public OISSpreadRepoGenerator(double onRate, string market, DateTime settle, DiscountCurve oisCurve) : base(onRate, market, settle)
{
this.oisCurve = oisCurve;
country = (BondAnalytics.Country)Enum.Parse(typeof(BondAnalytics.Country), market);
var startdate = CarbonModel.RollDate(settle, 1, DateUnit.Bd, BusinessDayConvention.Following, Calendar.Calendar.OTHolidayCode(country));
DateTime[] discDfDates = oisCurve.AsTuples().Select(x => x.Item1).ToArray();
double[] discDfs = oisCurve.AsTuples().Select(x => x.Item2).ToArray();
repoShift = onRate - BondAnalytics.CalcMMS(startdate, startdate, BondAnalytics.DayCountType.I30360, 12, 12, discDfDates, discDfs, discDfDates, discDfs,
null, null, null, null, null, null, DateTime.MinValue, 0) * 10000;
}
public static double CalcMeasure(CalcMeasure Measure, double price, BondAnalytics.Country eCountry,
//DateTime asof,
DateTime settle, DiscountCurve discCurve, DiscountCurve fcstCurve, DateTime effectiveDate, DateTime maturity, DateTime firstCpnDate, double coupon, long bondCpnFreq, bool bOIS, BondAnalytics.DayCountType dct, long swapFixedFreq, long swapFloatFreq, List<DateTime> hols)
//----------------------------------------------------------------------------------------
{
double output = double.NaN;
switch (Measure)
{
case Analytics.CalcMeasure.Price:
{
output = price;
break;
}
case Analytics.CalcMeasure.Yield:
{
output = 10000.0*BondAnalytics.SolveYield(eCountry, settle, price, effectiveDate, firstCpnDate, maturity, coupon, bondCpnFreq)[0];
break;
}
case Analytics.CalcMeasure.TrueSpread:
{
DateTime[] dfDates = (bOIS ? discCurve.AsTuples().Select(x => x.Item1).ToArray() : fcstCurve.AsTuples().Select(x => x.Item1).ToArray());
double[] dfs = (bOIS ? discCurve.AsTuples().Select(x => x.Item2).ToArray() : fcstCurve.AsTuples().Select(x => x.Item2).ToArray());
// Check. Sometimes (holidays) the first date on the curve can be repeated, which will cause an exception in the pricer.
if (dfDates[0] == dfDates[1])
{
dfDates = dfDates.GetSubArray(1, dfDates.GetLength(0)).ToArray();
dfs = dfs.GetSubArray(1, dfs.GetLength(0)).ToArray();
}
output = -10000.0*BondAnalytics.SolveZSpread(eCountry, settle, price, effectiveDate, firstCpnDate, maturity, coupon, bondCpnFreq, dfDates, dfs, hols);
break;
}
case Analytics.CalcMeasure.MMS:
{
DateTime[] discDfDates = discCurve.AsTuples().Select(x => x.Item1).ToArray();
DateTime[] fcstDfDates = (bOIS ? discCurve.AsTuples().Select(x => x.Item1).ToArray() : fcstCurve.AsTuples().Select(x => x.Item1).ToArray());
double[] discDfs = discCurve.AsTuples().Select(x => x.Item2).ToArray();
double[] fcstDfs = (bOIS ? discCurve.AsTuples().Select(x => x.Item2).ToArray() : fcstCurve.AsTuples().Select(x => x.Item2).ToArray());
double mms = BondAnalytics.CalcMMS(settle, maturity, dct, swapFixedFreq, swapFloatFreq, discDfDates, discDfs, fcstDfDates, fcstDfs, hols, null, null, null, null, null, firstCpnDate, (bOIS ? 5 : 0));
output = 10000.0*mms;
break;
}
case Analytics.CalcMeasure.Spread:
{
DateTime[] discDfDates = discCurve.AsTuples().Select(x => x.Item1).ToArray();
DateTime[] fcstDfDates = (bOIS ? discCurve.AsTuples().Select(x => x.Item1).ToArray() : fcstCurve.AsTuples().Select(x => x.Item1).ToArray());
double[] discDfs = discCurve.AsTuples().Select(x => x.Item2).ToArray();
double[] fcstDfs = (bOIS ? discCurve.AsTuples().Select(x => x.Item2).ToArray() : fcstCurve.AsTuples().Select(x => x.Item2).ToArray());
double mms = BondAnalytics.CalcMMS(settle, maturity, dct, swapFixedFreq, swapFloatFreq, discDfDates, discDfs, fcstDfDates, fcstDfs, hols, null, null, null, null, null, firstCpnDate, (bOIS ? 5 : 0));
