private void SetProperties()
{
switch (PricingStructureType)
{
case PricingStructureTypeEnum.RateCurve:
case PricingStructureTypeEnum.RateBasisCurve:
ForecastRateIndex = ForecastRateIndexHelper.Parse(Index, IndexTenor);
break;
case PricingStructureTypeEnum.RateSpreadCurve:
case PricingStructureTypeEnum.ClearedRateCurve:
ForecastRateIndex = ForecastRateIndexHelper.Parse(Index, IndexTenor);
ReferenceCurveTypeAndName = PropertyHelper.ExtractReferenceCurveName(Properties);
ReferenceCurveUniqueId = PropertyHelper.ExtractReferenceCurveUniqueId(Properties);
break;
case PricingStructureTypeEnum.DiscountCurve:
string creditInstrumentId = PropertyHelper.ExtractCreditInstrumentId(Properties);
string creditSeniority = PropertyHelper.ExtractCreditSeniority(Properties);
CreditInstrumentId = InstrumentIdHelper.Parse(creditInstrumentId);
CreditSeniority = CreditSeniorityHelper.Parse(creditSeniority);
break;
case PricingStructureTypeEnum.RateXccyCurve:
//ForecastRateIndex = ForecastRateIndexHelper.Parse(Index, IndexTenor);
string discountInstrumentId = PropertyHelper.ExtractCreditInstrumentId(Properties);
string discountSeniority = PropertyHelper.ExtractCreditSeniority(Properties);
CreditInstrumentId = InstrumentIdHelper.Parse(discountInstrumentId);
CreditSeniority = CreditSeniorityHelper.Parse(discountSeniority);
ReferenceCurveTypeAndName = PropertyHelper.ExtractReferenceCurveName(Properties);
ReferenceCurveUniqueId = PropertyHelper.ExtractReferenceCurveUniqueId(Properties);
ReferenceFxCurveTypeAndName = PropertyHelper.ExtractReferenceFxCurveName(Properties);
ReferenceFxCurveUniqueId = PropertyHelper.ExtractReferenceFxCurveUniqueId(Properties);
ReferenceCurrency2CurveTypeAndName = PropertyHelper.ExtractReferenceCurrency2CurveName(Properties);
ReferenceCurrency2CurveId = PropertyHelper.ExtractReferenceCurrency2CurveId(Properties);
break;
case PricingStructureTypeEnum.InflationCurve:
ForecastRateIndex = ForecastRateIndexHelper.Parse(Index, IndexTenor);
var inflationLag = PropertyHelper.ExtractInflationLag(Properties);
if (inflationLag != "Unknown")
{
InflationLag = PeriodHelper.Parse(inflationLag);
}
break;
case PricingStructureTypeEnum.XccySpreadCurve:
PricingStructureType = PricingStructureTypeEnum.RateSpreadCurve;
break;
}
}
private void SetProperties(PricingStructureTypeEnum pricingStructureType, string curveName)
{
if (pricingStructureType == PricingStructureTypeEnum.RateCurve ||
pricingStructureType == PricingStructureTypeEnum.RateBasisCurve ||
pricingStructureType == PricingStructureTypeEnum.ClearedRateCurve ||
pricingStructureType == PricingStructureTypeEnum.RateSpreadCurve)
{
var rateCurveId = curveName.Split('-');
var indexTenor = rateCurveId[rateCurveId.Length - 1];
var indexName = rateCurveId[0];
for (var i = 1; i < rateCurveId.Length - 1; i++)
{
indexName = indexName + '-' + rateCurveId[i];
}
ForecastRateIndex = ForecastRateIndexHelper.Parse(indexName, indexTenor);
}
if (pricingStructureType == PricingStructureTypeEnum.DiscountCurve ||
pricingStructureType == PricingStructureTypeEnum.RateXccyCurve)
{
var rateCurveId = CurveName.Split('-');
