public override IPricingResult Calculate(SwapLeg premiumLeg, IMarketCondition market, PricingRequest request)
{
var valuationDate = market.ValuationDate;
var result = new PricingResult(valuationDate, request);
if (result.IsRequested(PricingRequest.Pv))
{
result.Pv = CalcRPv(premiumLeg, market);
}
var accDates = premiumLeg.Accruals.ToArray();
if (result.IsRequested(PricingRequest.Ai))
{
if (!accDates.Any() || valuationDate >= accDates.Last() || valuationDate <= premiumLeg.StartDate)
{
result.Ai = 0.0;
}
else
{
var idx = Array.FindIndex(accDates, x => x > valuationDate) - 1;
var dcf = premiumLeg.DayCount.CalcDayCountFraction(accDates[idx], valuationDate);
CfCalculationDetail[] temp;
var coupon = premiumLeg.Coupon.GetCoupon(accDates[idx], accDates[idx + 1], market.FixingCurve.Value, market.HistoricalIndexRates, out temp);
result.Ai = premiumLeg.Notional * coupon * dcf;
}
}
return(result);
}
public static bool isHighOrderPricing(PricingResult result)
{
if (result.IsRequested(PricingRequest.DDeltaDt) ||
result.IsRequested(PricingRequest.DVegaDt) ||
result.IsRequested(PricingRequest.DDeltaDvol) ||
result.IsRequested(PricingRequest.DVegaDvol))
{
return(true);
}
else
{
return(false);
}
}
public static bool isBasicPricing(PricingResult result)
{
if (result.IsRequested(PricingRequest.Delta) ||
result.IsRequested(PricingRequest.Gamma) ||
result.IsRequested(PricingRequest.Vega) ||
result.IsRequested(PricingRequest.Theta) ||
result.IsRequested(PricingRequest.Rho))
{
return(true);
}
else
{
return(false);
}
}
public override IPricingResult Calculate(CreditDefaultSwap creditDefaultSwap, IMarketCondition market, PricingRequest request)
{
var valuationDate = market.ValuationDate;
var result = new PricingResult(valuationDate, request);
if (result.IsRequested(PricingRequest.Pv))
{
result.Pv = _premiumLegEngine.Calculate(creditDefaultSwap.PremiumLeg, market, PricingRequest.Pv).Pv
+ _protectionLegEngine.Calculate(creditDefaultSwap.ProtectionLeg, market, PricingRequest.Pv).Pv;
}
if (result.IsRequested(PricingRequest.Ai))
{
result.Ai = _premiumLegEngine.Calculate(creditDefaultSwap.PremiumLeg, market, PricingRequest.Ai).Ai;
}
return(result);
}
public override IPricingResult Calculate(CallableBond callableBond, IMarketCondition market, PricingRequest request)
{
var result = new PricingResult(market.ValuationDate, request);
if (result.IsRequested(PricingRequest.Pv))
{
result.Pv = CalcPv(callableBond, market);
}
return(result);
}
public override IPricingResult Calculate(Forward <TUnderlying> trade, IMarketCondition market, PricingRequest request)
{
var result = new PricingResult(market.ValuationDate, request);
if (result.IsRequested(PricingRequest.Pv))
{
result.Pv = CalcPv(trade, market);
}
if (result.IsRequested(PricingRequest.Dv01))
{
result.Dv01 = GetRisks(trade, market, PricingRequest.Dv01).Dv01;
}
if (result.IsRequested(PricingRequest.Dv01Underlying))
{
result.Dv01 = GetRisks(trade, market, PricingRequest.Dv01Underlying).Dv01Underlying;
}
return(result);
}
public override IPricingResult Calculate(Loan trade, IMarketCondition market, PricingRequest request)
{
var result = new PricingResult(market.ValuationDate, request);
if (result.IsRequested(PricingRequest.Cashflow))
{
result.Cashflows = trade.GetCashflows(market);
result.CashflowDict = result.Cashflows.ToDictionary(x => x.ToCfKey(), x => x.PaymentAmount);
}
return(result);
}
public override IPricingResult Calculate(EquityLinkedNote <TOption> trade, IMarketCondition market, PricingRequest request)
{
var result = new PricingResult(market.ValuationDate, request);
var optionResult = OptionEngine.Calculate(trade.Option, market, request);
if (result.IsRequested(PricingRequest.Pv))
{
result.Pv = optionResult.Pv + trade.Notional * market.DiscountCurve.Value.GetDf(market.ValuationDate, trade.UnderlyingMaturityDate);
