private Dictionary <string, Dictionary <string, RateRecord> > CalcMktFuturePrice(BondFutures bondFuture, IMarketCondition market)
{
var psDict = new Dictionary <string, Dictionary <string, RateRecord> >();
var fundingCurve = market.RiskfreeCurve.HasValue
? market.RiskfreeCurve.Value
: YieldCurve.GetConstRateCurve(market.DiscountCurve.Value, 0.0);
var reinvestmentCurve = market.DiscountCurve.HasValue
? market.DiscountCurve.Value
: YieldCurve.GetConstRateCurve(market.RiskfreeCurve.Value, 0.0);
var bonds = bondFuture.Deliverables;
var length = bonds.Length;
var aiAtStart = bonds.Select(x => x.GetAccruedInterest(market.ValuationDate, market, false)).ToArray();
var aiAtEnd = bonds.Select(x => x.GetAccruedInterest(bondFuture.UnderlyingMaturityDate, market, false)).ToArray();
var cf = bonds.Select(x => bondFuture.GetConversionFactor(x, market)).ToArray();
var coupons = new double[length];
var timeWeightedCoupon = new double[length];
var couponsAccruedByReinvestment = new double[length];
for (var i = 0; i < length; ++i)
{
var bond = bonds[i];
var cashflows = bond.GetCashflows(market, false).Where(x => x.PaymentDate > market.ValuationDate && x.PaymentDate <= bondFuture.UnderlyingMaturityDate).ToArray();
if (cashflows.Any())
{
coupons[i] = cashflows.Sum(x => x.PaymentAmount);
timeWeightedCoupon[i] = cashflows.Sum(x => x.PaymentAmount * bondFuture.DayCount.CalcDayCountFraction(x.PaymentDate, bondFuture.UnderlyingMaturityDate));
couponsAccruedByReinvestment[i] = cashflows.Sum(x => x.PaymentAmount * (reinvestmentCurve.GetCompoundedRate2(x.PaymentDate, bondFuture.UnderlyingMaturityDate) - 1.0));
}
else
{
coupons[i] = 0.0;
timeWeightedCoupon[i] = 0.0;
couponsAccruedByReinvestment[i] = 0.0;
}
}
var interestIncome = bonds.Select((x, i) => aiAtEnd[i] - aiAtStart[i] + coupons[i] + couponsAccruedByReinvestment[i]).ToArray();
//var interestIncome = bonds.Select((x, i) => aiAtEnd[i] - aiAtStart[i] + coupons[i]).ToArray();
var dirtyPrice = new double[length];
var cleanPrice = new double[length];
var ytm = new double[length];
var modifiedDuration = new double[length];
var bondEngine = new BondEngine();
for (var i = 0; i < length; ++i)
{
var bResult = bondEngine.Calculate(bonds[i], market, PricingRequest.Ytm | PricingRequest.ModifiedDuration);
dirtyPrice[i] = bResult.DirtyPrice;
cleanPrice[i] = bResult.CleanPrice;
ytm[i] = bResult.Ytm;
}
var interestCostRate = fundingCurve.GetCompoundedRate2(market.ValuationDate, bondFuture.UnderlyingMaturityDate) - 1.0;
var interestCost = dirtyPrice.Select(x => x * interestCostRate).ToArray();
var futurePrice = new double[length];
var irr = new double[length];
var basis = new double[length];
var pnl = new double[length];
var netBasis = new double[length];
var invoicePrice = new double[length];
var margin = new double[length];
var spread = new double[length];
var fundingRate = fundingCurve.GetSpotRate(0.0);
var compoundedRate = fundingCurve.GetCompoundedRate2(market.ValuationDate, bondFuture.UnderlyingMaturityDate);
var bondPricesCompounedByFunding = bonds.Select((x, i) => dirtyPrice[i] * compoundedRate).ToArray();
for (var i = 0; i < bonds.Length; ++i)
{
futurePrice[i] = (bondPricesCompounedByFunding[i] - aiAtEnd[i] - coupons[i]) / cf[i];
var newMarket =
market.UpdateCondition(
new UpdateMktConditionPack <Dictionary <string, Tuple <PriceQuoteType, double> > >(x => x.MktQuote,
market.MktQuote.Value.UpdateKey(bondFuture.Id, Tuple.Create(PriceQuoteType.Dirty, futurePrice[i]))));
var yieldPricer = new BondFuturesYieldPricer(bondFuture, newMarket);
var tmpResult = yieldPricer.CalcEquation("FromFuturesPriceAndBondPrice");
