示例#1
0
        public static ConvertibleBondInfo ToConvertibleBondInfo(BondInfoBase bondInfo,
                                                                string conversionStartDate,
                                                                string conversionEndDate,
                                                                string conversionStockcode,
                                                                double conversionPrice,
                                                                string dividenCurveName,
                                                                bool treatAsCommonBond       = false,
                                                                string[] ebcStrikeQuoteTypes = null,
                                                                string[] ebpStrikeQuoteTypes = null)
        {
            var json     = DataContractJsonObjectSerializer.Serialize(bondInfo);
            var bondPart = DataContractJsonObjectSerializer.Deserialize <BondInfoBase>(json);

            bondPart.OptionToAssPut = null;
            bondPart.OptionToCall   = null;
            bondPart.OptionToPut    = null;

            var hasPut  = !(bondInfo.OptionToPut == null || !bondInfo.OptionToPut.Any());
            var hasCall = !(bondInfo.OptionToCall == null || !bondInfo.OptionToCall.Any());

            if (!hasPut)
            {
                bondInfo.OptionToPut = new Dictionary <string, double>();
            }
            if (!hasCall)
            {
                bondInfo.OptionToCall = new Dictionary <string, double>();
            }

            var ebos = bondInfo.OptionToPut.Select(x => new VanillaOptionInfo
                                                       (tradeId: "",
                                                       strike: x.Value,
                                                       underlyingTicker: bondInfo.BondId,
                                                       underlyingInstrumentType: "Bond",
                                                       valuationParameter: null,
                                                       startDate: bondInfo.StartDate,
                                                       underlyingMaturityDate: bondInfo.MaturityDate,
                                                       exerciseDates: x.Key,
                                                       calendar: bondInfo.Calendar,
                                                       dayCount: bondInfo.DayCount,
                                                       exercise: "European",
                                                       notional: 1.0,
                                                       optionType: "Call"
                                                       )).Union(
                bondInfo.OptionToCall.Select(x => new VanillaOptionInfo
                                                 ("",
                                                 strike: x.Value,
                                                 underlyingTicker: bondInfo.BondId,
                                                 underlyingInstrumentType: "Bond",
                                                 valuationParameter: null,
                                                 startDate: bondInfo.StartDate,
                                                 underlyingMaturityDate: bondInfo.MaturityDate,
                                                 exerciseDates: x.Key,
                                                 calendar: bondInfo.Calendar,
                                                 optionType: "Put",
                                                 dayCount: bondInfo.DayCount,
                                                 notional: 1.0)
                                             )
                ).ToArray();

            var eboStrikQuoteTypes = ebcStrikeQuoteTypes ?? new string[0]
                                     .Union(ebpStrikeQuoteTypes ?? new string[0])
                                     .ToArray();

            var conversion = new VanillaOptionInfo(
                tradeId: "",
                strike: conversionPrice,
                underlyingTicker: bondInfo.BondId,
                underlyingInstrumentType: "Stock",
                valuationParameter: null,
                startDate: conversionStartDate,
                underlyingMaturityDate: conversionEndDate,
                calendar: bondInfo.Calendar,
                optionType: "Call",
                exercise: "American",
                dayCount: bondInfo.DayCount,
                notional: 1.0,
                exerciseDates: bondInfo.OptionToCall.Keys.First()
                );

            return(new ConvertibleBondInfo(bondPart.BondId)
            {
                BondPart = bondPart,
                ConversionOption = conversion,
                EmbeddedOptions = ebos.Any() ? ebos : null,
                EboStrikeQuoteTypes = eboStrikQuoteTypes.Any() ? eboStrikQuoteTypes : null,
                ValuationParameters = new OptionValuationParameters(discountCurveName: bondInfo.ValuationParamters.DiscountCurveName,
                                                                    dividendCurveName: dividenCurveName,
                                                                    volSurfName: conversionStockcode + "Vol",
                                                                    underlyingId: conversionStockcode),
                TreatAsCommonBond = treatAsCommonBond
            });
        }
示例#2
0
        /// <summary>
        /// Return QDP bond qdp object.
        /// </summary>
        /// <param name="tradeId"></param>
        /// <param name="startDate"></param>
        /// <param name="maturityDate"></param>
        /// <param name="notional"></param>
        /// <param name="calendar"></param>
        /// <param name="currency"></param>
        /// <param name="accrualDayCount"></param>
        /// <param name="accrualBusinessDayConvention"></param>
        /// <param name="paymentDayCount"></param>
        /// <param name="paymentFrequency"></param>
        /// <param name="paymentStub"></param>
        /// <param name="paymentBusinessDayConvention"></param>
        /// <param name="settlement"></param>
        /// <param name="settlementCoupon"></param>
        /// <param name="issuePrice"></param>
        /// <param name="firstPaymentDate"></param>
        /// <param name="issueRate"></param>
        /// <param name="amoritzationInIndex"></param>
        /// <param name="renormalizeAfterAmoritzation"></param>
        /// <param name="compensationRate"></param>
        /// <param name="optionToCall"></param>
        /// <param name="optionToPut"></param>
        /// <param name="optionToAssPut"></param>
        /// <param name="fixedCoupon"></param>
        /// <param name="index"></param>
        /// <param name="resetDayCount"></param>
        /// <param name="resetCompound"></param>
        /// <param name="resetStub"></param>
        /// <param name="resetBusinessDayConvention"></param>
        /// <param name="resetToFixingGap"></param>
        /// <param name="resetTerm"></param>
        /// <param name="resetAverageDays"></param>
        /// <param name="resetRateDigits"></param>
        /// <param name="spread"></param>
        /// <param name="floatingRateMultiplier"></param>
        /// <param name="stickToEom"></param>
        /// <returns></returns>
        private static object xl_Bond(
            string tradeId,
            string startDate       = null,
            string maturityDate    = null,
            double notional        = 100,
            string calendar        = "chn_ib",
            string currency        = "CNY",
            string accrualDayCount = "Act365",
            string accrualBusinessDayConvention = "ModifiedFollowing",
            string paymentDayCount              = "Act365",
            string paymentFrequency             = "SemiAnnual",
            string paymentStub                  = "ShortStart",
            string paymentBusinessDayConvention = "ModifiedFollowing",
            string settlement       = "+0D",
            double settlementCoupon = double.NaN,
            double issuePrice       = double.NaN,
            string firstPaymentDate = null,
            double issueRate        = double.NaN,
            Dictionary <int, double> amoritzationInIndex = null,
            bool renormalizeAfterAmoritzation            = false,
            Dictionary <int, double> compensationRate    = null,
            Dictionary <string, double> optionToCall     = null,
            Dictionary <string, double> optionToPut      = null,
            Dictionary <string, double> optionToAssPut   = null,
            double fixedCoupon   = double.NaN,
            string index         = null,
            string resetDayCount = null,
            string resetCompound = null,
            string resetStub     = null,
            string resetBusinessDayConvention = null,
            string resetToFixingGap           = null,
            string resetTerm              = null,
            int resetAverageDays          = 1,
            int resetRateDigits           = 12,
            double spread                 = double.NaN,
            double floatingRateMultiplier = double.NaN,
            bool stickToEom               = false)
        {
            var tradeInfo = XlManager.GetTrade(tradeId);

