/// <summary> /// Initializes a new instance of the <see cref="PriceableSimpleBond"/> class. /// </summary> /// <param name="baseDate">The base date.</param> /// <param name="bond">The bond</param> /// <param name="settlementDate">The settlement date.</param> /// <param name="exDivDate">The ex dividend date.</param> /// <param name="businessDayAdjustments">The business day adjustments.</param> /// <param name="paymentCalendar">The payment Calendar.</param> /// <param name="marketQuote">The market quote.</param> /// <param name="quoteType">The quote type</param> public PriceableSimpleBond(DateTime baseDate, Bond bond, DateTime settlementDate, DateTime exDivDate, BusinessDayAdjustments businessDayAdjustments, IBusinessCalendar paymentCalendar, BasicQuotation marketQuote, BondPriceEnum quoteType) : base(baseDate, bond.faceAmount, bond.currency, null, null, businessDayAdjustments, marketQuote, quoteType) { Id = bond.id; var tempId = Id.Split('-'); var bondId = tempId[0]; if (tempId.Length > 2) { bondId = tempId[2]; } Issuer = (string)bond.Item;//Does not handle PartyReference type -> only string! Description = "Not Defined"; if (bond.description != null) { Description = bond.description; } MaturityDate = bond.maturity; CouponDayCount = new DayCountFraction { Value = bond.dayCountFraction.Value }; if (bond.parValueSpecified) { ParValue = bond.parValue; } if (bond.couponRateSpecified) { CouponRate = bond.couponRate; } CouponFrequency = new Period { period = bond.paymentFrequency.period, periodMultiplier = bond.paymentFrequency.periodMultiplier }; CouponType = CouponTypeEnum.Fixed; if (bond.clearanceSystem != null) { ClearanceSystem = bond.clearanceSystem.Value; } if (bond.exchangeId != null) { Exchange = bond.exchangeId.Value; } if (bond.seniority != null) { Seniority = EnumHelper.Parse <CreditSeniorityEnum>(bond.seniority.Value); } if (bond.instrumentId != null) { InstrumentIds = new List <InstrumentId>(); foreach (var identifier in bond.instrumentId.Select(id => InstrumentIdHelper.Parse(id.Value))) { InstrumentIds.Add(identifier); } } //This handles the case of a bond forward used in curve building. if (MaturityDate > BaseDate) { var rollConvention = RollConventionEnumHelper.Parse(MaturityDate.Day.ToString(CultureInfo.InvariantCulture)); Frequency = FrequencyHelper.ToFrequency(bond.paymentFrequency); SettlementDate = settlementDate; UnAdjustedPeriodDates = DateScheduler.GetUnadjustedCouponDatesFromMaturityDate(SettlementDate, MaturityDate, CouponFrequency, rollConvention, out _, out var nextCouponDate); LastCouponDate = UnAdjustedPeriodDates[0]; NextCouponDate = nextCouponDate; AdjustedPeriodDates = AdjustedDateScheduler.GetAdjustedDateSchedule(UnAdjustedPeriodDates, PaymentBusinessDayAdjustments.businessDayConvention, paymentCalendar).ToArray(); AdjustedPeriodDates[0] = SettlementDate; NextExDivDate = exDivDate; IsXD = IsExDiv(); } BondCurveName = CurveNameHelpers.GetBondCurveName(Currency.Value, bondId); SwapDiscountCurveName = CurveNameHelpers.GetDiscountCurveName(Currency.Value, true); }
/// <summary> /// Initializes a new instance of the <see cref="PriceableSimpleBond"/> class. /// </summary> /// <param name="baseDate">The base date.</param> /// <param name="nodeStruct">The bond nodeStruct</param> /// <param name="settlementCalendar">The settlement Calendar.</param> /// <param name="paymentCalendar">The payment Calendar.</param> /// <param name="marketQuote">The market quote.</param> /// <param name="quoteType">THe quote Type</param> public PriceableSimpleBond(DateTime baseDate, BondNodeStruct nodeStruct, IBusinessCalendar settlementCalendar, IBusinessCalendar paymentCalendar, BasicQuotation marketQuote, BondPriceEnum quoteType) : base(baseDate, nodeStruct.Bond.faceAmount, nodeStruct.Bond.currency, nodeStruct.SettlementDate, nodeStruct.ExDivDate, nodeStruct.BusinessDayAdjustments, marketQuote, quoteType) { Id = nodeStruct.Bond.id; var tempId = Id.Split('-'); var bondId = tempId[0]; if (tempId.Length > 2) { bondId = tempId[2]; } SettlementDateCalendar = settlementCalendar; Issuer = (string)nodeStruct.Bond.Item;//Does not handle PartyReference type -> only string! Description = "Not Defined"; //IsYTMQuote = true; if (nodeStruct.Bond.description != null) { Description = nodeStruct.Bond.description; } MaturityDate = nodeStruct.Bond.maturity; CouponDayCount = new DayCountFraction { Value = nodeStruct.Bond.dayCountFraction.Value }; CouponFrequency = new Period { period = nodeStruct.Bond.paymentFrequency.period, periodMultiplier = nodeStruct.Bond.paymentFrequency.periodMultiplier }; if (nodeStruct.Bond.couponRateSpecified) { CouponRate = nodeStruct.Bond.couponRate; } if (nodeStruct.Bond.parValueSpecified) { ParValue = nodeStruct.Bond.parValue; } if (nodeStruct.Bond.clearanceSystem != null) { ClearanceSystem = nodeStruct.Bond.clearanceSystem.Value; } if (nodeStruct.Bond.exchangeId != null) { Exchange = nodeStruct.Bond.exchangeId.Value; } CouponType = CouponTypeEnum.Fixed; if (nodeStruct.Bond.seniority != null) { Seniority = EnumHelper.Parse <CreditSeniorityEnum>(nodeStruct.Bond.seniority.Value, true); } if (nodeStruct.Bond.instrumentId != null) { InstrumentIds = new List <InstrumentId>(); foreach (var identifier in nodeStruct.Bond.instrumentId.Select(id => InstrumentIdHelper.Parse(id.Value))) { InstrumentIds.Add(identifier); } } //This handles the case of a bondforward used in curve building. if (MaturityDate > BaseDate) { DateTime lastCouponDate; DateTime nextCouponDate; var rollConvention = RollConventionEnumHelper.Parse(MaturityDate.Day.ToString(CultureInfo.InvariantCulture)); Frequency = FrequencyHelper.ToFrequency(nodeStruct.Bond.paymentFrequency); //Get the settlement date SettlementDate = GetSettlementDate(baseDate, settlementCalendar, nodeStruct.SettlementDate); //Generate the necessary dates. //TODO Should the settlement date and the underlying bond be calculated on the fly when calculation occurs? UnAdjustedPeriodDates = DateScheduler.GetUnadjustedCouponDatesFromMaturityDate(SettlementDate, MaturityDate, CouponFrequency, rollConvention, out lastCouponDate, out nextCouponDate); LastCouponDate = UnAdjustedPeriodDates[0]; NextCouponDate = nextCouponDate; AdjustedPeriodDates = AdjustedDateScheduler.GetAdjustedDateSchedule(UnAdjustedPeriodDates, nodeStruct.BusinessDayAdjustments .businessDayConvention, paymentCalendar) .ToArray(); AdjustedPeriodDates[0] = SettlementDate; //TODO check this! NextExDivDate = GetNextExDivDate(); IsXD = IsExDiv(); } BondCurveName = CurveNameHelpers.GetBondCurveName(Currency.Value, bondId); SwapDiscountCurveName = CurveNameHelpers.GetDiscountCurveName(Currency.Value, true); }