var subordination = rateCurveId[rateCurveId.Length - 1];
var indexName = rateCurveId[0];
for (var i = 1; i < rateCurveId.Length - 1; i++)
{
indexName = indexName + '-' + rateCurveId[i];
}
CreditInstrumentId = InstrumentIdHelper.Parse(indexName);
CreditSeniority = CreditSeniorityHelper.Parse(subordination);
}
if (pricingStructureType == PricingStructureTypeEnum.InflationCurve)
{
var rateCurveId = CurveName.Split('-');
var indexTenor = rateCurveId[rateCurveId.Length - 1];
var indexName = rateCurveId[0];
for (var i = 1; i < rateCurveId.Length - 1; i++)
{
indexName = indexName + '-' + rateCurveId[i];
}
ForecastRateIndex = ForecastRateIndexHelper.Parse(indexName, indexTenor);
}
}
/// <summary>
/// PriceableBond
/// </summary>
/// <param name="name"></param>
/// <param name="instrumentid"></param>
/// <param name="bondType"></param>
/// <param name="dealDate"></param>
/// <param name="valueDate"></param>
/// <param name="ccy"></param>
/// <param name="calendar"></param>
/// <param name="coupFreq"></param>
/// <param name="accrualDC"></param>
/// <param name="yieldDC"></param>
/// <param name="repoDC"></param>
/// <param name="xdt"></param>
/// <param name="couponType"></param>
/// <param name="couponRate"></param>
/// <param name="settC"></param>
/// <param name="maturity"></param>
/// <param name="valueC"></param>
/// <param name="tickSize"></param>
/// <param name="issuerName"></param>
/// <param name="ycm"></param>
/// <param name="yieldCompFreq"></param>
/// <param name="accIntRounding"></param>
public PriceableBond(string name, string instrumentid, string bondType,
DateTime dealDate, DateTime valueDate, Currency ccy, IBusinessCalendar calendar,
Period coupFreq, DayCountFraction accrualDC, DayCountFraction yieldDC, DayCountFraction repoDC,
ExDividendEnum xdt, CouponTypeEnum couponType, decimal couponRate, string settC, DateTime maturity,
BondSettlementEnum valueC, short tickSize, string issuerName, BondAnalytics.YieldCalcMethod ycm,
short yieldCompFreq, short accIntRounding)
: base(dealDate, 100.0m, ccy, null, null, null, null)
{
Currency = ccy;
ValueDate = valueDate;
DealDate = dealDate;
Frequency = int.Parse(coupFreq.periodMultiplier); //convert to using the bond fpml paymentfrequency field.
AccIntRounding = accIntRounding;
CouponType = couponType;
CouponRate = couponRate;
CouponDayCount = accrualDC;
BondType = EnumHelper.Parse <BondTypesEnum>(bondType);
PaymentDateCalendar = calendar;
RepoDC = repoDC;
SettC = settC;
TickSize = tickSize;
ValueC = valueC;
Xdt = xdt;
Ycm = ycm;
YieldCompFreq = yieldCompFreq;
YieldDC = yieldDC;
RollDay = maturity.Day; //provide an input for this.
ValueDate = SettlementDate; //default condition if not specified.
Id = name;
Issuer = issuerName; //Does not handle PartyReference type -> only string!
MaturityDate = maturity;
CouponFrequency = coupFreq;
CouponType = CouponTypeEnum.Fixed;
InstrumentIds = new List <InstrumentId> {
InstrumentIdHelper.Parse(instrumentid)
};
Build();
}
/// <summary>
/// Initializes a new instance of the <see cref="PriceableSimpleBond"/> class.
