public override IMarketCondition GenerateMarketCondition(QdpMarket market)
{
var prebulitMarket = market as PrebuiltQdpMarket;
if (prebulitMarket != null)
{
return(GenerateMarketConditionFromPrebuilt(prebulitMarket));
}
else
{
var valuationParameter = TradeInfo.ValuationParameters;
var bondMktData = market.GetData <BondMktData>(TradeInfo.TradeId);
var volsurf = market.GetData <VolSurfMktData>(valuationParameter.VolSurfNames[0]).ToImpliedVolSurface(market.ReferenceDate);
return(new MarketCondition(
x => x.ValuationDate.Value = market.ReferenceDate,
x => x.DiscountCurve.Value = market.GetData <CurveData>(valuationParameter.DiscountCurveName).YieldCurve,
x => x.FixingCurve.Value = market.GetData <CurveData>(valuationParameter.DiscountCurveName).YieldCurve,
x => x.DividendCurves.Value = new Dictionary <string, IYieldCurve> {
{ "", market.GetData <CurveData>(valuationParameter.DividendCurveNames[0]).YieldCurve }
},
x => x.RiskfreeCurve.Value = market.GetData <CurveData>(valuationParameter.DiscountCurveName).YieldCurve,
x => x.VolSurfaces.Value = new Dictionary <string, IVolSurface> {
{ "", volsurf }
},
x => x.MktQuote.Value = new Dictionary <string, Tuple <PriceQuoteType, double> > {
{ TradeInfo.TradeId, Tuple.Create((bondMktData == null || string.IsNullOrEmpty(bondMktData.PriceQuoteType)) ? PriceQuoteType.None : bondMktData.PriceQuoteType.ToPriceQuoteType(), (bondMktData == null ? 100.0 : bondMktData.Quote)) }
},
x => x.SpotPrices.Value = new Dictionary <string, double> {
{ "", market.GetData <StockMktData>(valuationParameter.UnderlyingId).Price }
},
x => x.HistoricalIndexRates.Value = market.HistoricalIndexRates
));
}
}
public override IMarketCondition GenerateMarketCondition(QdpMarket market)
{
return(new MarketCondition(
x => x.ValuationDate.Value = market.ReferenceDate,
x => x.HistoricalIndexRates.Value = market.HistoricalIndexRates
));
}
public override IMarketCondition GenerateMarketCondition(QdpMarket market)
{
var prebuiltMarket = market as PrebuiltQdpMarket;
if (prebuiltMarket != null)
{
return(GenerateMarketConditionFromPrebuilt(prebuiltMarket));
}
else
{
var recTicker = TradeInfo.RecTicker;
var payTicker = TradeInfo.PayTicker;
var fxTicker = TradeInfo.FxTicker;
var recLegSpot = market.GetData <StockMktData>(recTicker).Price;
var payLegSpot = market.GetData <StockMktData>(payTicker).Price;
var fx = market.GetData <FxFixingMktData>(fxTicker).Price;
return(new MarketCondition(
x => x.ValuationDate.Value = market.ReferenceDate,
x => x.SpotPrices.Value = new Dictionary <string, double> {
{ recTicker, recLegSpot }, { payTicker, payLegSpot }
},
x => x.FxSpot.Value = new Dictionary <string, double> {
{ fxTicker, fx }
}
));
}
}
public override IMarketCondition GenerateMarketCondition(QdpMarket market)
{
var parseMarket = _bondVf.GenerateMarketCondition(market);
var mktQuote = new Dictionary <string, Tuple <PriceQuoteType, double> >();
try
{
var startBondId = TradeInfo.TradeId + "_Start";
var startBondMktData = market.GetData <BondMktData>(startBondId);
if (startBondMktData != null)
{
mktQuote[startBondId] = Tuple.Create(startBondMktData.PriceQuoteType.ToPriceQuoteType(), startBondMktData.Quote);
}
var endBondId = TradeInfo.TradeId + "_End";
var endBondMktData = market.GetData <BondMktData>(endBondId);
if (endBondMktData != null)
{
mktQuote[endBondId] = Tuple.Create(endBondMktData.PriceQuoteType.ToPriceQuoteType(), endBondMktData.Quote);
}
foreach (var key in parseMarket.MktQuote.Value.Keys)
