public override ResetStrikeOption GenerateInstrument()
{
var startDate = TradeInfo.StartDate.ToDate();
var calendar = TradeInfo.Calendar.ToCalendarImpl();
var strikefixingDate = TradeInfo.StrikeFixingDate.ToDate();
TradeUtil.GenerateOptionDates(TradeInfo, out Date[] exerciseDates, out Date[] obsDates, out DayGap settlementGap);
public static Dictionary <string, PnLResultBase> DoPnLExplain(string[] tradeIds,
PrebuiltQdpMarket t0Mkt,
PrebuiltQdpMarket t1Mkt,
PrebuiltQdpMarket t0MktDateRolledFwd,
PrebuiltQdpMarket t0MktRolldownForBond,
PrebuiltQdpMarket t0MktPriceNow = null,
PrebuiltQdpMarket t0MktPriceVolNow = null,
PrebuiltQdpMarket t0MktVolNow = null)
{
//TODO: add the following for more exotic product where rate/price interplay is more pronounced
//resultRateNow, resultPriceRateNow, resultVolRateNow, resultPriceVolRateNow
var useRevalPnLFramework = (t0MktPriceNow != null && t0MktVolNow != null && t0MktPriceVolNow != null);
//use reval for pnl attribution
//PnL = PriceImpact + VolImpact + PriceVolCrossImpact + Unexplained
var ret = new Dictionary <string, PnLResultBase>();
var tMarketName = t0Mkt.MarketName;
var t1MarketName = t1Mkt.MarketName;
var t0Vals = new Dictionary <string, IPricingResult>();
var t0ValsRolledForward = new Dictionary <string, IPricingResult>();
var t1Vals = new Dictionary <string, IPricingResult>();
var t0ValsPriceNow = new Dictionary <string, IPricingResult>();
var t0RolldownPriceForBond = new Dictionary <string, IPricingResult>();
var t0ValsVolNow = new Dictionary <string, IPricingResult>();
var t0ValsPriceVolNow = new Dictionary <string, IPricingResult>();
//use minimium price request to make it faster
#region requests
var pricingRequest =
PricingRequest.Pv |
PricingRequest.Cashflow |
PricingRequest.DirtyPrice |
PricingRequest.KeyRateDv01 |
PricingRequest.DollarDuration |
PricingRequest.DollarConvexity |
PricingRequest.Delta |
PricingRequest.Gamma |
PricingRequest.Vega |
PricingRequest.Theta |
PricingRequest.Rho |
PricingRequest.DVegaDvol | //one high order risk
PricingRequest.ZeroSpread |
PricingRequest.ZeroSpreadDelta |
PricingRequest.AiEod |
PricingRequest.Basis |
PricingRequest.CheapestToDeliver |
PricingRequest.Ytm |
PricingRequest.UnderlyingPv |
PricingRequest.Carry;
#endregion requests
foreach (var tradeId in tradeIds)
{
t0Vals[tradeId] = xl_ValueTrade(tradeId, t0Mkt, pricingRequest);
var t1Request = PricingRequest.Pv | PricingRequest.DirtyPrice | PricingRequest.ZeroSpread | PricingRequest.AiEod
| PricingRequest.Ytm | PricingRequest.Basis | PricingRequest.Cashflow;
t1Vals[tradeId] = xl_ValueTrade(tradeId, t1Mkt, t1Request);
t0ValsRolledForward[tradeId] = xl_ValueTrade(tradeId, t0MktDateRolledFwd, PricingRequest.Pv | PricingRequest.DirtyPrice | PricingRequest.UnderlyingPv);
//reval framework for better pnl attribution
if (useRevalPnLFramework)
{
t0ValsPriceNow[tradeId] = xl_ValueTrade(tradeId, t0MktPriceNow, PricingRequest.Pv);
t0ValsVolNow[tradeId] = xl_ValueTrade(tradeId, t0MktVolNow, PricingRequest.Pv);
t0ValsPriceVolNow[tradeId] = xl_ValueTrade(tradeId, t0MktPriceVolNow, PricingRequest.Pv);
t0RolldownPriceForBond[tradeId] = xl_ValueTrade(tradeId, t0MktRolldownForBond, PricingRequest.Pv | PricingRequest.ZeroSpread);
}
}
//For old interface:
//var tCurves = GetXlMarket(tMarketName).MarketInfo.YieldCurveDefinitions.Select(x => x.Name)
// .Select(x => t0Mkt.GetData<CurveData>(x).YieldCurve).ToDictionary(x => x.Name, x => x);
//var t1Curves = GetXlMarket(t1MarketName).MarketInfo.YieldCurveDefinitions.Select(x => x.Name)
// .Select(x => t1Mkt.GetData<CurveData>(x).YieldCurve).ToDictionary(x => x.Name, x => x);
var tCurves = t0Mkt.YieldCurves;
var t1Curves = t1Mkt.YieldCurves;
var curveMoveScaling = 1e4;
foreach (var tradeId in tradeIds)
{
var t1cf = (t1Vals[tradeId].Cashflows != null) ?
