internal static BondSpreadResult GetSpreads(
OTBond bondType_,
NodaTime.LocalDate maturity_,
NodaTime.LocalDate issueDate_,
NodaTime.LocalDate firstCouponDate_,
QuoteValueType priceType_,
double priceValue_,
double coupon_,
CurveMappings.Mapping pricingSetup_,
DateTime asOf_,
CarbonClient client_,
ThrowBehavior behavior_=ThrowBehavior.DontThrow )
{
var ret = new BondSpreadResult();
ret.Spreads = new BondSpread();
try
{
SLog.log.DebugFormat(
"Calling PriceBondAsync with params: baseBondID={0} issueDate={1} maturity={2} coupon={3} asOf={4} pricingSetup={5} stubDate={6} priceValue={7}, priceType_={8}",
((long) bondType_).ToString(), issueDate_, maturity_, coupon_, asOf_, pricingSetup_.OT_BondPricingSetup,
firstCouponDate_, priceValue_, priceType_);
switch (priceType_)
{
case QuoteValueType.Price:
{
ret.Price = priceValue_;
var result = client_.PriceBondAsync(
baseBondId: (long)bondType_,
issueDate: issueDate_,
maturityDate: maturity_,
coupon: coupon_,
asof: asOf_,
pricingSetup: pricingSetup_.OT_BondPricingSetup,
quantity: 100000d,
stubDate: firstCouponDate_,
price: ret.Price.Value).Result;
ret.Spreads.Spread = -result.Results[ServiceConstants.KEY_ASW_YY];
ret.Spreads.TrueSpread = -result.Results[ServiceConstants.KEY_ZSpread];
ret.Spreads.Yield = result.Results[ServiceConstants.KEY_Yield];
}
break;
case QuoteValueType.Yield:
{
var result = client_.GetBondPriceFromYieldAsync(
baseBondId: (long)bondType_,
issueDate: issueDate_,
maturityDate: maturity_,
coupon: coupon_,
asof: asOf_,
pricingSetup: pricingSetup_.OT_BondPricingSetup,
quantity: 100000d,
yield: priceValue_,
stubDate: firstCouponDate_).Result;
ret.Price = result.Results[ServiceConstants.KEY_Price];
ret.Spreads.Spread = -result.Results[ServiceConstants.KEY_ASW_YY];
ret.Spreads.TrueSpread = -result.Results[ServiceConstants.KEY_ZSpread];
ret.Spreads.Yield = priceValue_;
}
break;
default:
SLog.log.ErrorFormat("Cannot call Carbon to get spreads with priceType {0}", priceType_);
break;
}
SLog.log.DebugFormat(
"Calling PriceSwapAsync with params: curveName={0} startDate={1} endDate={2} asOf={3} pricingSetup={4}",
pricingSetup_.OT_Swap, issueDate_, maturity_, asOf_, pricingSetup_.OT_BondPricingSetup);
var mmsResult = client_.PriceSwapAsync(
curveName: pricingSetup_.OT_Swap,
startDate: asOf_.ToNodaLocalDate(),
endDate: maturity_,
asof: asOf_,
pricingSetup: pricingSetup_.OT_BondPricingSetup).Result;
ret.Spreads.MMS = mmsResult.Results[ServiceConstants.KEY_MMS];
SLog.log.DebugFormat("Result: y={0} m={1} s={2} t={3}", ret.Spreads.Yield, ret.Spreads.MMS, ret.Spreads.Spread, ret.Spreads.TrueSpread);
postProcess(bondType_, ret.Spreads, pricingSetup_);
}
catch (Exception ex_)
{
Exceptions.Rethrow("GetCurves", behavior_, ex_);
}
return ret;
}
private static void postProcess(OTBond bond_, BondSpread spread_, CurveMappings.Mapping pricingSetup_)
{
if(!string.IsNullOrEmpty(pricingSetup_.OT_BondPricingSetup))
switch (pricingSetup_.OT_BondPricingSetup)
{
case "Sym_OIS":
{
// 26th November 2015:
// we've realised that the ASW returned by OT is always that over LIBOR, regardless of what pricing setup is passed in.
// As such, we're calculating the spread by taking the difference ourselves. Obviously easy, but it maintains the need to have
// 2 calls to the server (the second being to get the MMS). Obviously, if the ASW were correct, then the MMS could be calculated using
// yield and ASW, and the second call could be removed. Alas, not yet...
spread_.Spread = spread_.MMS - spread_.Yield;
}
break;
}
}