本文整理汇总了C#中Bond.setPricingEngine方法的典型用法代码示例。如果您正苦于以下问题：C# Bond.setPricingEngine方法的具体用法？C# Bond.setPricingEngine怎么用？C# Bond.setPricingEngine使用的例子？那么恭喜您, 这里精选的方法代码示例或许可以为您提供帮助。您也可以进一步了解该方法所在类Bond的用法示例。
在下文中一共展示了Bond.setPricingEngine方法的5个代码示例，这些例子默认根据受欢迎程度排序。您可以为喜欢或者感觉有用的代码点赞，您的评价将有助于系统推荐出更棒的C#代码示例。
示例1: BondHelper
/*! \warning Setting a pricing engine to the passed bond from
external code will cause the bootstrap to fail or
to give wrong results. It is advised to discard
the bond after creating the helper, so that the
helper has sole ownership of it.
*/
public BondHelper(Handle<Quote> cleanPrice, Bond bond) : base(cleanPrice) {
bond_ = bond;
latestDate_ = bond_.maturityDate();
initializeDates();
IPricingEngine bondEngine = new DiscountingBondEngine(termStructureHandle_);
bond_.setPricingEngine(bondEngine);
}示例2: testGenericBondImplied
public void testGenericBondImplied()
{
// Testing implied generic-bond value against asset-swap fair price with null spread...
CommonVars vars = new CommonVars();
Calendar bondCalendar = new TARGET();
int settlementDays = 3;
int fixingDays = 2;
bool payFixeddouble = true;
bool parAssetSwap = true;
bool inArrears = false;
// Fixed Underlying bond (Isin: DE0001135275 DBR 4 01/04/37)
// maturity doesn't occur on a business day
Date fixedBondStartDate1 =new Date(4,Month.January,2005);
Date fixedBondMaturityDate1 =new Date(4,Month.January,2037);
Schedule fixedBondSchedule1 = new Schedule(fixedBondStartDate1,
fixedBondMaturityDate1,
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List<CashFlow> fixedBondLeg1 = new FixedRateLeg(fixedBondSchedule1)
.withCouponRates(0.04, new ActualActual(ActualActual.Convention.ISDA))
.withNotionals(vars.faceAmount);
Date fixedbondRedemption1 = bondCalendar.adjust(fixedBondMaturityDate1,
BusinessDayConvention.Following);
fixedBondLeg1.Add((new SimpleCashFlow(100.0, fixedbondRedemption1)));
Bond fixedBond1 = new Bond(settlementDays, bondCalendar, vars.faceAmount,
fixedBondMaturityDate1, fixedBondStartDate1, fixedBondLeg1);
IPricingEngine bondEngine = new DiscountingBondEngine(vars.termStructure);
IPricingEngine swapEngine= new DiscountingSwapEngine(vars.termStructure);
fixedBond1.setPricingEngine(bondEngine);
double fixedBondPrice1 = fixedBond1.cleanPrice();
AssetSwap fixedBondAssetSwap1 = new AssetSwap(payFixeddouble,
fixedBond1, fixedBondPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
fixedBondAssetSwap1.setPricingEngine(swapEngine);
double fixedBondAssetSwapPrice1 = fixedBondAssetSwap1.fairCleanPrice();
double tolerance = 1.0e-13;
double error1 = Math.Abs(fixedBondAssetSwapPrice1-fixedBondPrice1);
if (error1>tolerance) {
Assert.Fail("wrong zero spread asset swap price for fixed bond:"
+ "\n bond's clean price: " + fixedBondPrice1
+ "\n asset swap fair price: " + fixedBondAssetSwapPrice1
+ "\n error: " + error1
+ "\n tolerance: " + tolerance);
}
// Fixed Underlying bond (Isin: IT0006527060 IBRD 5 02/05/19)
// maturity occurs on a business day
Date fixedBondStartDate2 =new Date(5,Month.February,2005);
Date fixedBondMaturityDate2 =new Date(5,Month.February,2019);