t1Vals[tradeId].Cashflows.Where(x => x.PaymentDate <= t1Mkt.ReferenceDate && x.PaymentDate > t0Mkt.ReferenceDate).Sum(x => x.PaymentAmount) :
0.0;
var tradeInfo = GetTrade(tradeId);
if (tradeInfo is InterestRateSwapInfo || tradeInfo is BondInfoBase || tradeInfo is BondFuturesInfo)
{
//PnL using bond discounted cash flows
//curve risk is between T0_{prime} and T1
var _tPv = t0Vals[tradeId].Pv;
var _t1Pv = t1Vals[tradeId].Pv;
var _tPvRecalib = t0ValsRolledForward[tradeId].Pv;
var curvePnL = new Dictionary <string, CurveRisk[]>();
foreach (var curveRiskse in t0Vals[tradeId].KeyRateDv01)
{
var tCurve = tCurves[curveRiskse.Key];
var t1Curve = t1Curves[curveRiskse.Key];
curvePnL[curveRiskse.Key] =
curveRiskse.Value.Select(x =>
new CurveRisk(
x.Tenor,
x.Risk * (t1Curve[x.Tenor] - tCurve[x.Tenor]) * curveMoveScaling
)).ToArray();
}
//include raw t1 curve risks in result
foreach (var curveRisks in t0Vals[tradeId].KeyRateDv01)
{
curvePnL[curveRisks.Key + "KeyRateDv01"] = curveRisks.Value;
}
var pnLCurve = new CommonPnLResult(_tPv, _t1Pv, _tPvRecalib - _tPv, t1cf, curvePnL);
ret[tradeId] = pnLCurve;
}
if (tradeInfo is InterestRateSwapInfo)
{
var swap = tradeInfo as InterestRateSwapInfo;
//carry & roll down
var rollDown = t0ValsRolledForward[tradeId].Pv - t0Vals[tradeId].Pv;
var carry = t0Vals[tradeId].Carry;
var pnlTime = rollDown + carry;
var commonPnl = ret[tradeId];
var pnlPv01 =
ret.ContainsKey(tradeId) && ret[tradeId].YieldCurvePnL.Count > 0
? ret[tradeId].YieldCurvePnL.First().Value.Sum(x => x.Risk)
: 0.0;
var pnl = new SwapPnLResult(commonPnl.TPv, commonPnl.T1Pv, pnlTime: pnlTime, t1Cf: t1cf, pnlPv01: pnlPv01,
pnlCarry: carry, pnlRolldown: rollDown);
ret[tradeId + "durationConvexity"] = pnl;
}
if (tradeInfo is BondInfoBase)
{
var bond = tradeInfo as BondInfoBase;
var tPv = t0Vals[tradeId].DirtyPrice;
var t1Pv = t1Vals[tradeId].DirtyPrice;
var tPvRecalib = t0ValsRolledForward[tradeId].DirtyPrice;
//bond market PnL
var pnlPv01 =
ret.ContainsKey(tradeId) && ret[tradeId].YieldCurvePnL.Count > 0
? ret[tradeId].YieldCurvePnL.First().Value.Sum(x => x.Risk)
: 0.0;
//bond specific pnl
var tZSpread = t0Vals[tradeId].ZeroSpread;
var t1ZSpread = t1Vals[tradeId].ZeroSpread;
var tZSpreadDelta = t0Vals[tradeId].ZeroSpreadDelta;
var zSpreadPnl = tZSpreadDelta * (t1ZSpread - tZSpread) * curveMoveScaling;
var pnlCarry = t1Vals[tradeId].Ai - t0Vals[tradeId].Ai;
//bond roll down effect: cashflow less, but benefit from still curve, note that zspread also changes due to rolling down the curve
var pnlRolldown = t0RolldownPriceForBond[tradeId].Pv - t0Vals[tradeId].Pv +
tZSpreadDelta * (t0RolldownPriceForBond[tradeId].ZeroSpread - tZSpread) * curveMoveScaling;
var pnlTime = pnlCarry + pnlRolldown;
//duration pnl is not used in book level pnl explain
var pnlDuration = t0Vals[tradeId].ModifiedDuration * (t1Vals[tradeId].Ytm - t0Vals[tradeId].Ytm) * bond.Notional;
