public void ClosestBondsTest(string input)
{
Bond.Bond sampleInput1 = new Bond.Bond("C2", Bond.BondConst.corp, 15.2, 8.30);
List <Bond.Bond> govBondList = LoadBondObjects();
Bond.BondHolder closestBonds = Bond.BondRun.ClosestBonds(govBondList, sampleInput1);
string actual = closestBonds.closeLesserBond.bondID.ToString() + closestBonds.closeGreaterBond.bondID.ToString();
Assert.True(input.Equals(actual));
}
/// <FunctionName> CalSpreadCurve </FunctionName>
/// <FunctionSummary>
/// This function cacluates result of spread to curve for a corporate bond by subtracting the
/// bond term from the result of interpolation of two nearest government bonds.
/// </FunctionSummary>
/// <param name="govBondList">List of Bonds whose type is government</param>
/// <param name="corpBond">A bond object whos type is corpBond</param>
/// <returns></returns>
public static double CalSpreadCurve(List <Bond> govBondList, Bond corpBond)
{
BondHolder closestBondsList = ClosestBonds(govBondList, corpBond);
return(corpBond.bondYield -
CalInterpol(corpBond.bondTerm,
closestBondsList.closeLesserBond.bondTerm,
closestBondsList.closeLesserBond.bondYield,
closestBondsList.closeGreaterBond.bondTerm,
closestBondsList.closeGreaterBond.bondYield
));
}
/// <FunctionName> CalSpreadBenchmark </FunctionName>
/// <FunctionSummary>
/// This function first determines the best candidate in terms of Bond terms for
/// each corporate bond from the list of government bonds. After it locates the best candidate,
/// the function outputs the ID of this best candidate Bond and
/// calculates the yield by subtracting its value from corporate bond's yield
/// </FunctionSummary>
/// <Paramters>2 Parameters</Paramters>
/// <param name="govBondList"> List of Government Bonds for which to benchmark</param>
/// <param name="corpBond">Corporate Bond for which benchmark against </param>
/// <returns>It prints the Bond ID and yield calculation. </returns>
public static string CalSpreadBenchmark(List <Bond> govBondList, Bond corpBond)
{
Bond resultBond = null;
BondHolder closestBondsList = ClosestBonds(govBondList, corpBond);
double lesserBondTerm = Math.Abs(closestBondsList.closeLesserBond.bondTerm - corpBond.bondTerm);
double greaterBondTerm = Math.Abs(closestBondsList.closeGreaterBond.bondTerm - corpBond.bondTerm);
if (lesserBondTerm < greaterBondTerm)
{
resultBond = closestBondsList.closeLesserBond;
}
else
{
resultBond = closestBondsList.closeGreaterBond;
}
string resultValue = resultBond.bondID + " " + Math.Abs(corpBond.bondYield - resultBond.bondYield).ToString("N2") + "%";
return(resultValue);
}
/// <FunctionName> closestBonds </FunctionName>
/// <FunctionSummary>
/// This function outputs Bond Holder objects class which contains
/// one nearest bond whose term is lesser than corporate bond.
/// one nearest bond whose term is greater than corporate bond.
/// It is necessary for reducing the error for linear interpolation as error is
/// proportional to the square of the distance between the data points.
/// </FunctionSummary>
/// <param name="govBondList">List of Bonds whose type is government</param>
/// <param name="corpBondYears">A double value representing bond years for a corporate Bond</param>
/// <returns>BondHolder object that contains two specified objects</returns>
public static BondHolder ClosestBonds(List <Bond> govBondList, Bond corpBond)
{
Bond nearLesserBond = null;
Bond nearGreaterBond = null;
govBondList.Sort((x, y) => x.bondTerm.CompareTo(y.bondTerm)); //In-place Sorting
CompareBondType compareBondType = new CompareBondType();
int index = govBondList.BinarySearch(corpBond, compareBondType);
int lesserBond = (~index) - 1;
nearLesserBond = govBondList[lesserBond];
int greaterBond = +~index;
nearGreaterBond = govBondList[greaterBond];
BondHolder resultBondList = new BondHolder(nearLesserBond, nearGreaterBond);
return(resultBondList);
}