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);
}
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 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);
}
/// <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);
}
public override IPricingResult Calculate(AsianOption trade, IMarketCondition market, PricingRequest request)
{
var result = new PricingResult(market.ValuationDate, request);
var exerciseDate = trade.ExerciseDates.Last();
var remainingObsDates = trade.ObservationDates.Where(x => x > market.ValuationDate).ToArray();
var n = trade.ObservationDates.Count();
var n2 = remainingObsDates.Count();
var m = n - n2;
if (trade.Fixings.Count != m)
{
throw new PricingLibraryException("AsianOption: number of fixings does not match!");
}
var fixingAverage = trade.Fixings.Any() ? trade.Fixings.Average(x => x.Value) : 0.0;
if (!remainingObsDates.Any())
{
//already fix on all observation days
var cfs = trade.GetPayoff(new[] { fixingAverage });
result.Pv = cfs.Sum(x => x.PaymentAmount * market.DiscountCurve.Value.GetDf(market.ValuationDate, x.PaymentDate));
result.Delta = 0.0;
result.DeltaCash = 0.0;
result.Gamma = 0.0;
result.GammaCash = 0.0;
result.Vega = 0.0;
result.Theta = 0.0;
result.Rho = 0.0;
return(result);
}
//TODO: do it properly
var newSpot = market.SpotPrices.Value.Values.First();
var sigma = market.VolSurfaces.Value.Values.First().GetValue(exerciseDate, trade.Strike, newSpot);
var newSigma = market.VolSurfaces.Value.Values.First().GetValue(exerciseDate, trade.Strike, newSpot);
double newStrike;
var factor = 1.0;
if (remainingObsDates.Count() == 1)
{
newStrike = trade.ObservationDates.Count() * trade.Strike - (n - 1) * trade.Fixings.Average(x => x.Value);
factor = 1.0 / n;
}
else
{
var T = AnalyticalOptionPricerUtil.timeToMaturityFraction(market.ValuationDate, exerciseDate, trade);
var T2 = AnalyticalOptionPricerUtil.timeToMaturityFraction(remainingObsDates[0], remainingObsDates.Last(), trade);
var t1 = AnalyticalOptionPricerUtil.timeToMaturityFraction(market.ValuationDate, remainingObsDates[0], trade);
var h = T2 / (n2 - 1);
var S = market.SpotPrices.Value.Values.First();
var riskFreeRate = market.DiscountCurve.Value.ZeroRate(market.ValuationDate, exerciseDate);
var dividendRate = market.DividendCurves.Value.Values.First().ZeroRate(market.ValuationDate, exerciseDate);
var b = riskFreeRate - dividendRate;
var sigma2 = sigma * sigma;
double eat, eat2;
if (riskFreeRate.AlmostEqual(dividendRate))
{
eat = market.SpotPrices.Value.Values.First();
eat2 = S * S * Math.Exp(sigma2 * t1) / n / n *
(
(1 - Math.Exp(sigma2 * h * n)) / (1 - Math.Exp(sigma2 * h)) +
2.0 / (1 - Math.Exp(sigma2 * h)) *
(n - (1 - Math.Exp(sigma2 * h * n)) / (1 - Math.Exp(sigma2 * h)))
);
}
else
{
var o = 2 * b + sigma2;
eat = S / n2 * Math.Exp(b * t1) * (1 - Math.Exp(b * h * n2)) / (1 - Math.Exp(b * h));
eat2 = S * S * Math.Exp(o * t1) / n / n *
(
(1 - Math.Exp(o * h * n)) / (1 - Math.Exp(o * h)) +
2.0 / (1 - Math.Exp((b + sigma2) * h)) *
((1 - Math.Exp(b * h * n)) / (1 - Math.Exp(b * h)) - (1 - Math.Exp(o * h * n)) / (1 - Math.Exp(o * h)))
);
}
newSpot = eat;
newSigma = Math.Sqrt(Math.Log(eat2 / eat / eat) / T);
newStrike = (n * trade.Strike - m * fixingAverage) / (n - m) - m / (n - m);
factor = 1.0 * (n - m) / n;
}
var newTrade = new VanillaOption(trade.StartDate,
trade.UnderlyingMaturityDate,
trade.Exercise,
trade.OptionType,
newStrike,
trade.UnderlyingProductType,
trade.Calendar,
trade.DayCount,
trade.PayoffCcy,
trade.SettlementCcy,
trade.ExerciseDates,
trade.ObservationDates,
trade.Notional,
trade.SettlmentGap,
trade.OptionPremiumPaymentDate,
trade.OptionPremium);
var newVol = market.VolSurfaces.Value.Values.First().BumpVolSurf(newSigma - sigma);
var newMarket = market.UpdateCondition(
new UpdateMktConditionPack <Dictionary <string, double> >(x => x.SpotPrices, new Dictionary <string, double> {
{ "", newSpot }
}),
new UpdateMktConditionPack <Dictionary <string, IVolSurface> >(x => x.VolSurfaces, new Dictionary <string, IVolSurface> {
{ "", newVol }
})
);