}
if (result.IsRequested(PricingRequest.Delta))
{
result.Delta = optionResult.Delta;
}
if (result.IsRequested(PricingRequest.Gamma))
{
result.Gamma = optionResult.Gamma;
}
if (result.IsRequested(PricingRequest.Rho))
{
result.Rho = optionResult.Rho;
}
if (result.IsRequested(PricingRequest.Vega))
{
result.Vega = optionResult.Vega;
}
if (result.IsRequested(PricingRequest.Theta))
{
result.Theta = optionResult.Theta;
}
return(result);
}
public override IPricingResult Calculate(AbsWithRepurchase trade, IMarketCondition market, PricingRequest request)
{
var result = new PricingResult(market.ValuationDate, request);
if (result.IsRequested(PricingRequest.Cashflow))
{
var underlyingLoanCfs = trade.GetCashflows(market, false).ToArray();
var surplus = 0.0;
var repurchasedLoanCfs = new List <Cashflow[]> {
underlyingLoanCfs
};
var underlyingLoanPayDates = repurchasedLoanCfs.SelectMany(x => x.Select(cf => cf.PaymentDate)).Distinct().ToArray();
var payOutCashflows = trade.Tranches.SelectMany(x => x.GetCashflows(market, false)).ToArray();
//assumption: repurchased loans have same features as the original loan excepth the startDate and mautirytDate
for (var i = 0; i < underlyingLoanPayDates.Length - 1; ++i)
{
//repurchase prior to the final cash flow
var tCfs = repurchasedLoanCfs.SelectMany(x => x).Where(x => x.PaymentDate == underlyingLoanPayDates[i] && (x.CashflowType == CashflowType.Principal || x.CashflowType == CashflowType.Coupon || x.CashflowType == CashflowType.Tax)).ToArray();
surplus += tCfs.Sum(x => x.PaymentAmount);
var payOutAmount = payOutCashflows.Where(x => x.PaymentDate >= underlyingLoanPayDates[i] && x.PaymentDate < underlyingLoanPayDates[i + 1]).Sum(x => x.PaymentAmount);
surplus -= payOutAmount;
var endDate = trade.PayOutDates.Where(x => x > underlyingLoanPayDates[i]);
if (endDate.Any())
{
repurchasedLoanCfs.Add(RepurchasedLoanCashflow(underlyingLoanPayDates[i + 1], surplus * trade.RepurchaseRatio, trade.Loan, market, underlyingLoanPayDates[i], endDate.First()));
}
surplus *= (1.0 - trade.RepurchaseRatio);
}
var payOutCf =
payOutCashflows.Select(
x =>
new Cashflow(x.AccrualEndDate, x.AccrualEndDate, x.PaymentDate, -x.PaymentAmount, x.PaymentCurrency,
x.CashflowType, x.IsFixed, market.GetDf(x.PaymentDate), x.CalculationDetails, x.RefStartDate, x.RefEndDate, x.StartPrincipal, x.CouponRate));
result.Cashflows = repurchasedLoanCfs.SelectMany(x => x).Union(payOutCf).ToArray();
}
return(result);
}
public override IPricingResult Calculate(InterestRateSwap trade, IMarketCondition market, PricingRequest request)
{
var cfEngine = new CashflowProductEngine <SwapLeg>();
var leg1Result = cfEngine.Calculate(trade.FixedLeg, market, PricingRequest.All);
var mkt4Leg2 = market.UpdateCondition(new UpdateMktConditionPack <IYieldCurve>(x => x.DiscountCurve, market.FgnDiscountCurve.Value),
new UpdateMktConditionPack <IYieldCurve>(x => x.FixingCurve, market.FgnFixingCurve.Value));
var leg2Result = cfEngine.Calculate(trade.FloatingLeg, mkt4Leg2, PricingRequest.All);
var result = new PricingResult(market.ValuationDate, request);
if (result.IsRequested(PricingRequest.Pv))
{
result.Pv = leg1Result.Pv + leg2Result.Pv;
}
if (result.IsRequested(PricingRequest.Dv01))
{
result.Dv01 = leg1Result.Dv01 + leg2Result.Dv01;
}
if (result.IsRequested(PricingRequest.Pv01))
{
var bumpedIrs = trade.Bump(1);
var bumpedPv = new CashflowProductEngine <InterestRateSwap>().Calculate(bumpedIrs, market, PricingRequest.Pv).Pv;
result.Pv01 = bumpedPv - result.Pv;
}
if (result.IsRequested(PricingRequest.Ai))
{
result.Ai = leg1Result.Ai + leg2Result.Ai;
}
if (result.IsRequested(PricingRequest.Cashflow))
{
result.Cashflows = leg1Result.Cashflows.Union(leg2Result.Cashflows).ToArray();
}
