public void Create()
{
m_bonds = Generator.Go();
m_spreads = new Dictionary<BondCurves, List<CTDLine<BondSpreads>>>();
m_spreads[BondCurves.USDFedFunds] = Generator.GetSpreads(m_bonds, BondCurves.USDFedFunds);
//m_spreads[BondCurves.USD3mLiborOIS] = Generator.GetSpreads(m_bonds, BondCurves.USD3mLiborOIS);
m_spreads[BondCurves.USD3mLibor] = Generator.GetSpreads(m_bonds, BondCurves.USD3mLibor);
{
var g = m_bonds.DisplayInBoundGrid(null, false);
g.Dock = DockStyle.Fill;
utcData.Tabs[0].TabPage.Controls.Add(g);
}
{
var g = m_spreads[BondCurves.USDFedFunds].DisplayInBoundGrid(null, false);
g.Dock = DockStyle.Fill;
utcData.Tabs[1].Text = "TrueSpreads vs FedFunds";
utcData.Tabs[1].TabPage.Controls.Add(g);
}
{
var tab = utcData.Tabs.Add();
tab.Text = "TrueSpreads vs Libor";
var g = m_spreads[BondCurves.USD3mLibor].DisplayInBoundGrid(null, false);
g.Dock = DockStyle.Fill;
tab.TabPage.Controls.Add(g);
}
chartControl1.Create(m_spreads,m_bonds);
}
public static void Reconcile(DateTime date)
{
var dict_source_To_DB = new Dictionary<ConstituentRowCompare.Source, string>();
dict_source_To_DB.Add(ConstituentRowCompare.Source.DS, DBNames.SQLSERVER_LOCAL_SYMMETRYTS);
dict_source_To_DB.Add(ConstituentRowCompare.Source.MLP, DBNames.SQLSERVER_SYMMETRYTS);
var listofTenors = new[] { 0, 2, 3, 5, 7, 10, 30 };
var curveNameGens = new[]
{
"de_<tenor>_eur.6m.euribor",
"de_<tenor>_eur.ois.eonia",
"fr_<tenor>_eur.6m.euribor",
"fr_<tenor>_eur.ois.eonia",
"ust_<tenor>_usd.3m.libor",
"ust_<tenor>_usd.3m.libor.oisd",
"ust_<tenor>_usd.ois.fedfunds"
};
var curve_To_Grid = new Dictionary<string, Control>();
//var curveNameGen = "ust_<tenor>_usd.3m.libor";
foreach (var curveNameGen in curveNameGens)
{
var listOfComparisons = new List<ConstituentRowCompare>();
foreach (var source in dict_source_To_DB.Keys)
{
var list = new List<ConstituentRow>();
foreach (var tenor in listofTenors)
{
var curveName = curveNameGen.Replace("<tenor>", tenor.ToString());
var sql = string.Format("select * from SObject where MonikerDate='{0}' and MonikerType = 'bondcurveconstituents' and MonikerName='{1}'", date.ToString("dd-MMM-yyyy"), curveName);
var ds = Singleton<ConnMngr>.Instance.Execute(dict_source_To_DB[source], sql);
if (!ConnMngr.HasResult(ds))
continue;
var dt = getTable(ds.Tables[0].Rows[0]["Content"] as string);
string csv = dt.ToCsv();
byte[] arr = Encoding.ASCII.GetBytes(csv);
MemoryStream ms = new MemoryStream(arr);
StreamReader reader = new StreamReader(ms);
foreach (var v in CsvFile.Read<ConstituentRow>(reader))
{
list.Add(v);
var comp = listOfComparisons.Where(x => x.ISIN.Equals(v.ISIN)).FirstOrDefault();
if (comp == null)
{
comp = new ConstituentRowCompare(v);
listOfComparisons.Add(comp);
}
comp.SetPrices(source, v);
}
}
}
var grid = listOfComparisons.DisplayInBoundGrid(null, false);
grid.SetHeaderClickSort();
curve_To_Grid.Add(curveNameGen, grid);
}
curve_To_Grid.DisplayInShowForm(date.ToString("dd-MMM-yyyy"));
{
var wb = new Infragistics.Documents.Excel.Workbook(Infragistics.Documents.Excel.WorkbookFormat.Excel2007);