            if (!(tradeInfo is BondInfoBase))
            {
                startDate    = startDate ?? DateTime.Now.ToString("yyyy-MM-dd");
                maturityDate = maturityDate ?? new Term("1Y").Next(startDate.ToDate()).ToString();
                BondInfoBase bondInfo = null;
                if (string.IsNullOrWhiteSpace(index))
                {
                    bondInfo = new FixedRateBondInfo(tradeId)
                    {
                        FixedCoupon = double.IsNaN(fixedCoupon) ? 0.03 : fixedCoupon
                    };
                }
                else
                {
                    bondInfo = new FloatingRateBondInfo(tradeId)
                    {
                        Index                  = index ?? "Shibor3M",
                        ResetDC                = resetDayCount ?? "Act365",
                        ResetCompound          = resetCompound ?? "Simple",
                        ResetStub              = resetStub ?? "ShortStart",
                        ResetBD                = resetBusinessDayConvention ?? "ModifiedFollowing",
                        ResetToFixingGap       = resetToFixingGap ?? "-1BD",
                        ResetTerm              = resetTerm ?? "3M",
                        Spread                 = double.IsNaN(spread) ? 0.0 : spread,
                        ResetAverageDays       = resetAverageDays,
                        ResetRateDigits        = resetRateDigits,
                        FloatingRateMultiplier = double.IsNaN(floatingRateMultiplier) ? 1.0 : floatingRateMultiplier,
                        FloatingCalc           = "ZzFrn",
                        CapRate                = 100,
                        FloorRate              = -100
                    };
                }
                bondInfo.StartDate        = startDate;
                bondInfo.MaturityDate     = maturityDate;
                bondInfo.Calendar         = calendar;
                bondInfo.PaymentFreq      = paymentFrequency;
                bondInfo.StickToEom       = stickToEom;
                bondInfo.PaymentStub      = paymentStub;
                bondInfo.Notional         = notional;
                bondInfo.Currency         = currency;
                bondInfo.AccrualDC        = accrualDayCount;
                bondInfo.DayCount         = paymentDayCount;
                bondInfo.AccrualBD        = accrualBusinessDayConvention;
                bondInfo.PaymentBD        = paymentBusinessDayConvention;
                bondInfo.Settlement       = settlement;
                bondInfo.SettlementCoupon = settlementCoupon;
                bondInfo.TradingMarket    = calendar == "chn_ib"
                                        ? TradingMarket.ChinaInterBank.ToString()
                                        : TradingMarket.ChinaExShe.ToString();
                bondInfo.IsZeroCouponBond    = !double.IsNaN(issuePrice);
                bondInfo.IssuePrice          = issuePrice;
                bondInfo.FirstPaymentDate    = firstPaymentDate;
                bondInfo.AmortizationType    = "None";
                bondInfo.AmoritzationInIndex = amoritzationInIndex;
                bondInfo.RenormAmortization  = renormalizeAfterAmoritzation;
                bondInfo.CompensationRate    = compensationRate;
                bondInfo.IssueRate           = issueRate;
                bondInfo.OptionToCall        = optionToCall;
                bondInfo.OptionToPut         = optionToPut;
                bondInfo.OptionToAssPut      = optionToAssPut;
                bondInfo.ValuationParamters  = new SimpleCfValuationParameters("中债国债收益率曲线", "", "中债国债收益率曲线");

                XlManager.AddTrades(new[] { bondInfo });
                tradeInfo = bondInfo;
            }
            return(tradeInfo.ToTradeInfoInLabelData(null));
        }