if (result.IsRequested(PricingRequest.KeyRateDv01))
{
result.KeyRateDv01 = PricingResultExtension.Aggregate(leg1Result.KeyRateDv01, leg2Result.KeyRateDv01);
}
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);
}
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(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);
}
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(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(RainbowOption trade, IMarketCondition market, PricingRequest request)
{
var result = new PricingResult(market.ValuationDate, request);
var exerciseDate = trade.ExerciseDates.Last();
var maturityDate = trade.UnderlyingMaturityDate;
//TODO: support timeIncrement
var exerciseInYears = AnalyticalOptionPricerUtil.timeToMaturityFraction(market.ValuationDate, exerciseDate, trade);
var maturityInYears = AnalyticalOptionPricerUtil.timeToMaturityFraction(market.ValuationDate, maturityDate, trade);
var riskFreeRate = market.DiscountCurve.Value.ZeroRate(market.ValuationDate, exerciseDate);
var ticker1 = trade.UnderlyingTickers[0];
var ticker2 = trade.UnderlyingTickers[1];
double dividendRate1, dividendRate2;
if (AnalyticalOptionPricerUtil.isForwardFuturesOption(trade.UnderlyingProductType))
{
dividendRate1 = riskFreeRate;
dividendRate2 = riskFreeRate;
}
else
{
dividendRate1 = market.DividendCurves.Value[ticker1].ZeroRate(market.ValuationDate, exerciseDate);
dividendRate2 = market.DividendCurves.Value[ticker2].ZeroRate(market.ValuationDate, exerciseDate);
}
var spot1 = market.SpotPrices.Value[ticker1];
var spot2 = market.SpotPrices.Value[ticker2];
var sigma1 = market.VolSurfaces.Value[ticker1].GetValue(exerciseDate, trade.Strikes[0], spot1);
var sigma2 = market.VolSurfaces.Value[ticker2].GetValue(exerciseDate, trade.Strikes[0], spot2);
var strike1 = trade.Strikes[0];
var strike2 = 0.0;
if (trade.Strikes.Length > 1)
{
strike2 = trade.Strikes[1];
}
//Note: correlation here is a scala number. can be a grid for multi-asset option
var rho = market.Correlations.Value[ticker1].GetValue(exerciseDate, strike1);
var calculator = new RainbowOptionCalculator(trade.OptionType,
trade.RainbowType,
strike1, strike2, trade.CashAmount,
spot1, spot2, rho,
sigma1, sigma2,
exerciseInYears,
riskFreeRate,
dividendRate1, dividendRate2,
trade.Notional);
bool isExpired = trade.ExerciseDates.Last() < market.ValuationDate;
bool isExpiredforTheta = trade.ExerciseDates.Last() <= market.ValuationDate;
if (isExpired)
{
result.Pv = 0.0;
result.Theta = 0.0;
result.asset1Delta = 0.0;
result.asset1DeltaCash = 0.0;
result.asset2Delta = 0.0;
result.asset2DeltaCash = 0.0;
result.asset1PartialDelta = 0.0;
result.asset2PartialDelta = 0.0;
result.asset1Gamma = 0.0;
result.asset1GammaCash = 0.0;
result.asset2Gamma = 0.0;
result.asset2GammaCash = 0.0;
result.asset1Vega = 0.0;
result.asset2Vega = 0.0;
result.Rho = 0.0;
result.Theta = 0.0;
result.asset1DDeltaDt = 0.0;
result.asset2DDeltaDt = 0.0;
result.asset1DVegaDvol = 0.0;
result.asset2DVegaDvol = 0.0;
result.asset1DDeltaDvol = 0.0;
result.asset2DDeltaDvol = 0.0;
result.asset1DVegaDt = 0.0;
result.asset2DVegaDt = 0.0;
result.crossGamma = 0.0;
result.crossVomma = 0.0;
result.crossVanna1 = 0.0;
result.crossVanna2 = 0.0;
result.correlationVega = 0.0;
}
else
{
if (result.IsRequested(PricingRequest.Pv))
{
result.Pv = calculator.Pv;
}
if (AnalyticalOptionPricerUtil.isBasicPricing(result))
{
result.asset1Delta = calculator.asset1Delta;
result.asset2Delta = calculator.asset2Delta;
result.asset1DeltaCash = calculator.asset1Delta * spot1;
result.asset2DeltaCash = calculator.asset2Delta * spot2;
result.asset1PartialDelta = calculator.asset1PartialDelta;
result.asset2PartialDelta = calculator.asset2PartialDelta;
result.asset1Gamma = calculator.asset1Gamma;
result.asset2Gamma = calculator.asset2Gamma;