Schedule fixedBondSchedule2= new Schedule(fixedBondStartDate2,
fixedBondMaturityDate2,
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List<CashFlow> fixedBondLeg2 = new FixedRateLeg(fixedBondSchedule2)
.withCouponRates(0.05, new Thirty360(Thirty360.Thirty360Convention.BondBasis))
.withNotionals(vars.faceAmount);
Date fixedbondRedemption2 = bondCalendar.adjust(fixedBondMaturityDate2,BusinessDayConvention.Following);
fixedBondLeg2.Add(new SimpleCashFlow(100.0, fixedbondRedemption2));
Bond fixedBond2 = new Bond(settlementDays, bondCalendar, vars.faceAmount,
fixedBondMaturityDate2, fixedBondStartDate2, fixedBondLeg2);
fixedBond2.setPricingEngine(bondEngine);
double fixedBondPrice2 = fixedBond2.cleanPrice();
AssetSwap fixedBondAssetSwap2= new AssetSwap(payFixeddouble,
fixedBond2, fixedBondPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
fixedBondAssetSwap2.setPricingEngine(swapEngine);
double fixedBondAssetSwapPrice2 = fixedBondAssetSwap2.fairCleanPrice();
double error2 = Math.Abs(fixedBondAssetSwapPrice2-fixedBondPrice2);
if (error2>tolerance) {
Assert.Fail("wrong zero spread asset swap price for fixed bond:"
+ "\n bond's clean price: " + fixedBondPrice2
+ "\n asset swap fair price: " + fixedBondAssetSwapPrice2
+ "\n error: " + error2
+ "\n tolerance: " + tolerance);
}
// FRN Underlying bond (Isin: IT0003543847 ISPIM 0 09/29/13)
// maturity doesn't occur on a business day
Date floatingBondStartDate1 =new Date(29,Month.September,2003);
Date floatingBondMaturityDate1 =new Date(29,Month.September,2013);
Schedule floatingBondSchedule1 = new Schedule(floatingBondStartDate1,
floatingBondMaturityDate1,
new Period(Frequency.Semiannual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
//.........这里部分代码省略.........
示例3: testZSpreadWithGenericBond
public void testZSpreadWithGenericBond()
{
// Testing clean and dirty price with null Z-spread against theoretical prices...
CommonVars vars = new CommonVars();
Calendar bondCalendar = new TARGET();
int settlementDays = 3;
int fixingDays = 2;
bool inArrears = false;
// Fixed Underlying bond (Isin: DE0001135275 DBR 4 01/04/37)
// maturity doesn't occur on a business day
Date fixedBondStartDate1 = new Date(4,Month.January,2005);
Date fixedBondMaturityDate1 = new Date(4,Month.January,2037);
Schedule fixedBondSchedule1= new Schedule(fixedBondStartDate1,
fixedBondMaturityDate1,
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List<CashFlow> fixedBondLeg1 = new FixedRateLeg(fixedBondSchedule1)
.withCouponRates(0.04, new ActualActual(ActualActual.Convention.ISDA))
.withNotionals(vars.faceAmount);
Date fixedbondRedemption1 = bondCalendar.adjust(fixedBondMaturityDate1,
BusinessDayConvention.Following);
fixedBondLeg1.Add(new SimpleCashFlow(100.0, fixedbondRedemption1));
Bond fixedBond1 = new Bond(settlementDays, bondCalendar, vars.faceAmount, fixedBondMaturityDate1, fixedBondStartDate1,
fixedBondLeg1);
IPricingEngine bondEngine = new DiscountingBondEngine(vars.termStructure);
fixedBond1.setPricingEngine(bondEngine);
double fixedBondImpliedValue1 = fixedBond1.cleanPrice();
Date fixedBondSettlementDate1= fixedBond1.settlementDate();
