public void TestBondPriceConversions3()
{
var bond = new FixedRateBondInfo("bond1")
{
StartDate = "2010-10-28",
MaturityDate = "2020-10-28",
Notional = 100.0,
Currency = "CNY",
FixedCoupon = 0.0367,
Calendar = "chn",
PaymentFreq = "SemiAnnual",
PaymentStub = "ShortStart",
AccrualDC = "Act365NoLeap",
DayCount = "ModifiedAfb",
AccrualBD = "None",
PaymentBD = "None",
TradingMarket = "ChinaExShg",
Settlement = "+0BD",
ValuationParamters = new SimpleCfValuationParameters("Fr007", null, "Fr007")
};
var bondVf = new BondVf(bond);
var market = TestMarket("2016-08-04", new BondMktData(bond.TradeId, "Dirty", 100.995424657531));
var result = bondVf.ValueTrade(market, PricingRequest.Ytm);
Assert.AreEqual(Math.Round(result.Ytm, 15), 0.036663932289318, 1e-13);
}
public void TestConvertibleBondWhenCallOnMaturity()
{
var bond = new FixedRateBondInfo("110030.SH")
{
StartDate = "2014-12-25",
MaturityDate = "2019-12-25",
Notional = 100.0,
Currency = "CNY",
FixedCoupon = 0.006,
Calendar = "chn",
PaymentFreq = "Annual",
PaymentStub = "ShortStart",
AccrualDC = "Act365NoLeap",
DayCount = "ModifiedAfb",
AccrualBD = "None",
PaymentBD = "None",
TradingMarket = "ChinaExShg",
Settlement = "+0BD",
CompensationRate = new Dictionary <int, double>()
{
{ 2, 0.002 }, { 3, 0.002 }, { 4, 0.005 }, { 5, 0.005 }
},
ValuationParamters = new SimpleCfValuationParameters("Fr007", null, "Fr007"),
RedemptionRate = 1.06,
RedemptionIncludeLastCoupon = true
};
var bondVf = new BondVf(bond);
var market = TestMarket("2017-10-20", new BondMktData(bond.TradeId, "Dirty", 95.90891));
//var result = bondVf.ValueTrade(market, PricingRequest.Ytm);
XlManager.AddTrades(new TradeInfoBase[] { bond });
var ytm = XlUdf.xl_YieldFromPrice("110030.SH", "2017-10-20", 95.90891);
}
public void TestStepWiseCompensationRate()
{
//为什么没输入tradedate？应该有tradedate为交易属性
var bond = new FixedRateBondInfo("bond1")
{
StartDate = "2016-10-28",
MaturityDate = "2020-10-28",
Notional = 100.0, //trade
Currency = "CNY",
FixedCoupon = 0.0367,
Calendar = "chn",
PaymentFreq = "Annual", //付息频率
PaymentStub = "ShortStart", //instrument
AccrualDC = "ActActIsma", // 日期规则，应计利息
DayCount = "ModifiedAfb", // 收益率的日期规则
AccrualBD = "None", //应计利息 日期调整规则 instrument
PaymentBD = "None", //支付利息 日期调整规则
TradingMarket = "ChinaExShg", //交易市场
Settlement = "+0BD", //BD工作日， 后可以拿到交易的东西 instrument
CompensationRate = new Dictionary <int, double> // :
//补偿利率的意思是有些债券会根据年限的变化增长利息
//2，0.01是指第二年开始利率增加0.01
{
{ 2, 0.01 },
{ 3, 0.015 }
},
ValuationParamters = new SimpleCfValuationParameters("Fr007", null, "Fr007")
};
var bondVf = new BondVf(bond);
var market = TestMarket("2016-08-04", new BondMktData(bond.TradeId, "Dirty", 100.995424657531));
var result = bondVf.ValueTrade(market, PricingRequest.Cashflow);
var nettedCfs = result.Cashflows.GroupBy(cf => cf.PaymentDate)
.Select(item => new Cashflow(item.Min(x => x.AccrualStartDate), item.Max(x => x.AccrualEndDate), item.Key, item.Sum(entry => entry.PaymentAmount), item.First().PaymentCurrency, CashflowType.Coupon, item.Aggregate(true, (current, v) => current && v.IsFixed), double.NaN, item.Min(x => x.CalculationDetails), item.Min(x => x.RefStartDate), item.Max(x => x.RefEndDate), item.Max(entry => entry.StartPrincipal), item.Sum(entry => entry.CouponRate)))
.OrderBy(cf => cf.PaymentDate)
.ToArray();
Assert.AreEqual(nettedCfs[0].PaymentAmount, 3.67, 1e-3);