/// </summary>
/// <param name="baseDate">The base date.</param>
/// <param name="bond">The bond</param>
/// <param name="settlementDate">The settlement date.</param>
/// <param name="exDivDate">The ex dividend date.</param>
/// <param name="businessDayAdjustments">The business day adjustments.</param>
/// <param name="paymentCalendar">The payment Calendar.</param>
/// <param name="marketQuote">The market quote.</param>
/// <param name="quoteType">The quote type</param>
public PriceableSimpleBond(DateTime baseDate, Bond bond, DateTime settlementDate, DateTime exDivDate,
BusinessDayAdjustments businessDayAdjustments, IBusinessCalendar paymentCalendar, BasicQuotation marketQuote, BondPriceEnum quoteType)
: base(baseDate, bond.faceAmount, bond.currency, null, null, businessDayAdjustments, marketQuote, quoteType)
{
Id = bond.id;
var tempId = Id.Split('-');
var bondId = tempId[0];
if (tempId.Length > 2)
{
bondId = tempId[2];
}
Issuer = (string)bond.Item;//Does not handle PartyReference type -> only string!
Description = "Not Defined";
if (bond.description != null)
{
Description = bond.description;
}
MaturityDate = bond.maturity;
CouponDayCount = new DayCountFraction {
Value = bond.dayCountFraction.Value
};
if (bond.parValueSpecified)
{
ParValue = bond.parValue;
}
if (bond.couponRateSpecified)
{
CouponRate = bond.couponRate;
}
CouponFrequency = new Period
{
period = bond.paymentFrequency.period,
periodMultiplier = bond.paymentFrequency.periodMultiplier
};
CouponType = CouponTypeEnum.Fixed;
if (bond.clearanceSystem != null)
{
ClearanceSystem = bond.clearanceSystem.Value;
}
if (bond.exchangeId != null)
{
Exchange = bond.exchangeId.Value;
}
if (bond.seniority != null)
{
Seniority = EnumHelper.Parse <CreditSeniorityEnum>(bond.seniority.Value);
}
if (bond.instrumentId != null)
{
InstrumentIds = new List <InstrumentId>();
foreach (var identifier in bond.instrumentId.Select(id => InstrumentIdHelper.Parse(id.Value)))
{
InstrumentIds.Add(identifier);
}
}
//This handles the case of a bond forward used in curve building.
if (MaturityDate > BaseDate)
{
var rollConvention =
RollConventionEnumHelper.Parse(MaturityDate.Day.ToString(CultureInfo.InvariantCulture));
Frequency = FrequencyHelper.ToFrequency(bond.paymentFrequency);
SettlementDate = settlementDate;
UnAdjustedPeriodDates = DateScheduler.GetUnadjustedCouponDatesFromMaturityDate(SettlementDate,
MaturityDate,
CouponFrequency,
rollConvention,
out _,
out var nextCouponDate);
LastCouponDate = UnAdjustedPeriodDates[0];
NextCouponDate = nextCouponDate;
AdjustedPeriodDates =
AdjustedDateScheduler.GetAdjustedDateSchedule(UnAdjustedPeriodDates,
PaymentBusinessDayAdjustments.businessDayConvention,
paymentCalendar).ToArray();
AdjustedPeriodDates[0] = SettlementDate;
NextExDivDate = exDivDate;
IsXD = IsExDiv();
}
BondCurveName = CurveNameHelpers.GetBondCurveName(Currency.Value, bondId);
SwapDiscountCurveName = CurveNameHelpers.GetDiscountCurveName(Currency.Value, true);
}
/// <summary>
/// Initializes a new instance of the <see cref="PriceableSimpleBond"/> class.
