public HoldingPeriodEngine()
{
_bondEngine = new BondEngineCn(new BondYieldPricerCn());
_roundCleanPrice = true;
}
public override IPricingResult Calculate(BondFutures bondFuture, IMarketCondition market, PricingRequest request)
{
var beginValuation = DateTime.Now;
var pricingRequest = CheckParameterCondition(bondFuture, market, request);
//if (result.IsRequested(PricingRequest.Dv01))
//{
// result.Dv01 = CalcDv01(bondFuture, market);
//}
var result = new PricingResult(market.ValuationDate, pricingRequest);
//if (result.IsRequested(PricingRequest.Pv))
//{
// result.Pv = CalcPv(bondFuture, market);
//}
if (result.IsRequested(PricingRequest.DirtyPrice))
{
result.DirtyPrice = market.MktQuote.Value.Where(x => x.Key == bondFuture.Id).Select(x => x.Value.Item2).First() * bondFuture.Notional / 100;
}
if (result.IsRequested(PricingRequest.ConvertFactors))
{
result.ConvertFactors = CalcConvertFactors(bondFuture, market);
}
if (result.IsRequested(PricingRequest.Irr) || result.IsRequested(PricingRequest.Pv01) ||
result.IsRequested(PricingRequest.KeyRateDv01) ||
result.IsRequested(PricingRequest.ZeroSpread) || result.IsRequested(PricingRequest.ZeroSpreadDelta) ||
result.IsRequested(PricingRequest.UnderlyingPv) || result.IsRequested(PricingRequest.Basis) ||
result.IsRequested(PricingRequest.Convexity) || result.IsRequested(PricingRequest.Ytm) ||
result.IsRequested(PricingRequest.CheapestToDeliver) ||
result.IsRequested(PricingRequest.ModifiedDuration) || result.IsRequested(PricingRequest.MacDuration)
)
{
//TODO: wierd update logic, why bother?
var mktQuote = market.MktQuote.Value.Keys.Where(quoteKey => !quoteKey.Contains(bondFuture.Id + "_")).ToDictionary(quoteKey => quoteKey, quoteKey => market.MktQuote.Value[quoteKey]);
var updateMarket = market.UpdateCondition(new UpdateMktConditionPack <Dictionary <string, Tuple <PriceQuoteType, double> > >(x => x.MktQuote, mktQuote));
var yieldPricer = new BondFuturesYieldPricer(bondFuture, updateMarket);
//calculate convert factors
if (!result.ConvertFactors.Any())
{
result.ConvertFactors = CalcConvertFactors(bondFuture, market);
}
var convertFactors = result.ConvertFactors;
//calculate IRR
result.ProductSpecific = yieldPricer.CalcEquation("FromFuturesPriceAndBondPrice");
//calculate pv01
var maxIrr = result.ProductSpecific["Irr"].Values.Select(x => x.Rate).Max();
var ctdBondId = result.ProductSpecific["Irr"].First(x => x.Value.Rate == maxIrr).Key;
var ctdBond = bondFuture.Deliverables.First(x => x.Id == ctdBondId);
var cf = convertFactors[ctdBondId];
var scaling = bondFuture.Notional / (100.0 * cf);
var engine = new BondEngineCn();
result.CheapestToDeliver = ctdBondId;
//two risks here are CTD risk, not bond futures risk
var resultCTD = engine.Calculate(ctdBond, market, PricingRequest.All);
result.ZeroSpread = resultCTD.ZeroSpread;
result.UnderlyingPv = resultCTD.Pv * scaling;
result.Basis = yieldPricer.CalcFutureCtdBasis(ctdBond, cf);
result.Ytm = resultCTD.Ytm;
result.MacDuration = resultCTD.MacDuration;
result.ModifiedDuration = resultCTD.ModifiedDuration;
result.Convexity = resultCTD.Convexity;
result.DollarConvexity = resultCTD.DollarConvexity * scaling; // 1% price impact
result.DollarModifiedDuration = resultCTD.DollarModifiedDuration * scaling; // same order of magnitutude of CTD dollar modifiedDuration, good for pnl attribution
//convert to bond futures risk
result.Pv01 = resultCTD.Pv01 * scaling; // underlying pv01 is
foreach (var kvp in resultCTD.KeyRateDv01)
{
foreach (var risk in kvp.Value)
{
risk.Risk *= scaling;
}
}
result.KeyRateDv01 = resultCTD.KeyRateDv01;
result.ZeroSpreadDelta = resultCTD.ZeroSpreadDelta * scaling;
}
if (result.IsRequested(PricingRequest.FairQuote))
{
var mktQuote = market.MktQuote.Value.Keys.Where(quoteKey => !quoteKey.Equals(bondFuture.Id)).ToDictionary(quoteKey => quoteKey, quoteKey => market.MktQuote.Value[quoteKey]);
var updateMarket = market.UpdateCondition(new UpdateMktConditionPack <Dictionary <string, Tuple <PriceQuoteType, double> > >(x => x.MktQuote, mktQuote));
var yieldPricer = new BondFuturesYieldPricer(bondFuture, updateMarket);
result.ProductSpecific = yieldPricer.CalcEquation("FromBondPriceAndIrr");
}
if (result.IsRequested(PricingRequest.MktQuote))
{
result.ProductSpecific = CalcMktFuturePrice(bondFuture, market);
}
if (result.IsRequested(PricingRequest.UnderlyingFairQuote))
{
var mktQuote = market.MktQuote.Value.Keys.Where(quoteKey => quoteKey.Contains(bondFuture.Id)).ToDictionary(quoteKey => quoteKey, quoteKey => market.MktQuote.Value[quoteKey]);
var updateMarket = market.UpdateCondition(new UpdateMktConditionPack <Dictionary <string, Tuple <PriceQuoteType, double> > >(x => x.MktQuote, mktQuote));
var yieldPricer = new BondFuturesYieldPricer(bondFuture, updateMarket);
result.ProductSpecific = yieldPricer.CalcEquation("FromFuturesPriceAndIrr");
}
var endValuation = DateTime.Now;
result.CalcTimeInMilliSecond = (endValuation - beginValuation).TotalMilliseconds;
return(result);
}