{
mktQuote[key] = parseMarket.MktQuote.Value[key];
}
parseMarket = parseMarket.UpdateCondition(new UpdateMktConditionPack <Dictionary <string, Tuple <PriceQuoteType, double> > >(x => x.MktQuote, mktQuote));
}
catch (Exception ex)
{
throw new PricingBaseException(string.Format("Market price is missing, detailed message: {0}", ex.Message));
}
return(parseMarket);
}
public override IMarketCondition GenerateMarketCondition(QdpMarket market)
{
var valuationParameter = TradeInfo.ValuationParamters;
return(new MarketCondition(
x => x.ValuationDate.Value = market.ReferenceDate,
x => x.DiscountCurve.Value = market.GetData <CurveData>(valuationParameter.DiscountCurveName).YieldCurve,
x => x.FixingCurve.Value = market.GetData <CurveData>(valuationParameter.FixingCurveName).YieldCurve,
x => x.HistoricalIndexRates.Value = market.HistoricalIndexRates
));
}
public override IMarketCondition GenerateMarketCondition(QdpMarket market)
{
var prebuiltMarket = market as PrebuiltQdpMarket;
if (prebuiltMarket != null)
{
return(GenerateMarketConditionFromPrebuilt(prebuiltMarket));
}
else
{
var valuationParameter = TradeInfo.ValuationParamters;
var mktQuote = new Dictionary <string, Tuple <PriceQuoteType, double> >();
try
{
var futMktData = market.GetData <FuturesMktData>(TradeInfo.TradeId);
mktQuote[TradeInfo.TradeId] = futMktData != null?Tuple.Create(PriceQuoteType.Dirty, futMktData.FuturesPrice) : null;
foreach (var deliverableBondInfo in TradeInfo.DeliverableBondInfos)
{
var bondMktData = market.GetData <BondMktData>(deliverableBondInfo.TradeId);
if (bondMktData != null)
{
mktQuote[deliverableBondInfo.TradeId] = Tuple.Create(bondMktData.PriceQuoteType.ToPriceQuoteType(), bondMktData.Quote);
}
var tfBondId = TradeInfo.TradeId + "_" + deliverableBondInfo.TradeId;
var tfMktData = market.GetData <TreasuryFutureMktData>(tfBondId);
if (tfMktData != null)
{
mktQuote[tfBondId] = Tuple.Create(tfMktData.PriceQuoteType.ToPriceQuoteType(), tfMktData.Quote);
}
}
}
catch (Exception ex)
{
throw new PricingBaseException(string.Format("Market price is missing, detailed message: {0}", ex.Message));
}
var fixingCurveName = valuationParameter.FixingCurveName;
if (string.IsNullOrEmpty(fixingCurveName))
{
fixingCurveName = valuationParameter.DiscountCurveName;
}
return(new MarketCondition(
x => x.ValuationDate.Value = market.ReferenceDate,
x => x.DiscountCurve.Value = market.GetData <CurveData>(valuationParameter.DiscountCurveName).YieldCurve,
x => x.FixingCurve.Value = market.GetData <CurveData>(fixingCurveName).YieldCurve,
x => x.RiskfreeCurve.Value = market.GetData <CurveData>(valuationParameter.RiskfreeCurveName).YieldCurve,
x => x.MktQuote.Value = mktQuote,
x => x.HistoricalIndexRates.Value = market.HistoricalIndexRates
));
}
}
public override IMarketCondition GenerateMarketCondition(QdpMarket market)
{
var discountCurve = TradeInfo.Tranches.Select(x => x.ValuationParamters.DiscountCurveName).First();
var fixingCurve = TradeInfo.Tranches.Select(x => x.ValuationParamters.FixingCurveName).First();
return(new MarketCondition(
x => x.ValuationDate.Value = market.ReferenceDate,
x => x.HistoricalIndexRates.Value = market.HistoricalIndexRates,
x => x.DiscountCurve.Value = null,
x => x.FixingCurve.Value = null,
x => x.RiskfreeCurve.Value = null
));
}
public override IMarketCondition GenerateMarketCondition(QdpMarket market)
{
var valuationParameter = TradeInfo.ValuationParamters;