double yield = BondAnalytics.SolveYield(eCountry, settle, price, effectiveDate, firstCpnDate, maturity, coupon, bondCpnFreq)[0];
output = 10000.0*(mms - yield);
break;
}
}
return output;
}
//----------------------------------------------------------------------------------------
public static double calcMeasure( string Measure,
double price,
BondAnalytics.Country eCountry,
DateTime asof,
DateTime settle,
DiscountCurve discCurve,
DiscountCurve fcstCurve,
BondStatic bondStatic,
SpreadTimeSeriesConfigs configs,
List<DateTime> hols)
//----------------------------------------------------------------------------------------
{
DateTime effectiveDate = DateTime.FromOADate( bondStatic.EffectiveDate);
DateTime maturity = DateTime.FromOADate( bondStatic.Maturity);
DateTime firstCpnDate = DateTime.FromOADate(bondStatic.FirstCoupon);
double coupon = bondStatic.Coupon;
long bondCpnFreq = configs.bndCouponFreq;
bool bOIS = !configs.bForecastCurve;
BondAnalytics.DayCountType dct = configs.dct;
long fixedFreq = configs.swpfixfreq;
long floatFreq = configs.swpfloatfreq;
double output = double.NaN;
switch (Measure)
{
case "Price":
{
output= price;
break;
}
case "Yield":
{
output= 10000.0 * BondAnalytics.SolveYield(eCountry, settle, price, effectiveDate, firstCpnDate, maturity, coupon, bondCpnFreq)[0];
break;
}
case "TrueSpread":
{
DateTime[] dfDates = (bOIS ? discCurve.AsTuples().Select(x => x.Item1).ToArray() : fcstCurve.AsTuples().Select(x => x.Item1).ToArray());
double[] dfs = (bOIS ? discCurve.AsTuples().Select(x => x.Item2).ToArray() : fcstCurve.AsTuples().Select(x => x.Item2).ToArray());
// Check. Sometimes (holidays) the first date on the curve can be repeated, which will cause an exception in the pricer.
if (dfDates[0] == dfDates[1])
{
dfDates = dfDates.GetSubArray(1, dfDates.GetLength(0)).ToArray();
dfs = dfs.GetSubArray(1, dfs.GetLength(0)).ToArray();
}
output= -10000.0 * BondAnalytics.SolveZSpread(eCountry, settle, price, effectiveDate, firstCpnDate, maturity, coupon, bondCpnFreq, dfDates, dfs,hols );
break;
}
case "MMS":
{
DateTime[] discDfDates = discCurve.AsTuples().Select(x => x.Item1).ToArray();
DateTime[] fcstDfDates = (bOIS ? discCurve.AsTuples().Select(x => x.Item1).ToArray() : fcstCurve.AsTuples().Select(x => x.Item1).ToArray());
double[] discDfs = discCurve.AsTuples().Select(x => x.Item2).ToArray();
double[] fcstDfs =(bOIS ? discCurve.AsTuples().Select(x => x.Item2).ToArray() : fcstCurve.AsTuples().Select(x => x.Item2).ToArray());
double mms = BondAnalytics.CalcMMS(settle, maturity, dct, fixedFreq, floatFreq, discDfDates, discDfs, fcstDfDates, fcstDfs, hols, null, null, null, null, null, firstCpnDate, (bOIS ? 5 : 0));
output= 10000.0 * mms;
break;
}
case "Spread":
{
DateTime[] discDfDates = discCurve.AsTuples().Select(x => x.Item1).ToArray();
DateTime[] fcstDfDates = (bOIS ? discCurve.AsTuples().Select(x => x.Item1).ToArray() : fcstCurve.AsTuples().Select(x => x.Item1).ToArray());
double[] discDfs = discCurve.AsTuples().Select(x => x.Item2).ToArray();
double[] fcstDfs = (bOIS ? discCurve.AsTuples().Select(x => x.Item2).ToArray() : fcstCurve.AsTuples().Select(x => x.Item2).ToArray());
double mms = BondAnalytics.CalcMMS(settle, maturity, dct, fixedFreq, floatFreq, discDfDates, discDfs, fcstDfDates, fcstDfs, hols, null, null, null, null, null, firstCpnDate, (bOIS ? 5 : 0));
double yield = BondAnalytics.SolveYield(eCountry,settle ,price, effectiveDate, firstCpnDate, maturity, coupon, bondCpnFreq)[0];
output= 10000.0 * (mms - yield);
break;
}
}
return output;
}