Bond forward

use chrono::NaiveDate;
use helixio_docs_sheets::{SOFR_CLOSE_DATE, USD_SOFR_CLOSE, USD_SOFR_PRINTS};
use helixrs::{
    AnyInstrument, BondForward, CollateralSpec, Curve, DayCountFraction, FixedRateBond, FixingKey,
    FixingStore, Frequency, MarketContext, PriceBasis, QuoteSheet, RepoSpread, forward_price,
};

type Outcome<T> = Result<T, Box<dyn std::error::Error>>;

fn date((year, month, day): (i32, u32, u32)) -> NaiveDate {
    NaiveDate::from_ymd_opt(year, month, day).expect("a real calendar date")
}

fn main() -> Outcome<()> {
    let close = date(SOFR_CLOSE_DATE);
    let delivery = date((2027, 4, 1));

    let sheet = QuoteSheet::from_rows(USD_SOFR_CLOSE.iter().copied())?;
    let prints: Vec<(FixingKey, NaiveDate, f64)> = USD_SOFR_PRINTS
        .iter()
        .map(|(index, day, value)| (FixingKey::Typed((*index).to_owned()), date(*day), *value))
        .collect();
    let gc = RepoSpread::new(close, &[(date((2027, 10, 1)), -0.0010)], DayCountFraction::Act360)?;
    let market = MarketContext::as_of(close)
        .with_fixings(FixingStore::from_observations_checked(&prints)?)
        .with_recipe_quotes(&CollateralSpec::Currency("USD".parse()?), &sheet)?
        .with_repo_spread("USD", Curve::RepoSpread(gc), "discount(USD)".parse()?);
    let bond = FixedRateBond::bullet(
        "USD".parse()?,
        date((2025, 8, 15)),
        date((2035, 8, 15)),
        0.0425,
        Frequency::SemiAnnual,
        DayCountFraction::ActActIcma,
        100.0,
    )?;

    // Carried on the USD GC repo curve, past the February coupon, to 1 April. The
    // bond's 4.25% coupon earns more than GC costs to finance it, so the carry is
    // positive and the forward clean price sits below the spot one.
    let spot = forward_price(&bond, &market, date((2026, 10, 2)), PriceBasis::Clean, Some("USD"))?;
    let forward = forward_price(&bond, &market, delivery, PriceBasis::Clean, Some("USD"))?;
    println!("spot price     {spot:.6}");
    println!("forward price  {forward:.6}");

    let forward_on = |strike: f64| -> Outcome<f64> {
        let contract = BondForward::new(bond.clone(), 10_000_000.0, strike, delivery, delivery, "USD")?;
        Ok(AnyInstrument::BondForward(Box::new(contract)).npv(&market)?)
    };
    let at_market = forward_on(forward)?;
    let above = forward_on(forward + 1.0)?;
    println!(
        "at the forward       worth nothing to within 1e-6: {}",
        if at_market.abs() < 1e-6 { "yes" } else { "no" }
    );
    println!("one point above      {above:.2}");
    // One point on 10 million of face is 100,000 at delivery, discounted to today.

    Ok(())
}

import datetime as dt

import helixio as hlx
from desk_sheets import SOFR_CLOSE_DATE, USD_SOFR_CLOSE, USD_SOFR_PRINTS

DELIVERY = dt.date(2027, 4, 1)

gc = hlx.curves.RepoSpreadCurve(SOFR_CLOSE_DATE, [(dt.date(2027, 10, 1), -0.0010)])
market = (
    hlx.MarketContext(SOFR_CLOSE_DATE)
    .with_fixings(USD_SOFR_PRINTS)
    .with_recipe_quotes("USD", USD_SOFR_CLOSE)
    .with_repo_spread("USD", gc, "discount(USD)")
)
bond = hlx.products.fixed_rate_bond(
    "USD", dt.date(2025, 8, 15), dt.date(2035, 8, 15),
    coupon=0.0425, frequency="Semiannual", day_count="ACT/ACT.ICMA",
)

# Carried on the USD GC repo curve, past the February coupon, to 1 April. The
# bond's 4.25% coupon earns more than GC costs to finance it, so the carry is
# positive and the forward clean price sits below the spot one.
spot = hlx.bonds.forward_price(bond, market, dt.date(2026, 10, 2), repo_key="USD")
forward = hlx.bonds.forward_price(bond, market, DELIVERY, repo_key="USD")
print(f"spot price     {spot:.6f}")
print(f"forward price  {forward:.6f}")

def forward_on(strike):
    return hlx.products.bond_forward(
        bond, notional=10_000_000.0, strike=strike,
        forward_date=DELIVERY, settlement_date=DELIVERY, repo_key="USD",
    )

at_market = forward_on(forward).npv(market)
above = forward_on(forward + 1.0).npv(market)
print(f"at the forward       worth nothing to within 1e-6: {'yes' if abs(at_market) < 1e-6 else 'no'}")
print(f"one point above      {above:.2f}")
# One point on 10 million of face is 100,000 at delivery, discounted to today.