public OISSpreadRepoGenerator(double onRate, string market, DateTime settle, DiscountCurve oisCurve) : base(onRate, market, settle)
{
this.oisCurve = oisCurve;
country = (BondAnalytics.Country)Enum.Parse(typeof(BondAnalytics.Country), market);
var startdate = CarbonModel.RollDate(settle, 1, DateUnit.Bd, BusinessDayConvention.Following, Calendar.Calendar.OTHolidayCode(country));
DateTime[] discDfDates = oisCurve.AsTuples().Select(x => x.Item1).ToArray();
double[] discDfs = oisCurve.AsTuples().Select(x => x.Item2).ToArray();
repoShift = onRate - BondAnalytics.CalcMMS(startdate, startdate, BondAnalytics.DayCountType.I30360, 12, 12, discDfDates, discDfs, discDfDates, discDfs,
null, null, null, null, null, null, DateTime.MinValue, 0) * 10000;
}
public USD3mLiborOISDCurveBuilder(DateTime valueDate, SwapCurveParameters_fc parameters, DiscountCurve discountCurve)
: base(valueDate, parameters)
{
mDiscountCurve = discountCurve;
}
public static double CalcMeasure(CalcMeasure Measure, double price, BondAnalytics.Country eCountry,
//DateTime asof,
DateTime settle, DiscountCurve discCurve, DiscountCurve fcstCurve, DateTime effectiveDate, DateTime maturity, DateTime firstCpnDate, double coupon, long bondCpnFreq, bool bOIS, BondAnalytics.DayCountType dct, long swapFixedFreq, long swapFloatFreq, List<DateTime> hols)
//----------------------------------------------------------------------------------------
{
double output = double.NaN;
switch (Measure)
{
case Analytics.CalcMeasure.Price:
{
output = price;
break;
}
case Analytics.CalcMeasure.Yield:
{
output = 10000.0*BondAnalytics.SolveYield(eCountry, settle, price, effectiveDate, firstCpnDate, maturity, coupon, bondCpnFreq)[0];
break;
}
case Analytics.CalcMeasure.TrueSpread:
{
DateTime[] dfDates = (bOIS ? discCurve.AsTuples().Select(x => x.Item1).ToArray() : fcstCurve.AsTuples().Select(x => x.Item1).ToArray());
double[] dfs = (bOIS ? discCurve.AsTuples().Select(x => x.Item2).ToArray() : fcstCurve.AsTuples().Select(x => x.Item2).ToArray());
// Check. Sometimes (holidays) the first date on the curve can be repeated, which will cause an exception in the pricer.
if (dfDates[0] == dfDates[1])
{
dfDates = dfDates.GetSubArray(1, dfDates.GetLength(0)).ToArray();
dfs = dfs.GetSubArray(1, dfs.GetLength(0)).ToArray();
}
output = -10000.0*BondAnalytics.SolveZSpread(eCountry, settle, price, effectiveDate, firstCpnDate, maturity, coupon, bondCpnFreq, dfDates, dfs, hols);
break;
}
case Analytics.CalcMeasure.MMS:
{
DateTime[] discDfDates = discCurve.AsTuples().Select(x => x.Item1).ToArray();
DateTime[] fcstDfDates = (bOIS ? discCurve.AsTuples().Select(x => x.Item1).ToArray() : fcstCurve.AsTuples().Select(x => x.Item1).ToArray());
double[] discDfs = discCurve.AsTuples().Select(x => x.Item2).ToArray();
double[] fcstDfs = (bOIS ? discCurve.AsTuples().Select(x => x.Item2).ToArray() : fcstCurve.AsTuples().Select(x => x.Item2).ToArray());
double mms = BondAnalytics.CalcMMS(settle, maturity, dct, swapFixedFreq, swapFloatFreq, discDfDates, discDfs, fcstDfDates, fcstDfs, hols, null, null, null, null, null, firstCpnDate, (bOIS ? 5 : 0));
