public void TestCurrentPrimeRate()
{
var bond = new FloatingRateBondInfo("N0000472015ABSLBS0103.CIB")
{
StartDate = "20150910",
MaturityDate = "2017-07-26",
Notional = 100.0,
Currency = "CNY",
Spread = 0.029900000000000003,
Calendar = "chn_ib",
PaymentFreq = "Quarterly",
PaymentStub = "ShortStart",
AccrualDC = "ActActIsma",
DayCount = "ActActIsma",
AccrualBD = "None",
PaymentBD = "None",
TradingMarket = "ChinaInterBank",
Settlement = "+0D",
ValuationParamters = new SimpleCfValuationParameters("Fr007", "Fr007", "Fr007"),
Index = IndexType.Depo1Y.ToString(),
ResetDC = DayCount.ActActIsma.ToString(),
ResetAverageDays = 1,
ResetTerm = "3M",
ResetStub = Stub.ShortStart.ToString(),
ResetBD = BusinessDayConvention.None.ToString(),
ResetToFixingGap = "-0dD",
FloatingCalc = "ZzFrn",
ResetCompound = CouponCompound.Simple.ToString(),
ResetRateDigits = 4
};
var bondVf = new BondVf(bond);
var bondInstrument = bondVf.GenerateInstrument();
var valueDate = new Date(2017, 1, 9);
var market = TestMarket(valueDate.ToString(), new BondMktData(bond.TradeId, "Dirty", 100.995424657531));
var marketCondition = bondVf.GenerateMarketCondition(market);
var result = bondInstrument.Coupon.GetPrimeCoupon(marketCondition.HistoricalIndexRates, marketCondition.FixingCurve.Value, valueDate);
Assert.AreEqual(0.015, result.Item2);
Assert.AreEqual("2016-12-23", result.Item1.ToString());
}
/// <summary>
/// Return fixing curve by historicalIndexRates
/// </summary>
/// <param name="settlementDate"></param>
/// <param name="historicalIndexRates"></param>
/// <param name="floatingBondInfo"></param>
/// <returns></returns>
public static InstrumentCurveDefinition GetFixingCurve(string settlementDate, Dictionary <string, Dictionary <string, double> > historicalIndexRates, FloatingRateBondInfo floatingBondInfo)
{
var resetCalendar = CalendarImpl.Get(floatingBondInfo.Calendar);
var index = floatingBondInfo.Index;
var rates = historicalIndexRates[index];
var tradeId = floatingBondInfo.TradeId;
var indexDate = new DayGap(floatingBondInfo.ResetToFixingGap).Get(resetCalendar, settlementDate.ToDate());
var fixingTuple = rates.TryGetValue(indexDate.ToString(), resetCalendar);
var indexRate = rates.GetAverageIndex(fixingTuple.Item1, resetCalendar, floatingBondInfo.ResetAverageDays, floatingBondInfo.ResetRateDigits);
string fixingCurveName = "FixingCurve_" + tradeId;
var fixingRateDefinition = new[]
{
new RateMktData("1D", indexRate, index, "None", fixingCurveName),
new RateMktData("50Y", indexRate, index, "None", fixingCurveName),
};
var curveConvention = new CurveConvention("fixingCurveConvention_" + tradeId,
"CNY",
"ModifiedFollowing",
"Chn_ib",
index == null ? "Act365" : index.ToIndexType().DayCountEnum(),
"Continuous",
"ForwardFlat");
floatingBondInfo.ValuationParamters.FixingCurveName = fixingCurveName;
AddTrades(new [] { floatingBondInfo });
return(new InstrumentCurveDefinition(fixingCurveName, curveConvention, fixingRateDefinition, "ForwardCurve"));
}
/// <summary>
/// Return QDP bond qdp object.
