public static IValuationFunction ToVf(TradeInfoBase tradeInfo)
{
IValuationFunction vf;
// sean todo // tradeInfo.GetValuationFunction
if (tradeInfo is BondInfoBase)
{
vf = new BondVf((BondInfoBase)tradeInfo);
}
else if (tradeInfo is VanillaOptionInfo)
{
vf = new VanillaOptionVf((VanillaOptionInfo)tradeInfo);
}
else if (tradeInfo is BarrierOptionInfo)
{
vf = new BarrierOptionVf((BarrierOptionInfo)tradeInfo);
}
else if (tradeInfo is BinaryOptionInfo)
{
vf = new BinaryOptionVf((BinaryOptionInfo)tradeInfo);
}
else if (tradeInfo is AsianOptionInfo)
{
vf = new AsianOptionVf((AsianOptionInfo)tradeInfo);
}
else if (tradeInfo is RainbowOptionInfo)
{
vf = new RainbowOptionVf((RainbowOptionInfo)tradeInfo);
}
else if (tradeInfo is SpreadOptionInfo)
{
vf = new SpreadOptionVf((SpreadOptionInfo)tradeInfo);
}
else if (tradeInfo is InterestRateSwapInfo)
{
vf = new InterestRateSwapVf((InterestRateSwapInfo)tradeInfo);
}
else if (tradeInfo is FixedLegInfo)
{
vf = new FixedLegVf((FixedLegInfo)tradeInfo);
}
else if (tradeInfo is FloatingLegInfo)
{
vf = new FloatingLegVf((FloatingLegInfo)tradeInfo);
}
else if (tradeInfo is BondFuturesInfo)
{
vf = new BondFuturesVf((BondFuturesInfo)tradeInfo);
}
else if (tradeInfo is LoanInfo)
{
vf = new LoanVf((LoanInfo)tradeInfo);
}
else if (tradeInfo is HoldingPeriodInfo)
{
vf = new HoldingPeriodVf((HoldingPeriodInfo)tradeInfo);
}
else if (tradeInfo is AbsWithRepurchaseInfo)
{
vf = new AbsWithRepurchaseVf((AbsWithRepurchaseInfo)tradeInfo);
}
else if (tradeInfo is ConvertibleBondInfo)
{
vf = new ConvertibleBondVf((ConvertibleBondInfo)tradeInfo);
}
else
{
throw new PricingLibraryException("Unknowy trade info type");
}
return(vf);
}
public void TestLoanWithRepurchase()
{
#region
var loanInfo = new LoanInfo
{
Amortization = "EqualPrincipal",
Coupon = 0.18,
Currency = "CNY",
DayCount = "Act360",
FirstPaymentDate = "20150712",
Frequency = "Monthly",
IsFloatingRate = false,
MaturityDate = "20160612",
Notional = 500000000,
NumOfPayment = 12,
StartDate = "20150612",
MortgageCalcMethod = "Simple",
AbsPrepaymentModel = "Cpr",
AbsDefaultModel = "Cdr",
AnnualCprRate = 0.0,
AnnualCdrRate = 0.03,
TaxRate = 0.056
};
#endregion
var maturityDates = new[] { "20150912", "20151212", "20160312", "20160612" };
var coupons = new[] { 0.05, 0.052, 0.054, 0.055 };
var notionals = new[] { 115000000, 113000000, 110000000, 112000000 };
var bondInfos =
maturityDates.Select((x, i) =>
new FixedRateBondInfo("bond" + x)
{
StartDate = "20150612",
MaturityDate = x,
Notional = notionals[i],
Currency = "CNY",
FixedCoupon = coupons[i],
Calendar = "chn",
PaymentFreq = "Quarterly",
PaymentStub = "ShortEnd",
AccrualDC = "Act365NoLeap",
DayCount = "Act360",
AccrualBD = "None",
PaymentBD = "None",
TradingMarket = "ChinaInterBank",
Settlement = "+0D",
ValuationParamters = new SimpleCfValuationParameters("Fr007", null, "Fr007")
}).ToArray();
var loanWithRepurchaseInfo = new AbsWithRepurchaseInfo("test1")
{
Tranches = bondInfos,
LoanInfo = loanInfo,
RepurchaseRatio = 0.8,
MaintenanceFeeRate = 0.004,
ProtectionFeeRate = 0.0015
};
var marketInfo = new MarketInfo("testMarket", "20160202");
QdpMarket qdpMarket;
MarketFunctions.BuildMarket(marketInfo, out qdpMarket);
var loanVf = new AbsWithRepurchaseVf(loanWithRepurchaseInfo);
var market = loanVf.GenerateMarketCondition(qdpMarket);
var loanWithRepurchase = loanVf.GenerateInstrument();
var engine = loanVf.GenerateEngine();
var result = engine.Calculate(loanWithRepurchase, market, PricingRequest.Cashflow);
foreach (var cashflow in result.Cashflows)
{
Console.WriteLine("{0},{1},{2}", cashflow.PaymentDate, cashflow.CashflowType, cashflow.PaymentAmount);
}
}
