/// <summary>
/// Initializes a new instance of the <see cref="PriceableBondAsset"/> class.
/// </summary>
/// <param name="baseDate">The base date.</param>
/// <param name="exDivDateOffset">The ex-dividend offsets.</param>
/// <param name="businessDayAdjustments">The business day adjustments.</param>
/// <param name="marketQuote">The market quote.</param>
/// <param name="amount">The notional amount.</param>
/// <param name="currency">THe currency of the bond.</param>
/// <param name="settlementDateOffset">The details to calculate the settlement date.</param>
/// <param name="quoteType">THe market quote type</param>
protected PriceableBondAsset(DateTime baseDate, decimal amount, Currency currency, RelativeDateOffset settlementDateOffset,
RelativeDateOffset exDivDateOffset, BusinessDayAdjustments businessDayAdjustments, BasicQuotation marketQuote, BondPriceEnum quoteType)
{
Multiplier = 1.0m;
YearFractions = new[] { 0.25m };
ModelIdentifier = "GenericBondAsset";
Notional = amount;
Currency = currency;
QuoteType = quoteType;
SettlementDateOffset = settlementDateOffset;
ExDividendDateOffset = exDivDateOffset;
BaseDate = baseDate;
PaymentBusinessDayAdjustments = businessDayAdjustments;
SetQuote(marketQuote);
}
/// <summary>
/// Initializes a new instance of the <see cref="PriceableSimpleBond"/> class.
/// </summary>
/// <param name="baseDate">The base date.</param>
/// <param name="nodeStruct">The bond nodeStruct</param>
/// <param name="settlementCalendar">The settlement Calendar.</param>
/// <param name="marketQuote">The market quote.</param>
/// <param name="quoteType">THe quote Type</param>
public PriceableBondSpot(DateTime baseDate, BondNodeStruct nodeStruct, IBusinessCalendar settlementCalendar, BasicQuotation marketQuote, BondPriceEnum quoteType)
: base(baseDate, nodeStruct.Bond.faceAmount, nodeStruct.Bond.currency, nodeStruct.SettlementDate, nodeStruct.ExDivDate, nodeStruct.BusinessDayAdjustments, marketQuote, quoteType)
{
Id = nodeStruct.Bond.id;
SettlementDateCalendar = settlementCalendar;
//Get the settlement date
SettlementDate = GetSettlementDate(baseDate, settlementCalendar, nodeStruct.SettlementDate);
MaturityDate = SettlementDate;
}
/// <summary>
/// Initializes a new instance of the <see cref="PriceableSimpleBond"/> class.
/// </summary>
/// <param name="baseDate">The base date.</param>
/// <param name="nodeStruct">The bond nodeStruct</param>
/// <param name="tenor">The forward tenor.</param>
/// <param name="settlementCalendar">The settlement Calendar.</param>
/// <param name="paymentCalendar">The payment calendar.</param>
/// <param name="marketQuote">The market quote.</param>
/// <param name="quoteType">THe quote Type</param>
public PriceableBondForward(DateTime baseDate, BondNodeStruct nodeStruct, Period tenor, IBusinessCalendar settlementCalendar, IBusinessCalendar paymentCalendar, BasicQuotation marketQuote, BondPriceEnum quoteType)
: base(baseDate, nodeStruct.Bond.faceAmount, nodeStruct.Bond.currency, nodeStruct.SettlementDate, nodeStruct.ExDivDate, nodeStruct.BusinessDayAdjustments, marketQuote, quoteType)
{
Id = nodeStruct.Bond.id;
SettlementDateCalendar = settlementCalendar;
//Get the settlement date
var settlement1 = GetEffectiveDate(baseDate, settlementCalendar, tenor, nodeStruct.SettlementDate.businessDayConvention);
var settlement2 = GetSettlementDate(baseDate, settlementCalendar, nodeStruct.SettlementDate);
if (settlement1 <= settlement2)
{
SettlementDate = settlement1;
MaturityDate = settlement1;
}
else
{
SettlementDate = settlement2;
MaturityDate = GetEffectiveDate(SettlementDate, paymentCalendar, tenor,
nodeStruct.SettlementDate.businessDayConvention);
}
}
/// <summary>
/// Initializes a new instance of the <see cref="PriceableSimpleBond"/> class.
