public void TestCallableBond()
{
var bond = new Bond(
"010001",
new Date(2012, 05, 03),
new Date(2017, 05, 03),
100,
CurrencyCode.CNY,
new FixedCoupon(0.068),
CalendarImpl.Get("chn_ib"),
Frequency.Annual,
Stub.LongEnd,
new ActActIsma(),
new ActAct(),
BusinessDayConvention.None,
BusinessDayConvention.ModifiedFollowing,
null,
TradingMarket.ChinaInterBank
);
var option = new VanillaOption(new Date(2012, 05, 03),
new Date(2017, 05, 03),
OptionExercise.European,
OptionType.Put,
106.8,
InstrumentType.Bond,
CalendarImpl.Get("chn_ib"),
new Act365(),
CurrencyCode.CNY,
CurrencyCode.CNY,
new[] { new Date(2015, 05, 03) },
new[] { new Date(2015, 05, 03) }
);
var callableBond = new CallableBond(bond, new[] { option }, new[] { PriceQuoteType.Dirty });
var market = TestMarket();
var engine = new CallableBondEngine <HullWhite>(new HullWhite(0.1, 0.01), true, 40);
var result = engine.Calculate(callableBond, market, PricingRequest.All);
Assert.AreEqual(107.0198942139, result.Pv, 1e-8);
}
public void Test101658062_IB()
{
var bond = new Bond(
"101658062.IB",
new Date(2016, 10, 27),
new Date(2029, 10, 27),
100,
CurrencyCode.CNY,
new FixedCoupon(0.045),
CalendarImpl.Get("chn_ib"),
Frequency.Annual,
Stub.LongEnd,
new ActActIsma(),
new ActAct(),
BusinessDayConvention.None,
BusinessDayConvention.ModifiedFollowing,
null,
TradingMarket.ChinaInterBank,
false,
null,
null,
false,
double.NaN,
Double.NaN,
AmortizationType.None,
null,
null,
false,
new Dictionary <int, double> {
{ 4, 0.03 }
}
);
var options = new List <VanillaOption>();
var start = new Date(2016, 10, 27);
for (var k = 1; k < 16; k++)
{
var term = new Term(k, Period.Year);
var maturity = term.Next(start);
if (maturity > bond.UnderlyingMaturityDate)
{
continue;
;
}
options.Add(new VanillaOption(start,
maturity,
OptionExercise.European,
OptionType.Call,
100,
InstrumentType.Bond,
CalendarImpl.Get("chn_ib"),
new Act365(),
CurrencyCode.CNY,
CurrencyCode.CNY,
new[] { maturity },
new[] { maturity }
));
}
var callableBond = new CallableBond(bond, options.ToArray(), options.Select(x => PriceQuoteType.Clean).ToArray());
var valueDates = new[]
{
new Date(2016, 10, 28),
new Date(2016, 11, 01),
new Date(2016, 11, 02),
new Date(2016, 11, 03),
new Date(2016, 11, 04),
new Date(2016, 11, 07),
};
foreach (var valueDate in valueDates)
{
var market = TestMarket2(valueDate);
var engine = new CallableBondEngine <HullWhite>(new HullWhite(0.5196, 0.03157), true, 3);
var result = engine.Calculate(callableBond, market, PricingRequest.All);
Console.WriteLine("{0},{1}", valueDate, result.Pv);
}
}