/// <summary>
/// Return QDP bond futures qdp object.
/// </summary>
/// <param name="tradeId"></param>
/// <param name="startDate"></param>
/// <param name="settlementDate"></param>
/// <param name="deliverableBondIds"></param>
/// <param name="notional"></param>
/// <param name="calendar"></param>
/// <param name="dayCount"></param>
/// <param name="nominalCoupon"></param>
/// <param name="currency"></param>
/// <returns></returns>
public static object xl_CustomizedBondFutures(string tradeId, string startDate = null, string settlementDate = null, string[] deliverableBondIds = null, double notional = 1000000, string calendar = "chn", string dayCount = "Act365", double nominalCoupon = 0.03, string currency = "CNY")
{
var trade = XlManager.GetTrade(tradeId);
if (!(trade is BondFuturesInfo))
{
startDate = startDate ?? DateTime.Now.ToString("yyyy-MM-dd");
settlementDate = settlementDate ?? new Term("3M").Next(startDate.ToDate()).ToString();
trade = new BondFuturesInfo(tradeId)
{
StartDate = startDate,
MaturityDate = settlementDate,
Calendar = calendar,
Currency = currency,
DayCount = dayCount,
DeliverableBondInfos =
deliverableBondIds == null
? null
: deliverableBondIds.Select(x => (FixedRateBondInfo)XlManager.GetTrade(x)).ToArray(),
InstrumentType = "BondFutures",
NominalCoupon = nominalCoupon,
Notional = notional,
ValuationParamters = new SimpleCfValuationParameters("FundingCurve", "", "FundingCurve")
};
XlManager.AddTrades(new[] { trade });
}
return(trade.ToTradeInfoInLabelData(null));
}
/// <summary>
/// Return a interest rate swap.
/// </summary>
/// <param name="tradeId"></param>
/// <param name="startDate"></param>
/// <param name="maturityDate"></param>
/// <param name="tenor"></param>
/// <param name="notional"></param>
/// <param name="currency"></param>
/// <param name="swapDirection"></param>
/// <param name="calendar"></param>
/// <param name="fixedLegDayCount"></param>
/// <param name="fixedLegFrequency"></param>
/// <param name="fixedLegBusinessDayConvention"></param>
/// <param name="fixedLegStub"></param>
/// <param name="fixedLegCoupon"></param>
/// <param name="floatingLegDayCount"></param>
/// <param name="floatingLegFrequency"></param>
/// <param name="floatingLegBusinessDayConvention"></param>
/// <param name="floatingLegStub"></param>
/// <param name="index"></param>
/// <param name="resetTerm"></param>
/// <param name="resetStub"></param>
/// <param name="resetBusinessDayConvention"></param>
/// <param name="resetToFixingGap"></param>
/// <param name="resetCompound"></param>
/// <returns></returns>
public static object xl_InterestRateSwap(string tradeId
, string startDate = null
, string maturityDate = null
, string tenor = "1Y"
, double notional = 100.0
, string currency = "CNY"
, string swapDirection = "Payer"
, string calendar = "chn_ib"
, string fixedLegDayCount = "Act365"
, string fixedLegFrequency = "Quarterly"
, string fixedLegBusinessDayConvention = "ModifiedFollowing"
, string fixedLegStub = "ShortEnd"
, double fixedLegCoupon = 0.03
, string floatingLegDayCount = "Act365"
, string floatingLegFrequency = "Quarterly"
, string floatingLegBusinessDayConvention = "ModifiedFollowing"
, string floatingLegStub = "ShortEnd"
, string index = "Fr007"
, string resetTerm = "1W"
, string resetStub = "ShortEnd"
, string resetBusinessDayConvention = "None"
, string resetToFixingGap = "+1BD"
, string resetCompound = "Compounded"
)
{
var interestRateSwapInfo = XlManager.GetTrade(tradeId);
if (!(interestRateSwapInfo is InterestRateSwapInfo))
{
startDate = startDate ?? DateTime.Now.ToString("yyyy-MM-dd");
if (maturityDate == null && tenor != null)
{
maturityDate = new Term(tenor).Next(startDate.ToDate()).ToString();
}
else
{
maturityDate = maturityDate ?? new Term("1Y").Next(startDate.ToDate()).ToString();
}
string curveName = "";
switch (index)
{
case "Fr007":
curveName = "Fr007SwapCurve";
break;
case "Shibor3M":
curveName = "Shibor3MSwapCurve";
break;
case "Shibor1D":
curveName = "ShiborONSwapCurve";
break;
case "Depo1Y":
curveName = "Depo1YSwapCurve";
break;
}
interestRateSwapInfo = new InterestRateSwapInfo(tradeId)
{
StartDate = startDate,
MaturityDate = maturityDate,
Tenor = tenor,
Notional = notional,
Currency = currency,
SwapDirection = swapDirection,
Calendar = calendar,
FixedLegDC = fixedLegDayCount,
FixedLegFreq = fixedLegFrequency,
FixedLegBD = fixedLegBusinessDayConvention,
FixedLegStub = fixedLegStub,
FixedLegCoupon = fixedLegCoupon,
FloatingLegDC = floatingLegDayCount,
FloatingLegFreq = floatingLegFrequency,
FloatingLegBD = floatingLegBusinessDayConvention,
FloatingLegStub = floatingLegStub,
Index = index,
ResetTerm = resetTerm,
ResetStub = resetStub,
ResetBD = resetBusinessDayConvention,
ResetToFixingGap = resetToFixingGap,
ResetCompound = resetCompound,
ValuationParamters = new SimpleCfValuationParameters(curveName, curveName, null)
};
XlManager.AddTrades(new[] { interestRateSwapInfo });
}
return(interestRateSwapInfo.ToTradeInfoInLabelData(null));
}
/// <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));
}