result.asset1GammaCash = calculator.asset1Gamma * spot1 * spot1 / 100;
result.asset2GammaCash = calculator.asset2Gamma * spot2 * spot2 / 100;
result.asset1Vega = calculator.asset1Vega;
result.asset2Vega = calculator.asset2Vega;
result.Rho = calculator.Rho;
result.Theta = (isExpiredforTheta) ? 0.0 : calculator.Theta;
}
if (AnalyticalOptionPricerUtil.isHighOrderPricing(result))
{
result.asset1DVegaDvol = calculator.asset1DVegaDvol;
result.asset2DVegaDvol = calculator.asset2DVegaDvol;
result.asset1DDeltaDvol = calculator.asset1DDeltaDvol;
result.asset2DDeltaDvol = calculator.asset2DDeltaDvol;
result.crossGamma = calculator.crossGamma;
result.crossVomma = calculator.crossVomma;
result.crossVanna1 = calculator.crossVanna1;
result.crossVanna2 = calculator.crossVanna2;
result.correlationVega = calculator.correlationVega;
}
if (isExpiredforTheta)
{
result.asset1DDeltaDt = result.asset2DDeltaDt = 0.0;
result.asset1DVegaDt = result.asset2DVegaDt = 0.0;
}
else
{
result.asset1DDeltaDt = calculator.asset1DDeltaDt;
result.asset2DDeltaDt = calculator.asset2DDeltaDt;
result.asset1DVegaDt = calculator.asset1DVegaDt;
result.asset2DVegaDt = calculator.asset2DVegaDt;
}
}
return(result);
}
/// <summary>
/// 计算期权
/// </summary>
/// <param name="option">期权</param>
/// <param name="market">市场</param>
/// <param name="request">计算请求</param>
/// <returns>计算结果</returns>
public override IPricingResult Calculate(IOption option, IMarketCondition market, PricingRequest request)
{
var result = new PricingResult(market.ValuationDate, request);
bool isExpired = option.ExerciseDates.Last() < market.ValuationDate;
bool isExpiredforTheta = option.ExerciseDates.Last() <= market.ValuationDate;
bool onMaturityDate = (option.ExerciseDates.Last() == market.ValuationDate);
if (isExpired)
{
result.Pv = result.Delta = result.DeltaCash = result.Gamma = result.GammaCash = result.Theta = 0.0;
result.ThetaPnL = result.CalenderThetaPnL = result.Vega = result.Rho = result.StoppingTime = 0.0;
result.DVegaDvol = result.DVegaDt = result.DDeltaDvol = result.DDeltaDt = 0.0;
result.PricingVol = 0.0;
return(result);
}
else
{
var now = DateTime.Now;
var expiryDayCutoffTime = new DateTime(now.Year, now.Month, now.Day, 15, 0, 0);
var expiryDayStartTime = new DateTime(now.Year, now.Month, now.Day, 9, 30, 0);
var T = (expiryDayCutoffTime - now).TotalSeconds / (expiryDayCutoffTime - expiryDayStartTime).TotalSeconds / 365.0;
SetPricingVol(result, option, market);
//Calc delta/pv differently on expiry day
if (onMaturityDate && T > 0.0)
{
if (result.IsRequested(PricingRequest.Pv) && double.IsNaN(result.Pv))
{
result.Pv = DoCalcExpiryPv(option, market, T);
}
if (result.IsRequested(PricingRequest.Delta) && double.IsNaN(result.Delta))
{
result.Delta = DoCalcExpiryDelta(option, market, T);
result.DeltaCash = result.Delta * market.SpotPrices.Value.Values.First();
}
}
else if (onMaturityDate && T <= 0.0)
{
if (result.IsRequested(PricingRequest.Pv) && double.IsNaN(result.Pv))
{
var pv = CalcPvs(option, market.ToArrayT());
result.Pv = pv[0];
result.PricingVol = 0.0;
}
if (result.IsRequested(PricingRequest.Delta) && double.IsNaN(result.Delta))
{
var pv = CalcPvs(option, new[] { market })[0];
if (option.OptionType == OptionType.Call)
{
result.Delta = (pv > 0) ? 1 * option.Notional : 0;
result.DeltaCash = result.Delta * market.SpotPrices.Value.Values.First();
}
else
{
result.Delta = (pv > 0) ? -1 * option.Notional: 0;
result.DeltaCash = result.Delta * market.SpotPrices.Value.Values.First();
}
}
}
//on other days
if (result.IsRequested(PricingRequest.Pv) && double.IsNaN(result.Pv))
{
var pv = CalcPvs(option, market.ToArrayT());
result.Pv = pv[0];
}
if (result.IsRequested(PricingRequest.Delta) && double.IsNaN(result.Delta))
{
result.Delta = CalcDelta(option, market);
