public void Dispose()
{
innerDispose();
m_bond = null;
m_context = null;
m_measures = null;
}
protected BondMeasureCalcBase(Bond bond_, AsOfAndSpotSettle dateContext_, DateTime settleDate_, BondMeasures updateThis_)
{
m_measures = updateThis_;
m_bond = bond_;
m_context = dateContext_;
SettleDate = settleDate_;
}
private async Task initiate(CarbonClient cc_, BondMeasures listenToThis_)
{
m_fcsCurve = await IRCurveImpl.Get(SwapCurve.GetForecastCurve(), DateContext, cc_);
// if we're doing calcs on the forwards, then don't need to listen to the curve directly
// as the forward price will be updated as a result of a change in curve and will trickle
// through to us as a price update
if (SettleDate == DateContext.SpotSettle)
m_fcsCurveDisp = m_fcsCurve.GetMonitor()/*.Throttle(TimeSpan.FromSeconds(10),Scheduler.Default)*/.Subscribe(handleFcstCurveUpdate);
if (SwapCurve.GetForecastCurve() == SwapCurve.GetDiscountCurve())
{
m_disCurve = m_fcsCurve;
}
else
{
m_disCurve = await IRCurveImpl.Get(SwapCurve.GetForecastCurve(), DateContext, cc_);
if (SettleDate == DateContext.SpotSettle)
m_disCurveDisp = m_disCurve.GetMonitor()/*.Throttle(TimeSpan.FromSeconds(10), Scheduler.Default)*/.Subscribe(handleDiscCurveUpdate);
}
//
var flds = new[] { BondMeasure.Price, BondMeasure.Yield };
Array.ForEach(flds, fld =>
{
var d = listenToThis_.GetValue(fld);
if (d.HasValue)
m_measures.SetValue(fld, d.Value);
});
calcMMS();
calcZSpread();
}
public BondMeasureCalcPriceYield(Bond bond_, AsOfAndSpotSettle context_, DateTime settleDate_, BondMeasures measures_)
: base (bond_, context_, settleDate_, measures_)
{
m_measuresDisp = measures_.Subscribe(handleUpdate);
{
var px = measures_.GetValue(BondMeasure.Price);
if (px.HasValue)
handleUpdate(Tuple.Create(BondMeasure.Price, px.Value));
}
}
public BondMeasureCalcFwdPriceYield(Bond bond_, AsOfAndSpotSettle dateContext_, DateTime settlDate_, BondMeasures spotMeasures_, BondMeasures measures_)
: base(bond_, dateContext_, settlDate_,measures_)
{
m_spotMeasureDisp = spotMeasures_.Subscribe(handleSpotMeasureUpdated);
{
var px = spotMeasures_.GetValue(BondMeasure.Price);
if (px.HasValue)
handleSpotMeasureUpdated(Tuple.Create(BondMeasure.Price, px.Value));
}
}
private BondMeasureCalcSpreadsOverCurve(
Bond bond_,
SwapCurve swapcurve_,
AsOfAndSpotSettle dateContext_,
DateTime settleDate_,
BondMeasures updateThis_,
BondMeasures listenToThis_
) : base(bond_,dateContext_,settleDate_,updateThis_)
{
SwapCurve = swapcurve_;
m_listenToThisDisp = listenToThis_.Subscribe(listenToUpdated);
m_myMeasuresDisp = updateThis_.Subscribe(myMeasuresUpdated);
}
internal BondMeasureCalcPriceYield CreatePriceYield(AsOfAndSpotSettle aass_, DateTime fwdDate_)
{
// if we're after the spot measures for today, then send back the one that's being maintained via the price subscription
if (aass_.AsOf == OwningMarket.Today.AsOf && fwdDate_==OwningMarket.Today.SpotSettle)
return GetLiveSpotPriceYield();
// if the desired spotsettle is equal to the fwddate, then we're being asked for a spot date on (likely) an historic date.
// so, need to populate the historic price to allow the calc to be done
if (aass_.SpotSettle == fwdDate_)
{
var measures = new BondMeasures(this);
if (HistoricPrices.HasDate(aass_.AsOf))
measures.SetValue(BondMeasure.Price, HistoricPrices.ValueOnDateExact(aass_.AsOf));
return new BondMeasureCalcPriceYield(this, aass_, fwdDate_, measures);
}
return new BondMeasureCalcFwdPriceYield(this, aass_, fwdDate_, CreatePriceYield(aass_,aass_.SpotSettle).Measures, new BondMeasures(this));
}
public BondAddedEventArgs(BondMeasures bond_)
{
BondOverCurve = bond_;
}
public static async Task<BondMeasureCalcSpreadsOverCurve> Create(
Bond bond_,
SwapCurve swapcurve_,
AsOfAndSpotSettle dateContext_,
DateTime settleDate_,
BondMeasures updateThis_,
BondMeasures listenToThis_,
CarbonClient cc_
)
{
var impl = new BondMeasureCalcSpreadsOverCurve(bond_, swapcurve_, dateContext_, settleDate_, updateThis_,
listenToThis_);
await impl.initiate(cc_,listenToThis_);
return impl;
}
