public void TestTfDeliverableBondCf()
{
var startDates = new[] { new Date(2016, 04, 06), new Date(2016, 04, 06), new Date(2016, 04, 06), };
var maturityDates = new[] { new Date(2016, 06, 15), new Date(2016, 09, 14), new Date(2016, 12, 13), };
var files = new[] { "QbTF1606CfTest.txt", "QbTF1609CfTest.txt", "QbTF1612CfTest.txt" };
var futuresNames = new[] { "TF1606", "TF1609", "TF1612" };
for (var k = 0; k < startDates.Length; ++k)
{
var bondPrices = new Dictionary <string, double>();
var targetConversionFactors = new List <double>();
var bonds = File.ReadAllLines(@"./Data/BondFuture/" + files[k])
.Select(x =>
{
var splits = x.Split(',');
var startDate = new Date(DateTime.Parse(splits[3]));
var maturityDate = new Date(DateTime.Parse(splits[4]));
var rate = Convert.ToDouble(splits[1]);
var frequency = splits[2] == "Annual" ? Frequency.Annual : Frequency.SemiAnnual;
targetConversionFactors.Add(Convert.ToDouble(splits[5]));
bondPrices[splits[0]] = Convert.ToDouble(splits[6]);
return(new Bond(
splits[0],
startDate,
maturityDate,
100.0,
CurrencyCode.CNY,
new FixedCoupon(rate),
CalendarImpl.Get("chn_ib"),
frequency,
Stub.LongEnd,
new Act365(),
new Act365(),
BusinessDayConvention.None,
BusinessDayConvention.ModifiedFollowing,
null,
TradingMarket.ChinaInterBank));
}).ToArray();
var bondfuture = new BondFutures(
futuresNames[k],
startDates[k],
maturityDates[k],
maturityDates[k],
CalendarImpl.Get("chn"),
bonds,
new Act365()
);
var market = new BondFutureTests().TestMarket("2016-04-06");
for (var i = 0; i < bonds.Length; ++i)
{
Assert.AreEqual(bondfuture.GetConversionFactor(bonds[i], market), targetConversionFactors[i]);
}
}
}
public void TestQbTfDeliverableBondYield()
{
var files = new[] { "QbTF1606CfTest.txt", "QbTF1609CfTest.txt", "QbTF1612CfTest.txt" };
for (var k = 0; k < files.Length; ++k)
{
var bondPrices = new Dictionary <string, Tuple <PriceQuoteType, double> >();
var targetYtm = new List <double>();
var targetAi = new List <double>();
var bonds = File.ReadAllLines(@"./Data/BondFuture/" + files[k])
.Select(x =>
{
var splits = x.Split(',');
var startDate = new Date(DateTime.Parse(splits[3]));
var maturityDate = new Date(DateTime.Parse(splits[4]));
var rate = Convert.ToDouble(splits[1]);
var frequency = splits[2] == "Annual" ? Frequency.Annual : Frequency.SemiAnnual;
targetYtm.Add(Convert.ToDouble(splits[8]));
targetAi.Add(Convert.ToDouble(splits[6]) - Convert.ToDouble(splits[7]));
bondPrices[splits[0]] = Tuple.Create(PriceQuoteType.Dirty, Convert.ToDouble(splits[6]));
return(new Bond(
splits[0],
startDate,
maturityDate,
100.0,
CurrencyCode.CNY,
new FixedCoupon(rate),
CalendarImpl.Get("chn_ib"),
frequency,
Stub.LongEnd,
new ActActIsma(),
new ActActIsma(),
BusinessDayConvention.None,
BusinessDayConvention.None,
null,
TradingMarket.ChinaInterBank));
}).ToArray();
var market = new BondFutureTests().TestMarket("2016-04-06", bondPrices);
var engine = new BondEngine();
for (var i = 0; i < bonds.Length; ++i)
{
var result = engine.Calculate(bonds[i], market, PricingRequest.Ytm | PricingRequest.Ai);
Assert.AreEqual(Math.Round(result.Ai, 4), targetAi[i], 1e-5);
Assert.AreEqual(Math.Round(result.Ytm, 6), targetYtm[i], 1e-7);
}
}
}