foreach (var curve in curve_To_Grid.Keys)
{
var grid = (BoundInfraGrid)curve_To_Grid[curve];
grid.ExportToExcelWorkBook(wb, curve);
}
wb.Save(string.Format(@"c:\temp\MarkDate_{0}__At_{1}.xlsx", date.ToString("dd-MMM-yyyy"), DateTime.Now.ToString("dd-MMM-yyyy_HH_mm_ss")));
}
}
public static void Test()
{
int minutesBefore = 120;
var dict = Go("NFP", TZ.LN, new DateTime(2013, 1, 1), DateTime.Today, "TY", new TimeSpan(0, minutesBefore, 0), new TimeSpan(0, 1, 0));
var listOfLines = new List<EventAnalysisLine>();
var dictToNormalized = new SortedDictionary<DateTime, double[]>();
var lcd = new SI.Controls.LineChartDataDisplay();
// display
{
var list = dict.ToArray().Select(x => new Tuple<string, DatedDataCollectionGen<double>>(x.Key.ToString("dd-MMM-yyyy HH:mm"), x.Value)).ToList();
var c = new SI.Controls.LineChartMultiArea();
int count = dict.Count();
int root = (int)Math.Sqrt(count);
c.Create(root, root + 1, list,"HH:mm","###0.00#");
c.DisplayInShowForm("Test!");
}
foreach (DateTime date in dict.Keys)
{
//dict[date].DisplayLineChart(date.ToString("dd-MMM-yyyy HH:mm"));
//var grid = dict[date].DisplayInGrid(date.ToString("dd-MMM-yyyy HH:mm"));
//grid.Grid.DisplayLayout.Bands[0].Columns[0].Format = "dd-MMM-yyyy HH:mm:ss";
int minIndex = 0, maxIndex = 0;
var px = dict[date];
if (px == null)
continue;
for (int i = 0; i < minutesBefore && i < px.Length; ++i)
{
minIndex = px.Data[i] <= px.Data[minIndex] ? i : minIndex;
maxIndex = px.Data[i] >= px.Data[maxIndex] ? i : maxIndex;
}
listOfLines.Add(new EventAnalysisLine()
{
EventDate = date,
IndexHighestAt = px.Dates[maxIndex],
IndexLowestAt = px.Dates[minIndex],
IndexHigh = px.Data[maxIndex],
IndexLow = px.Data[minIndex]
});
var normalizedSeries = px.Data.Take(minutesBefore).Select(x => (x - px.Data[minIndex]) / (px.Data[maxIndex] - px.Data[minIndex])).ToArray();
var adjustedDates = px.Dates.Take(minutesBefore).Select(x => new DateTime(2014, 1, 1, x.Hour, x.Minute, 0)).ToArray();
lcd.AddSeries(adjustedDates, normalizedSeries, date.ToString("dd-MM"));
}
listOfLines.DisplayInBoundGrid(string.Format("NFP analysis t-{0}mins", minutesBefore));
lcd.SetXAxisFormat("HH:mm");
lcd.DisplayInShowForm(string.Format("Normalized values per event t-{0}mins", minutesBefore));
}
public static void Go(DateTime date_)
{
LookFeel.SetupNoirModerneLookFeel();
double thresholdForFlagging = 0.5d;
var controlDict=new Dictionary<string,SimpleWtsColumnChart>();
var listOfItems = Retriever.Retrieve(date_);
var listOfAnomolies = new List<FlagListItem>();
foreach (var distinctCurve in listOfItems.Select(x => x.CurveName).Distinct())
{
var curveSubset = listOfItems.Where(x => x.CurveName.Equals(distinctCurve));
foreach (var distinctTenor in curveSubset.Select(x => x.Tenor).Distinct().OrderBy(x=>x))
{
var tenorAndCurveSubset = curveSubset.Where(x => x.Tenor == distinctTenor);
var isins = new List<string>();
var changeInMMS = new List<double>();
foreach (var isin in tenorAndCurveSubset.OrderBy(x=>x.Maturity).Select(x => x.ISIN).Distinct())
{
