//----------------------------------------------------------------------------------------
public static Frame<DateTime, String> GenerateRollingBondForwardSeries(
List<string> tickers,
DateTime start,
DateTime end,
string tenor,
string countryCode,
string measure,
string holidayCode,
bool bOIS = true,
int optExDivDays = 0,
bool bSpreadOrRepo = true,
List<double> reposOrSpreads = null,
ICarbonClient client = null)
//----------------------------------------------------------------------------------------
{
// Checks
if (client == null)
{
throw new ArgumentException("No Carbon Client!");
}
#region cache
string all_tickers = ";";
foreach (var s in tickers) all_tickers += s;
string allRepoOis = "";
if (reposOrSpreads != null)
foreach (var s in reposOrSpreads) allRepoOis+= s;
string cacheKey = "GenerateRollingBondForwardSeries" + tickers.ToString() + start.ToString() + end.ToString() +
tenor + countryCode + measure + holidayCode + bOIS.ToString()
+ optExDivDays.ToString() + bSpreadOrRepo.ToString() + allRepoOis;
if (TimeSeriesCache.ContainsKey(cacheKey))
{
return TimeSeriesCache[cacheKey];
}
#endregion
#region Checks
if (start >end) throw new ArgumentException("#Error: start date cannot be after end date");
#endregion
var settings = new List<Tuple<string/*moniker*/, string/*tickercol*/, string/*pricecol*/>>();
// Get Configs
foreach (var ticker in tickers)
{
if (ticker.Contains('.')) // it's a CTD series!
{
settings.Add(MonikerConfigs.getCTDMoniker(countryCode,ticker,client));
}
else if (ticker.ToLower().Contains("ct"))
{
settings.Add(MonikerConfigs.getCTMoniker(countryCode, ticker, client));
}
else
{
throw new ArgumentException("#Error: Invalid ticker found - " + ticker);
}
}
#region DATA
bool bHaveEverything = true;
var configs = new SpreadTimeSeriesConfigs(countryCode, !bOIS);
var spreadConventions = new SpreadConventions(configs);
var dateRange = TimeSeriesUtilities.GetAllDatesInDateime(start, end, configs.calendarcode, client, "1b"); // Force daily sampling
var fwdDates = dateRange.Select(dte => dte.AddTenor(Tenor.FromString(tenor))).ToList();
var holidays = TimeSeriesUtilities.GetHolidays(holidayCode,client);
// Parcel input repo rates or spreads
Series<DateTime, double> inputSrs = null;
if (reposOrSpreads != null )
if (reposOrSpreads.Count != dateRange.Count && reposOrSpreads.Count != 1)
{
throw new ArgumentException("#Error: number of spreads or rates do not much the days in range");
}
else
{
var sb = new SeriesBuilder<DateTime, double>();
double scale_factor = bSpreadOrRepo ? 10000 : 1;
for (int i = 0; i < dateRange.Count; ++i)
{
if (reposOrSpreads.Count == 1)
{
sb.Add(dateRange[i], reposOrSpreads[0]/scale_factor);
}
else
{
sb.Add(dateRange[i], reposOrSpreads[i]/scale_factor);
}
}
inputSrs = sb.Series;
}
// Swap Curves
var curves = TimeSeriesUtilities.GetCurvesFromCarbon(dateRange, configs.ccy, client);
if (curves == null) bHaveEverything = false;
// Prices and tickers from ad-hoc persistence
var frames = new Dictionary<string, Frame<DateTime, string>>();
for (int i = 0; i < tickers.Count; ++i)
{
var setting = settings[i];
var ticker = tickers[i];
var moniker = setting.Item1;
var tickercol = setting.Item2;
var pricecol = setting.Item3;
var tmp_df = client.GetFrameAsync<DateTime>(moniker, "AdHocData").Result;
if (tmp_df == null)
{
bHaveEverything = false;
}
else
{
// Extract price and ticker cols only