Assert.AreEqual(nettedCfs[1].PaymentAmount, 4.67, 1e-3);
Assert.AreEqual(nettedCfs[2].PaymentAmount, 6.17, 1e-3);
Assert.AreEqual(nettedCfs[3].PaymentAmount, 106.17, 1e-3);
//Date tradedate = new Date(2016, 11, 28);
//Date startdate = new Date(2016, 10, 28);
//Date maturitydate = new Date(2020, 10, 28);
//var bond_v2 = new V2.FixedRateBondInfo("bond1",tradedate, startdate,maturitydate, V2.TradeType.Buy, 100, 1000);
//var bond2s = CreateBonds();
//var singlebond = bond2s[0];
//var marketV2 = CreateTestMarket("2016-11-28", singlebond);
//IPricingResult ipResult = bond_v2.CalculateRisks(marketV2, PricingRequest.Cashflow);
//var nettedCfs2 = ipResult.Cashflows.GroupBy(cf => cf.PaymentDate)
// .Select(item => new Cashflow(item.Min(x => x.AccrualStartDate), item.Max(x => x.AccrualEndDate), item.Key, item.Sum(entry => entry.PaymentAmount), item.First().PaymentCurrency, CashflowType.Coupon, item.Aggregate(true, (current, v) => current && v.IsFixed), double.NaN, item.Min(x => x.CalculationDetails), item.Min(x => x.RefStartDate), item.Max(x => x.RefEndDate), item.Max(entry => entry.StartPrincipal), item.Sum(entry => entry.CouponRate)))
// .OrderBy(cf => cf.PaymentDate)
// .ToArray();
//string results = "0:" + nettedCfs2[0].PaymentAmount + "1:" + nettedCfs2[1].PaymentAmount +"2:" + nettedCfs2[2].PaymentAmount +"3:" + nettedCfs2[3].PaymentAmount; ;
//System.Diagnostics.Debugger.Log(2, "results", results);
}
public static object BondEngineCalc(string bondId, string calcDate, PriceQuoteType priceQuote, double quote, PricingRequest request, FixedRateBondInfo fixedBond = null)
{
var bond = fixedBond ?? XlManager.GetTrade(bondId);
if (bond == null)
{
return(string.Format("Cannot find bond {0}.", bondId));
}
var vf = new BondVf((BondInfoBase)bond);
var bondInstrument = vf.GenerateInstrument();
var valueDate = calcDate.ToDate();
var fixingCurve = new YieldCurve(
"中债国债收收益率曲线",
valueDate,
new[]
{
new Tuple <Date, double>(valueDate, 0.0),
new Tuple <Date, double>(new Term("10Y").Next(valueDate), 0.0)
},
BusinessDayConvention.ModifiedFollowing,
new Act365(),
CalendarImpl.Get("Chn_ib"),
CurrencyCode.CNY,
Compound.Continuous,
Interpolation.ForwardFlat,
YieldCurveTrait.ForwardCurve
);
var market = new MarketCondition(
x => x.ValuationDate.Value = valueDate,
x => x.FixingCurve.Value = fixingCurve,
x =>
x.MktQuote.Value =
new Dictionary <string, Tuple <PriceQuoteType, double> > {
{ bondId, Tuple.Create(priceQuote, quote) }
},
x => x.HistoricalIndexRates.Value = HistoricalIndexRates
);
if (bond is FloatingRateBondInfo)
{
var fixingTuple = bondInstrument.Coupon.GetPrimeCoupon(HistoricalIndexRates, fixingCurve, valueDate);
var keyTenors = new string[fixingCurve.GetKeyTenors().Length];
fixingCurve.GetKeyTenors().CopyTo(keyTenors, 0);
for (var i = 0; i < keyTenors.Length; ++i)
{
market = (MarketCondition)market.UpdateCondition(new UpdateMktConditionPack <IYieldCurve>(x => x.FixingCurve, market.FixingCurve.Value.BumpKeyRate(i, fixingTuple.Item2)));
}
if (request.Equals(PricingRequest.None))
{
return(fixingTuple);
}
}
var engine = vf.GenerateEngine();
var result = engine.Calculate(bondInstrument, market, request);
if (!result.Succeeded)
{
return(string.Format("Failed to Calculate bond {0}:{1}", bondId, result.ErrorMessage));
}
return(result);
}
/// <summary>
/// Return QDP bond qdp object.
