public double PriceToYield()
{
var bond = new FixedDateCouonAdjustedBondInfo("313100015")
{
StartDate = "2015-03-23",
MaturityDate = "2018-11-17",
PaymentFrequency = "Quarterly",
Notional = 32000,
AccrualDayCount = "Act365",
AccrualBusinessDayConvention = "None",
DayCount = "Act365",
PaymentBusinessDayConvention = "None",
FirstPaymentDate = "2015-06-21",
Index = "Lrb5Y",
FloatingRateMultiplier = 0.9,
FixedDateCouponAdjustedStyle = "SpecifiedDates",
AdjustMmDd = "11-18",
AmoritzationInDate = new Dictionary <string, double>
{
{ "2015-06-20", 0.125 }, //percentage of initial Notional
{ "2015-12-20", 0.125 },
{ "2016-06-20", 0.125 },
{ "2016-12-20", 0.125 },
{ "2017-06-20", 0.125 },
{ "2017-12-20", 0.125 },
{ "2018-06-20", 0.125 },
{ "2018-11-17", 0.125 },
},
};
var bondVf = new BondVf(bond);
var result = bondVf.ValueTrade(_market, PricingRequest.Ytm);
return(result.Ytm);
}
public BondCalculator()
{
var bond = new FixedDateCouonAdjustedBondInfo("313100015")
{
StartDate = "2015-03-23",
MaturityDate = "2018-11-17",
PaymentFrequency = "Quarterly",
Notional = 32000,
AccrualDayCount = "Act365",
AccrualBusinessDayConvention = "None",
DayCount = "Act365",
PaymentBusinessDayConvention = "None",
FirstPaymentDate = "2015-06-21",
Index = "Lrb5Y",
FloatingRateMultiplier = 0.9,
FixedDateCouponAdjustedStyle = "SpecifiedDates",
AdjustMmDd = "11-18",
AmoritzationInDate = new Dictionary <string, double>
{
{ "2015-06-20", 0.125 }, //percentage of initial Notional
{ "2015-12-20", 0.125 },
{ "2016-06-20", 0.125 },
{ "2016-12-20", 0.125 },
{ "2017-06-20", 0.125 },
{ "2017-12-20", 0.125 },
{ "2018-06-20", 0.125 },
{ "2018-11-17", 0.125 },
},
};
_market = TestMarket("2015-03-23", new BondMktData(bond.TradeId, "Dirty", bond.Notional));
}
public void TestFixedDateCouponAdjustedBond1()
{
var bond = new FixedDateCouonAdjustedBondInfo("313100015")
{
StartDate = "2015-03-23",
MaturityDate = "2018-11-17",
PaymentFreq = "Quarterly",
Notional = 32000,
AccrualDC = "Act365",
AccrualBD = "None",
DayCount = "Act365",
PaymentBD = "None",
FirstPaymentDate = "2015-06-21",
Index = "Lrb5Y",
FloatingRateMultiplier = 0.9,
FixedDateCouponAdjustedStyle = "SpecifiedDates",
AdjustMmDd = "11-18",
AmoritzationInDate = new Dictionary <string, double>
{
{ "2015-06-20", 0.125 }, //percentage of initial Notional
{ "2015-12-20", 0.125 },
{ "2016-06-20", 0.125 },
{ "2016-12-20", 0.125 },
{ "2017-06-20", 0.125 },
{ "2017-12-20", 0.125 },
{ "2018-06-20", 0.125 },
{ "2018-11-17", 0.125 },
},
//Settlment = "+0BD",
//PaymentStub = "ShortEnd",
//Calendar = "chn_ib",
//Currency = "CNY",
//TradingMarket = "ChinaInterBank",
//IsZeroCouponBond = false,
//IssuePrice = 100,
//ValuationParamters = new SimpleCfValuationParameters("Fr007", "", "Fr007")
};
var marketInfo = TestMarket("2015-03-23", new BondMktData(bond.TradeId, "Dirty", bond.Notional));
var bondVf = new BondVf(bond);
var result = bondVf.ValueTrade(marketInfo, PricingRequest.Cashflow);
