private double[] GetGridTimes(BondFutures bondFuture, IMarketCondition market)
{
var begin = 0.0;
var end = bondFuture.DayCount.CalcDayCountFraction(market.ValuationDate, bondFuture.UnderlyingMaturityDate);
var grids = new[] { begin, end, end + (end - begin) / _steps };
if (_steps == 0)
{
return(grids);
}
else
{
var newGrids = new List <double>();
var dtMax = (grids.Last() - grids[0]) / (_steps + 1);
newGrids.Add(grids[0]);
for (var i = 1; i < grids.Length; ++i)
{
begin = grids[i - 1];
end = grids[i];
var n = (int)((end - begin) / dtMax + 0.5);
if (n == 0)
{
n = 1;
}
var dt = (end - begin) / n;
for (var j = 1; j <= n; ++j)
{
newGrids.Add(begin + j * dt);
}
}
return(newGrids.ToArray());
}
}
private PricingRequest CheckParameterCondition(BondFutures bondFuture, IMarketCondition market, PricingRequest request)
{
var pricingRequest = request;
var tfId = bondFuture.Id;
var bondIds = bondFuture.Deliverables.Select(x => x.Id).ToArray();
var treasuryIds = bondIds.Select(x => tfId + "_" + x).ToArray();
var mktQuotes = market.MktQuote.Value;
if (mktQuotes != null && mktQuotes.Count > 0)
{
var tfHasValue = mktQuotes.ContainsKey(tfId);
var bondHasValue = bondIds.Select(x => mktQuotes.ContainsKey(x)).Count(y => y) > 0;
var treasuryHasValue = treasuryIds.Select(x => mktQuotes.ContainsKey(x)).Count(y => y) > 0;
if (request == PricingRequest.All)
{
if (tfHasValue && bondHasValue)
{
pricingRequest = PricingRequest.Irr;
}
else if (bondHasValue && treasuryHasValue)
{
pricingRequest = PricingRequest.FairQuote;
}
else if (tfHasValue && treasuryHasValue)
{
pricingRequest = PricingRequest.UnderlyingFairQuote;
}
}
}
return(pricingRequest);
}
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]);
}
}
}
private Dictionary <string, double> CalcConvertFactors(BondFutures bondFuture, IMarketCondition market)
{
var bonds = bondFuture.Deliverables;
var cfs = new Dictionary <string, double>();
foreach (var bond in bonds)
{
var cf = bondFuture.GetConversionFactor(bond, market);
cfs.Add(bond.Id, cf);
}
return(cfs);
}
private double CalcPv(BondFutures bondFuture, IMarketCondition market)
{
var discountCurve = market.DiscountCurve.Value;
var dayCount = bondFuture.DayCount;
var tree = _interestRateModel.Tree(GetGridTimes(bondFuture, market), 0.0, discountCurve);
var deliveryTime = dayCount.CalcDayCountFraction(market.ValuationDate, bondFuture.UnderlyingMaturityDate);
var indexAtDelivery = tree.IndexAtT(deliveryTime);
var bonds = bondFuture.Deliverables;
var ais = bonds.Select(x => x.GetAccruedInterest(bondFuture.UnderlyingMaturityDate, market, true)).ToArray();
var conversionFactors = bonds.Select(x => bondFuture.GetConversionFactor(x, market)).ToArray();
var zeroSpreads =
bonds.Select((bond, i) => BondPricingFunctions.ZeroSpread(bond, market)
).ToArray();
var nNodesAtDelivery = tree.TrinomialTree.Branchings[indexAtDelivery].Size;
var futurePricesAtDelivery = new double[nNodesAtDelivery];
for (var j = 0; j < nNodesAtDelivery; ++j)
{
var simulationRate = tree.ShortRate(indexAtDelivery, j);
var bondPrices = bonds
.Select((x, i) =>
{
var cfs = x.GetCashflows(market).Where(cf => cf.PaymentDate > bondFuture.UnderlyingMaturityDate).ToArray();
var bPrice = 0.0;
foreach (var cf in cfs)
{
var T = dayCount.CalcDayCountFraction(market.ValuationDate, cf.PaymentDate);
var P = tree.DiscountBond(deliveryTime, T, simulationRate);
var rate = discountCurve.Compound.CalcRateFromDf(P, T - deliveryTime);
var df = 1.0 / discountCurve.Compound.CalcCompoundRate(T - deliveryTime, rate + zeroSpreads[i]);
