public override IPricingResult Calculate(ConvertibleBond convertibleBond, IMarketCondition market, PricingRequest request)
{
var result = new PricingResult(market.ValuationDate, request);
if (convertibleBond.ConversionOption == null)
{
result.Pv = market.MktQuote.Value[convertibleBond.Bond.Id].Item2;
}
else
{
var optionParts = _optionEngine.Calculate(convertibleBond.ConversionOption,
market.UpdateCondition(
new UpdateMktConditionPack <IYieldCurve>(x => x.DiscountCurve, market.RiskfreeCurve.Value)),
PricingRequest.All);
//TODO: refactor calculation here
//(jira: http://139.196.190.223:8888/browse/QDP-255)
result.Pv = market.MktQuote.Value[convertibleBond.Bond.Id].Item2 -
optionParts.Pv * convertibleBond.ConversionRatio;
result.Delta = optionParts.Delta * convertibleBond.ConversionRatio;
result.Gamma = optionParts.Gamma * convertibleBond.ConversionRatio;
result.Vega = optionParts.Vega * convertibleBond.ConversionRatio;
result.Rho = optionParts.Rho * convertibleBond.ConversionRatio;
}
//(jira: http://139.196.190.223:8888/browse/QDP-251)
//Disable unnecessary and offending calc below
//This will fail 14宝钢-E pricing and many other pricing when spot is high
//var newMarket = market.UpdateCondition(new UpdateMktConditionPack<Dictionary<string, Tuple<PriceQuoteType, double>>>(x => x.MktQuote, market.MktQuote.Value.UpdateKey(convertibleBond.Bond.Id, Tuple.Create(PriceQuoteType.Dirty, result.Pv))));
//var zeroSpread = BondPricingFunctions.ZeroSpread(convertibleBond.Bond, newMarket);
//var bondMarket =
// market.UpdateCondition(new UpdateMktConditionPack<IYieldCurve>(x => x.DiscountCurve,
// market.DiscountCurve.Value.GetSpreadedCurve(new ZeroSpread(zeroSpread))));
//var bondEngine = new BondEngine();
//var bondResults = bondEngine.Calculate(convertibleBond.Bond, bondMarket, PricingRequest.All);
return(result);
}
public void C7_11_2_ReverseConvertibleBondOnEquityBasket()
{
var cb = new ConvertibleBond(OptionType.Put, 5, 100, 0, 0, 0.2);
cb.Basket.Add(new Equity()
{
Price = 100, Volatility = 0.2
}, 0.5);
cb.Basket.Add(new Equity()
{
Price = 100, Volatility = 0.2
}, 0.5);
var correlations = new Matrix <double>(2, 2);
correlations[1, 1] = 0.8;
correlations[1, 2] = 1;
correlations[2, 1] = 1;
correlations[2, 1] = 0.8;
var price = cb.Price(100, correlations);
Console.WriteLine(price);
}
private static ConvertibleBondAnalytics computeAnalytics(IMarketCondition market, ConvertibleBond cb, double putRedemptionPrice)
{
//analytics part
var cbSpot = market.MktQuote.Value[cb.Bond.Id].Item2;
var stockPrice = market.SpotPrices.Value.Values.First();
var conversionValue = stockPrice * cb.ConversionRatio;
var premiumToShareInPct = (cbSpot / conversionValue - 1) * 100; // in Pct
var arbitragePL = conversionValue - cbSpot; //buy cb, sell stock
var timeToMaturity = (cb.UnderlyingMaturityDate - market.ValuationDate) / 365.0;
//bond analytics
var bondengine = new BondEngine();
var yieldToMaturity = bondengine.Calculate(cb.Bond, market, PricingRequest.Ytm).Ytm * 100.0;
var bondFloor = bondengine.Calculate(cb.Bond, market, PricingRequest.Pv).Pv;
double premiumToBondInPct = (cbSpot / bondFloor - 1) * 100; //in Pct
//parity vs bond floor premium
var parityFloorPremiumInPct = (conversionValue / bondFloor - 1) * 100.0;
//option analytics
var impliedOptionValue = cbSpot - bondFloor;
var impliedUnitOptionPremium = impliedOptionValue / cb.ConversionRatio;
var option = createOption(strike: cb.ConversionOption.Strike, expiry: cb.ConversionOption.UnderlyingMaturityDate, firstConversionDate: cb.ConversionOption.StartDate, American: false);
var engine = new AnalyticalVanillaEuropeanOptionEngine();
var impliedVol = engine.ImpliedVol(option, market, impliedUnitOptionPremium);
//Note: assume simple calc here: putPrice 103, current price 109.69, then if we can put the bond now, returnOnPut = (103 - 109.69)/109.69
var returnOnPut = (putRedemptionPrice / cbSpot - 1.0) * 100;
//cb style based on parity/ bond floor relationship
//if parity is worth 20% more than bond floor, then stock like
//if parity is worth -20% less than bond floor, then bond like
//otherwise, cb is in balance mode
var cbStatus = ConvertibleBondStatus.Balance;
if (parityFloorPremiumInPct > 20)
{
cbStatus = ConvertibleBondStatus.StockLike;
}
else if (parityFloorPremiumInPct < -20)
{
cbStatus = ConvertibleBondStatus.BondLike;
}
return(new ConvertibleBondAnalytics(
conversionValue: conversionValue,
premiumToShareInPct: premiumToShareInPct,
arbitragePL: arbitragePL,
timeToMaturity: timeToMaturity,
yieldToMaturity: yieldToMaturity,
bondFloor: bondFloor,
premiumToBondInPct: premiumToBondInPct,
parityFloorPremiumInPct: parityFloorPremiumInPct,
optionValue: impliedOptionValue,
impliedVol: impliedVol,
returnOnPut: returnOnPut,
cbStatus: cbStatus));
}