output = 10000.0*mms;
break;
}
case Analytics.CalcMeasure.Spread:
{
DateTime[] discDfDates = discCurve.AsTuples().Select(x => x.Item1).ToArray();
DateTime[] fcstDfDates = (bOIS ? discCurve.AsTuples().Select(x => x.Item1).ToArray() : fcstCurve.AsTuples().Select(x => x.Item1).ToArray());
double[] discDfs = discCurve.AsTuples().Select(x => x.Item2).ToArray();
double[] fcstDfs = (bOIS ? discCurve.AsTuples().Select(x => x.Item2).ToArray() : fcstCurve.AsTuples().Select(x => x.Item2).ToArray());
double mms = BondAnalytics.CalcMMS(settle, maturity, dct, swapFixedFreq, swapFloatFreq, discDfDates, discDfs, fcstDfDates, fcstDfs, hols, null, null, null, null, null, firstCpnDate, (bOIS ? 5 : 0));
double yield = BondAnalytics.SolveYield(eCountry, settle, price, effectiveDate, firstCpnDate, maturity, coupon, bondCpnFreq)[0];
output = 10000.0*(mms - yield);
break;
}
}
return output;
}
public static IReadOnlyDictionary<DateTime, DiscountCurve> BulkGetHistoricEodDiscountCurvesFromCarbon(ICarbonClient client,
List<DateTime> settleDates, string ccy, bool bOis)
{
var inputDateKind = settleDates.FirstOrDefault().Kind;
var dict = new ConcurrentDictionary<DateTime, DiscountCurve>();
var dates = new List<DateTime>();
foreach (var settleDate in settleDates)
{
DiscountCurve data;
var key = GetKeyForDiscountCurveCache(settleDate, ccy, bOis);
if (DicountCurveDataCache.TryGetValue(key, out data))
{
dict[settleDate] = data;
}
else if (settleDate <= DateTime.Today)
{
dates.Add(settleDate);
}
}
if (dates.Count == 0) return dict.ToDictionary(kvp => kvp.Key, kvp => kvp.Value);
var curveName = GetCurveName(ccy, bOis);
if (string.IsNullOrEmpty(curveName)) return new Dictionary<DateTime, DiscountCurve>();
try
{
var start = dates.Min();
var end = dates.Max();
if (dates.Count > 16)
{
start = new DateTime(start.Year, start.Month, start.Day, 0, 0, 0, DateTimeKind.Utc);
end = new DateTime(end.Year, end.Month, end.Day, 0, 0, 0, DateTimeKind.Utc);
var datas = client.GetTimeSeriesData(curveName.ToUpperInvariant(), "interestcurves-ot", start, end, "dfs");
if (datas != null)
{
Parallel.ForEach(datas, messagePackObject =>
{
try
{
var curve = messagePackObject.Value.ConvertMessagePackObjectToDiscountFactors();
if (curve == null) return;
var dicountCurve = new DiscountCurve(new FinCADTable(curve, false));
var date = new DateTime(messagePackObject.Key.Year, messagePackObject.Key.Month, messagePackObject.Key.Day, 0, 0, 0, inputDateKind);
dict.TryAdd(date, dicountCurve);
var key = GetKeyForDiscountCurveCache(messagePackObject.Key, ccy, bOis);
DicountCurveDataCache.TryAdd(key, dicountCurve);
}
catch (Exception ex)
{
Log.ErrorFormat("Failed to convert curve {0} : {1}", curveName, ex);
}
});
}
}
else
{
Parallel.ForEach(dates, date =>
{
try
{
var curve = GetHistoricEodDiscountCurveFromCarbon(client, date, ccy, bOis);
if (curve == null) return;
dict.TryAdd(date, curve);
var key = GetKeyForDiscountCurveCache(date, ccy, bOis);
