/// <summary> /// Initializes a new instance of the <see cref="PriceableSimpleOptionAsset"/> class. /// </summary> /// <param name="cache">The cache.</param> /// <param name="logger">The logger.</param> /// <param name="nameSpace">The client namespace</param> /// <param name="baseDate">The base date.</param> /// <param name="expiryTenor">The expiry tenor.</param> /// <param name="underlyingAssetIdentifier">The underlying asset.</param> /// <param name="strike">The strike.</param> /// <param name="volatility">The volatility.</param> /// <param name="forecastCurve">The forecast rate curve.</param> /// <param name="discountCurve">The discount rate curve. Not used yet, as only the implied rate is caclulated.</param> /// <param name="fixingCalendar">The fixingCalendar.</param> /// <param name="rollCalendar">The rollCalendar.</param> public PriceableSimpleOptionAsset(ILogger logger, ICoreCache cache, string nameSpace, String underlyingAssetIdentifier, DateTime baseDate, Period expiryTenor, Decimal?strike, Decimal volatility, IRateCurve discountCurve, ICurve forecastCurve, IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar) { UnderlyingAssetRef = underlyingAssetIdentifier; var expiryOffset = new Offset { period = expiryTenor.period, periodMultiplier = expiryTenor.periodMultiplier, periodSpecified = true, dayType = DayTypeEnum.Calendar, dayTypeSpecified = true }; var expiryDate = expiryOffset.Add(baseDate); var assetProperties = PriceableAssetFactory.BuildPropertiesForAssets(nameSpace, underlyingAssetIdentifier, expiryDate); var instrument = InstrumentDataHelper.GetInstrumentConfigurationData(cache, nameSpace, underlyingAssetIdentifier); var quotation = BasicQuotationHelper.CreateRate(0.05m); var quote = BasicAssetValuationHelper.Create(quotation); UnderlyingPriceableAsset = PriceableAssetFactory.Create(logger, cache, nameSpace, instrument, quote, assetProperties, fixingCalendar, rollCalendar); BaseDate = baseDate; ForwardIndex = UnderlyingPriceableAsset.CalculateImpliedQuote(forecastCurve); if (strike != null) { Strike = (Decimal)strike; } else { Strike = ForwardIndex; } DayCounter = new Actual365(); ExpiryDate = expiryDate; Volatility = volatility; TimeToExpiry = DayCounter.DayCount(BaseDate, ExpiryDate); }
private void SetDayCounter(ICoreCache cache, string nameSpace, string currency) { Instrument instrument = InstrumentDataHelper.GetInstrumentConfigurationData(cache, nameSpace, currency, "ZeroRate"); if (instrument.InstrumentNodeItem is ZeroRateNodeStruct zeroRateNode) { DayCounter = DayCounterHelper.Parse(zeroRateNode.DayCountFraction.Value); } if (DayCounter == null) { throw new InvalidOperationException($"DayCounter is invalid for '{currency}'"); } }
/// <summary> /// /// </summary> /// <param name="logger"></param> /// <param name="cache"></param> /// <param name="nameSpace"></param> /// <param name="tradeDate"></param> /// <param name="settlementDate">The payment settlement date.</param> /// <param name="settlementCalendar"></param> /// <param name="paymentCalendar"></param> /// <param name="bondFpML"></param> /// <param name="basePartyReference"></param> /// <param name="bondType"></param> /// <param name="forecastRateInterpolation"></param> public BondTransactionPricer(ILogger logger, ICoreCache cache, string nameSpace, DateTime tradeDate, DateTime settlementDate, IBusinessCalendar settlementCalendar, IBusinessCalendar paymentCalendar, BondTransaction bondFpML, string basePartyReference, string bondType, Boolean forecastRateInterpolation) { Multiplier = 1.0m; TradeDate = tradeDate; BondType = EnumHelper.Parse <BondTypesEnum>(bondType); logger.LogInfo("BondType set. Commence to build a bond transaction."); if (bondFpML == null) { return; } BuyerReference = bondFpML.buyerPartyReference.href; PaymentCurrencies = new List <string> { bondFpML.notionalAmount.currency.Value }; SellerReference = bondFpML.sellerPartyReference.href; BasePartyBuyer = basePartyReference == bondFpML.buyerPartyReference.href; if (!BasePartyBuyer) { Multiplier = -1.0m; } ForecastRateInterpolation = forecastRateInterpolation; SettlementCalendar = settlementCalendar; PaymentCalendar = paymentCalendar; //Set the bond price information BondPrice = new BondPrice(); if (bondFpML.price.accrualsSpecified) { BondPrice.accrualsSpecified = true; BondPrice.accruals = bondFpML.price.accruals; } if (bondFpML.price.dirtyPriceSpecified) { BondPrice.dirtyPriceSpecified = true; BondPrice.dirtyPrice = bondFpML.price.dirtyPrice; } BondPrice.cleanOfAccruedInterest = bondFpML.price.cleanOfAccruedInterest; BondPrice.cleanPrice = bondFpML.price.cleanPrice; //Set the notional information NotionalAmount = MoneyHelper.GetAmount(bondFpML.notionalAmount.amount, bondFpML.notionalAmount.currency.Value); //Determines the quotation and units QuoteType = BondPriceEnum.YieldToMaturity; //We need to get the ytm in until there is a bond market price/spread. if (BondPrice.dirtyPriceSpecified) { QuoteType = BondPriceEnum.DirtyPrice; Quote = BasicQuotationHelper.Create(BondPrice.dirtyPrice, RateQuotationType); } //Get the insturment configuration information. var assetIdentifier = bondFpML.bond.currency.Value + "-Bond-" + BondType; BondNodeStruct bondTypeInfo = null; var instrument = InstrumentDataHelper.GetInstrumentConfigurationData(cache, nameSpace, assetIdentifier); if (instrument != null) { bondTypeInfo = instrument.InstrumentNodeItem as BondNodeStruct; } if (bondFpML.bond != null && bondTypeInfo != null) { if (SettlementCalendar == null) { SettlementCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, bondTypeInfo.SettlementDate.businessCenters, nameSpace); } if (PaymentCalendar == null) { PaymentCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, bondTypeInfo.BusinessDayAdjustments.businessCenters, nameSpace); } //Preprocesses the data for the priceableasset. var bond = XmlSerializerHelper.Clone(bondFpML.bond); BondTypeInfo = XmlSerializerHelper.Clone(bondTypeInfo); BondTypeInfo.Bond = bond; //This is done because the config data is not stored in the ciorrect way. Need to add a price quote units. if (bond.couponRateSpecified) { var coupon = bond.couponRate; BondTypeInfo.Bond.couponRate = coupon; } BondTypeInfo.Bond.faceAmount = NotionalAmount.amount; if (BondTypeInfo.Bond.maturitySpecified) { RiskMaturityDate = BondTypeInfo.Bond.maturity; } SettlementDate = settlementDate; if (!PaymentCurrencies.Contains(bondFpML.bond.currency.Value)) { PaymentCurrencies.Add(bondFpML.bond.currency.Value); } logger.LogInfo("Bond transaction has been successfully created."); } else { logger.LogInfo("Bond type data not available."); } //Add payments like the settlement price if (!BondPrice.dirtyPriceSpecified) { return; } var amount = BondPrice.dirtyPrice * NotionalAmount.amount / 100; var settlementPayment = PaymentHelper.Create("BondSettlemetAmount", BuyerReference, SellerReference, amount, SettlementDate); AdditionalPayments = PriceableInstrumentsFactory.CreatePriceablePayments(basePartyReference, new[] { settlementPayment }, SettlementCalendar); if (!PaymentCurrencies.Contains(settlementPayment.paymentAmount.currency.Value)) { PaymentCurrencies.Add(settlementPayment.paymentAmount.currency.Value); } }
/// <summary> /// /// </summary> /// <param name="logger"></param> /// <param name="cache"></param> /// <param name="nameSpace"></param> /// <param name="tradeDate"></param> /// <param name="settlementDate">The payment settlement date.</param> /// <param name="settlementCalendar"></param> /// <param name="paymentCalendar"></param> /// <param name="bondFpML"></param> /// <param name="basePartyReference"></param> /// <param name="bondType"></param> /// <param name="forecastRateInterpolation"></param> public BondTransactionPricer(ILogger logger, ICoreCache cache, string nameSpace, DateTime tradeDate, DateTime settlementDate, IBusinessCalendar settlementCalendar, IBusinessCalendar paymentCalendar, BondTransaction bondFpML, string basePartyReference, string bondType, bool forecastRateInterpolation) { Multiplier = 1.0m; TradeDate = tradeDate; BondType = EnumHelper.Parse <BondTypesEnum>(bondType); logger.LogInfo("BondType set. Commence to build a bond transaction."); if (bondFpML == null) { return; } BuyerReference = bondFpML.buyerPartyReference.href; PaymentCurrencies = new List <string> { bondFpML.notionalAmount.currency.Value }; SellerReference = bondFpML.sellerPartyReference.href; BasePartyBuyer = basePartyReference == bondFpML.buyerPartyReference.href; if (!BasePartyBuyer) { Multiplier = -1.0m; } ForecastRateInterpolation = forecastRateInterpolation; SettlementCalendar = settlementCalendar; PaymentCalendar = paymentCalendar; //Set the bond price information BondPrice = new BondPrice(); if (bondFpML.price.accrualsSpecified) { BondPrice.accrualsSpecified = true; BondPrice.accruals = bondFpML.price.accruals; } if (bondFpML.price.dirtyPriceSpecified) { BondPrice.dirtyPriceSpecified = true; BondPrice.dirtyPrice = bondFpML.price.dirtyPrice; } BondPrice.cleanOfAccruedInterest = bondFpML.price.cleanOfAccruedInterest; BondPrice.cleanPrice = bondFpML.price.cleanPrice; //Set the currencies CouponCurrency = bondFpML.notionalAmount.currency; PaymentCurrency = bondFpML.notionalAmount.currency;//This could be another currency! //Set the notional information NotionalAmount = MoneyHelper.GetAmount(bondFpML.notionalAmount.amount, bondFpML.notionalAmount.currency.Value); //Determines the quotation and units QuoteType = BondPriceEnum.YieldToMaturity; //We need to get the ytm in until there is a bond market price/spread. if (BondPrice.dirtyPriceSpecified) { QuoteType = BondPriceEnum.DirtyPrice; Quote = BasicQuotationHelper.Create(BondPrice.dirtyPrice, RateQuotationType); } //Get the instrument configuration information. var assetIdentifier = bondFpML.bond.currency.Value + "-Bond-" + BondType; BondNodeStruct bondTypeInfo = null; //TODO Set the swap curves for asset swap valuation. // //Gets the template bond type var instrument = InstrumentDataHelper.GetInstrumentConfigurationData(cache, nameSpace, assetIdentifier); if (instrument != null) { bondTypeInfo = instrument.InstrumentNodeItem as BondNodeStruct; } if (bondFpML.bond != null && bondTypeInfo != null) { if (SettlementCalendar == null) { SettlementCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, bondTypeInfo.SettlementDate.businessCenters, nameSpace); } if (PaymentCalendar == null) { PaymentCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, bondTypeInfo.BusinessDayAdjustments.businessCenters, nameSpace); } //Pre-processes the data for the priceable asset. var bond = XmlSerializerHelper.Clone(bondFpML.bond); Bond = bond; bondTypeInfo.Bond = Bond; //Set the curves to use for valuations. BondCurveName = CurveNameHelpers.GetBondCurveName(Bond.currency.Value, Bond.id); //THe discount curve is only for credit calculations. DiscountCurveName = CurveNameHelpers.GetDiscountCurveName(Bond.currency.Value, true); if (bond.maturitySpecified) { MaturityDate = bond.maturity; } SettlementDateConvention = bondTypeInfo.SettlementDate; BusinessDayAdjustments = bondTypeInfo.BusinessDayAdjustments; ExDivDateConvention = bondTypeInfo.ExDivDate; //This is done because the config data is not stored in the correct way. Need to add a price quote units. if (bond.couponRateSpecified) { var coupon = bond.couponRate; Bond.couponRate = coupon; } bondTypeInfo.Bond.faceAmount = NotionalAmount.amount; bondTypeInfo.Bond.faceAmountSpecified = true; Bond.faceAmount = NotionalAmount.amount; if (Bond.maturitySpecified) { RiskMaturityDate = Bond.maturity; } SettlementDate = settlementDate; if (!PaymentCurrencies.Contains(bondFpML.bond.currency.Value)) { PaymentCurrencies.Add(bondFpML.bond.currency.Value); } logger.LogInfo("Bond transaction has been successfully created."); } else { logger.LogInfo("Bond type data not available."); } //Set the underlying bond UnderlyingBond = new PriceableSimpleBond(tradeDate, bondTypeInfo, SettlementCalendar, PaymentCalendar, Quote, QuoteType); BondIssuer = UnderlyingBond.Issuer; if (BondPrice.dirtyPriceSpecified) { UnderlyingBond.PurchasePrice = BondPrice.dirtyPrice / 100; //PriceQuoteUnits } //Set the coupons var bondId = Bond.id;//Could use one of the instrumentIds //bondStream is an interest Rate Stream but needs to be converted to a bond stream. //It automatically contains the coupon currency. Coupons = new PriceableBondCouponRateStream(logger, cache, nameSpace, bondId, tradeDate, bondFpML.notionalAmount.amount, CouponStreamType.GenericFixedRate, Bond, BusinessDayAdjustments, ForecastRateInterpolation, null, PaymentCalendar); //Add payments like the settlement price if (!BondPrice.dirtyPriceSpecified) { return; } var amount = BondPrice.dirtyPrice * NotionalAmount.amount / 100; var settlementPayment = PaymentHelper.Create(BuyerReference, SellerReference, PaymentCurrency.Value, amount, SettlementDate); AdditionalPayments = PriceableInstrumentsFactory.CreatePriceablePayments(basePartyReference, new[] { settlementPayment }, SettlementCalendar); // var finalPayment = PaymentHelper.Create(BondIssuer, BuyerReference, CouponCurrency.Value, NotionalAmount.amount, RiskMaturityDate); FinalRedemption = PriceableInstrumentsFactory.CreatePriceablePayment(basePartyReference, finalPayment, PaymentCalendar); AdditionalPayments.Add(FinalRedemption); if (!PaymentCurrencies.Contains(settlementPayment.paymentAmount.currency.Value)) { PaymentCurrencies.Add(settlementPayment.paymentAmount.currency.Value); } }