private double[] GetGridTimes(CallableBond callableBond, IMarketCondition market)
{
var grids = new[] { market.ValuationDate.Value }
.Union(GetGridDates(callableBond, market))
.Select(x => market.DiscountCurve.Value.DayCount.CalcDayCountFraction(market.ValuationDate.Value, x))
.ToArray();
if (_steps == 0)
{
return(grids);
}
else
{
var newGrids = new List <double>();
var dtMax = (grids.Last() - grids[0]) / (_steps);
newGrids.Add(grids[0]);
for (var i = 1; i < grids.Length; ++i)
{
var begin = grids[i - 1];
var end = grids[i];
var n = (int)((end - begin) / dtMax + 0.5);
if (n == 0)
{
n = 1;
}
var dt = (end - begin) / n;
for (var j = 1; j <= n; ++j)
{
newGrids.Add(begin + j * dt);
}
}
return(newGrids.ToArray());
}
}
public DiscretizedCallableFixedRateBond(CallableBond.Arguments args,
Date referenceDate,
DayCounter dayCounter)
{
arguments_ = args;
redemptionTime_ = dayCounter.yearFraction(referenceDate, args.redemptionDate);
for (int i = 0; i < args.couponDates.Count ; ++i)
couponTimes_.Add(dayCounter.yearFraction(referenceDate, args.couponDates[i]));
for (int i = 0; i < args.callabilityDates.Count ; ++i)
callabilityTimes_.Add( dayCounter.yearFraction(referenceDate, args.callabilityDates[i]));
// similar to the tree swaption engine, we collapse similar coupon
// and exercise dates to avoid mispricing. Delete if unnecessary.
for (int i = 0; i < callabilityTimes_.Count; i++)
{
double exerciseTime = callabilityTimes_[i];
for (int j = 0; j < couponTimes_.Count ; j++)
{
if (withinNextWeek(exerciseTime, couponTimes_[j]))
couponTimes_[j] = exerciseTime;
}
}
}
public OasSpreadSolver(CallableBond callableBond,
IMarketCondition market,
CallableBondEngine <TInterestRateModel> engine)
{
_callableBond = callableBond;
_market = market;
_engine = engine;
}
public override IPricingResult Calculate(CallableBond callableBond, IMarketCondition market, PricingRequest request)
{
var result = new PricingResult(market.ValuationDate, request);
if (result.IsRequested(PricingRequest.Pv))
{
result.Pv = CalcPv(callableBond, market);
}
return(result);
}
public void TestCallableBond()
{
var valueDate = new Date(2017, 1, 23);
var a = 0.05;
var vol = 0.01;
var flatCurveRate = 0.18;
var hullWiteSim = new HullWhite1F(TestHelpers.ZAR, a, vol, flatCurveRate, flatCurveRate);
var coordinator = new Coordinator(hullWiteSim, new List <Simulator>(), 5000);
var callableBond = new CallableBond(TestHelpers.ZAR);
var value1 = coordinator.Value(new Product[] { callableBond }, valueDate);
}
public void TestCallableBond()
{
Date valueDate = new Date(2017, 1, 23);
double a = 0.05;
double vol = 0.01;
double flatCurveRate = 0.18;
HullWhite1F hullWiteSim = new HullWhite1F(Currency.ZAR, a, vol, flatCurveRate, flatCurveRate, valueDate);
Coordinator coordinator = new Coordinator(hullWiteSim, new List <Simulator>(), 5000);
CallableBond callableBond = new CallableBond();
double value1 = coordinator.Value(new Product[] { callableBond }, valueDate);
}
private Date[] GetGridDates(CallableBond callableBond, IMarketCondition market)
{
var dates = new List <Date> {
callableBond.UnderlyingMaturityDate
}
.Union(callableBond.Bond.GetCashflows(market)
.Select(cf => cf.PaymentDate))
.ToArray();
var exerciseDates = callableBond.EmbededOptions.SelectMany(x => x.ExerciseDates).ToArray();
if (_adjustCouponDates)
{
dates = AdjustToGrid(dates, exerciseDates);
}
return(dates.Union(exerciseDates).Where(x => x >= market.ValuationDate.Value).OrderBy(x => x).ToArray());
}
public void TestCallableBond()
{
var bond = new Bond(
"010001",
new Date(2012, 05, 03),
new Date(2017, 05, 03),
100,
CurrencyCode.CNY,
new FixedCoupon(0.068),
CalendarImpl.Get("chn_ib"),
Frequency.Annual,
Stub.LongEnd,
new ActActIsma(),
new ActAct(),
BusinessDayConvention.None,
BusinessDayConvention.ModifiedFollowing,
null,
TradingMarket.ChinaInterBank
);
var option = new VanillaOption(new Date(2012, 05, 03),