/// </summary>
/// <param name="tradeId"></param>
/// <param name="startDate"></param>
/// <param name="maturityDate"></param>
/// <param name="notional"></param>
/// <param name="calendar"></param>
/// <param name="currency"></param>
/// <param name="accrualDayCount"></param>
/// <param name="accrualBusinessDayConvention"></param>
/// <param name="paymentDayCount"></param>
/// <param name="paymentFrequency"></param>
/// <param name="paymentStub"></param>
/// <param name="paymentBusinessDayConvention"></param>
/// <param name="settlement"></param>
/// <param name="settlementCoupon"></param>
/// <param name="issuePrice"></param>
/// <param name="firstPaymentDate"></param>
/// <param name="issueRate"></param>
/// <param name="amoritzationInIndex"></param>
/// <param name="renormalizeAfterAmoritzation"></param>
/// <param name="compensationRate"></param>
/// <param name="optionToCall"></param>
/// <param name="optionToPut"></param>
/// <param name="optionToAssPut"></param>
/// <param name="fixedCoupon"></param>
/// <param name="index"></param>
/// <param name="resetDayCount"></param>
/// <param name="resetCompound"></param>
/// <param name="resetStub"></param>
/// <param name="resetBusinessDayConvention"></param>
/// <param name="resetToFixingGap"></param>
/// <param name="resetTerm"></param>
/// <param name="resetAverageDays"></param>
/// <param name="resetRateDigits"></param>
/// <param name="spread"></param>
/// <param name="floatingRateMultiplier"></param>
/// <param name="stickToEom"></param>
/// <returns></returns>
private static object xl_Bond(
string tradeId,
string startDate = null,
string maturityDate = null,
double notional = 100,
string calendar = "chn_ib",
string currency = "CNY",
string accrualDayCount = "Act365",
string accrualBusinessDayConvention = "ModifiedFollowing",
string paymentDayCount = "Act365",
string paymentFrequency = "SemiAnnual",
string paymentStub = "ShortStart",
string paymentBusinessDayConvention = "ModifiedFollowing",
string settlement = "+0D",
double settlementCoupon = double.NaN,
double issuePrice = double.NaN,
string firstPaymentDate = null,
double issueRate = double.NaN,
Dictionary <int, double> amoritzationInIndex = null,
bool renormalizeAfterAmoritzation = false,
Dictionary <int, double> compensationRate = null,
Dictionary <string, double> optionToCall = null,
Dictionary <string, double> optionToPut = null,
Dictionary <string, double> optionToAssPut = null,
double fixedCoupon = double.NaN,
string index = null,
string resetDayCount = null,
string resetCompound = null,
string resetStub = null,
string resetBusinessDayConvention = null,
string resetToFixingGap = null,
string resetTerm = null,
int resetAverageDays = 1,
int resetRateDigits = 12,
double spread = double.NaN,
double floatingRateMultiplier = double.NaN,
bool stickToEom = false)
{
var tradeInfo = XlManager.GetTrade(tradeId);
if (!(tradeInfo is BondInfoBase))
{
startDate = startDate ?? DateTime.Now.ToString("yyyy-MM-dd");
maturityDate = maturityDate ?? new Term("1Y").Next(startDate.ToDate()).ToString();
BondInfoBase bondInfo = null;
if (string.IsNullOrWhiteSpace(index))
{
bondInfo = new FixedRateBondInfo(tradeId)
{
FixedCoupon = double.IsNaN(fixedCoupon) ? 0.03 : fixedCoupon
};
}
else
{
bondInfo = new FloatingRateBondInfo(tradeId)
{
Index = index ?? "Shibor3M",
ResetDC = resetDayCount ?? "Act365",
ResetCompound = resetCompound ?? "Simple",
ResetStub = resetStub ?? "ShortStart",
ResetBD = resetBusinessDayConvention ?? "ModifiedFollowing",
ResetToFixingGap = resetToFixingGap ?? "-1BD",
ResetTerm = resetTerm ?? "3M",
Spread = double.IsNaN(spread) ? 0.0 : spread,
ResetAverageDays = resetAverageDays,
ResetRateDigits = resetRateDigits,
FloatingRateMultiplier = double.IsNaN(floatingRateMultiplier) ? 1.0 : floatingRateMultiplier,
FloatingCalc = "ZzFrn",
CapRate = 100,
FloorRate = -100
};
}
bondInfo.StartDate = startDate;
bondInfo.MaturityDate = maturityDate;
bondInfo.Calendar = calendar;
bondInfo.PaymentFreq = paymentFrequency;
bondInfo.StickToEom = stickToEom;
bondInfo.PaymentStub = paymentStub;
bondInfo.Notional = notional;
bondInfo.Currency = currency;
bondInfo.AccrualDC = accrualDayCount;
bondInfo.DayCount = paymentDayCount;
bondInfo.AccrualBD = accrualBusinessDayConvention;
bondInfo.PaymentBD = paymentBusinessDayConvention;
bondInfo.Settlement = settlement;
bondInfo.SettlementCoupon = settlementCoupon;
bondInfo.TradingMarket = calendar == "chn_ib"
? TradingMarket.ChinaInterBank.ToString()
: TradingMarket.ChinaExShe.ToString();
bondInfo.IsZeroCouponBond = !double.IsNaN(issuePrice);
bondInfo.IssuePrice = issuePrice;
bondInfo.FirstPaymentDate = firstPaymentDate;
bondInfo.AmortizationType = "None";
bondInfo.AmoritzationInIndex = amoritzationInIndex;
bondInfo.RenormAmortization = renormalizeAfterAmoritzation;
bondInfo.CompensationRate = compensationRate;
bondInfo.IssueRate = issueRate;
bondInfo.OptionToCall = optionToCall;
bondInfo.OptionToPut = optionToPut;
bondInfo.OptionToAssPut = optionToAssPut;
bondInfo.ValuationParamters = new SimpleCfValuationParameters("中债国债收益率曲线", "", "中债国债收益率曲线");
XlManager.AddTrades(new[] { bondInfo });
tradeInfo = bondInfo;
}
return(tradeInfo.ToTradeInfoInLabelData(null));
}
