions = curveDefinitions.ToArray(),
HistoricalIndexRates = HistoricalDataLoadHelper.HistoricalIndexRates
};
XlManager.LoadMarket(t0MarketInfo);
var market = XlManager.GetXlMarket(t0MarketName).QdpMarket;
var tCurves = XlManager.GetXlMarket(t0MarketName).MarketInfo.YieldCurveDefinitions.Select(x => x.Name)
.Select(x => market.GetData <CurveData>(x).YieldCurve).ToDictionary(x => x.Name, x => x);
var curve = tCurves.First().Value;
var inputInstruments = curve.MarketInstruments;
inputInstruments.Select(p => p.TargetValue);
//Repricing curve building instruments
//Repricing threshold
var threshold = 1e-7;
var expected = inputInstruments.Select(p => p.TargetValue).ToArray();
var actual = new double[inputInstruments.Length];
var marketCondition = new MarketCondition(
x => x.ValuationDate.Value = market.ReferenceDate,
x => x.DiscountCurve.Value = market.GetData <CurveData>(curveName).YieldCurve,
x => x.FixingCurve.Value = market.GetData <CurveData>(curveName).YieldCurve,
x => x.RiskfreeCurve.Value = market.GetData <CurveData>(curveName).YieldCurve,
x => x.HistoricalIndexRates.Value = new Dictionary <IndexType, SortedDictionary <Date, double> >()
);
for (int i = 0; i < inputInstruments.Length; i++)
{
actual[i] = inputInstruments[i].Instrument.ModelValue(marketCondition, MktInstrumentCalibMethod.Default);
}
var diffReport = expected.Zip(actual, (first, second) => Tuple.Create <double, double, double, bool>(first, second, first - second, Math.Abs(first - second) > threshold));
foreach (Tuple <double, double, double, bool> diffLine in diffReport)
{
Console.WriteLine($"Repricing diff : {diffLine}");
}
var breaches = diffReport.Where(x => x.Item4 == true).Count();
Assert.AreEqual(true, breaches == 0);
}
public void TestIrsCurveZeroPnLFromUnChangedMkt()
{
const string tradeId = "TEST_TRADE";
const string t0MarketName = "Market2017-11-15";
const string t1MarketName = "Market2017-11-16";
var curveName = "Fr007SwapCurve";
var curveDefinitions = GetTestIrsCurveDefinition(curveName);
//var t0MarketInfo = new MarketInfo(t0MarketName)
//{
// ReferenceDate = "2017-11-15",
// YieldCurveDefinitions = curveDefinitions.ToArray(),
// HistoricalIndexRates = HistoricalDataLoadHelper.HistoricalIndexRates
//};
//var t1MarketInfo = new MarketInfo(t1MarketName)
//{
// ReferenceDate = "2017-11-16",
// YieldCurveDefinitions = curveDefinitions.ToArray(),
// HistoricalIndexRates = HistoricalDataLoadHelper.HistoricalIndexRates
//};
//XlManager.LoadMarket(t0MarketInfo);
//XlManager.LoadMarket(t1MarketInfo);
//XlManager.AddTrades(new TradeInfoBase[] { GetTestIrsTrade(tradeId, curveName) });
//var result = XlManager.xl_PnL(new string[] { tradeId }, t0MarketName, t1MarketName);
//Assert.AreEqual(0.0, result[tradeId].YieldCurvePnL["Fr007SwapCurve"][2].Risk, double.Epsilon);
XlManager.AddHistoricalIndexRates(HistoricalDataLoadHelper.HistoricalIndexRatesMarket);
XlManager.CreatePrebuiltMarket(t0MarketName, "2017-11-15");
foreach (var curveDefinition in curveDefinitions)
{
XlManager.AddYieldCurve(curveDefinition.Name, t0MarketName, "2017-11-15", curveDefinition);
}
XlManager.CreatePrebuiltMarket(t1MarketName, "2017-11-16");
foreach (var curveDefinition in curveDefinitions)
{
XlManager.AddYieldCurve(curveDefinition.Name, t1MarketName, "2017-11-16", curveDefinition);
}
XlManager.AddTrades(new TradeInfoBase[] { GetTestIrsTrade(tradeId, curveName) });
var result = XlManager.xl_PnLWithPreBuiltMarket(new string[] { tradeId }, t0MarketName, t1MarketName);
Assert.AreEqual(0.0, result[tradeId].YieldCurvePnL["Fr007SwapCurve"][2].Risk, double.Epsilon);
}
