NDF

use chrono::NaiveDate;
use helixio_docs_sheets::{SOFR_CLOSE_DATE, Sheet, USD_SOFR_CLOSE};
use helixrs::{
    AnyInstrument, AnyTemplate, CollateralSpec, Currency, CurrencyPair, FxRates, MarketContext,
    Period, QuoteSheet, YieldCurve, template,
};

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")
}

const SPOT: f64 = 1390.0;
const KOFR: Sheet = &[("KRW-KOFR-OIS", "1Y", 0.0255), ("KRW-KOFR-OIS", "2Y", 0.0262), ("KRW-KOFR-OIS", "5Y", 0.0275)];
const NDF_OUTRIGHTS: Sheet = &[
    ("KRW-USD-NDF", "1M", 1388.5),
    ("KRW-USD-NDF", "3M", 1385.0),
    ("KRW-USD-NDF", "6M", 1380.0),
    ("KRW-USD-NDF", "1Y", 1371.0),
    ("KRW-USD-NDF", "2Y", 1355.0),
];

fn main() -> Outcome<()> {
    let close = date(SOFR_CLOSE_DATE);
    let value_date = date((2027, 4, 6));
    let (usd, krw): (Currency, Currency) = ("USD".parse()?, "KRW".parse()?);

    // Dollars from the SOFR close; won onshore from the KOFR swaps; won offshore,
    // under dollar collateral, from NDF outrights; and the spot, won per dollar.
    let market = MarketContext::as_of(close)
        .with_recipe_quotes(&CollateralSpec::Currency(usd), &QuoteSheet::from_rows(USD_SOFR_CLOSE.iter().copied())?)?
        .with_recipe_quotes(&CollateralSpec::Currency(krw), &QuoteSheet::from_rows(KOFR.iter().copied())?)?
        .with_fx_rates(FxRates::from_quotes(&[(CurrencyPair::new(usd, krw), SPOT)])?)
        .with_recipe_quotes(&"KRW-CSA-USD".parse()?, &QuoteSheet::from_rows(NDF_OUTRIGHTS.iter().copied())?)?;
    for (role, key) in market.contents() {
        if role == "discount" || role == "fx" {
            println!("{role:<9} {key}");
        }
    }

    // A six-month NDF buying a million dollars against won at 1370. The template
    // dates it: spot from the trade date, value six months on, and the fixing two
    // business days before value.
    let ndf_template = template("KRW-USD-NDF")?;
    let AnyTemplate::Ndf(terms) = &ndf_template else {
        unreachable!("KRW-USD-NDF is an NDF template")
    };
    let six_months: Period = "6M".parse()?;
    let ndf = AnyInstrument::FxForward(ndf_template.ndf(close, six_months, 1_000_000.0, 1370.0, false)?);
    let needed = ndf.fixings_needed(value_date);
    let (fixing_key, fixing_date) = &needed[0];
    println!("spot        {}", terms.spot_date(close));
    println!("fixes on    {fixing_key} {fixing_date}");

    // The won difference is paid in dollars at the fixing, so the NDF values in
    // dollars: the offshore forward's difference from the contract rate, per unit of
    // that forward, on the notional, discounted on the dollar curve. The onshore
    // forward is a different number, and the NDF does not read it.
    let read = |key: &str| -> Outcome<f64> {
        let (curve, _) = market.curve(&key.parse()?).expect("a pinned curve");
        Ok(curve.view::<f64>().discount(value_date)?)
    };
    let p_usd = read("discount(USD)")?;
    let p_offshore = read("discount(KRW-CSA-USD)")?;
    let p_onshore = read("discount(KRW)")?;
    let offshore = SPOT * p_usd / p_offshore;
    let onshore = SPOT * p_usd / p_onshore;
    let npv = ndf.npv(&market)?;
    let by_formula = 1_000_000.0 * (1.0 - 1370.0 / offshore) * p_usd;
    println!("offshore    {offshore:.4}");
    println!("onshore     {onshore:.4}");
    println!("npv ({})   {npv:.2}", ndf.currency());
    println!("by formula  {by_formula:.2}");

    // The offshore curve is marked from the outrights, so the offshore forward to
    // the six-month value date is the quoted outright, and an NDF struck there is
    // worth nothing.
    let quoted = AnyInstrument::FxForward(ndf_template.ndf(close, six_months, 1_000_000.0, 1380.0, false)?);
    println!("at 1380.0   {:.2}", quoted.npv(&market)?.abs());

    Ok(())
}

import datetime as dt

import helixio as hlx
from desk_sheets import SOFR_CLOSE_DATE, USD_SOFR_CLOSE

SPOT = 1390.0
VALUE_DATE = dt.date(2027, 4, 6)
NDF_OUTRIGHTS = {"KRW-USD-NDF": {"1M": 1388.5, "3M": 1385.0, "6M": 1380.0, "1Y": 1371.0, "2Y": 1355.0}}

# Dollars from the SOFR close; won onshore from the KOFR swaps; won offshore,
# under dollar collateral, from NDF outrights; and the spot, won per dollar.
market = (
    hlx.MarketContext(SOFR_CLOSE_DATE)
    .with_recipe_quotes("USD", USD_SOFR_CLOSE)
    .with_recipe_quotes("KRW", {"KRW-KOFR-OIS": {"1Y": 0.0255, "2Y": 0.0262, "5Y": 0.0275}})
    .with_fx_rates([("USD", "KRW", SPOT)])
    .with_recipe_quotes("KRW-CSA-USD", NDF_OUTRIGHTS)
)
for role, key in market.contents():
    if role in ("discount", "fx"):
        print(f"{role:<9} {key}")

# A six-month NDF buying a million dollars against won at 1370. The template
# dates it: spot from the trade date, value six months on, and the fixing two
# business days before value.
template = hlx.templates.get("KRW-USD-NDF")
ndf = template.ndf(SOFR_CLOSE_DATE, "6M", notional=1_000_000.0, forward_rate=1370.0)
[(fixing_key, fixing_date)] = ndf.fixings_needed(VALUE_DATE)
print(f"spot        {template.spot_date(SOFR_CLOSE_DATE)}")
print(f"fixes on    {fixing_key} {fixing_date}")

# The won difference is paid in dollars at the fixing, so the NDF values in
# dollars: the offshore forward's difference from the contract rate, per unit of
# that forward, on the notional, discounted on the dollar curve. The onshore
# forward is a different number, and the NDF does not read it.
p_usd = market.curve("discount(USD)").discount(VALUE_DATE)
p_offshore = market.curve("discount(KRW-CSA-USD)").discount(VALUE_DATE)
p_onshore = market.curve("discount(KRW)").discount(VALUE_DATE)
offshore = SPOT * p_usd / p_offshore
onshore = SPOT * p_usd / p_onshore
npv = ndf.npv(market)
by_formula = 1_000_000.0 * (1.0 - 1370.0 / offshore) * p_usd
print(f"offshore    {offshore:.4f}")
print(f"onshore     {onshore:.4f}")
print(f"npv ({ndf.npv_ccy()})   {npv:.2f}")
print(f"by formula  {by_formula:.2f}")

# The offshore curve is marked from the outrights, so the offshore forward to
# the six-month value date is the quoted outright, and an NDF struck there is
# worth nothing.
quoted = template.ndf(SOFR_CLOSE_DATE, "6M", notional=1_000_000.0, forward_rate=1380.0)
print(f"at 1380.0   {abs(quoted.npv(market)):.2f}")