DicountCurveDataCache.TryAdd(key, curve);
}
catch (Exception ex)
{
SLog.log.ErrorFormat("Failed to get curve {0} : {1}", curveName, ex);
}
});
}
}
catch (Exception ex)
{
SLog.log.ErrorFormat("Failed to get curve {0} : {1}", curveName, ex);
}
return dict.ToDictionary(kvp => kvp.Key, kvp => kvp.Value);
}
protected DiscountCurve InternalBuildUSD3mLiborOISDCurve(DiscountCurve discountCurve, string marketSnapCode_, string quotesourceCode_, CarbonClient carbonClient_, string futfixingsMarketSnapCode_ = null)
{
var p = new SwapCurveParameters_fc
{
Index = "US0003M Index",
Currency = "USD",
UseFutures = true,
MaxNumFutures = 10,
FuturesIMMOnly = true,
FuturesMinTenor = Tenor.BusinessDays(3),
FuturesMaxTenor = Tenor.Years(3),
MarketSnapCode = marketSnapCode_,
QuoteSource = quotesourceCode_,
MarketSnapCode_Fix_MM_Fut = futfixingsMarketSnapCode_,
SwapTenors =
new List<string>
{
"3y",
"4y",
"5y",
"6y",
"7y",
"8y",
"9y",
"10y",
"12y",
"15y",
"20y",
"25y",
"30y",
"40y",
"50y",
"60y"
},
MoneyMarketIndices = new List<string> { "US0003M Index" },
BootstrapSettings = "Linear",
SmoothingSettings = "None",
CashConv = "CashUSD",
FixedLegConv = "SwapUSDSemi30360",
FloatingLegConv = "SwapUSD3mFloating",
FloatingIndex = "LiborUSD3m",
FuturesRateStartOffset = Tenor.BusinessDays(2)
};
if (ValueDate <= new DateTime(2009, 8, 5))
{
p.MaxNumFutures = 7;
p.SwapTenors = new List<string> { "2y", "3y", "4y", "5y", "6y", "7y", "8y", "9y", "10y", "12y", "15y", "20y", "25y", "30y", "40y", "50y", "60y" };
}
return CallCurveCalculator(new USD3mLiborOISDCurveBuilder(ValueDate, p, discountCurve), KnownCurve.USD3mLiborOISD,
marketSnapCode_, quotesourceCode_, carbonClient_);
}
protected DiscountCurve InternalBuildGBP6mLiborOISDCurve(DiscountCurve discountCurve, string marketSnapCode_, string quotesourceCode_, CarbonClient carbonClient_, string futfixingsMarketSnapCode_ = null)
{
return CallCurveCalculator(new GBP6mLiborOISDCurveBuilder(ValueDate, new SwapCurveParameters_fc
{
Index = "BP0006M Index",
Currency = "GBP",
UseFutures = false,
MarketSnapCode = marketSnapCode_,
MarketSnapCode_Fix_MM_Fut = futfixingsMarketSnapCode_,
QuoteSource = quotesourceCode_,
SwapTenors = new List<string> { "1y", "2y", "3y", "4y", "5y", "6y", "7y", "8y", "9y", "10y", "12y", "15y", "20y", "25y", "30y", "40y", "50y", "60y" },
MoneyMarketIndices = new List<string> { "BP00O/N Index", "BP0001M Index", "BP0002M Index", "BP0003M Index" },
BootstrapSettings = "Linear",
SmoothingSettings = "Spline",
FixedLegConv = "SwapGBPSemiFixed",
FloatingLegConv = "SwapGBP6mFloating",
FloatingIndex = "LiborGBP6m"
}, discountCurve), KnownCurve.GBP6mLiborOISD, marketSnapCode_, quotesourceCode_, carbonClient_);
}
//----------------------------------------------------------------------------------------
public static double calcMeasure( string Measure,
double price,
BondAnalytics.Country eCountry,
DateTime asof,
DateTime settle,
DiscountCurve discCurve,
DiscountCurve fcstCurve,
BondStatic bondStatic,
SpreadTimeSeriesConfigs configs,