/// </summary>
/// <param name="baseDate">The base date.</param>
/// <param name="bond">The bond</param>
/// <param name="settlementDate">The settlement date.</param>
/// <param name="exDivDate">The ex dividend date.</param>
/// <param name="businessDayAdjustments">The business day adjustments.</param>
/// <param name="paymentCalendar">The payment Calendar.</param>
/// <param name="marketQuote">The market quote.</param>
/// <param name="quoteType">The quote type</param>
public PriceableSimpleBond(DateTime baseDate, Bond bond, DateTime settlementDate, DateTime exDivDate,
BusinessDayAdjustments businessDayAdjustments, IBusinessCalendar paymentCalendar, BasicQuotation marketQuote, BondPriceEnum quoteType)
: base(baseDate, bond.faceAmount, bond.currency, null, null, businessDayAdjustments, marketQuote, quoteType)
{
Id = bond.id;
var tempId = Id.Split('-');
var bondId = tempId[0];
if (tempId.Length > 2)
{
bondId = tempId[2];
}
Issuer = (string)bond.Item;//Does not handle PartyReference type -> only string!
Description = "Not Defined";
if (bond.description != null)
{
Description = bond.description;
}
MaturityDate = bond.maturity;
CouponDayCount = new DayCountFraction {
Value = bond.dayCountFraction.Value
};
if (bond.parValueSpecified)
{
ParValue = bond.parValue;
}
if (bond.couponRateSpecified)
{
CouponRate = bond.couponRate;
}
CouponFrequency = new Period
{
period = bond.paymentFrequency.period,
periodMultiplier = bond.paymentFrequency.periodMultiplier
};
CouponType = CouponTypeEnum.Fixed;
if (bond.clearanceSystem != null)
{
ClearanceSystem = bond.clearanceSystem.Value;
}
if (bond.exchangeId != null)
{
Exchange = bond.exchangeId.Value;
}
if (bond.seniority != null)
{
Seniority = EnumHelper.Parse <CreditSeniorityEnum>(bond.seniority.Value);
}
if (bond.instrumentId != null)
{
InstrumentIds = new List <InstrumentId>();
foreach (var identifier in bond.instrumentId.Select(id => InstrumentIdHelper.Parse(id.Value)))
{
InstrumentIds.Add(identifier);
}
}
//This handles the case of a bond forward used in curve building.
if (MaturityDate > BaseDate)
{
var rollConvention =
RollConventionEnumHelper.Parse(MaturityDate.Day.ToString(CultureInfo.InvariantCulture));
Frequency = FrequencyHelper.ToFrequency(bond.paymentFrequency);
SettlementDate = settlementDate;
UnAdjustedPeriodDates = DateScheduler.GetUnadjustedCouponDatesFromMaturityDate(SettlementDate,
MaturityDate,
CouponFrequency,
rollConvention,
out _,
out var nextCouponDate);
LastCouponDate = UnAdjustedPeriodDates[0];
NextCouponDate = nextCouponDate;
AdjustedPeriodDates =
AdjustedDateScheduler.GetAdjustedDateSchedule(UnAdjustedPeriodDates,
PaymentBusinessDayAdjustments.businessDayConvention,
paymentCalendar).ToArray();
AdjustedPeriodDates[0] = SettlementDate;
NextExDivDate = exDivDate;
IsXD = IsExDiv();
}
BondCurveName = CurveNameHelpers.GetBondCurveName(Currency.Value, bondId);
SwapDiscountCurveName = CurveNameHelpers.GetDiscountCurveName(Currency.Value, true);
}
/// <summary>
/// Initializes a new instance of the <see cref="PriceableSimpleBond"/> class.
