private void GetDiscountingDates(BondCashflow cashflow, TEDFuture future, out DateTime startDate, out DateTime endDate)
{
int iED = future.No;
if (cashflow.FlowDate < future.Maturity)
{
startDate = cashflow.FlowDate;
endDate = mTEDFutures[iED - 1].Maturity;
}
else if (iED > mFirstTED)
{
startDate = future.Maturity;
endDate = mTEDFutures[iED - 1].Maturity;
}
else
{
startDate = future.Maturity;
endDate = mSettlement;
}
}
private void CreateFuturesStrip(string[] futures)
{
using (var dc = SymmetryDataSource.ReadOnly())
{
// need to get prices and IMM dates
mTEDFutures = new TEDFuture[futures.Count()];
int f = 0;
foreach (var future in futures)
{
var lookupCode = future;
if(!future.ToLower().EndsWith(" comdty"))
{
lookupCode = future + " Comdty";
}
var fi = FIHelpers.GetFIBySymmetryCode(lookupCode, dc, ThrowBehavior.Throw);
if (fi != null && fi.Maturity.HasValue)
{
mTEDFutures[f] = new TEDFuture { Maturity = fi.Maturity.Value.AddTenor(Tenor.BusinessDays(2)), FIID = fi.FIID, Price = null, Weight = 0, No = f };
}
f++;
}
var source = QuoteHelpers.GetQuoteSource("MLP", dc, ThrowBehavior.Throw);
var marketSnap = QuoteHelpers.GetLatestMarketSnap("MLP", mValueDate, dc, ThrowBehavior.Throw);
var quotes = QuoteHelpers.GetQuotes(marketSnap.MarketSnapID, source.QuoteSourceID, new SortedSet<int>(mTEDFutures.Select(q => q.FIID)), dc);
foreach (var future in mTEDFutures)
{
QuoteValues quote = null;
if (quotes.TryGetValue(future.FIID, out quote))
{
future.Price = quote.GetValue(QuoteValueType.Price);
}
if (!future.Price.HasValue)
{
future.Price = 100;
SLog.log.WarnFormat("No price for future {0}, assuming {1}", future.FIID, future.Price);
}
future.Rate = ((100 - (double)future.Price.Value) / 100.0);
}
}
}