/// </summary>
/// <param name="baseDate">The base date.</param>
/// <param name="nodeStruct">The bond nodeStruct</param>
/// <param name="settlementCalendar">The settlement Calendar.</param>
/// <param name="paymentCalendar">The payment Calendar.</param>
/// <param name="marketQuote">The market quote.</param>
/// <param name="quoteType">THe quote Type</param>
public PriceableSimpleBond(DateTime baseDate, BondNodeStruct nodeStruct, IBusinessCalendar settlementCalendar, IBusinessCalendar paymentCalendar,
BasicQuotation marketQuote, BondPriceEnum quoteType)
: base(baseDate, nodeStruct.Bond.faceAmount, nodeStruct.Bond.currency, nodeStruct.SettlementDate, nodeStruct.ExDivDate, nodeStruct.BusinessDayAdjustments, marketQuote, quoteType)
{
Id = nodeStruct.Bond.id;
var tempId = Id.Split('-');
var bondId = tempId[0];
if (tempId.Length > 2)
{
bondId = tempId[2];
}
SettlementDateCalendar = settlementCalendar;
Issuer = (string)nodeStruct.Bond.Item;//Does not handle PartyReference type -> only string!
Description = "Not Defined";
//IsYTMQuote = true;
if (nodeStruct.Bond.description != null)
{
Description = nodeStruct.Bond.description;
}
MaturityDate = nodeStruct.Bond.maturity;
CouponDayCount = new DayCountFraction {
Value = nodeStruct.Bond.dayCountFraction.Value
};
CouponFrequency = new Period
{
period = nodeStruct.Bond.paymentFrequency.period,
periodMultiplier = nodeStruct.Bond.paymentFrequency.periodMultiplier
};
if (nodeStruct.Bond.couponRateSpecified)
{
CouponRate = nodeStruct.Bond.couponRate;
}
if (nodeStruct.Bond.parValueSpecified)
{
ParValue = nodeStruct.Bond.parValue;
}
if (nodeStruct.Bond.clearanceSystem != null)
{
ClearanceSystem = nodeStruct.Bond.clearanceSystem.Value;
}
if (nodeStruct.Bond.exchangeId != null)
{
Exchange = nodeStruct.Bond.exchangeId.Value;
}
CouponType = CouponTypeEnum.Fixed;
if (nodeStruct.Bond.seniority != null)
{
Seniority = EnumHelper.Parse <CreditSeniorityEnum>(nodeStruct.Bond.seniority.Value, true);
}
if (nodeStruct.Bond.instrumentId != null)
{
InstrumentIds = new List <InstrumentId>();
foreach (var identifier in nodeStruct.Bond.instrumentId.Select(id => InstrumentIdHelper.Parse(id.Value)))
{
InstrumentIds.Add(identifier);
}
}
//This handles the case of a bondforward used in curve building.
if (MaturityDate > BaseDate)
{
DateTime lastCouponDate;
DateTime nextCouponDate;
var rollConvention =
RollConventionEnumHelper.Parse(MaturityDate.Day.ToString(CultureInfo.InvariantCulture));
Frequency = FrequencyHelper.ToFrequency(nodeStruct.Bond.paymentFrequency);
//Get the settlement date
SettlementDate = GetSettlementDate(baseDate, settlementCalendar, nodeStruct.SettlementDate);
//Generate the necessary dates.
//TODO Should the settlement date and the underlying bond be calculated on the fly when calculation occurs?
UnAdjustedPeriodDates = DateScheduler.GetUnadjustedCouponDatesFromMaturityDate(SettlementDate,
MaturityDate,
CouponFrequency,
rollConvention,
out lastCouponDate,
out nextCouponDate);
LastCouponDate = UnAdjustedPeriodDates[0];
NextCouponDate = nextCouponDate;
AdjustedPeriodDates =
AdjustedDateScheduler.GetAdjustedDateSchedule(UnAdjustedPeriodDates,
nodeStruct.BusinessDayAdjustments
.businessDayConvention, paymentCalendar)
.ToArray();
AdjustedPeriodDates[0] = SettlementDate; //TODO check this!
NextExDivDate = GetNextExDivDate();
IsXD = IsExDiv();
}
BondCurveName = CurveNameHelpers.GetBondCurveName(Currency.Value, bondId);
SwapDiscountCurveName = CurveNameHelpers.GetDiscountCurveName(Currency.Value, true);
}