// standard market conventions:
// bond's frequency + coumpounding and daycounter of the YieldCurve
double fixedBondCleanPrice1 = BondFunctions.cleanPrice(fixedBond1, vars.termStructure, vars.spread,
new Actual365Fixed(), vars.compounding, Frequency.Annual, fixedBondSettlementDate1);
double tolerance = 1.0e-13;
double error1 = Math.Abs(fixedBondImpliedValue1-fixedBondCleanPrice1);
if (error1>tolerance) {
Assert.Fail("wrong clean price for fixed bond:"
+ "\n market asset swap spread: "
+ fixedBondImpliedValue1
+ "\n par asset swap spread: " + fixedBondCleanPrice1
+ "\n error: " + error1
+ "\n tolerance: " + tolerance);
}
// Fixed Underlying bond (Isin: IT0006527060 IBRD 5 02/05/19)
// maturity occurs on a business day
Date fixedBondStartDate2 = new Date(5,Month.February,2005);
Date fixedBondMaturityDate2 = new Date(5,Month.February,2019);
Schedule fixedBondSchedule2= new Schedule(fixedBondStartDate2,
fixedBondMaturityDate2,
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List<CashFlow> fixedBondLeg2 = new FixedRateLeg(fixedBondSchedule2)
.withCouponRates(0.05, new Thirty360(Thirty360.Thirty360Convention.BondBasis))
.withNotionals(vars.faceAmount);
Date fixedbondRedemption2 = bondCalendar.adjust(fixedBondMaturityDate2, BusinessDayConvention.Following);
fixedBondLeg2.Add(new SimpleCashFlow(100.0, fixedbondRedemption2));
Bond fixedBond2 = new Bond(settlementDays, bondCalendar, vars.faceAmount,
fixedBondMaturityDate2, fixedBondStartDate2, fixedBondLeg2);
fixedBond2.setPricingEngine(bondEngine);
double fixedBondImpliedValue2 = fixedBond2.cleanPrice();
Date fixedBondSettlementDate2= fixedBond2.settlementDate();
// standard market conventions:
// bond's frequency + coumpounding and daycounter of the YieldCurve
double fixedBondCleanPrice2 = BondFunctions.cleanPrice(fixedBond2, vars.termStructure, vars.spread,
new Actual365Fixed(), vars.compounding, Frequency.Annual, fixedBondSettlementDate2);
double error3 = Math.Abs(fixedBondImpliedValue2-fixedBondCleanPrice2);
if (error3>tolerance) {
Assert.Fail("wrong clean price for fixed bond:"
+ "\n market asset swap spread: "
+ fixedBondImpliedValue2
+ "\n par asset swap spread: " + fixedBondCleanPrice2
+ "\n error: " + error3
+ "\n tolerance: " + tolerance);
}
// FRN Underlying bond (Isin: IT0003543847 ISPIM 0 09/29/13)
// maturity doesn't occur on a business day
Date floatingBondStartDate1 = new Date(29,Month.September,2003);
Date floatingBondMaturityDate1 = new Date(29,Month.September,2013);
Schedule floatingBondSchedule1= new Schedule(floatingBondStartDate1,
floatingBondMaturityDate1,
new Period(Frequency.Semiannual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List<CashFlow> floatingBondLeg1 = new IborLeg(floatingBondSchedule1, vars.iborIndex)
.withPaymentDayCounter(new Actual360())
.withFixingDays(fixingDays)
.withSpreads(0.0056)
.inArrears(inArrears)
//.........这里部分代码省略.........
示例4: testSpecializedBondVsGenericBondUsingAsw
public void testSpecializedBondVsGenericBondUsingAsw()
{
// Testing asset-swap prices and spreads for specialized bond against equivalent generic bond...