bPrice += cf.PaymentAmount * df;
}
return(bPrice);
}).ToArray();
var futurePricesAtNodes = bondPrices
.Select((price, k) => price - ais[k])
.Select((cleanPrice, k) => cleanPrice / conversionFactors[k]).ToList();
futurePricesAtDelivery[j] = futurePricesAtNodes.Min();
}
return(tree.ReverseInduction(null, null, indexAtDelivery, futurePricesAtDelivery, false)[0][0]);
}
//only used if we switch from CTD model to basket model
private double CalcDv01(BondFutures bondFuture, IMarketCondition market)
{
var discountCurve = market.DiscountCurve.Value;
var dayCount = bondFuture.DayCount;
var tree = _interestRateModel.Tree(GetGridTimes(bondFuture, market), 0.0, discountCurve);
var deliveryTime = dayCount.CalcDayCountFraction(market.ValuationDate, bondFuture.UnderlyingMaturityDate);
var bonds = bondFuture.Deliverables;
var ais = bonds.Select(x => x.GetAccruedInterest(bondFuture.UnderlyingMaturityDate, market, true)).ToArray();
var conversionFactors = bonds.Select(x => bondFuture.GetConversionFactor(x, market)).ToArray();
var zeroSpreads =
bonds.Select((bond, i) =>
BondPricingFunctions.ZeroSpread(bond, market)
).ToArray();
var simulationRate = tree.ShortRate(0, 0);
var bondPrices = bonds
.Select((x, i) =>
{
var cfs = x.GetCashflows(market).Where(cf => cf.PaymentDate > bondFuture.UnderlyingMaturityDate).ToArray();
var bPrice = 0.0;
foreach (var cf in cfs)
{
var T = dayCount.CalcDayCountFraction(market.ValuationDate, cf.PaymentDate);
var P = tree.DiscountBond(deliveryTime, T, simulationRate);
var rate = discountCurve.Compound.CalcRateFromDf(P, T - deliveryTime);
var df = 1.0 / discountCurve.Compound.CalcCompoundRate(T - deliveryTime, rate + zeroSpreads[i]);
bPrice += cf.PaymentAmount * df;
}
return(bPrice);
}).ToArray();
var futurePrices = bondPrices
.Select((price, k) => price - ais[k])
.Select((cleanPrice, k) => cleanPrice / conversionFactors[k]).ToList();
var futurePrice = futurePrices.Min();
var index = futurePrices.FirstIndexOf(x => (x - futurePrice).IsAlmostZero());
var ctdBond = bonds[index];
var ctdBondPrice = market.MktQuote.Value[ctdBond.Id];
return
(new BondEngine().Calculate(ctdBond, market, PricingRequest.Dv01).Dv01);
}
private Dictionary <string, Dictionary <string, RateRecord> > CalcMktFuturePrice(BondFutures bondFuture, IMarketCondition market)
{
var psDict = new Dictionary <string, Dictionary <string, RateRecord> >();
var fundingCurve = market.RiskfreeCurve.HasValue
? market.RiskfreeCurve.Value
: YieldCurve.GetConstRateCurve(market.DiscountCurve.Value, 0.0);
var reinvestmentCurve = market.DiscountCurve.HasValue
? market.DiscountCurve.Value
: YieldCurve.GetConstRateCurve(market.RiskfreeCurve.Value, 0.0);
var bonds = bondFuture.Deliverables;
var length = bonds.Length;
var aiAtStart = bonds.Select(x => x.GetAccruedInterest(market.ValuationDate, market, false)).ToArray();
var aiAtEnd = bonds.Select(x => x.GetAccruedInterest(bondFuture.UnderlyingMaturityDate, market, false)).ToArray();
var cf = bonds.Select(x => bondFuture.GetConversionFactor(x, market)).ToArray();
var coupons = new double[length];
var timeWeightedCoupon = new double[length];
var couponsAccruedByReinvestment = new double[length];
for (var i = 0; i < length; ++i)
{
var bond = bonds[i];
var cashflows = bond.GetCashflows(market, false).Where(x => x.PaymentDate > market.ValuationDate && x.PaymentDate <= bondFuture.UnderlyingMaturityDate).ToArray();
if (cashflows.Any())
{
coupons[i] = cashflows.Sum(x => x.PaymentAmount);