var pnlConverixy = 0.5 * Math.Pow(t1Vals[tradeId].Ytm - t0Vals[tradeId].Ytm, 2.0) * t0Vals[tradeId].DollarConvexity / 100.0;
var explainedPriceImpact = pnlPv01 + zSpreadPnl + pnlConverixy + pnlTime;
var pnl = new BondPnLResult(tPv, t1Pv, pnlTime: pnlTime, t1Cf: t1cf, pnlPv01: pnlPv01, pnlZspread: zSpreadPnl, pnlCarry: pnlCarry, pnlRolldown: pnlRolldown,
pnlDuration: pnlDuration, pnlConvexity: pnlConverixy);
ret[tradeId + "durationConvexity"] = pnl;
}
if (tradeInfo is BondFuturesInfo)
{
var tPv = t0Vals[tradeId].DirtyPrice;
var t1Pv = t1Vals[tradeId].DirtyPrice;
//curve pnl
var pnlPv01 =
ret.ContainsKey(tradeId) && ret[tradeId].YieldCurvePnL.Count > 0
? ret[tradeId].YieldCurvePnL.First().Value.Sum(x => x.Risk)
: 0.0;
//zspread pnl from CTD, converted to future equivalen t
var zspreadT0 = t0Vals[tradeId].ZeroSpread;
var zspreadT1 = t1Vals[tradeId].ZeroSpread;
var zspreadPnl = (zspreadT1 - zspreadT0) * curveMoveScaling * t0Vals[tradeId].ZeroSpreadDelta;
//basis pnl from CTD/cf - Future
var basisT0 = t0Vals[tradeId].Basis;
var basisT1 = t1Vals[tradeId].Basis;
var bondFut = XlManager.GetTrade(tradeId) as BondFuturesInfo;
var futPosScaling = 1.0 / 100.0 * bondFut.Notional;
var basisPnL = (basisT1 - basisT0) * futPosScaling;
//convexity pnl from CTD
var ctdId = t0Vals[tradeId].CheapestToDeliver;
var pnlConvexity = 0.0;
var bondMktData = t0Mkt.BondPrices[ctdId];
if (bondMktData != null)
{
var ctdCleanPriceT0 = bondMktData.CleanPrice;
var ctdInfo = bondFut.DeliverableBondInfos.Where(x => x.BondId == ctdId).First();
var ctdResultT0 = XlUdf.BondEngineCalc(ctdId, t0Mkt.ReferenceDate.ToString(),
PriceQuoteType.Clean, ctdCleanPriceT0, PricingRequest.DirtyPrice,
fixedBond: ctdInfo) as PricingResult;
pnlConvexity = 0.5 * Math.Pow(t1Vals[tradeId].Ytm - t0Vals[tradeId].Ytm, 2.0) * t0Vals[tradeId].DollarConvexity / 100.0;
}
//time pnl from CTD
var timePnL = t0ValsRolledForward[tradeId].UnderlyingPv - t0Vals[tradeId].UnderlyingPv;
var pnl = new BondFuturesPnLResult(tPv, t1Pv, pnlPv01: pnlPv01, pnlZspread: zspreadPnl, pnlBasis: basisPnL,
pnlTime: timePnL, pnlConvexity: pnlConvexity, curveRisks: null);
ret[tradeId] = pnl;
}
if (tradeInfo is VanillaOptionInfo || tradeInfo is BinaryOptionInfo || GetTrade(tradeId) is BarrierOptionInfo || tradeInfo is AsianOptionInfo)
{
OptionValuationParameters valuationParameters = null;
Date exerciseDate = null;
double strike = 0.0;
var trade = tradeInfo as OptionInfoBase;
valuationParameters = trade.ValuationParamter;
TradeUtil.GenerateOptionDates(trade, out Date[] exerciseDates, out Date[] obsDates, out DayGap settlementGap);
public override BinaryOption GenerateInstrument()
{
var startDate = TradeInfo.StartDate.ToDate();
var maturityDate = TradeInfo.UnderlyingMaturityDate.ToDate();
TradeUtil.GenerateOptionDates(TradeInfo, out Date[] exerciseDates, out Date[] obsDates, out DayGap settlementGap);