invoicePrice[i] = tmpResult["InvoicePrice"][bonds[i].Id].Rate;
margin[i] = tmpResult["Margin"][bonds[i].Id].Rate;
basis[i] = tmpResult["Basis"][bonds[i].Id].Rate;
pnl[i] = tmpResult["PnL"][bonds[i].Id].Rate;
netBasis[i] = tmpResult["NetBasis"][bonds[i].Id].Rate;
irr[i] = tmpResult["Irr"][bonds[i].Id].Rate;
spread[i] = irr[i] - fundingRate;
}
psDict["FuturesPrice"] = futurePrice.Select((x, i) => Tuple.Create(bonds[i].Id, new RateRecord {
Rate = x
})).ToDictionary(x => x.Item1, x => x.Item2);
psDict["BondDirtyPrice"] = dirtyPrice.Select((x, i) => Tuple.Create(bonds[i].Id, new RateRecord {
Rate = x
})).ToDictionary(x => x.Item1, x => x.Item2);
psDict["BondCleanPrice"] = cleanPrice.Select((x, i) => Tuple.Create(bonds[i].Id, new RateRecord {
Rate = x
})).ToDictionary(x => x.Item1, x => x.Item2);
psDict["BondYieldToMaturity"] = ytm.Select((x, i) => Tuple.Create(bonds[i].Id, new RateRecord {
Rate = x
})).ToDictionary(x => x.Item1, x => x.Item2);
psDict["ConversionFactor"] = cf.Select((x, i) => Tuple.Create(bonds[i].Id, new RateRecord {
Rate = x
})).ToDictionary(x => x.Item1, x => x.Item2);
psDict["AiStart"] = aiAtStart.Select((x, i) => Tuple.Create(bonds[i].Id, new RateRecord {
Rate = x
})).ToDictionary(x => x.Item1, x => x.Item2);
psDict["AiEnd"] = aiAtEnd.Select((x, i) => Tuple.Create(bonds[i].Id, new RateRecord {
Rate = x
})).ToDictionary(x => x.Item1, x => x.Item2);
psDict["Coupon"] = coupons.Select((x, i) => Tuple.Create(bonds[i].Id, new RateRecord {
Rate = x
})).ToDictionary(x => x.Item1, x => x.Item2);
psDict["InterestIncome"] = interestIncome.Select((x, i) => Tuple.Create(bonds[i].Id, new RateRecord {
Rate = x
})).ToDictionary(x => x.Item1, x => x.Item2);
psDict["InterestCost"] = interestCost.Select((x, i) => Tuple.Create(bonds[i].Id, new RateRecord {
Rate = x
})).ToDictionary(x => x.Item1, x => x.Item2);
psDict["PnL"] = pnl.Select((x, i) => Tuple.Create(bonds[i].Id, new RateRecord {
Rate = x
})).ToDictionary(x => x.Item1, x => x.Item2);
psDict["InvoicePrice"] = invoicePrice.Select((x, i) => Tuple.Create(bonds[i].Id, new RateRecord {
Rate = x
})).ToDictionary(x => x.Item1, x => x.Item2);
psDict["Margin"] = margin.Select((x, i) => Tuple.Create(bonds[i].Id, new RateRecord {
Rate = x
})).ToDictionary(x => x.Item1, x => x.Item2);
psDict["Spread"] = spread.Select((x, i) => Tuple.Create(bonds[i].Id, new RateRecord {
Rate = x
})).ToDictionary(x => x.Item1, x => x.Item2);
psDict["Irr"] = irr.Select((x, i) => Tuple.Create(bonds[i].Id, new RateRecord {
Rate = x
})).ToDictionary(x => x.Item1, x => x.Item2);
psDict["Basis"] = basis.Select((x, i) => Tuple.Create(bonds[i].Id, new RateRecord {
Rate = x
})).ToDictionary(x => x.Item1, x => x.Item2);
psDict["NetBasis"] = netBasis.Select((x, i) => Tuple.Create(bonds[i].Id, new RateRecord {
Rate = x
})).ToDictionary(x => x.Item1, x => x.Item2);
psDict["ModifiedDuration"] = modifiedDuration.Select((x, i) => Tuple.Create(bonds[i].Id, new RateRecord {
Rate = x
})).ToDictionary(x => x.Item1, x => x.Item2);
psDict["TimeWeightedCoupon"] = timeWeightedCoupon.Select((x, i) => Tuple.Create(bonds[i].Id, new RateRecord {
Rate = x
})).ToDictionary(x => x.Item1, x => x.Item2);
return(psDict);
}
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 BondFuturesEngine(TInterestRateModel interestRateModel, int steps)
{
_interestRateModel = interestRateModel;
_steps = steps;
_bondEngine = new BondEngine();
}
public BondEngineCn(IBondYieldPricer bondYieldPricer = null)
{
_bondYieldPricer = bondYieldPricer ?? new BondYieldPricer();
_bondEngine = new BondEngine(_bondYieldPricer);
}