var volsurf = market.GetData <VolSurfMktData>(valuationParameter.FxVolSurfName).ToImpliedVolSurface(market.ReferenceDate);
return(new MarketCondition(
x => x.ValuationDate.Value = market.ReferenceDate,
x => x.DiscountCurve.Value = market.GetData <CurveData>(valuationParameter.DomCcyDiscountCurveName).YieldCurve,
x => x.FgnDiscountCurve.Value = market.GetData <CurveData>(valuationParameter.FgnCcyDiscountCurveName).YieldCurve,
x => x.VolSurfaces.Value = new Dictionary <string, IVolSurface> {
{ "", volsurf }
}
));
}
public void Fr007CurveConstructionTest()
{
var historiclIndexRates = HistoricalDataLoadHelper.HistoricalIndexRates;
var fr007CurveName = "Swap_Fr007";
var fr007CurveConvention = new CurveConvention("fr007CurveConvention",
"CNY",
"ModifiedFollowing",
"Chn_ib",
"Act365",
"Continuous",
"CubicHermiteMonotic");
var rateDefinition = new[]
{
new RateMktData("1D", 0.0431, "Fr007", "Deposit", fr007CurveName),
new RateMktData("7D", 0.053, "Fr007", "Deposit", fr007CurveName),
new RateMktData("3M", 0.0494, "Fr007", "InterestRateSwap", fr007CurveName),
new RateMktData("6M", 0.0493, "Fr007", "InterestRateSwap", fr007CurveName),
};
var curveDefinition = new[]
{
new InstrumentCurveDefinition(fr007CurveName, fr007CurveConvention, rateDefinition, "SpotCurve")
};
var marketInfo = new MarketInfo("tmpMarket", "2014-02-10", curveDefinition, historiclIndexRates);
var temp = CalendarImpl.Get("chn_ib");
QdpMarket market = null;
var time1 = DateTime.Now;
for (var i = 0; i <= 10; ++i)
{
var result = MarketFunctions.BuildMarket(marketInfo, out market);
}
var time2 = DateTime.Now;
Console.WriteLine("{0}ms", (time2 - time1).TotalMilliseconds);
var fr007Curve = market.GetData <CurveData>(fr007CurveName).YieldCurve;
Assert.AreEqual(fr007Curve.KeyPoints[0].Item2, 0.0430974555290732, 1e-4); // use IrsFloatingLegPvReal
Assert.AreEqual(fr007Curve.KeyPoints[3].Item2, 0.048992349561639, 1e-4); // use IrsFloatingLegPvReal
}
public override IMarketCondition GenerateMarketCondition(QdpMarket market)
{
var prebuiltMarket = market as PrebuiltQdpMarket;
if (prebuiltMarket != null)
{
return(GenerateMarketConditionFromPrebuilt(prebuiltMarket));
}
else
{
var valuationParameter = TradeInfo.ValuationParamters;
var bondMktData = market.GetData <BondMktData>(TradeInfo.TradeId);
if (valuationParameter == null)
{
return(new MarketCondition(
x => x.ValuationDate.Value = market.ReferenceDate,
x => x.DiscountCurve.Value = null,
x => x.FixingCurve.Value = null,
x => x.RiskfreeCurve.Value = null,
x => x.MktQuote.Value = new Dictionary <string, Tuple <PriceQuoteType, double> > {
{ TradeInfo.TradeId, Tuple.Create((bondMktData == null || string.IsNullOrEmpty(bondMktData.PriceQuoteType)) ? PriceQuoteType.None : bondMktData.PriceQuoteType.ToPriceQuoteType(), (bondMktData == null ? 100.0 : bondMktData.Quote)) }
},
x => x.HistoricalIndexRates.Value = market.HistoricalIndexRates
));
}
var fixingCurveName = string.IsNullOrEmpty(valuationParameter.FixingCurveName)
? valuationParameter.DiscountCurveName
: valuationParameter.FixingCurveName;
return(new MarketCondition(
x => x.ValuationDate.Value = market.ReferenceDate,
x => x.DiscountCurve.Value = market.GetData <CurveData>(valuationParameter.DiscountCurveName).YieldCurve,
x => x.FixingCurve.Value = market.GetData <CurveData>(fixingCurveName).YieldCurve,
x => x.RiskfreeCurve.Value = market.GetData <CurveData>(valuationParameter.RiskfreeCurveName).YieldCurve,
x => x.MktQuote.Value = new Dictionary <string, Tuple <PriceQuoteType, double> > {
