zszq-trs/UnitTestProject/Modules/CalcModules/QdpTestHelper.cs

using Qdp.ComputeService.Data.CommonModels.MarketInfos;
using Qdp.ComputeService.Data.CommonModels.MarketInfos.CurveDefinitions;
using Qdp.Foundation.Implementations;
using Qdp.Pricing.Base.Enums;
using Qdp.Pricing.Base.Implementations;
using Qdp.Pricing.Base.Interfaces;
using Qdp.Pricing.Base.Utilities;
using Qdp.Pricing.Ecosystem.Market;
using Qdp.Pricing.Ecosystem.Market.BuiltObjects;
using Qdp.Pricing.Ecosystem.Utilities;
using Qdp.Pricing.Library.Base.Curves.Interfaces;
using Qdp.Pricing.Library.Common.Interfaces;
using Qdp.Pricing.Library.Common.Market;

namespace YLErp.Modules.CalcModules
{
    internal class QdpTestHelper
    {
        /// <summary>
        /// Generate observation dates given start/end date and term
        /// </summary>
        /// <param name="calendar"></param>
        /// <param name="startDate"></param>
        /// <param name="maturityDate"></param>
        /// <param name="term"></param>
        /// <param name="bdc"></param>
        /// <returns></returns>
        public static Date[] GenerateObservationDates(ICalendar calendar, Date startDate, Date maturityDate, Term term = null, BusinessDayConvention bdc = BusinessDayConvention.None)
        {
            if (term == null || (term.Length == 1 && term.Period == Period.Day))
            {
                return calendar.BizDaysBetweenDatesExcluStartDay(startDate, maturityDate).Union(new[] { maturityDate }).ToArray();
            }
            else
            {
                var qdpStart = new Date(startDate);
                var qdpEnd = new Date(maturityDate);
                var dates = new List<Date>();

                while (qdpEnd > qdpStart)
                {
                    dates.Add(qdpEnd);
                    qdpEnd = term.Prev(qdpEnd);
                }

                dates = dates.Select(d => calendar.Adjust(d, bdc)).Distinct().ToList();

                dates.Reverse();
                return dates.ToArray();
            }
        }

        /// <summary>
        /// create market
        /// </summary>
        /// <param name="valueDate"></param>
        /// <param name="vol"></param>
        /// <param name="spot"></param>
        /// <param name="riskFreeRate"></param>
        /// <param name="dividendRate"></param>
        /// <returns></returns>
        public static IMarketCondition CreateMarket(Date valueDate, Double vol = 0.28, Double spot = 1.0,
            double riskFreeRate = 0.035, double dividendRate = 0)
        {
            return CreateMarket(valueDate.ToString(), vol, spot, riskFreeRate, dividendRate);
        }

        /// <summary>
        /// create market
        /// </summary>
        /// <param name="referenceDate"></param>
        /// <param name="vol"></param>
        /// <param name="spot"></param>
        /// <param name="riskFreeRate"></param>
        /// <param name="dividendRate"></param>
        /// <returns></returns>
        public static IMarketCondition CreateMarket(String referenceDate = "2015-03-19", Double vol = 0.28, Double spot = 1.0,
            double riskFreeRate = 0.035, double dividendRate = 0)
        {
            var historiclIndexRates = HistoricalDataLoadHelper.HistoricalIndexRates;

            var curveConvention = new CurveConvention("fr007CurveConvention",
                "CNY",
                "ModifiedFollowing",
                "Chn",
                "Act365",
                "Continuous",
                "CubicHermiteMonotic");

            var fr007CurveName = "Fr007";
            var fr007RateDefinition = new[]
            {
                new RateMktData("1D", riskFreeRate, "Spot", "None", fr007CurveName),
                new RateMktData("5Y", riskFreeRate, "Spot", "None", fr007CurveName),
            };

            var dividendCurveName = "Dividend";
            var dividendRateDefinition = new[]
            {
                new RateMktData("1D", dividendRate, "Spot", "None", dividendCurveName),
                new RateMktData("5Y", dividendRate, "Spot", "None", dividendCurveName),
            };

            var curveDefinition = new[]
            {
                new InstrumentCurveDefinition(fr007CurveName, curveConvention, fr007RateDefinition, "SpotCurve"),
                new InstrumentCurveDefinition(dividendCurveName, curveConvention, dividendRateDefinition, "SpotCurve"),
            };

            var volSurf = new[] { new VolSurfMktData("VolSurf", vol), };

            var marketInfo = new MarketInfo("tmpMarket", referenceDate, curveDefinition, historiclIndexRates, null, null, volSurf);
            var result = MarketFunctions.BuildMarket(marketInfo, out var market);
            var volsurf = market.GetData<VolSurfMktData>("VolSurf").ToImpliedVolSurface(market.ReferenceDate);


            return new MarketCondition(
                x => x.ValuationDate.Value = market.ReferenceDate,
                x => x.DiscountCurve.Value = market.GetData<CurveData>("Fr007").YieldCurve,
                x => x.DividendCurves.Value = new Dictionary<string, IYieldCurve> { { "", market.GetData<CurveData>("Dividend").YieldCurve } },
                x => x.VolSurfaces.Value = new Dictionary<string, IVolSurface> { { "", volsurf } },
                x => x.SpotPrices.Value = new Dictionary<string, double> { { "", spot } }
                );
        }
    }

    public class HistoricalDataLoadHelper
    {
        public static readonly Dictionary<string, Dictionary<string, double>> HistoricalIndexRates;

        public static readonly Dictionary<IndexType, SortedDictionary<Date, double>> HistoricalIndexRatesMarket;

        static HistoricalDataLoadHelper()
        {
            HistoricalIndexRates = new Dictionary<string, Dictionary<string, double>>();
            HistoricalIndexRatesMarket = new Dictionary<IndexType, SortedDictionary<Date, double>>();
            var files = Directory.GetFiles(@".\Data\HistoricalIndexRates");

            foreach (var file in files)
            {
                var shortName = Path.GetFileNameWithoutExtension(file);
                if (Enum.TryParse(shortName, out IndexType indexType))
                {
                    var temp = new Dictionary<string, double>();
                    var temp1 = new SortedDictionary<Date, double>();
                    var lines = File.ReadAllLines(file);
                    foreach (var line in lines)
                    {
                        var splits = line.Split(',');
                        temp[splits[0]] = Convert.ToDouble(splits[1]);
                        temp1[splits[0].ToDate()] = Convert.ToDouble(splits[1]);
                    }
                    HistoricalIndexRates[shortName] = temp;
                    HistoricalIndexRatesMarket[shortName.ToIndexType()] = temp1;
                }
            }
        }

        public static Dictionary<string, double> GetIndexRates(string indexType)
        {
            return HistoricalIndexRates[indexType];
        }
    }
}