result.DeltaCash = result.Delta * market.SpotPrices.Value.Values.First();
}
if (result.IsRequested(PricingRequest.Gamma) && double.IsNaN(result.Gamma))
{
result.Gamma = CalcGamma(option, market);
result.GammaCash = result.Gamma * market.SpotPrices.Value.Values.First() * market.SpotPrices.Value.Values.First() / 100;
}
if (result.IsRequested(PricingRequest.Vega) && double.IsNaN(result.Vega))
{
result.Vega = CalcVega(option, market);
result.FwdDiffVega = CalcFwdDiffVega(option, market);
}
if (result.IsRequested(PricingRequest.Rho) && double.IsNaN(result.Rho))
{
var markets = new[]
{
market,
market.UpdateCondition(new UpdateMktConditionPack <IYieldCurve>(x => x.DiscountCurve, market.DiscountCurve.Value.Shift(10))),
};
var pvs = CalcPvs(option, markets);
result.Rho = (pvs[1] - pvs[0]) / 10.0;
}
if (result.IsRequested(PricingRequest.DVegaDvol) || result.IsRequested(PricingRequest.DVegaDt) ||
result.IsRequested(PricingRequest.DDeltaDvol) || result.IsRequested(PricingRequest.DDeltaDt))
{
CalcHighOrder(option, market, result, isExpiredforTheta);
}
if (result.IsRequested(PricingRequest.StoppingTime) && double.IsNaN(result.StoppingTime))
{
var stoppingTime = StoppingTime(option, market.ToArrayT());
result.StoppingTime = stoppingTime;
}
if (result.IsRequested(PricingRequest.Theta))
{
if (isExpiredforTheta)
{
result.ThetaPnL = result.CalenderThetaPnL = result.Theta = 0.0;
return(result);
}
else
{
var thetaResults = CalcTheta(option, market);
result.Theta = thetaResults[0]; // this theta is for time pnl
result.ThetaPnL = thetaResults[1];
result.CalenderThetaPnL = thetaResults[2]; //in trading day mode, we cannot calc calendar theta
}
}
}
if (option.IsMoneynessOption && result.IsRequested(PricingRequest.Pv) && (option.InitialSpotPrice != 0.0))
{
result.PctPv = result.Pv / option.InitialSpotPrice;
}
return(result);
}
/// <summary>
/// 计算一个债券的估值和基本风险指标
/// </summary>
/// <param name="bond">债券</param>
/// <param name="market">市场数据对象</param>
/// <param name="request">计算请求类型</param>
/// <returns>计算结果</returns>
public override IPricingResult Calculate(Bond bond, IMarketCondition market, PricingRequest request)
{
var result = new PricingResult(market.ValuationDate, request);
var cfs = bond.GetCashflows(market, true);
var cfAis = bond.GetAiCashflows(market, false);
//Ai and AiEod are mutually exclusive requests
var isEod = result.IsRequested(PricingRequest.AiEod);
if (result.IsRequested(PricingRequest.Ai) || result.IsRequested(PricingRequest.AiEod))
{
result.Ai = bond.GetAccruedInterest(market.ValuationDate, cfAis, isEod);
result.AiDays = bond.GetAccruedInterestDays(market.ValuationDate, cfAis, isEod);
}
if (result.IsRequested(PricingRequest.Ytm) || result.IsRequested(PricingRequest.DirtyPrice) || result.IsRequested(PricingRequest.CleanPrice) ||
result.IsRequested(PricingRequest.ModifiedDuration) || result.IsRequested(PricingRequest.Convexity) ||
(result.IsRequested(PricingRequest.DollarDuration)) || result.IsRequested(PricingRequest.DollarConvexity) ||
result.IsRequested(PricingRequest.MacDuration) || result.IsRequested(PricingRequest.Pv01) ||
result.IsRequested(PricingRequest.ZeroSpread) || result.IsRequested(PricingRequest.Dv01) ||
result.IsRequested(PricingRequest.KeyRateDv01))
{
double unitDirtyPrice = 0;
double unitCleanPrice = 0;
if (double.IsNaN(result.Ai))
{
result.Ai = bond.GetAccruedInterest(market.ValuationDate, cfAis, isEod);
result.AiDays = bond.GetAccruedInterestDays(market.ValuationDate, cfAis, isEod);
}
var bondQuote = market.MktQuote.Value[bond.Id];
if (bondQuote.Item1 == PriceQuoteType.Dirty)
{
result.DirtyPrice = bondQuote.Item2 * bond.Notional / 100.0;
result.Ytm = _bondYieldPricer.YieldFromFullPrice(cfs, bond.PaymentDayCount, bond.PaymentFreq, bond.StartDate, market.ValuationDate, result.DirtyPrice, bond.BondTradeingMarket, bond.IrregularPayment);
