public double CalcAnnualizedYieldCleanPrice(string calcRequestType, double inputValue1, double inputValue2, Dictionary <string, double> result)
{
double returnValue = 0.0;
try
{
IUnivariateFunction fcn;
switch (calcRequestType)
{
case "AnnualYieldFromCleanPrice":
fcn = new FunctionVariable.UnivariateFunction(result, YieldEquation, inputValue1, inputValue2, double.NaN);
returnValue = BrentZero2 <IUnivariateFunction> .DoSolve(fcn, -1000, 1000, 0.05, 2);
CalcTotal(result);
break;
case "EndCleanPriceFromAnnual":
fcn = new FunctionVariable.UnivariateFunction(result, YieldEquation, inputValue1, double.NaN, inputValue2);
returnValue = BrentZero2 <IUnivariateFunction> .DoSolve(fcn, 0.0, 10000.0, 100.0, 1);
CalcTotal(result);
break;
case "StartCleanPriceFromAnnual":
fcn = new FunctionVariable.UnivariateFunction(result, YieldEquation, double.NaN, inputValue1, inputValue2);
returnValue = BrentZero2 <IUnivariateFunction> .DoSolve(fcn, 0.0, 10000.0, 100.0, 0);
CalcTotal(result);
break;
case "EndCleanPriceFromPnl":
fcn = new FunctionVariable.UnivariateFunction(result, NetPnlEquation, inputValue1, double.NaN, inputValue2);
returnValue = BrentZero2 <IUnivariateFunction> .DoSolve(fcn, 0.0, 10000.0, 100.0, 1);
CalcTotal(result);
break;
case "StartCleanPriceFromPnl":
fcn = new FunctionVariable.UnivariateFunction(result, NetPnlEquation, double.NaN, inputValue1, inputValue2);
returnValue = BrentZero2 <IUnivariateFunction> .DoSolve(fcn, 0.0, 10000.0, 100.0, 0);
CalcTotal(result);
break;
}
}
catch (Exception ex)
{
throw new PricingBaseException("HoldingPeriod AnnualizedYield does not converbe " + ex.GetDetail());
}
return(returnValue);
}
public void TestBrentZero2CurveBuild()
{
double finalR;
try
{
finalR = BrentZero2 <IUnivariateFunction> .DoSolve(f : new CurveCalibTest2(), min : min, max : max, initial : initial, changeIndex : 0, accuracy : accuracy);
}
catch (Exception ex)
{
throw new PricingLibraryException(string.Format("Fail to calibrate"));
}
Console.WriteLine($"solved = {finalR}");
}
public Dictionary <string, Dictionary <string, RateRecord> > CalcEquation(string calcType)
{
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 resultRateRecord = new Dictionary <string, double> [length];
for (var i = 0; i < length; ++i)
{
var resultDic = new Dictionary <string, double>();
_bond = bonds[i];
var tfBondId = _bondFuture.Id + "_" + _bond.Id;
_cleanPriceMktFlg = IsCleandPrice(_bond.Id);
resultDic["AiStart"] = _bond.GetAccruedInterest(_market.ValuationDate, _market, false);
resultDic["AiEnd"] = _bond.GetAccruedInterest(_bondFuture.UnderlyingMaturityDate, _market, false);
resultDic["ConversionFactor"] = _bondFuture.GetConversionFactor(_bond, _market);
resultDic["fundingRate"] = fundingCurve.GetSpotRate(0.0);
_cashflows = _bond.GetCashflows(_market, false).Where(x => x.PaymentDate > _market.ValuationDate && x.PaymentDate <= _bondFuture.UnderlyingMaturityDate).ToArray();
if (_cashflows.Any())
{
resultDic["Coupon"] = _cashflows.Sum(x => x.PaymentAmount);
resultDic["TimeWeightedCoupon"] = _cashflows.Sum(x => x.PaymentAmount * _bondFuture.DayCount.CalcDayCountFraction(x.PaymentDate, _bondFuture.UnderlyingMaturityDate));
resultDic["couponsAccruedByReinvestment"] = _cashflows.Sum(x => x.PaymentAmount * (reinvestmentCurve.GetCompoundedRate2(x.PaymentDate, _bondFuture.UnderlyingMaturityDate) - 1.0));
}
else
{
resultDic["Coupon"] = 0.0;
resultDic["TimeWeightedCoupon"] = 0.0;
resultDic["couponsAccruedByReinvestment"] = 0.0;
}
//Note: what is this interest income for?
resultDic["InterestIncome"] = resultDic["AiEnd"] - resultDic["AiStart"]; // * resultDic["ConversionFactor"];
resultDic["interestCostRate"] = RepoCostRate();
resultDic["dt"] = _bondFuture.DayCount.CalcDayCountFraction(_market.ValuationDate, _bondFuture.UnderlyingMaturityDate);
var inputValues = new double[3];
double calcMin = 0.0;
double calcMax = 0.0;
int changIndex = 0;
FunctionVariable.UnivariateFunction fcn = null;
switch (calcType)
{
case "FromFuturesPriceAndBondPrice":
inputValues[0] = FuturePrice();
inputValues[1] = double.NaN;
inputValues[2] = double.NaN;
calcMin = -500.0;
calcMax = 500.0;
changIndex = 2;
fcn = new FunctionVariable.UnivariateFunction(resultDic, IrrEquation, inputValues);
break;
case "FromBondPriceAndIrr":
inputValues[0] = double.NaN;
inputValues[1] = double.NaN;
fcn = GetCalcEquation(tfBondId, inputValues, resultDic);
calcMin = 1.0;
calcMax = 50000.0;
changIndex = 0;
//BrentZero2<IUnivariateFunction>.DoSolve(fcn, 0.0, 50000.0, 0);
break;
case "FromFuturesPriceAndIrr":
inputValues[0] = FuturePrice();
inputValues[1] = double.NaN;
fcn = GetCalcEquation(tfBondId, inputValues, resultDic);
calcMin = 1.0;
calcMax = 50000.0;
changIndex = 1;
//BrentZero2<IUnivariateFunction>.DoSolve(fcn, calcMin, calcMax, changIndex);
break;
}
BrentZero2 <IUnivariateFunction> .DoSolve(fcn, calcMin, calcMax, changIndex);
resultRateRecord[i] = resultDic;
}
var resultKeyList = new List <string>()
{
"FuturesPrice"
, "BondDirtyPrice"
, "BondCleanPrice"
, "BondYieldToMaturity"
, "ConversionFactor"
, "AiStart"
, "AiEnd"
, "Coupon"
, "InterestIncome"
, "InterestCost"
, "PnL"
, "InvoicePrice"
, "Margin"
, "Spread"
, "Irr"
, "Basis"
, "NetBasis"
, "ModifiedDuration"
, "TimeWeightedCoupon"
};
foreach (var resultKey in resultKeyList)
{
psDict[resultKey] = resultRateRecord.Select((x, i) => Tuple.Create(bonds[i].Id, new RateRecord {
Rate = x[resultKey]
})).ToDictionary(x => x.Item1, x => x.Item2);
}
return(psDict);
}