{ TradeInfo.TradeId, Tuple.Create((bondMktData == null || string.IsNullOrEmpty(bondMktData.PriceQuoteType)) ? PriceQuoteType.None : bondMktData.PriceQuoteType.ToPriceQuoteType(), (bondMktData == null ? 100.0 : bondMktData.Quote)) }
},
x => x.HistoricalIndexRates.Value = market.HistoricalIndexRates
));
}
}
public override IMarketCondition GenerateMarketCondition(QdpMarket market)
{
var prebuiltMarket = market as PrebuiltQdpMarket;
if (prebuiltMarket != null)
{
return(GenerateMarketConditionFromPrebuilt(prebuiltMarket));
}
else
{
var ticker = TradeInfo.UnderlyingTicker;
var spot = market.GetData <StockMktData>(ticker).Price;
return(new MarketCondition(
x => x.ValuationDate.Value = market.ReferenceDate,
x => x.SpotPrices.Value = new Dictionary <string, double> {
{ "", spot }
}
));
}
}
//希望这个放入tradebaseinfo对应的类
public virtual IPricingResult ValueTrade(QdpMarket market, PricingRequest request)
{
try
{
var instrument = GenerateInstrument();
Logger.InfoFormat("Valuing trade of type {0}", instrument.GetType().Name);
var marketCondition = GenerateMarketCondition(market);
var engine = GenerateEngine();
var result = engine.Calculate(instrument, marketCondition, request);
return(result);
}
catch (Exception ex)
{
return(new PricingResult(market.ReferenceDate, request)
{
Succeeded = false,
ErrorMessage = ex.Message
});
}
}
public override IMarketCondition GenerateMarketCondition(QdpMarket market)
{
var prebuiltMarket = market as PrebuiltQdpMarket;
if (prebuiltMarket != null)
{
return(GenerateMarketConditionFromPrebuilt(prebuiltMarket));
}
else
{
var valuationParameter = TradeInfo.ValuationParamters;
return(new MarketCondition(
x => x.ValuationDate.Value = market.ReferenceDate,
x => x.DiscountCurve.Value = market.GetData <CurveData>(valuationParameter.DiscountCurveName).YieldCurve,
x => x.FixingCurve.Value = market.GetData <CurveData>(valuationParameter.FixingCurveName).YieldCurve,
x => x.HistoricalIndexRates.Value = market.HistoricalIndexRates
));
}
}
public XlMarket(MarketInfo marketInfo)
{
MarketDataDefinition[] rawDefinitions;
MarketDataDefinition[] ripeDefinitions;
_marketInfo = marketInfo;
marketInfo.GetClassifiedDefinitions(out rawDefinitions, out ripeDefinitions);
_mktDataDict = ripeDefinitions.ToDictionary(x => x.Name, x => x);
foreach (var marketDataDefinition in rawDefinitions)
{
_mktDataDict[marketDataDefinition.Name] = marketDataDefinition;
}
var historicalIndexRates = new Dictionary <IndexType, SortedDictionary <Date, double> >();
if (marketInfo.HistoricalIndexRates != null && marketInfo.HistoricalIndexRates.Any())
{
foreach (var historicalIndexKey in marketInfo.HistoricalIndexRates.Keys)
{
var indexKey = historicalIndexKey.ToIndexType();
var historicalIndexDateDic = new SortedDictionary <Date, double>();
foreach (var historicalIndexDateKey in marketInfo.HistoricalIndexRates[historicalIndexKey].Keys)
{
historicalIndexDateDic.Add(historicalIndexDateKey.ToDate(),
marketInfo.HistoricalIndexRates[historicalIndexKey][historicalIndexDateKey]);
}
historicalIndexRates.Add(indexKey, historicalIndexDateDic);
}
}
else
{
historicalIndexRates = XlUdf.HistoricalIndexRates;
}
_qdpMarket = new QdpMarket(marketInfo.MarketName, marketInfo.ReferenceDate.ToDate(), historicalIndexRates, ripeDefinitions);
var result = _qdpMarket.UpdateMarketRawData(rawDefinitions);
result.WaitTillFinished();
}
public abstract IMarketCondition GenerateMarketCondition(QdpMarket market);