CommonVars vars = new CommonVars();
Calendar bondCalendar = new TARGET();
int settlementDays = 3;
int fixingDays = 2;
bool payFixedRate = true;
bool parAssetSwap = true;
bool inArrears = false;
// Fixed bond (Isin: DE0001135275 DBR 4 01/04/37)
// maturity doesn't occur on a business day
Date fixedBondStartDate1 = new Date(4,Month.January,2005);
Date fixedBondMaturityDate1 = new Date(4,Month.January,2037);
Schedule fixedBondSchedule1 = new Schedule(fixedBondStartDate1,
fixedBondMaturityDate1,
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List<CashFlow> fixedBondLeg1 = new FixedRateLeg(fixedBondSchedule1)
.withCouponRates(0.04, new ActualActual(ActualActual.Convention.ISDA))
.withNotionals(vars.faceAmount);
Date fixedbondRedemption1 = bondCalendar.adjust(fixedBondMaturityDate1, BusinessDayConvention.Following);
fixedBondLeg1.Add(new SimpleCashFlow(100.0, fixedbondRedemption1));
// generic bond
Bond fixedBond1 = new Bond(settlementDays, bondCalendar, vars.faceAmount,
fixedBondMaturityDate1, fixedBondStartDate1, fixedBondLeg1);
IPricingEngine bondEngine = new DiscountingBondEngine(vars.termStructure);
IPricingEngine swapEngine = new DiscountingSwapEngine(vars.termStructure);
fixedBond1.setPricingEngine(bondEngine);
// equivalent specialized fixed rate bond
Bond fixedSpecializedBond1 = new FixedRateBond(settlementDays, vars.faceAmount, fixedBondSchedule1,
new List<double>{0.04},
new ActualActual(ActualActual.Convention.ISDA), BusinessDayConvention.Following,
100.0, new Date(4,Month.January,2005));
fixedSpecializedBond1.setPricingEngine(bondEngine);
double fixedBondPrice1 = fixedBond1.cleanPrice();
double fixedSpecializedBondPrice1 = fixedSpecializedBond1.cleanPrice();
AssetSwap fixedBondAssetSwap1 = new AssetSwap(payFixedRate,
fixedBond1, fixedBondPrice1,
vars.iborIndex, vars.nonnullspread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
fixedBondAssetSwap1.setPricingEngine(swapEngine);
AssetSwap fixedSpecializedBondAssetSwap1 = new AssetSwap(payFixedRate,
fixedSpecializedBond1,
fixedSpecializedBondPrice1,
vars.iborIndex,
vars.nonnullspread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
fixedSpecializedBondAssetSwap1.setPricingEngine(swapEngine);
double fixedBondAssetSwapPrice1 = fixedBondAssetSwap1.fairCleanPrice();
double fixedSpecializedBondAssetSwapPrice1 =
fixedSpecializedBondAssetSwap1.fairCleanPrice();
double tolerance = 1.0e-13;
double error1 =
Math.Abs(fixedBondAssetSwapPrice1-fixedSpecializedBondAssetSwapPrice1);
if (error1>tolerance) {
Assert.Fail("wrong clean price for fixed bond:"
+ "\n generic fixed rate bond's clean price: "
+ fixedBondAssetSwapPrice1
+ "\n equivalent specialized bond's clean price: "
+ fixedSpecializedBondAssetSwapPrice1
+ "\n error: " + error1
+ "\n tolerance: " + tolerance);
}
// market executable price as of 4th sept 2007
double fixedBondMktPrice1= 91.832;
AssetSwap fixedBondASW1 = new AssetSwap(payFixedRate,
fixedBond1, fixedBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
fixedBondASW1.setPricingEngine(swapEngine);
AssetSwap fixedSpecializedBondASW1 = new AssetSwap(payFixedRate,
fixedSpecializedBond1,
fixedBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
fixedSpecializedBondASW1.setPricingEngine(swapEngine);
double fixedBondASWSpread1 = fixedBondASW1.fairSpread();
double fixedSpecializedBondASWSpread1 = fixedSpecializedBondASW1.fairSpread();
double error2 = Math.Abs(fixedBondASWSpread1-fixedSpecializedBondASWSpread1);
if (error2>tolerance) {
Assert.Fail("wrong asw spread for fixed bond:"
+ "\n generic fixed rate bond's asw spread: "
+ fixedBondASWSpread1
+ "\n equivalent specialized bond's asw spread: "
+ fixedSpecializedBondASWSpread1
+ "\n error: " + error2
//.........这里部分代码省略.........
示例5: testMASWWithGenericBond
public void testMASWWithGenericBond()
{
// Testing market asset swap against par asset swap with generic bond...