result.CleanPrice = result.DirtyPrice - result.Ai;
unitDirtyPrice = bondQuote.Item2;
unitCleanPrice = result.CleanPrice / bond.Notional * 100.0;
}
else if (bondQuote.Item1 == PriceQuoteType.Clean)
{
result.CleanPrice = bondQuote.Item2 * bond.Notional / 100.0;
result.DirtyPrice = result.CleanPrice + result.Ai;
unitCleanPrice = bondQuote.Item2;
unitDirtyPrice = result.DirtyPrice / bond.Notional * 100;
result.Ytm = _bondYieldPricer.YieldFromFullPrice(cfs, bond.PaymentDayCount, bond.PaymentFreq, bond.StartDate, market.ValuationDate, result.DirtyPrice, bond.BondTradeingMarket, bond.IrregularPayment);
}
else
{
result.Ytm = bondQuote.Item2;
result.DirtyPrice = _bondYieldPricer.FullPriceFromYield(cfs, bond.PaymentDayCount, bond.PaymentFreq, bond.StartDate, market.ValuationDate, result.Ytm, bond.BondTradeingMarket, bond.IrregularPayment);
result.CleanPrice = result.DirtyPrice - result.Ai;
unitCleanPrice = result.CleanPrice / 100.0;
unitDirtyPrice = result.DirtyPrice / 100.0;
}
if (result.IsRequested(PricingRequest.Convexity) || result.IsRequested(PricingRequest.ModifiedDuration) ||
result.IsRequested(PricingRequest.DollarConvexity) || result.IsRequested(PricingRequest.DollarDuration) ||
result.IsRequested(PricingRequest.MacDuration) || result.IsRequested(PricingRequest.Pv01))
{
result.MacDuration = _bondYieldPricer.GetMacDuration(cfs, bond.PaymentDayCount, bond.PaymentFreq, bond.StartDate, market.ValuationDate, result.Ytm, bond.BondTradeingMarket);
//modified duration here = 1% move, price change, per 100 notional dollar bond
result.ModifiedDuration = BondPricingFunctions.GetModifiedDuration(cfs, bond.PaymentDayCount, bond.PaymentFreq, bond.StartDate, market.ValuationDate, result.Ytm, bond.BondTradeingMarket, bond.IrregularPayment, _bondYieldPricer);
//1% convexity here, modified duration move, further multiplied by 10000
result.Convexity = BondPricingFunctions.GetConvexity(cfs, bond.PaymentDayCount, bond.PaymentFreq, bond.StartDate, market.ValuationDate, result.Ytm,
bond.BondTradeingMarket, bond.IrregularPayment, _bondYieldPricer);
//1% impact, dollar duration is modified duration in dollar term, but scales with notional, for calculating bond book avg portfolio duration, and display purpose
result.DollarModifiedDuration = result.ModifiedDuration * unitDirtyPrice * 0.0001 * bond.Notional;
//1% impact, dollar convexity is for calculating both pnl and avg book convexity
result.DollarConvexity = result.Convexity / 100 * unitDirtyPrice * bond.Notional;
//1bp dollar impact, scales with Notional
result.Pv01 = (-result.DollarModifiedDuration + 0.5 * result.DollarConvexity * 0.0001 * 0.0001) / 100.0;
}
}
if (result.IsRequested(PricingRequest.Pv))
{
result.Pv = cfs.Where(x => x.PaymentDate > market.ValuationDate)
.Sum(x => x.PaymentAmount * market.DiscountCurve.Value.GetDf(market.ValuationDate, x.PaymentDate));
}
if (result.IsRequested(PricingRequest.ZeroSpread) || result.IsRequested(PricingRequest.Dv01) || result.IsRequested(PricingRequest.KeyRateDv01) || result.IsRequested(PricingRequest.ZeroSpreadDelta))
{
result.ZeroSpread = BondPricingFunctions.ZeroSpread(cfs, market.DiscountCurve.Value, market.ValuationDate, result.DirtyPrice);
result.ZeroSpreadDelta = BondPricingFunctions.ZeroSpreadRisk(cfs, market.DiscountCurve.Value, market.ValuationDate, result.ZeroSpread);
if (market.CreditSpread.HasValue)
{
market =
market.UpdateCondition(new UpdateMktConditionPack <IYieldCurve>(x => x.DiscountCurve,
market.DiscountCurve.Value.GetSpreadedCurve(market.CreditSpread.Value)));
}
else
{
market =
market.UpdateCondition(new UpdateMktConditionPack <IYieldCurve>(x => x.DiscountCurve,
market.DiscountCurve.Value.GetSpreadedCurve(new ZeroSpread(result.ZeroSpread))));