/// </summary>
/// <param name="tradeId"></param>
/// <param name="startDate"></param>
/// <param name="maturityDate"></param>
/// <param name="notional"></param>
/// <param name="calendar"></param>
/// <param name="currency"></param>
/// <param name="accrualDayCount"></param>
/// <param name="accrualBusinessDayConvention"></param>
/// <param name="paymentDayCount"></param>
/// <param name="paymentFrequency"></param>
/// <param name="paymentStub"></param>
/// <param name="paymentBusinessDayConvention"></param>
/// <param name="settlement"></param>
/// <param name="settlementCoupon"></param>
/// <param name="issuePrice"></param>
/// <param name="firstPaymentDate"></param>
/// <param name="issueRate"></param>
/// <param name="amoritzationInIndex"></param>
/// <param name="renormalizeAfterAmoritzation"></param>
/// <param name="compensationRate"></param>
/// <param name="optionToCall"></param>
/// <param name="optionToPut"></param>
/// <param name="optionToAssPut"></param>
/// <param name="fixedCoupon"></param>
/// <param name="index"></param>
/// <param name="resetDayCount"></param>
/// <param name="resetCompound"></param>
/// <param name="resetStub"></param>
/// <param name="resetBusinessDayConvention"></param>
/// <param name="resetToFixingGap"></param>
/// <param name="resetTerm"></param>
/// <param name="resetAverageDays"></param>
/// <param name="resetRateDigits"></param>
/// <param name="spread"></param>
/// <param name="floatingRateMultiplier"></param>
/// <param name="stickToEom"></param>
/// <returns></returns>
private static object xl_Bond(
string tradeId,
string startDate = null,
string maturityDate = null,
double notional = 100,
string calendar = "chn_ib",
string currency = "CNY",
string accrualDayCount = "Act365",
string accrualBusinessDayConvention = "ModifiedFollowing",
string paymentDayCount = "Act365",
string paymentFrequency = "SemiAnnual",
string paymentStub = "ShortStart",
string paymentBusinessDayConvention = "ModifiedFollowing",
string settlement = "+0D",
double settlementCoupon = double.NaN,
double issuePrice = double.NaN,
string firstPaymentDate = null,
double issueRate = double.NaN,
Dictionary <int, double> amoritzationInIndex = null,
bool renormalizeAfterAmoritzation = false,
Dictionary <int, double> compensationRate = null,
Dictionary <string, double> optionToCall = null,
Dictionary <string, double> optionToPut = null,
Dictionary <string, double> optionToAssPut = null,
double fixedCoupon = double.NaN,
string index = null,
string resetDayCount = null,
string resetCompound = null,
string resetStub = null,
string resetBusinessDayConvention = null,
string resetToFixingGap = null,
string resetTerm = null,
int resetAverageDays = 1,
int resetRateDigits = 12,
double spread = double.NaN,
double floatingRateMultiplier = double.NaN,
bool stickToEom = false)
{
var tradeInfo = XlManager.GetTrade(tradeId);
if (!(tradeInfo is BondInfoBase))
{
startDate = startDate ?? DateTime.Now.ToString("yyyy-MM-dd");
maturityDate = maturityDate ?? new Term("1Y").Next(startDate.ToDate()).ToString();
BondInfoBase bondInfo = null;
if (string.IsNullOrWhiteSpace(index))
{
bondInfo = new FixedRateBondInfo(tradeId)
{
FixedCoupon = double.IsNaN(fixedCoupon) ? 0.03 : fixedCoupon
};
}
else
{
bondInfo = new FloatingRateBondInfo(tradeId)
{
Index = index ?? "Shibor3M",
ResetDC = resetDayCount ?? "Act365",
ResetCompound = resetCompound ?? "Simple",
ResetStub = resetStub ?? "ShortStart",
ResetBD = resetBusinessDayConvention ?? "ModifiedFollowing",
ResetToFixingGap = resetToFixingGap ?? "-1BD",
ResetTerm = resetTerm ?? "3M",
Spread = double.IsNaN(spread) ? 0.0 : spread,
ResetAverageDays = resetAverageDays,
ResetRateDigits = resetRateDigits,
FloatingRateMultiplier = double.IsNaN(floatingRateMultiplier) ? 1.0 : floatingRateMultiplier,
FloatingCalc = "ZzFrn",
CapRate = 100,
FloorRate = -100
};
}
bondInfo.StartDate = startDate;
bondInfo.MaturityDate = maturityDate;
bondInfo.Calendar = calendar;
bondInfo.PaymentFreq = paymentFrequency;
bondInfo.StickToEom = stickToEom;
bondInfo.PaymentStub = paymentStub;
bondInfo.Notional = notional;
bondInfo.Currency = currency;
bondInfo.AccrualDC = accrualDayCount;
bondInfo.DayCount = paymentDayCount;
bondInfo.AccrualBD = accrualBusinessDayConvention;
bondInfo.PaymentBD = paymentBusinessDayConvention;
bondInfo.Settlement = settlement;
bondInfo.SettlementCoupon = settlementCoupon;
bondInfo.TradingMarket = calendar == "chn_ib"
? TradingMarket.ChinaInterBank.ToString()
: TradingMarket.ChinaExShe.ToString();
bondInfo.IsZeroCouponBond = !double.IsNaN(issuePrice);
bondInfo.IssuePrice = issuePrice;
bondInfo.FirstPaymentDate = firstPaymentDate;
bondInfo.AmortizationType = "None";
bondInfo.AmoritzationInIndex = amoritzationInIndex;
bondInfo.RenormAmortization = renormalizeAfterAmoritzation;
bondInfo.CompensationRate = compensationRate;
bondInfo.IssueRate = issueRate;
bondInfo.OptionToCall = optionToCall;
bondInfo.OptionToPut = optionToPut;
bondInfo.OptionToAssPut = optionToAssPut;
bondInfo.ValuationParamters = new SimpleCfValuationParameters("中债国债收益率曲线", "", "中债国债收益率曲线");
XlManager.AddTrades(new[] { bondInfo });
tradeInfo = bondInfo;
}
return(tradeInfo.ToTradeInfoInLabelData(null));
}