new Date(2017, 05, 03),
OptionExercise.European,
OptionType.Put,
106.8,
InstrumentType.Bond,
CalendarImpl.Get("chn_ib"),
new Act365(),
CurrencyCode.CNY,
CurrencyCode.CNY,
new[] { new Date(2015, 05, 03) },
new[] { new Date(2015, 05, 03) }
);
var callableBond = new CallableBond(bond, new[] { option }, new[] { PriceQuoteType.Dirty });
var market = TestMarket();
var engine = new CallableBondEngine <HullWhite>(new HullWhite(0.1, 0.01), true, 40);
var result = engine.Calculate(callableBond, market, PricingRequest.All);
Assert.AreEqual(107.0198942139, result.Pv, 1e-8);
}
public double CalcPv(CallableBond callableBond, IMarketCondition market)
{
var referenceDate = market.ValuationDate.Value;
var yieldCurve = market.DiscountCurve.Value;
var dayCount = yieldCurve.DayCount;
var gridTimes = GetGridTimes(callableBond, market);
var tree = _model.Tree(gridTimes, 0.0, yieldCurve);
var cashflows = GetCashflows(callableBond, market)
.Where(cf => cf.PaymentDate >= market.ValuationDate.Value)
.Select(cf => Tuple.Create(dayCount.CalcDayCountFraction(referenceDate, cf.PaymentDate), cf.PaymentAmount)
).ToList();
var exerciseInfos = callableBond.GetExerciseInfo(market)
.Select(x => Tuple.Create(
dayCount.CalcDayCountFraction(referenceDate, x.Item1),
(INumericCondition) new CallPutCondition(x.Item2, x.Item3))
).ToList();
var priceOnGrids = tree.ReverseInduction(cashflows, exerciseInfos);
return(priceOnGrids[0][0]);
}
private Cashflow[] GetCashflows(CallableBond callableBond, IMarketCondition market)
{
var exerciseDates = callableBond.EmbededOptions.SelectMany(x => x.ExerciseDates).ToArray();
if (_adjustCouponDates)
{
return(callableBond.GetCashflows(market)
.Select(cf =>
new Cashflow(
cf.AccrualStartDate,
cf.AccrualEndDate,
AdjustToGrid(new[] { cf.PaymentDate }, exerciseDates)[0],
cf.PaymentAmount,
cf.PaymentCurrency,
cf.CashflowType,
cf.IsFixed,
market.GetDf(AdjustToGrid(new[] { cf.PaymentDate }, exerciseDates)[0]),
cf.CalculationDetails)
).ToArray());
}
return(callableBond.GetCashflows(market));
}
public void Test101658062_IB()
{
var bond = new Bond(
"101658062.IB",
new Date(2016, 10, 27),
new Date(2029, 10, 27),
100,
CurrencyCode.CNY,
new FixedCoupon(0.045),
CalendarImpl.Get("chn_ib"),
Frequency.Annual,
Stub.LongEnd,
new ActActIsma(),
new ActAct(),
BusinessDayConvention.None,
BusinessDayConvention.ModifiedFollowing,
null,
TradingMarket.ChinaInterBank,
false,
null,
null,
false,
double.NaN,
Double.NaN,
AmortizationType.None,
null,
null,
false,
new Dictionary <int, double> {
{ 4, 0.03 }
}
);
var options = new List <VanillaOption>();
var start = new Date(2016, 10, 27);
for (var k = 1; k < 16; k++)
{
var term = new Term(k, Period.Year);
var maturity = term.Next(start);
if (maturity > bond.UnderlyingMaturityDate)
{
continue;
;
}
options.Add(new VanillaOption(start,
maturity,
OptionExercise.European,
OptionType.Call,
100,
InstrumentType.Bond,
CalendarImpl.Get("chn_ib"),
new Act365(),
CurrencyCode.CNY,
CurrencyCode.CNY,
new[] { maturity },
new[] { maturity }
));
}
var callableBond = new CallableBond(bond, options.ToArray(), options.Select(x => PriceQuoteType.Clean).ToArray());
var valueDates = new[]
{
new Date(2016, 10, 28),
new Date(2016, 11, 01),
new Date(2016, 11, 02),
new Date(2016, 11, 03),
new Date(2016, 11, 04),
new Date(2016, 11, 07),
};
foreach (var valueDate in valueDates)
{
var market = TestMarket2(valueDate);
var engine = new CallableBondEngine <HullWhite>(new HullWhite(0.5196, 0.03157), true, 3);
var result = engine.Calculate(callableBond, market, PricingRequest.All);
Console.WriteLine("{0},{1}", valueDate, result.Pv);
}
}
private double OasSpread(CallableBond callableBond,
IMarketCondition market,
CallableBondEngine <TInterestRateModel> engine)
{
return(BrentZero.Solve(new OasSpreadSolver <TInterestRateModel>(callableBond, market, engine), -1.0, 1.0, 1e-12));
}