}
}
if (result.IsRequested(PricingRequest.Dv01))
{
result.Dv01 = base.Calculate(bond, market, PricingRequest.Dv01).Dv01;
}
if (result.IsRequested(PricingRequest.KeyRateDv01))
{
result.KeyRateDv01 = base.Calculate(bond, market, PricingRequest.KeyRateDv01).KeyRateDv01;
}
if (result.IsRequested(PricingRequest.Cashflow))
{
result.Cashflows = bond.GetCashflows(market, false);
result.CashflowDict = result.Cashflows.ToDictionary(x => x.ToCfKey(), x => x.PaymentAmount);
}
//if (bond.Coupon is FloatingCoupon)
//{
// var primeRateDate = market.ValuationDate;
// //var primeRateCashflow = cfAis.FirstOrDefault(x => x.AccrualEndDate > market.ValuationDate && x.AccrualStartDate <= market.ValuationDate);
// //if (primeRateCashflow != null)
// //{
// // primeRateDate = primeRateCashflow.AccrualStartDate;
// //}
// var fixingCurve = market.FixingCurve ?? market.DiscountCurve ?? market.RiskfreeCurve;
// var fixingTuple = bond.Coupon.GetPrimeCoupon(market.HistoricalIndexRates, fixingCurve.Value, primeRateDate);
// if (fixingTuple != null && fixingTuple.Item1 != null)
// result.ProductSpecific = new Dictionary<string, Dictionary<string, RateRecord>>
// {
// {
// "currentPrimeRate",
// new Dictionary<string, RateRecord>
// {
// {
// bond.Id,
// new RateRecord
// {
// Rate = fixingTuple.Item2,
// Date = fixingTuple.Item1.ToString()
// }
// }
// }
// }
// };
//}
return(result);
}
/// <summary>
/// 计算一个金融衍生品交易的定价和风险指标
/// </summary>
/// <param name="trade">交易</param>
/// <param name="market">市场数据对象</param>
/// <param name="request">计算请求类型</param>
/// <returns>计算结果</returns>
public override IPricingResult Calculate(TTrade trade, IMarketCondition market, PricingRequest request)
{
var result = new PricingResult(market.ValuationDate, request);
if (result.IsRequested(PricingRequest.Pv))
{
result.Pv = CalcPv(trade, market);
}
if (result.IsRequested(PricingRequest.Carry))
{
result.Carry = CalcCarry(trade, market);
}
if (result.IsRequested(PricingRequest.Dv01))
{
if (double.IsNaN(result.Pv))
{
result.Pv = CalcPv(trade, market);
}
var mktDown = market.FixingCurve.HasValue
? market.UpdateCondition(
new UpdateMktConditionPack <IYieldCurve>(x => x.DiscountCurve, market.DiscountCurve.Value.Shift(1)),
new UpdateMktConditionPack <IYieldCurve>(x => x.FixingCurve, market.FixingCurve.Value.Shift(1)))
: market.UpdateCondition(
new UpdateMktConditionPack <IYieldCurve>(x => x.DiscountCurve, market.DiscountCurve.Value.Shift(1)));
result.Dv01 = CalcPv(trade, mktDown) - result.Pv;
}
if (result.IsRequested(PricingRequest.Cashflow))
{
result.Cashflows = trade.GetCashflows(market, false);
}
//Ai and AiEod are mutually exclusive requests
var isEod = result.IsRequested(PricingRequest.AiEod);
if (result.IsRequested(PricingRequest.Ai) || result.IsRequested(PricingRequest.AiEod))
{
if (result.Cashflows == null || result.Cashflows.Length == 0)
{
result.Cashflows = trade.GetCashflows(market, false);
}
result.Ai = trade.GetAccruedInterest(market.ValuationDate, market, isEod);
}
if (result.IsRequested(PricingRequest.KeyRateDv01))
{
if (double.IsNaN(result.Pv))
{
result.Pv = CalcPv(trade, market);
}
var dc = new Dictionary <string, CurveRisk[]>();
var fc = new Dictionary <string, CurveRisk[]>();
Parallel.Invoke(
() => CalcDiscountDv01(trade, market, result.Pv, ref dc),
() => CalcResetDv01(trade, market, result.Pv, ref fc)
);
result.KeyRateDv01 = PricingResultExtension.Aggregate(dc, fc);
}
if (result.IsRequested(PricingRequest.FairQuote))
{
result.FairQuote = GetFairQuote(trade, market);
}
if (result.IsRequested(PricingRequest.MacDuration))
{
if (result.Cashflows == null || result.Cashflows.Length == 0)
{
result.Cashflows = trade.GetCashflows(market, false);
}
var weightedCf = 0.0;
var totalCf = 0.0;
foreach (var cashflow in result.Cashflows)
{