timeWeightedCoupon[i] = cashflows.Sum(x => x.PaymentAmount * bondFuture.DayCount.CalcDayCountFraction(x.PaymentDate, bondFuture.UnderlyingMaturityDate));
couponsAccruedByReinvestment[i] = cashflows.Sum(x => x.PaymentAmount * (reinvestmentCurve.GetCompoundedRate2(x.PaymentDate, bondFuture.UnderlyingMaturityDate) - 1.0));
}
else
{
coupons[i] = 0.0;
timeWeightedCoupon[i] = 0.0;
couponsAccruedByReinvestment[i] = 0.0;
}
}
var interestIncome = bonds.Select((x, i) => aiAtEnd[i] - aiAtStart[i] + coupons[i] + couponsAccruedByReinvestment[i]).ToArray();
//var interestIncome = bonds.Select((x, i) => aiAtEnd[i] - aiAtStart[i] + coupons[i]).ToArray();
var dirtyPrice = new double[length];
var cleanPrice = new double[length];
var ytm = new double[length];
var modifiedDuration = new double[length];
var bondEngine = new BondEngine();
for (var i = 0; i < length; ++i)
{
var bResult = bondEngine.Calculate(bonds[i], market, PricingRequest.Ytm | PricingRequest.ModifiedDuration);
dirtyPrice[i] = bResult.DirtyPrice;
cleanPrice[i] = bResult.CleanPrice;
ytm[i] = bResult.Ytm;
}
var interestCostRate = fundingCurve.GetCompoundedRate2(market.ValuationDate, bondFuture.UnderlyingMaturityDate) - 1.0;
var interestCost = dirtyPrice.Select(x => x * interestCostRate).ToArray();
var futurePrice = new double[length];
var irr = new double[length];
var basis = new double[length];
var pnl = new double[length];
var netBasis = new double[length];
var invoicePrice = new double[length];
var margin = new double[length];
var spread = new double[length];
var fundingRate = fundingCurve.GetSpotRate(0.0);
var compoundedRate = fundingCurve.GetCompoundedRate2(market.ValuationDate, bondFuture.UnderlyingMaturityDate);
var bondPricesCompounedByFunding = bonds.Select((x, i) => dirtyPrice[i] * compoundedRate).ToArray();
for (var i = 0; i < bonds.Length; ++i)
{
futurePrice[i] = (bondPricesCompounedByFunding[i] - aiAtEnd[i] - coupons[i]) / cf[i];
var newMarket =
market.UpdateCondition(
new UpdateMktConditionPack <Dictionary <string, Tuple <PriceQuoteType, double> > >(x => x.MktQuote,
market.MktQuote.Value.UpdateKey(bondFuture.Id, Tuple.Create(PriceQuoteType.Dirty, futurePrice[i]))));
var yieldPricer = new BondFuturesYieldPricer(bondFuture, newMarket);
var tmpResult = yieldPricer.CalcEquation("FromFuturesPriceAndBondPrice");
invoicePrice[i] = tmpResult["InvoicePrice"][bonds[i].Id].Rate;
margin[i] = tmpResult["Margin"][bonds[i].Id].Rate;
basis[i] = tmpResult["Basis"][bonds[i].Id].Rate;
pnl[i] = tmpResult["PnL"][bonds[i].Id].Rate;
netBasis[i] = tmpResult["NetBasis"][bonds[i].Id].Rate;
irr[i] = tmpResult["Irr"][bonds[i].Id].Rate;
spread[i] = irr[i] - fundingRate;
}
psDict["FuturesPrice"] = futurePrice.Select((x, i) => Tuple.Create(bonds[i].Id, new RateRecord {
Rate = x
})).ToDictionary(x => x.Item1, x => x.Item2);
psDict["BondDirtyPrice"] = dirtyPrice.Select((x, i) => Tuple.Create(bonds[i].Id, new RateRecord {
Rate = x
})).ToDictionary(x => x.Item1, x => x.Item2);
psDict["BondCleanPrice"] = cleanPrice.Select((x, i) => Tuple.Create(bonds[i].Id, new RateRecord {
Rate = x
})).ToDictionary(x => x.Item1, x => x.Item2);
psDict["BondYieldToMaturity"] = ytm.Select((x, i) => Tuple.Create(bonds[i].Id, new RateRecord {
Rate = x
})).ToDictionary(x => x.Item1, x => x.Item2);
psDict["ConversionFactor"] = cf.Select((x, i) => Tuple.Create(bonds[i].Id, new RateRecord {
Rate = x
})).ToDictionary(x => x.Item1, x => x.Item2);
psDict["AiStart"] = aiAtStart.Select((x, i) => Tuple.Create(bonds[i].Id, new RateRecord {