/// </summary>
/// <param name="baseDate">The base date.</param>
/// <param name="nodeStruct">The bond nodeStruct</param>
/// <param name="settlementCalendar">The settlement Calendar.</param>
/// <param name="paymentCalendar">The payment Calendar.</param>
/// <param name="marketQuote">The market quote.</param>
/// <param name="quoteType">THe quote Type</param>
public PriceableSimpleBond(DateTime baseDate, BondNodeStruct nodeStruct, IBusinessCalendar settlementCalendar, IBusinessCalendar paymentCalendar,
BasicQuotation marketQuote, BondPriceEnum quoteType)
: base(baseDate, nodeStruct.Bond.faceAmount, nodeStruct.Bond.currency, nodeStruct.SettlementDate, nodeStruct.ExDivDate, nodeStruct.BusinessDayAdjustments, marketQuote, quoteType)
{
Id = nodeStruct.Bond.id;
var tempId = Id.Split('-');
var bondId = tempId[0];
if (tempId.Length > 2)
{
bondId = tempId[2];
}
SettlementDateCalendar = settlementCalendar;
Issuer = (string)nodeStruct.Bond.Item;//Does not handle PartyReference type -> only string!
Description = "Not Defined";
//IsYTMQuote = true;
if (nodeStruct.Bond.description != null)
{
Description = nodeStruct.Bond.description;
}
MaturityDate = nodeStruct.Bond.maturity;
CouponDayCount = new DayCountFraction {
Value = nodeStruct.Bond.dayCountFraction.Value
};
CouponFrequency = new Period
{
period = nodeStruct.Bond.paymentFrequency.period,
periodMultiplier = nodeStruct.Bond.paymentFrequency.periodMultiplier
};
if (nodeStruct.Bond.couponRateSpecified)
{
CouponRate = nodeStruct.Bond.couponRate;
}
if (nodeStruct.Bond.parValueSpecified)
{
ParValue = nodeStruct.Bond.parValue;
}
if (nodeStruct.Bond.clearanceSystem != null)
{
ClearanceSystem = nodeStruct.Bond.clearanceSystem.Value;
}
if (nodeStruct.Bond.exchangeId != null)
{
Exchange = nodeStruct.Bond.exchangeId.Value;
}
CouponType = CouponTypeEnum.Fixed;
if (nodeStruct.Bond.seniority != null)
{
Seniority = EnumHelper.Parse <CreditSeniorityEnum>(nodeStruct.Bond.seniority.Value, true);
}
if (nodeStruct.Bond.instrumentId != null)
{
InstrumentIds = new List <InstrumentId>();
foreach (var identifier in nodeStruct.Bond.instrumentId.Select(id => InstrumentIdHelper.Parse(id.Value)))
{
InstrumentIds.Add(identifier);
}
}
//This handles the case of a bondforward used in curve building.
if (MaturityDate > BaseDate)
{
DateTime lastCouponDate;
DateTime nextCouponDate;
var rollConvention =
RollConventionEnumHelper.Parse(MaturityDate.Day.ToString(CultureInfo.InvariantCulture));
Frequency = FrequencyHelper.ToFrequency(nodeStruct.Bond.paymentFrequency);
//Get the settlement date
SettlementDate = GetSettlementDate(baseDate, settlementCalendar, nodeStruct.SettlementDate);
//Generate the necessary dates.
//TODO Should the settlement date and the underlying bond be calculated on the fly when calculation occurs?
UnAdjustedPeriodDates = DateScheduler.GetUnadjustedCouponDatesFromMaturityDate(SettlementDate,
MaturityDate,
CouponFrequency,
rollConvention,
out lastCouponDate,
out nextCouponDate);
LastCouponDate = UnAdjustedPeriodDates[0];
NextCouponDate = nextCouponDate;
AdjustedPeriodDates =
AdjustedDateScheduler.GetAdjustedDateSchedule(UnAdjustedPeriodDates,
nodeStruct.BusinessDayAdjustments
.businessDayConvention, paymentCalendar)
.ToArray();
AdjustedPeriodDates[0] = SettlementDate; //TODO check this!
NextExDivDate = GetNextExDivDate();
IsXD = IsExDiv();
}
BondCurveName = CurveNameHelpers.GetBondCurveName(Currency.Value, bondId);
SwapDiscountCurveName = CurveNameHelpers.GetDiscountCurveName(Currency.Value, true);
}