var expectedResults = new[]
{
"Coupon 459.9715 CNY@2015-06-20",
"Coupon 4.5222 CNY@2015-06-21",
"Coupon 416.0416 CNY@2015-09-21",
"Coupon 392.6367 CNY@2015-12-20",
"Coupon 3.4915 CNY@2015-12-21",
"Coupon 317.7271 CNY@2016-03-21",
"Coupon 317.7271 CNY@2016-06-20",
"Coupon 2.9096 CNY@2016-06-21",
"Coupon 267.6822 CNY@2016-09-21",
"Coupon 261.863 CNY@2016-12-20",
"Coupon 2.3277 CNY@2016-12-21",
"Coupon 209.4904 CNY@2017-03-21",
"Coupon 211.8181 CNY@2017-06-20",
"Coupon 1.7458 CNY@2017-06-21",
"Coupon 160.6093 CNY@2017-09-21",
"Coupon 157.1178 CNY@2017-12-20",
"Coupon 1.1638 CNY@2017-12-21",
"Coupon 104.7452 CNY@2018-03-21",
"Coupon 105.909 CNY@2018-06-20",
"Coupon 0.5819 CNY@2018-06-21",
"Coupon 53.5364 CNY@2018-09-21",
"Coupon 33.1693 CNY@2018-11-17",
"Principal 4000 CNY@2015-06-20",
"Principal 4000 CNY@2015-12-20",
"Principal 4000 CNY@2016-06-20",
"Principal 4000 CNY@2016-12-20",
"Principal 4000 CNY@2017-06-20",
"Principal 4000 CNY@2017-12-20",
"Principal 4000 CNY@2018-06-20",
"Principal 4000 CNY@2018-11-17",
};
for (var i = 0; i < result.Cashflows.Length; ++i)
{
Assert.AreEqual(result.Cashflows[i].ToString(), expectedResults[i]);
}
}
public void TestFixedDateCouponAdjustedBond2()
{
var bond = new FixedDateCouonAdjustedBondInfo("1141100129")
{
StartDate = "2015-03-23",
MaturityDate = "2018-04-24",
PaymentFreq = "Quarterly",
Notional = 4000,
AccrualDC = "Act365",
AccrualBD = "None",
DayCount = "Act365",
PaymentBD = "None",
FirstPaymentDate = "2015-06-21",
Index = "Lrb5Y",
FloatingRateMultiplier = 1.0,
FixedDateCouponAdjustedStyle = "Follow",
AdjustMmDd = "11-08",
AmoritzationInDate = new Dictionary <string, double>
{
{ "2015-05-18", 0.25 }, //percentage of initial Notional
{ "2015-11-19", 0.25 },
{ "2016-05-18", 0.5 }
},
//Settlment = "+0BD",
//PaymentStub = "ShortEnd",
//Calendar = "chn_ib",
//Currency = "CNY",
//TradingMarket = "ChinaInterBank",
//IsZeroCouponBond = false,
//IssuePrice = 100,
//ValuationParamters = new SimpleCfValuationParameters("Fr007", "", "Fr007")
};
var marketInfo = TestMarket("2015-03-23", new BondMktData(bond.TradeId, "Dirty", bond.Notional));
var bondVf = new BondVf(bond);
var result = bondVf.ValueTrade(marketInfo, PricingRequest.Cashflow);
var expectedResults = new[]
{
"Coupon 36.2082 CNY@2015-05-18",
"Coupon 16.4877 CNY@2015-06-21",
"Coupon 44.6137 CNY@2015-09-21",
"Coupon 28.611 CNY@2015-11-19",
"Coupon 10.3452 CNY@2015-12-21",
"Coupon 29.4192 CNY@2016-03-21",
"Coupon 18.7507 CNY@2016-05-18",
"Coupon 0 CNY@2016-06-21",
"Coupon 0 CNY@2016-09-21",
"Coupon 0 CNY@2016-12-21",
"Coupon 0 CNY@2017-03-21",
"Coupon 0 CNY@2017-06-21",
"Coupon 0 CNY@2017-09-21",
"Coupon 0 CNY@2017-12-21",
"Coupon 0 CNY@2018-03-21",
"Coupon 0 CNY@2018-04-24",
"Principal 1000 CNY@2015-05-18",
"Principal 1000 CNY@2015-11-19",
"Principal 2000 CNY@2016-05-18",
};
for (var i = 0; i < result.Cashflows.Length; ++i)
{
Assert.AreEqual(result.Cashflows[i].ToString(), expectedResults[i]);
}
}
