public static double Calculate(CalcMeasure Measure,
DateTime settle,
double price,
Bond bondStatic,
BondAnalytics.Country eCountry,
DateTime asOfDate,
List<DateTime> hols)
{
// byran lim config coded in symmetry.net. we use this until we have a centralised place for the curve static
// different country has different setting of using forcast and discount curve
bool bForecastCurve;
switch (eCountry)
{
case BondAnalytics.Country.DE:
bForecastCurve = false;
break;
default:
bForecastCurve = true;
break;
}
var fcstCfg = new SpreadTimeSeriesConfigs(eCountry.ToString(), bForecastCurve);
int trial = 0;
DiscountCurve forCurve = null;
DiscountCurve disCurve = null;
if (discountCurveCache.ContainsKey(fcstCfg.SymForecastCurveName))
{
var forTup = discountCurveCache[fcstCfg.SymForecastCurveName].FirstOrDefault(i => i.Item1 == asOfDate);
if (forTup != null) forCurve = forTup.Item2;
}
if (discountCurveCache.ContainsKey(fcstCfg.SymDiscountCurveName))
{
var disTup = discountCurveCache[fcstCfg.SymDiscountCurveName].FirstOrDefault(i => i.Item1 == asOfDate);
if (disTup != null) disCurve = disTup.Item2;
}
if (forCurve == null || disCurve == null)
{
while (trial < 3)
{
try
{
forCurve = SymmetryDataModel.GetDiscountCurve(fcstCfg.SymForecastCurveName, asOfDate);
disCurve = SymmetryDataModel.GetDiscountCurve(fcstCfg.SymDiscountCurveName, asOfDate);
trial = 5;
break;
}
catch (Exception)
{
trial++;
continue;
}
}
if (forCurve != null && disCurve != null)
{
var forTup = new Tuple<DateTime, DiscountCurve>(asOfDate, forCurve);
var disTup = new Tuple<DateTime, DiscountCurve>(asOfDate, disCurve);
if (discountCurveCache.ContainsKey(fcstCfg.SymForecastCurveName))
discountCurveCache[fcstCfg.SymForecastCurveName].Add(forTup);
else
discountCurveCache[fcstCfg.SymForecastCurveName] = new[] {forTup}.ToList();
if (discountCurveCache.ContainsKey(fcstCfg.SymDiscountCurveName))
discountCurveCache[fcstCfg.SymDiscountCurveName].Add(disTup);
else
discountCurveCache[fcstCfg.SymDiscountCurveName] = new[] { disTup }.ToList();
}
}
if (forCurve == null || disCurve == null)
return double.NaN;
DateTime effectiveDate = bondStatic.EffectiveDate ?? DateTime.MinValue;
DateTime maturity = bondStatic.Maturity ?? DateTime.MinValue;
DateTime firstCpnDate = bondStatic.FirstCouponDate ?? DateTime.MinValue;
double coupon = bondStatic.Coupon;
long bondCpnFreq = fcstCfg.bndCouponFreq;
bool bOIS = !fcstCfg.bForecastCurve;
BondAnalytics.DayCountType dct = fcstCfg.dct;
long swapFixedFreq = fcstCfg.swpfixfreq;
long swapFloatFreq = fcstCfg.swpfloatfreq;
return CalcMeasure(Measure, price, eCountry, settle, disCurve, forCurve, effectiveDate, maturity, firstCpnDate, coupon, bondCpnFreq, bOIS, dct, swapFixedFreq, swapFloatFreq, hols);
}
public static double CalcMeasure(CalcMeasure Measure, double price, BondAnalytics.Country eCountry,
//DateTime asof,
DateTime settle, DiscountCurve discCurve, DiscountCurve fcstCurve, DateTime effectiveDate, DateTime maturity, DateTime firstCpnDate, double coupon, long bondCpnFreq, bool bOIS, BondAnalytics.DayCountType dct, long swapFixedFreq, long swapFloatFreq, List<DateTime> hols)
//----------------------------------------------------------------------------------------
{
double output = double.NaN;
switch (Measure)
{
case Analytics.CalcMeasure.Price:
{
output = price;
break;
}
case Analytics.CalcMeasure.Yield:
{
output = 10000.0*BondAnalytics.SolveYield(eCountry, settle, price, effectiveDate, firstCpnDate, maturity, coupon, bondCpnFreq)[0];
break;
}
case Analytics.CalcMeasure.TrueSpread:
{
DateTime[] dfDates = (bOIS ? discCurve.AsTuples().Select(x => x.Item1).ToArray() : fcstCurve.AsTuples().Select(x => x.Item1).ToArray());
double[] dfs = (bOIS ? discCurve.AsTuples().Select(x => x.Item2).ToArray() : fcstCurve.AsTuples().Select(x => x.Item2).ToArray());
// Check. Sometimes (holidays) the first date on the curve can be repeated, which will cause an exception in the pricer.
if (dfDates[0] == dfDates[1])
{
dfDates = dfDates.GetSubArray(1, dfDates.GetLength(0)).ToArray();
dfs = dfs.GetSubArray(1, dfs.GetLength(0)).ToArray();
}
output = -10000.0*BondAnalytics.SolveZSpread(eCountry, settle, price, effectiveDate, firstCpnDate, maturity, coupon, bondCpnFreq, dfDates, dfs, hols);
break;
}
case Analytics.CalcMeasure.MMS:
{
DateTime[] discDfDates = discCurve.AsTuples().Select(x => x.Item1).ToArray();
DateTime[] fcstDfDates = (bOIS ? discCurve.AsTuples().Select(x => x.Item1).ToArray() : fcstCurve.AsTuples().Select(x => x.Item1).ToArray());
double[] discDfs = discCurve.AsTuples().Select(x => x.Item2).ToArray();
double[] fcstDfs = (bOIS ? discCurve.AsTuples().Select(x => x.Item2).ToArray() : fcstCurve.AsTuples().Select(x => x.Item2).ToArray());
double mms = BondAnalytics.CalcMMS(settle, maturity, dct, swapFixedFreq, swapFloatFreq, discDfDates, discDfs, fcstDfDates, fcstDfs, hols, null, null, null, null, null, firstCpnDate, (bOIS ? 5 : 0));
output = 10000.0*mms;
break;
}
case Analytics.CalcMeasure.Spread:
{
DateTime[] discDfDates = discCurve.AsTuples().Select(x => x.Item1).ToArray();
DateTime[] fcstDfDates = (bOIS ? discCurve.AsTuples().Select(x => x.Item1).ToArray() : fcstCurve.AsTuples().Select(x => x.Item1).ToArray());
double[] discDfs = discCurve.AsTuples().Select(x => x.Item2).ToArray();
double[] fcstDfs = (bOIS ? discCurve.AsTuples().Select(x => x.Item2).ToArray() : fcstCurve.AsTuples().Select(x => x.Item2).ToArray());
double mms = BondAnalytics.CalcMMS(settle, maturity, dct, swapFixedFreq, swapFloatFreq, discDfDates, discDfs, fcstDfDates, fcstDfs, hols, null, null, null, null, null, firstCpnDate, (bOIS ? 5 : 0));
double yield = BondAnalytics.SolveYield(eCountry, settle, price, effectiveDate, firstCpnDate, maturity, coupon, bondCpnFreq)[0];
output = 10000.0*(mms - yield);
break;
}
}
return output;
}