Rate = x
})).ToDictionary(x => x.Item1, x => x.Item2);
psDict["AiEnd"] = aiAtEnd.Select((x, i) => Tuple.Create(bonds[i].Id, new RateRecord {
Rate = x
})).ToDictionary(x => x.Item1, x => x.Item2);
psDict["Coupon"] = coupons.Select((x, i) => Tuple.Create(bonds[i].Id, new RateRecord {
Rate = x
})).ToDictionary(x => x.Item1, x => x.Item2);
psDict["InterestIncome"] = interestIncome.Select((x, i) => Tuple.Create(bonds[i].Id, new RateRecord {
Rate = x
})).ToDictionary(x => x.Item1, x => x.Item2);
psDict["InterestCost"] = interestCost.Select((x, i) => Tuple.Create(bonds[i].Id, new RateRecord {
Rate = x
})).ToDictionary(x => x.Item1, x => x.Item2);
psDict["PnL"] = pnl.Select((x, i) => Tuple.Create(bonds[i].Id, new RateRecord {
Rate = x
})).ToDictionary(x => x.Item1, x => x.Item2);
psDict["InvoicePrice"] = invoicePrice.Select((x, i) => Tuple.Create(bonds[i].Id, new RateRecord {
Rate = x
})).ToDictionary(x => x.Item1, x => x.Item2);
psDict["Margin"] = margin.Select((x, i) => Tuple.Create(bonds[i].Id, new RateRecord {
Rate = x
})).ToDictionary(x => x.Item1, x => x.Item2);
psDict["Spread"] = spread.Select((x, i) => Tuple.Create(bonds[i].Id, new RateRecord {
Rate = x
})).ToDictionary(x => x.Item1, x => x.Item2);
psDict["Irr"] = irr.Select((x, i) => Tuple.Create(bonds[i].Id, new RateRecord {
Rate = x
})).ToDictionary(x => x.Item1, x => x.Item2);
psDict["Basis"] = basis.Select((x, i) => Tuple.Create(bonds[i].Id, new RateRecord {
Rate = x
})).ToDictionary(x => x.Item1, x => x.Item2);
psDict["NetBasis"] = netBasis.Select((x, i) => Tuple.Create(bonds[i].Id, new RateRecord {
Rate = x
})).ToDictionary(x => x.Item1, x => x.Item2);
psDict["ModifiedDuration"] = modifiedDuration.Select((x, i) => Tuple.Create(bonds[i].Id, new RateRecord {
Rate = x
})).ToDictionary(x => x.Item1, x => x.Item2);
psDict["TimeWeightedCoupon"] = timeWeightedCoupon.Select((x, i) => Tuple.Create(bonds[i].Id, new RateRecord {
Rate = x
})).ToDictionary(x => x.Item1, x => x.Item2);
return(psDict);
}
public override IPricingResult Calculate(BondFutures bondFuture, IMarketCondition market, PricingRequest request)
{
var beginValuation = DateTime.Now;
var pricingRequest = CheckParameterCondition(bondFuture, market, request);
//if (result.IsRequested(PricingRequest.Dv01))
//{
// result.Dv01 = CalcDv01(bondFuture, market);
//}
var result = new PricingResult(market.ValuationDate, pricingRequest);
//if (result.IsRequested(PricingRequest.Pv))
//{
// result.Pv = CalcPv(bondFuture, market);
//}
if (result.IsRequested(PricingRequest.DirtyPrice))
{
result.DirtyPrice = market.MktQuote.Value.Where(x => x.Key == bondFuture.Id).Select(x => x.Value.Item2).First() * bondFuture.Notional / 100;
}
if (result.IsRequested(PricingRequest.ConvertFactors))
{
result.ConvertFactors = CalcConvertFactors(bondFuture, market);
}
if (result.IsRequested(PricingRequest.Irr) || result.IsRequested(PricingRequest.Pv01) ||
result.IsRequested(PricingRequest.KeyRateDv01) ||
result.IsRequested(PricingRequest.ZeroSpread) || result.IsRequested(PricingRequest.ZeroSpreadDelta) ||
result.IsRequested(PricingRequest.UnderlyingPv) || result.IsRequested(PricingRequest.Basis) ||
result.IsRequested(PricingRequest.Convexity) || result.IsRequested(PricingRequest.Ytm) ||
result.IsRequested(PricingRequest.CheapestToDeliver) ||
result.IsRequested(PricingRequest.ModifiedDuration) || result.IsRequested(PricingRequest.MacDuration)
)
{
//TODO: wierd update logic, why bother?