var colsOfInterest = new Dictionary<string, Series<DateTime,object>>();
// Filter data to contain date range
tmp_df = tmp_df.Where(kvp => (kvp.Key >= start) && (kvp.Key <= end));
colsOfInterest["price"] = tmp_df.GetColumn<object>(pricecol);
colsOfInterest["isin"] = tmp_df.GetColumn<object>(tickercol);
frames[ticker] = Frame.FromColumns(colsOfInterest);
}
}
//Bond static
var bondIsinSet = new HashSet<string>();
foreach(var kvp in frames)
{
var ticker = kvp.Key;
var data = kvp.Value;
var isins = data.GetColumn<string>("isin").Values;
//isins.Select(isin => bondIsinSet.Add(isin));
foreach (string isin in isins)
{
bondIsinSet.Add(isin);
}
}
var bondStatics = client.BulkGetBondStaticData( bondIsinSet.ToList());
if (curves == null || bondStatics == null ) return null;
#endregion
#region RepoRegion
Series<DateTime, double> repoSrs = null;
if (reposOrSpreads == null)
{
// Load default repo-OIS Spread
double[,] repoRates =
client.GetRepoRateFromSavedRepoOisSpread(BondAnalytics.CountryMappings[countryCode], dateRange,
fwdDates, holidays);
// Break out if no data
if (repoRates == null) return null;
var repoSrsBlder = new SeriesBuilder<DateTime, double>();
for (int i = 0; i < dateRange.Count; ++i)
{
repoSrsBlder.Add(dateRange[i], repoRates[i, 1]);
}
repoSrs = repoSrsBlder.Series;
}
else
{
// User-defined repo-OIS Spread or repo rates
if (bSpreadOrRepo)
{
//Inputs are spreads
double[,] repoRates =
client.CalcRepoRatesFromOisSpread(inputSrs, BondAnalytics.CountryMappings[countryCode], dateRange, fwdDates, holidays);
// Break out if no data
if (repoRates == null) return null;
var repoSrsBlder = new SeriesBuilder<DateTime, double>();
for (int i = 0; i < dateRange.Count; ++i)
{
repoSrsBlder.Add(dateRange[i], repoRates[i, 1]);
}
repoSrs = repoSrsBlder.Series;
}
else
{
//Inputs are repo rates
repoSrs = inputSrs;
}
}
#endregion
// Calculation loop
var forecastCurves = curves.Item1;
var discountCurves = curves.Item2;
// Overwrite forecast curve if we want OIS
if (bOIS)
{
forecastCurves = discountCurves;
}
var outputs = new Dictionary<string, Series<DateTime, double>> ();
foreach (string ticker in tickers)
{
var sb = new SeriesBuilder<DateTime, double>();
var df = frames[ticker];
var idx = df.RowKeys;
var isins = df.GetColumn<string>("isin");
var prices = df.GetColumn<double>("price");
foreach (var dte in idx)
{
var tryisin = isins.TryGet(dte);
var tryprice = prices.TryGet(dte);
var tryrepo = repoSrs.TryGet(dte);
if (!tryprice.HasValue || !tryisin.HasValue || !tryrepo.HasValue)
continue;
var isin = tryisin.Value;
var price = tryprice.Value;
var repo = tryrepo.Value;
var fwddate = dte.AddTenor(Tenor.FromString(tenor));
var bondstatic = bondStatics[isin];
double value = double.NaN;
if (measure == "Repo")
{
value = repo;
}
else
{
var fwdprice = BondAnalytics.CalcBondFwd(configs.country, dte, price, bondstatic.EffectiveDate,
bondstatic.FirstCouponDate, bondstatic.MaturityDate, bondstatic.Coupon, bondstatic.CpnFreq,
fwddate, repo, optExDivDays)[0];
if (measure == "Price")
{
value = fwdprice;
}
else
{
value = MeasureCalculator.calcFwdBondMeasure(measure, bondstatic, fwdprice, dte, fwddate,
spreadConventions, forecastCurves, discountCurves, holidays);
}
}
sb.Add(dte,value);
}
outputs[ticker] = sb.Series;
}
var consolidatedMeasures = Frame.FromColumns(outputs);
// Cache results
TimeSeriesCache[cacheKey] = consolidatedMeasures;
return consolidatedMeasures;
}
