/// <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);
}
public double F(double x)
{
return(_bondYieldPricer.FullPriceFromYield(_cashflows, _dayCount, _frequency, _startDate, _valueDate, x, _tradeingMarket, _irregularPayment) - _fullPrice);
}