List<DateTime> hols)
//----------------------------------------------------------------------------------------
{
DateTime effectiveDate = DateTime.FromOADate( bondStatic.EffectiveDate);
DateTime maturity = DateTime.FromOADate( bondStatic.Maturity);
DateTime firstCpnDate = DateTime.FromOADate(bondStatic.FirstCoupon);
double coupon = bondStatic.Coupon;
long bondCpnFreq = configs.bndCouponFreq;
bool bOIS = !configs.bForecastCurve;
BondAnalytics.DayCountType dct = configs.dct;
long fixedFreq = configs.swpfixfreq;
long floatFreq = configs.swpfloatfreq;
double output = double.NaN;
switch (Measure)
{
case "Price":
{
output= price;
break;
}
case "Yield":
{
output= 10000.0 * BondAnalytics.SolveYield(eCountry, settle, price, effectiveDate, firstCpnDate, maturity, coupon, bondCpnFreq)[0];
break;
}
case "TrueSpread":
{
DateTime[] dfDates = (bOIS ? discCurve.AsTuples().Select(x => x.Item1).ToArray() : fcstCurve.AsTuples().Select(x => x.Item1).ToArray());
double[] dfs = (bOIS ? discCurve.AsTuples().Select(x => x.Item2).ToArray() : fcstCurve.AsTuples().Select(x => x.Item2).ToArray());
// Check. Sometimes (holidays) the first date on the curve can be repeated, which will cause an exception in the pricer.
if (dfDates[0] == dfDates[1])
{
dfDates = dfDates.GetSubArray(1, dfDates.GetLength(0)).ToArray();
dfs = dfs.GetSubArray(1, dfs.GetLength(0)).ToArray();
}
output= -10000.0 * BondAnalytics.SolveZSpread(eCountry, settle, price, effectiveDate, firstCpnDate, maturity, coupon, bondCpnFreq, dfDates, dfs,hols );
break;
}
case "MMS":
{
DateTime[] discDfDates = discCurve.AsTuples().Select(x => x.Item1).ToArray();
DateTime[] fcstDfDates = (bOIS ? discCurve.AsTuples().Select(x => x.Item1).ToArray() : fcstCurve.AsTuples().Select(x => x.Item1).ToArray());
double[] discDfs = discCurve.AsTuples().Select(x => x.Item2).ToArray();
double[] fcstDfs =(bOIS ? discCurve.AsTuples().Select(x => x.Item2).ToArray() : fcstCurve.AsTuples().Select(x => x.Item2).ToArray());
double mms = BondAnalytics.CalcMMS(settle, maturity, dct, fixedFreq, floatFreq, discDfDates, discDfs, fcstDfDates, fcstDfs, hols, null, null, null, null, null, firstCpnDate, (bOIS ? 5 : 0));
output= 10000.0 * mms;
break;
}
case "Spread":
{
DateTime[] discDfDates = discCurve.AsTuples().Select(x => x.Item1).ToArray();
DateTime[] fcstDfDates = (bOIS ? discCurve.AsTuples().Select(x => x.Item1).ToArray() : fcstCurve.AsTuples().Select(x => x.Item1).ToArray());
double[] discDfs = discCurve.AsTuples().Select(x => x.Item2).ToArray();
double[] fcstDfs = (bOIS ? discCurve.AsTuples().Select(x => x.Item2).ToArray() : fcstCurve.AsTuples().Select(x => x.Item2).ToArray());
double mms = BondAnalytics.CalcMMS(settle, maturity, dct, fixedFreq, floatFreq, discDfDates, discDfs, fcstDfDates, fcstDfs, hols, null, null, null, null, null, firstCpnDate, (bOIS ? 5 : 0));
double yield = BondAnalytics.SolveYield(eCountry,settle ,price, effectiveDate, firstCpnDate, maturity, coupon, bondCpnFreq)[0];
output= 10000.0 * (mms - yield);
break;
}
}
return output;
}
