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); }