var isinItems = tenorAndCurveSubset.Where(x => x.ISIN.Equals(isin)).OrderByDescending(x => x.ValueDate).ToArray();
if (isinItems.Count() > 1)
{
isins.Add(isin);
changeInMMS.Add((isinItems[0].MMS - isinItems[1].MMS) * 10000d);
}
}
if (isins.Count() == 0)
continue;
for (int i = 1; i < isins.Count - 1; ++i)
{
var neighbourAverage = (changeInMMS[i - 1] + changeInMMS[i + 1]) / 2d;
var diff = changeInMMS[i] - neighbourAverage;
var bond = listOfItems.Where(x => string.Compare(isins[i], x.ISIN, true) == 0).First();
if (Math.Abs(diff) >= thresholdForFlagging)
{
var timeToMaturity = bond.Maturity - DateTime.Today;
// ignore bonds with less than one yeat to maturity
if (timeToMaturity.Days < 252)
continue;
listOfAnomolies.Add(new FlagListItem()
{
MarkDate = date_,
Curve = distinctCurve,
Tenor = distinctTenor,
Isin = isins[i],
ChangeInMMS = changeInMMS[i],
LeftBond = listOfItems.Where(x => string.Compare(isins[i-1], x.ISIN, true) == 0).First().Bond,
ChangeInMMSLeft = changeInMMS[i - 1],
RightBond = listOfItems.Where(x => string.Compare(isins[i+1], x.ISIN, true) == 0).First().Bond,
ChangeInMMSRight = changeInMMS[i + 1],
Bond=bond.Bond
});
}
}
var chart = new Controls.SimpleWtsColumnChart();
chart.SetYAxisFormat("##0.000#");
chart.Create(isins.ToArray(), changeInMMS.ToArray());
chart.SetXAxisExtent(100);
controlDict.Add(string.Format("{0}_{1}", distinctCurve, distinctTenor), chart);
}
}
if (listOfAnomolies.Count <= 0) return;
MailMessage msg = new MailMessage("*****@*****.**", "*****@*****.**", "beta: MMS change opportunity / change report", "body");
msg.To.Clear();
msg.To.Add("*****@*****.**");
msg.To.Add("*****@*****.**");
msg.IsBodyHtml = true;
var builder = new StringBuilder();
builder.AppendLine(string.Format("<h3>Unusual bond MMS moves on {0}</h3>", date_.ToString("dd-MMM-yyyy")));
builder.AppendLine("<p>(Criteria is 0.5 bps difference from the average of the bonds either side)</p>");
var grid = listOfAnomolies.DisplayInBoundGrid("blah", false);
builder.AppendLine(grid.ToHTML());
var resourceDict=new Dictionary<string,string>();
foreach (string chartKey in listOfAnomolies.Select(x => string.Format("{0}_{1}", x.Curve, x.Tenor)).Distinct())
{
builder.AppendLine(string.Format("<h4>{0} - bp change in MMS per bond</h4>", chartKey));
builder.AppendLine(string.Format("<img src=cid:{0}>", chartKey));
var path = string.Format("{0}\\{1}_{2}.bmp", Environment.GetFolderPath(Environment.SpecialFolder.InternetCache), chartKey, date_.ToString("ddMMyyyy"));
controlDict[chartKey].Chart.DataBind();
LookFeel.ProcessChart(controlDict[chartKey]);
controlDict[chartKey].Chart.SaveTo(path, System.Drawing.Imaging.ImageFormat.Bmp);
resourceDict.Add(chartKey, path);
}
AlternateView htmlView = AlternateView.CreateAlternateViewFromString(builder.ToString(), null, "text/html");
foreach (var k in resourceDict.Keys)
{
LinkedResource lr = new LinkedResource(resourceDict[k]);
lr.ContentId = k;
htmlView.LinkedResources.Add(lr);
}
msg.AlternateViews.Add(htmlView);
try
{
Emailer.GetClient().Send(msg);
}
catch (Exception ex_)
{
Logger.Error("Error sending email", typeof (Analyzer), ex_);
}
}