CommonVars vars = new CommonVars();
Calendar bondCalendar = new TARGET();
int settlementDays = 3;
int fixingDays = 2;
bool payFixedRate = true;
bool parAssetSwap = true;
bool mktAssetSwap = false;
bool inArrears = false;
// Fixed Underlying bond (Isin: DE0001135275 DBR 4 01/04/37)
// maturity doesn't occur on a business day
Date fixedBondStartDate1 = new Date(4,Month.January,2005);
Date fixedBondMaturityDate1 = new Date(4,Month.January,2037);
Schedule fixedBondSchedule1 = new Schedule(fixedBondStartDate1,
fixedBondMaturityDate1,
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List<CashFlow> fixedBondLeg1 = new FixedRateLeg(fixedBondSchedule1)
.withCouponRates(0.04, new ActualActual(ActualActual.Convention.ISDA))
.withNotionals(vars.faceAmount);
Date fixedbondRedemption1 = bondCalendar.adjust(fixedBondMaturityDate1, BusinessDayConvention.Following);
fixedBondLeg1.Add(new SimpleCashFlow(100.0, fixedbondRedemption1));
Bond fixedBond1 = new Bond(settlementDays, bondCalendar, vars.faceAmount, fixedBondMaturityDate1,
fixedBondStartDate1, fixedBondLeg1);
IPricingEngine bondEngine = new DiscountingBondEngine(vars.termStructure);
IPricingEngine swapEngine = new DiscountingSwapEngine(vars.termStructure);
fixedBond1.setPricingEngine(bondEngine);
double fixedBondMktPrice1 = 89.22 ; // market price observed on 7th June 2007
double fixedBondMktFullPrice1=fixedBondMktPrice1+fixedBond1.accruedAmount();
AssetSwap fixedBondParAssetSwap1= new AssetSwap(payFixedRate,
fixedBond1, fixedBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
fixedBondParAssetSwap1.setPricingEngine(swapEngine);
double fixedBondParAssetSwapSpread1 = fixedBondParAssetSwap1.fairSpread();
AssetSwap fixedBondMktAssetSwap1 = new AssetSwap(payFixedRate,
fixedBond1, fixedBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
mktAssetSwap);
fixedBondMktAssetSwap1.setPricingEngine(swapEngine);
double fixedBondMktAssetSwapSpread1 = fixedBondMktAssetSwap1.fairSpread();
double tolerance = 1.0e-13;
double error1 =
Math.Abs(fixedBondMktAssetSwapSpread1-
100*fixedBondParAssetSwapSpread1/fixedBondMktFullPrice1);
if (error1>tolerance)
Assert.Fail("wrong asset swap spreads for fixed bond:" +
"\n market asset swap spread: " + fixedBondMktAssetSwapSpread1 +
"\n par asset swap spread: " + fixedBondParAssetSwapSpread1 +
"\n error: " + error1 +
"\n tolerance: " + tolerance);
// Fixed Underlying bond (Isin: IT0006527060 IBRD 5 02/05/19)
// maturity occurs on a business day
Date fixedBondStartDate2 = new Date(5,Month.February,2005);
Date fixedBondMaturityDate2 = new Date(5,Month.February,2019);
Schedule fixedBondSchedule2 = new Schedule(fixedBondStartDate2,
fixedBondMaturityDate2,
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List<CashFlow> fixedBondLeg2 = new FixedRateLeg(fixedBondSchedule2)
.withCouponRates(0.05, new Thirty360(Thirty360.Thirty360Convention.BondBasis))
.withNotionals(vars.faceAmount);
Date fixedbondRedemption2 = bondCalendar.adjust(fixedBondMaturityDate2, BusinessDayConvention.Following);
fixedBondLeg2.Add(new SimpleCashFlow(100.0, fixedbondRedemption2));
Bond fixedBond2 = new Bond(settlementDays, bondCalendar, vars.faceAmount, fixedBondMaturityDate2, fixedBondStartDate2,
fixedBondLeg2);
fixedBond2.setPricingEngine(bondEngine);
double fixedBondMktPrice2 = 99.98 ; // market price observed on 7th June 2007
double fixedBondMktFullPrice2=fixedBondMktPrice2+fixedBond2.accruedAmount();
AssetSwap fixedBondParAssetSwap2= new AssetSwap(payFixedRate,
fixedBond2, fixedBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
fixedBondParAssetSwap2.setPricingEngine(swapEngine);
double fixedBondParAssetSwapSpread2 = fixedBondParAssetSwap2.fairSpread();
AssetSwap fixedBondMktAssetSwap2= new AssetSwap(payFixedRate,
fixedBond2, fixedBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
//.........这里部分代码省略.........