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_;
}
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));
}
}
public static double CalcYield(Bond bond_, DateTime settleDate_, double px_)
{
var result = BondAnalytics.SolveYield(
country: bond_.OwningMarket.Market.Country(),
settleDate: settleDate_,
cleanPrice: px_,
startDate: bond_.EffectiveDate,
firstCpnDate: bond_.FirstCouponDate,
maturityDate: bond_.Maturity,
coupon: bond_.Coupon,
freq: bond_.OwningMarket.Market.CpnFreq());
return result[0];
}
public static double CalcZSpread(Bond bond_, DateTime settleDate_, Tuple<DateTime[], double[]> crv, double px_)
{
return BondAnalytics.SolveZSpread(
country: bond_.OwningMarket.Market.Country(),
settleDate: settleDate_,
cleanPrice: px_,
startDate: bond_.EffectiveDate,
firstCpnDate: bond_.FirstCouponDate,
maturityDate: bond_.Maturity,
coupon: bond_.Coupon,
freq: bond_.OwningMarket.Market.CpnFreq(),
curveDates: crv.Item1,
dfs: crv.Item2,
holidays: null);
}
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);
}
public static double CalcFwdPrice(Bond bond_, DateTime settleDate_, DateTime fwdDate_, double spotPrice_, double repoRate = 0d)
{
var result = BondAnalytics.CalcBondFwd(
country: bond_.OwningMarket.Market.Country(),
settleDate: settleDate_,
cleanPrice: spotPrice_,
firstCpnDate: bond_.FirstCouponDate,
maturityDate: bond_.Maturity,
coupon: bond_.Coupon,
freq: bond_.OwningMarket.Market.CpnFreq(),
fwdDate: fwdDate_,
repoRate: repoRate,
startDate: bond_.EffectiveDate);
return result[0];
}
public static double CalcMMS(Bond bond_, SwapCurve swapCurve_, DateTime settleDate_, Tuple<DateTime[], double[]> fcs, Tuple<DateTime[], double[]> dis)
{
var conv = swapCurve_.GetConventions();
return BondAnalytics.CalcMMS(
startDate: settleDate_,
maturityDate: bond_.Maturity,
dctType: conv.DayCount,
fixedFreq: conv.FixedFreq,
floatFreq: conv.FloatFreq,
discCurveDates: dis.Item1,
discDfs: dis.Item2,
fcstCurveDates: fcs.Item1,
fcstDfs: fcs.Item2,
holidays: null,
stubExpiries: null,
stubTenors: null,
stubValues: null,
fixingTenors: null,
fixings: null,
firstCpnDate: bond_.FirstCouponDate,
blendIndex: 0);
}
private async Task populate(CarbonClient cc_)
{
await populateDates(cc_);
// at the moment, carbon can't give me the list of cmt bonds for 'today' so need to get as of yesterday
var bonds =
await
cc_.GetTimeSeriesAsync(Market.CarbonName(), "cmt-bonds", Yesterday.AsOf);
//var blah =
// await cc_.GetTimeSeriesAsync("US7YT=TWEB", "Snap", null, null, new TimeSeriesOptions {IdentifierType = "RIC"});
if (!bonds.Any())
{
Logger.Error(
string.Format("Did not get any response from carbon asking for cmt-bonds for market {0}", Market.CarbonName()),
typeof (BondMarket));
return;
}
MessagePackObject mpo;
if (bonds[0].Series[0].TryGetValue("cmtBonds", out mpo) == false || !mpo.IsList)
return;
var bondDict = new Dictionary<string, Bond>();
foreach (var v in mpo.AsList())
{
var dict = v.AsDictionary();
var bond = new Bond
{
OwningMarket = this,
};
foreach (var key in dict.Keys)
{
switch (key.AsString())
{
case "isin":
bond.Isin = dict[key].AsString();
break;
case "term":
bond.Term = dict[key].AsDouble();
break;
case "aswyylambda":
bond.ASWyyLambda = dict[key].AsDouble();
break;
case "yieldlamda":
bond.YieldLambda = dict[key].AsDouble();
break;
case "zspreadlambda":
bond.ZSpreadLambda = dict[key].AsDouble();
break;
}
}
if (!string.IsNullOrEmpty(bond.Isin))
{
bondDict[bond.Isin] = bond;
}
}
m_bonds = bondDict;
// need to get some more static data about the bonds
var dateSetups = new[]
{
new Tuple<string, Action<Bond, DateTime>>("maturityDt", (bs, date) => bs.Maturity = date),
new Tuple<string, Action<Bond, DateTime>>("issueDt", (bs, date) => bs.IssueDate= date),
new Tuple<string, Action<Bond, DateTime>>("firstCpnDt", (bs, date) => bs.FirstCouponDate= date),
new Tuple<string, Action<Bond, DateTime>>("effectiveDt", (bs, date) => bs.EffectiveDate= date),
};
var dblSetups = new[]
{
new Tuple<string, Action<Bond, double>>("cpnRate", (bs, dbl) => bs.Coupon = dbl),
};
var statics = await cc_.GetStaticDataAsync(m_bonds.Keys, "static-bond");
foreach (var s in statics)
{
var isin = s.Identifier;
Bond bs;
if (m_bonds.TryGetValue(isin, out bs) == false)
continue;
DateTime dt;
foreach (var setup in dateSetups)
{
var strVal = s.Properties.GetString(setup.Item1);
if (DateTime.TryParseExact(strVal, "yyyyMMdd", CultureInfo.InvariantCulture, DateTimeStyles.None, out dt))
setup.Item2(bs, dt);
}
foreach (var setup in dblSetups)
{
var dblVal = s.Properties.GetDouble(setup.Item1);
if (dblVal.HasValue)
setup.Item2(bs, dblVal.Value);
}
}
var histPrices =
await cc_.GetTimeSeriesAsync(m_bonds.Keys, Market.CarbonCloseSnapCollection(), DateTime.Today.AddMonths(-2));
foreach (var v in histPrices.Where(x=>x.Series!=null))
{
var isin = v.Identifier;
Bond bs;
if (m_bonds.TryGetValue(isin, out bs) == false)
continue;
var px = new SortedDictionary<DateTime, double>();
foreach (var obj in v.Series.Where(x=>x.ContainsKey("close") && x.ContainsKey("date")))
{
var strVal = obj.GetString("date");
DateTime dt;
double? dblVal;
if (DateTime.TryParseExact(strVal, "yyyyMMdd", CultureInfo.InvariantCulture, DateTimeStyles.None, out dt)
&& (dblVal = obj.GetDouble("close")).HasValue)
px[dt] = dblVal.Value;
}
if (px.Count > 0)
bs.HistoricPrices = new DatedDataCollectionGen<double>(px.Keys.ToArray(), px.Values.ToArray());
Logger.Debug(v.Series.ToString(), typeof (BondMarket));
}
m_priceSub = cc_.SubscribeToMarketData(m_bonds.Keys.ToList(),handlePriceCallback);
}
public static double CalcZSpread(Bond bond_, DateTime settleDate_, IRCurveImpl forecastCurve_, double px_)
{
var crv = forecastCurve_.GetValues();
return CalcZSpread(bond_, settleDate_, crv, px_);
}
public static double CalcMMS(Bond bond_, SwapCurve swapCurve_, DateTime settleDate_, IRCurveImpl forecastCurve_, IRCurveImpl discountCurve_)
{
return CalcMMS(bond_, swapCurve_, settleDate_, forecastCurve_.GetValues(), discountCurve_.GetValues());
}
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;
}