var mktQuote = market.MktQuote.Value.Keys.Where(quoteKey => !quoteKey.Contains(bondFuture.Id + "_")).ToDictionary(quoteKey => quoteKey, quoteKey => market.MktQuote.Value[quoteKey]);
var updateMarket = market.UpdateCondition(new UpdateMktConditionPack <Dictionary <string, Tuple <PriceQuoteType, double> > >(x => x.MktQuote, mktQuote));
var yieldPricer = new BondFuturesYieldPricer(bondFuture, updateMarket);
//calculate convert factors
if (!result.ConvertFactors.Any())
{
result.ConvertFactors = CalcConvertFactors(bondFuture, market);
}
var convertFactors = result.ConvertFactors;
//calculate IRR
result.ProductSpecific = yieldPricer.CalcEquation("FromFuturesPriceAndBondPrice");
//calculate pv01
var maxIrr = result.ProductSpecific["Irr"].Values.Select(x => x.Rate).Max();
var ctdBondId = result.ProductSpecific["Irr"].First(x => x.Value.Rate == maxIrr).Key;
var ctdBond = bondFuture.Deliverables.First(x => x.Id == ctdBondId);
var cf = convertFactors[ctdBondId];
var scaling = bondFuture.Notional / (100.0 * cf);
var engine = new BondEngineCn();
result.CheapestToDeliver = ctdBondId;
//two risks here are CTD risk, not bond futures risk
var resultCTD = engine.Calculate(ctdBond, market, PricingRequest.All);
result.ZeroSpread = resultCTD.ZeroSpread;
result.UnderlyingPv = resultCTD.Pv * scaling;
result.Basis = yieldPricer.CalcFutureCtdBasis(ctdBond, cf);
result.Ytm = resultCTD.Ytm;
result.MacDuration = resultCTD.MacDuration;
result.ModifiedDuration = resultCTD.ModifiedDuration;
result.Convexity = resultCTD.Convexity;
result.DollarConvexity = resultCTD.DollarConvexity * scaling; // 1% price impact
result.DollarModifiedDuration = resultCTD.DollarModifiedDuration * scaling; // same order of magnitutude of CTD dollar modifiedDuration, good for pnl attribution
//convert to bond futures risk
result.Pv01 = resultCTD.Pv01 * scaling; // underlying pv01 is
foreach (var kvp in resultCTD.KeyRateDv01)
{
foreach (var risk in kvp.Value)
{
risk.Risk *= scaling;
}
}
result.KeyRateDv01 = resultCTD.KeyRateDv01;
result.ZeroSpreadDelta = resultCTD.ZeroSpreadDelta * scaling;
}
if (result.IsRequested(PricingRequest.FairQuote))
{
var mktQuote = market.MktQuote.Value.Keys.Where(quoteKey => !quoteKey.Equals(bondFuture.Id)).ToDictionary(quoteKey => quoteKey, quoteKey => market.MktQuote.Value[quoteKey]);
var updateMarket = market.UpdateCondition(new UpdateMktConditionPack <Dictionary <string, Tuple <PriceQuoteType, double> > >(x => x.MktQuote, mktQuote));
var yieldPricer = new BondFuturesYieldPricer(bondFuture, updateMarket);
result.ProductSpecific = yieldPricer.CalcEquation("FromBondPriceAndIrr");
}
if (result.IsRequested(PricingRequest.MktQuote))
{
result.ProductSpecific = CalcMktFuturePrice(bondFuture, market);
}
if (result.IsRequested(PricingRequest.UnderlyingFairQuote))
{
var mktQuote = market.MktQuote.Value.Keys.Where(quoteKey => quoteKey.Contains(bondFuture.Id)).ToDictionary(quoteKey => quoteKey, quoteKey => market.MktQuote.Value[quoteKey]);
var updateMarket = market.UpdateCondition(new UpdateMktConditionPack <Dictionary <string, Tuple <PriceQuoteType, double> > >(x => x.MktQuote, mktQuote));
var yieldPricer = new BondFuturesYieldPricer(bondFuture, updateMarket);
result.ProductSpecific = yieldPricer.CalcEquation("FromFuturesPriceAndIrr");
}
var endValuation = DateTime.Now;
result.CalcTimeInMilliSecond = (endValuation - beginValuation).TotalMilliseconds;
return(result);
}
public BondFuturesYieldPricer(BondFutures bondFuture, IMarketCondition market)
{
_qbBondEngine = new BondEngineCn(new BondYieldPricerCn());
_bondFuture = bondFuture;
_market = market;
}