/// <summary>
///
/// </summary>
/// <param name="issueDate_"></param>
/// <param name="maturityDate_"></param>
/// <param name="cleanPriceInPercent_">in the form 1.01 not 101</param>
/// <param name="couponInPercent_">in the form 2 rather than 0.02 </param>
/// <param name="freq_"></param>
/// <param name="settleDate_"></param>
/// <param name="forwardDate_"></param>
/// <param name="repoRateInPercent_">give 0.25 to imply a decimal of 0.0025</param>
/// <param name="marketCode_"></param>
/// <returns></returns>
public static double GetForwardPrice
(
DateTime effectiveDate_,
DateTime maturityDate_,
DateTime firstCouponDate_,
double cleanPriceInPercent_,
double couponInPercent_,
CouponPaymentFrequency freq_,
DateTime settleDate_,
DateTime forwardDate_,
double repoRateInPercent_,
BondMarket market_
)
{
return Symmetry.Analytics.BondAnalytics.CalcBondFwd(
country: GetSymCountry(market_),
settleDate: settleDate_,
cleanPrice: cleanPriceInPercent_/100d,
maturityDate: maturityDate_,
coupon: couponInPercent_/100d,
freq: freq_ == CouponPaymentFrequency.SemiAnnual ? 6 : 12,
fwdDate: forwardDate_,
repoRate: repoRateInPercent_/100d,
startDate: effectiveDate_,
firstCpnDate: firstCouponDate_)[0]*100d;
//return Symmetry.Analytics.BondAnalytics.CalcBondFwd(
// Country: market_.ToString(),
// AsOfSettleDate: settleDate_,
// CleanPrice: cleanPriceInPercent_/100d,
// IssueDate: issueDate_,
// MaturityDate: maturityDate_,
// Coupon: couponInPercent_/100d,
// Freq: freq_ == CouponPaymentFrequency.SemiAnnual ? 6 : 12,
// FwdDate: forwardDate_,
// repoRate: repoRateInPercent_/100d
// )*100d;
}
// public static IEnumerable<KeyValuePair<string,double>> GetForwardValues(
// BondMarket markets_,
// SI.Data.Bond bond_,
// double cleanPriceInPercent_,
// CouponPaymentFrequency freq_,
// DateTime settleDate_,
// DateTime forwardDate_,
// double repoRateInPercent_
//)
// {
// var fwdPrice = FwdPriceCalculator.GetForwardPrice(bond_.IssueDate.Value, bond_.Maturity.Value, cleanPriceInPercent_,
// bond_.Coupon, freq_, settleDate_,
// forwardDate_, repoRateInPercent_);
// var vals = CarbonHistoricRetriever.GetHistoricValues(
// markets_: markets_,
// asOf_: forwardDate_,
// bond_: bond_,
// price_: fwdPrice / 100d,
// client_: CarbonSubscriber.GetInstance().GetCarbonClientInstance());
// return vals;
// }
/// <summary>
/// Get the forward values given the inputs
/// </summary>
/// <param name="market_"></param>
/// <param name="marketCode_"></param>
/// <param name="bond_"></param>
/// <param name="cleanPriceInPercent_">1.01 not 101.00</param>
/// <param name="freq_"></param>
/// <param name="settleDate_"></param>
/// <param name="forwardDate_"></param>
/// <param name="repoRateInPercent_">in decimals</param>
/// <returns></returns>
public static IEnumerable<KeyValuePair<string, double>> GetForwardValues(
BondMarket market_,
string marketCode_,
MongoBond bond_,
double cleanPriceInPercent_,
CouponPaymentFrequency freq_,
DateTime settleDate_,
DateTime forwardDate_,
double repoRateInPercent_
)
{
var fwdPrice = FwdPriceCalculator.GetForwardPrice(
effectiveDate_: bond_.IssueDate,
maturityDate_: bond_.Maturity,
firstCouponDate_:bond_.FirstCouponDate,
cleanPriceInPercent_: cleanPriceInPercent_,
couponInPercent_: bond_.Coupon,
freq_: freq_,
settleDate_: settleDate_,
repoRateInPercent_: repoRateInPercent_,
market_: market_,
forwardDate_: forwardDate_);
var vals = CarbonHistoricRetriever.GetHistoricValues(
market_: market_,
asOf_: forwardDate_,
bond_: bond_,
price_: fwdPrice / 100d,
client_: CarbonSubscriber.GetInstance().GetCarbonClientInstance());
return vals;
}
public CouponPaymentFreqAttribute(CouponPaymentFrequency freq_)
{
Freq = freq_;
}