var bsEngine = new AnalyticalVanillaEuropeanOptionEngine();
result = (PricingResult)bsEngine.Calculate(newTrade, newMarket, request);
result.Pv *= factor;
result.Delta *= factor;
result.Gamma *= factor;
result.Vega *= factor;
result.Theta *= factor;
result.Rho *= factor;
return(result);
}
public static Tuple <Date, double>[] Calibrate(
string name,
Date referenceDate,
IMarketInstrument[] marketInstruments,
BusinessDayConvention bda,
IDayCount daycount,
ICalendar calendar,
Compound compound,
Interpolation interpolation,
YieldCurveTrait trait,
CurrencyCode currency,
IMarketCondition baseMarket = null,
Expression <Func <IMarketCondition, object> >[] expression = null,
double initialValue = double.NaN,
double initialGuess = 0.05,
//double xmin = -0.9999,
double xmin = -0.5,
double xmax = 1.0
)
{
var accuracy = 1.0e-14;
if (marketInstruments.Any(x => x.Instrument is CreditDefaultSwap) || trait == YieldCurveTrait.DiscountCurve)
{
initialValue = 1.0;
initialGuess = 1.0;
xmin = 1.0e-64;
}
var len = marketInstruments.Length;
var points = marketInstruments.Select(x => Tuple.Create(x.Instrument.GetCalibrationDate(), initialGuess)).ToList();
var calibrationStartIndex = 0;
if (!double.IsNaN(initialValue))
{
points.Insert(0, Tuple.Create(referenceDate, initialValue));
calibrationStartIndex = 1;
}
if (interpolation == Interpolation.ForwardFlat)
{
//forward flat interpolation, the final instrument is not needed in calibration
points = points.Take(len - 1).ToList();
points.Insert(0, Tuple.Create(referenceDate, 0.05));
calibrationStartIndex = 0;
}
else if (trait == YieldCurveTrait.ForwardCurve)
{
points.Insert(0, Tuple.Create(referenceDate, 0.05));
calibrationStartIndex = 1;
}
baseMarket = baseMarket ?? new MarketCondition(x => x.ValuationDate.Value = referenceDate);
expression = expression ?? new Expression <Func <IMarketCondition, object> >[]
{
x => x.DiscountCurve,
x => x.FixingCurve
};
IYieldCurve calibratedCurve = new YieldCurve(name, referenceDate, points.ToArray(), bda, daycount, calendar, currency, compound, interpolation, trait, baseMarket);
var finalInstrument = marketInstruments.Last();
var smooth = (finalInstrument.Instrument is InterestRateSwap);
double preCalibrationValue = 0.0;
if (smooth)
{
preCalibrationValue = finalInstrument.Instrument.ModelValue(
baseMarket.UpdateCondition(expression.Select(ex => (IUpdateMktConditionPack) new UpdateMktConditionPack <IYieldCurve>(ex, calibratedCurve)).ToArray()),
finalInstrument.CalibMethod);
}
while (true)
{
for (var i = 0; i < len; ++i)
{
var calibrateFunc = new CalibrateMarketInstrument(marketInstruments[i], calibratedCurve, baseMarket, i + calibrationStartIndex, expression);
//Note: alternative brent solver gives same result, but slower convergence,
//var calibrateFunc = new CalibrateMarketInstrument2(marketInstruments[i], calibratedCurve, baseMarket, i + calibrationStartIndex, expression);
double finalR;
try
{
finalR = BrentZero.Solve(calibrateFunc, xmin, xmax, accuracy);
//finalR = BrentZero2<IUnivariateFunction>.DoSolve(calibrateFunc, xmin, xmax, 0.05, 0);
}
catch (Exception ex)
{
throw new PricingLibraryException(string.Format("Error when bootstrapping {0}th point", i));
}
calibratedCurve = UpdateKeyRate(calibratedCurve, i + calibrationStartIndex, finalR);
}
if (!smooth)
{
break;
}
else
{
var postCalibrationValue = finalInstrument.Instrument.ModelValue(
baseMarket.UpdateCondition(expression.Select(ex => (IUpdateMktConditionPack) new UpdateMktConditionPack <IYieldCurve>(ex, calibratedCurve)).ToArray()),
finalInstrument.CalibMethod);
if (Math.Abs(postCalibrationValue - preCalibrationValue) < 1e-12)
{
break;
}
preCalibrationValue = postCalibrationValue;
}
}
//if initial value is provided for 0D, 不插0D
if (!double.IsNaN(initialValue))
{
return(calibratedCurve.KeyPoints.ToArray());
}
//NEVER EVER insert points at the end, inset at MOST ONE point at the beginning
return(new[] { Tuple.Create(referenceDate, calibratedCurve.KeyPoints[0].Item2) } // Insert 0D point to avoid interpolation jump at the beginning
.Union(calibratedCurve.KeyPoints)
.ToArray());
}