if (cashflow.PaymentDate > market.ValuationDate)
{
var t = market.DiscountCurve.Value.DayCount.CalcDayCountFraction(market.ValuationDate, cashflow.PaymentDate);
var df = market.DiscountCurve.Value.GetDf(market.ValuationDate, cashflow.PaymentDate);
weightedCf += cashflow.PaymentAmount * df * t;
totalCf += cashflow.PaymentAmount * df;
}
}
result.MacDuration = weightedCf / totalCf;
}
if (result.IsRequested(PricingRequest.Pv01))
{
result.Pv01 = CalcPv01(trade, market, result.Pv);
}
Date valueDate = result.ValuationDate;
if (result.IsRequested(PricingRequest.ProductSpecific))
{
var yieldCurve = market.DiscountCurve.Value;
#region
var psDict = new Dictionary <string, Dictionary <string, RateRecord> >();
var dayGap = new DayGap("+0BD");
var T = (trade is InterestRateSwap) ? (trade as InterestRateSwap).FloatingLeg : trade as SwapLeg;
//forward rate points
var tenors = new[] { "1D", "7D", "3M", "1Y" };
var fwdStartInTenors = new List <string> {
"1D", "1W", "2W", "1M", "2M", "3M", "4M", "5M", "6M", "7M", "8M", "9M", "10M", "11M", "1Y"
};
var totalMonths = Convert.ToInt16((yieldCurve.KeyPoints.Last().Item1 - yieldCurve.KeyPoints.First().Item1) / 30.0) + 1;
for (var i = 15; i <= totalMonths; i += 3)
{
fwdStartInTenors.Add(i + "M");
}
foreach (var tenor in tenors)
{
var fwdRates = new Dictionary <string, RateRecord>();
var fwdTerm = new Term(tenor);
foreach (var fwdStartInTenor in fwdStartInTenors)
{
var fwdStartDate = dayGap.Get(T.Calendar, new Term(fwdStartInTenor).Next(valueDate));
var fwdEndDate = dayGap.Get(T.Calendar, fwdTerm.Next(fwdStartDate));
if (fwdEndDate < yieldCurve.KeyPoints.Last().Item1)
{
fwdRates[fwdStartInTenor] = new RateRecord()
{
Date = fwdStartDate.ToString(),
Rate = yieldCurve.GetForwardRate(fwdStartDate, fwdTerm)
};
}
}
psDict["forwardrates" + tenor] = fwdRates;
}
//spot rate
var spotRates = new Dictionary <string, RateRecord>();
var spotInTenors = fwdStartInTenors;
foreach (var spotInTenor in spotInTenors)
{
var spotDate = dayGap.Get(T.Calendar, new Term(spotInTenor).Next(valueDate));
if (spotDate <= yieldCurve.KeyPoints.Last().Item1)
{
spotRates[spotInTenor] = new RateRecord
{
Date = spotDate.ToString(),
Rate = yieldCurve.ZeroRate(valueDate, spotDate, Compound.Simple)
};
}
}
psDict["spotRates"] = spotRates;
//key rates
var rates = new Dictionary <string, RateRecord>();
var ccTenors = yieldCurve.GetKeyTenors().ToArray();
var mktInstruments = yieldCurve.MarketInstruments;
if (mktInstruments != null)
{
if (mktInstruments.Length != ccTenors.Length)
{
throw new PricingBaseException("Number of calibration instruments mismatches number of calibrated points!");
}
}
for (var i = 0; i < ccTenors.Count(); ++i)
{
//var spotDate = mktInstruments != null ? mktInstruments[i].Instrument.GetClibrationDate() : dayGap.Get(T.Calendar, new Term(ccTenors[i]).Next(valueDate));
var spotDate = dayGap.Get(T.Calendar, new Term(ccTenors[i]).Next(valueDate));
rates[ccTenors[i]] = new RateRecord()
{
ContinuousRate = yieldCurve.ZeroRate(valueDate, spotDate),
Date = spotDate.ToString(),
DiscountFactor = yieldCurve.GetDf(valueDate, spotDate),
Rate = mktInstruments == null?yieldCurve.GetSpotRate(spotDate) : mktInstruments[i].TargetValue,
ProductType = mktInstruments == null ? "None" : (mktInstruments[i].Instrument is Deposit) ? "Index" : "Swap",
ZeroRate = yieldCurve.ZeroRate(valueDate, spotDate, Compound.Simple),
Term = ccTenors[i]
};
}
psDict["rates"] = rates;
//discount at cash flow dates
var dfs = new Dictionary <string, RateRecord>();
var dates = result.Cashflows.Select(x => x.PaymentDate);
foreach (var date in dates)
{
dfs[date.ToString()] = new RateRecord
{
DiscountFactor = yieldCurve.GetDf(date)
};
}
psDict["discountfactor"] = dfs;
//qb rate return
result.ProductSpecific = psDict;
#endregion
}
return(result);
}