public void BasicBondTest()
{
var bond = new Bond(
id: "bond",
startDate: new Date(2016, 3, 15),
maturityDate: new Date(2019, 3, 15),
notional: 100.0,
currency: CurrencyCode.CNY,
coupon: new FixedCoupon(0.05),
calendar: CalendarImpl.Get("chn"),
paymentFreq: Frequency.SemiAnnual,
stub: Stub.ShortEnd,
accrualDayCount: new Act365(),
paymentDayCount: new Act365(),
accrualBizDayRule: BusinessDayConvention.ModifiedFollowing,
paymentBizDayRule: BusinessDayConvention.ModifiedFollowing,
settlementGap: new DayGap("+0D"),
bondTradingMarket: TradingMarket.ChinaInterBank);
var engine = new BondEngineCn(new BondYieldPricerCn());
var market = new MarketCondition(
x => x.ValuationDate.Value = new Date(2018, 8, 1),
x => x.MktQuote.Value =
new Dictionary <string, Tuple <PriceQuoteType, double> >
{
{ "bond", Tuple.Create(PriceQuoteType.Clean, 100.0) }
}
);
var result = engine.Calculate(bond, market, PricingRequest.Ytm);
}
public BondFuturesYieldPricer(BondFutures bondFuture, IMarketCondition market)
{
_qbBondEngine = new BondEngineCn(new BondYieldPricerCn());
_bondFuture = bondFuture;
_market = market;
}
