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_);
}
}
private void rebind()
{
var finestGranulatiry =
m_evaluator.Daily.Length > (2*m_evaluator.Weekly.Length)
? Period.Daily
: m_evaluator.Weekly.Length > (2*m_evaluator.Monthly.Length)
? Period.Weekly
: Period.Monthly;
lblCumReturn.Bind(m_evaluator.Daily, "CumulativeReturn", new Validators.DoubleValidator("#0.00%"));
lblAvgReturnPA.Bind(m_evaluator.Daily, "AverageReturnsPerAnnum", new Validators.DoubleValidator("#0.00%"));
lblAnnualSharpe.Bind(m_evaluator[finestGranulatiry], "AnnualSharpeRatio", new Validators.DoubleValidator("#0.00"));
lblRealisedVolPA.Bind(m_evaluator[finestGranulatiry], "RealisedVolPerAnnum", new Validators.DoubleValidator("#0.00%"));
lblYTD.Bind(m_evaluator.Daily, "YTD", new Validators.DoubleValidator("#0.00%"));
lblSortino.Bind(m_evaluator.Daily, "AnnualSortinoRatio", new Validators.DoubleValidator("#0.00"));
// periodic returns
dailyReturnsDisplay.Bind(m_evaluator.Daily);
weeklyReturnsDisplay.Bind(m_evaluator.Weekly);
monthlyReturnsDisplay.Bind(m_evaluator.Monthly);
monthlyReturnsChart.Bind(m_evaluator, ReturnsEval.Period.Monthly, "MMM-yy");
// drawdowns
for (int i = 0; i < m_drawdownControls.Length; ++i)
{
// ReSharper disable once AssignmentInConditionalExpression
if (m_drawdownControls[i].Visible = (i < m_evaluator.Daily.DrawDowns.Length))
m_drawdownControls[i].Bind(m_evaluator, i, true);
}
drawdownAnalysisControl1.Bind(m_evaluator);
cumulativeChart.Bind(m_evaluator, ReturnsEval.Period.Daily);
if (m_evaluator.InnerSeries.Count > 0)
{
#region Add overall attribution
if (m_overallAttributionChart == null)
{
Infragistics.Win.UltraWinTabControl.UltraTab tab = ultraTabControl1.Tabs.Add();
tab.Text = "Attribution";
m_overallAttributionChart = new Controls.SimpleWtsColumnChart();
m_overallAttributionChart.Dock = DockStyle.Fill;
m_overallAttributionChart.SetXAxisExtent(80);
tab.TabPage.Controls.Add(m_overallAttributionChart);
}
m_overallAttributionChart.Create(m_evaluator.InnerSeries.Select(x => x.Name).ToArray(), m_evaluator.InnerSeries.Select(x => x.Daily.CumulativeReturn).ToArray());
m_overallAttributionChart.SetXAxisExtent(80);
#endregion
#region Add Monthly Attribution
//if (m_datedReturnsChartAttributed == null)
//{
// Infragistics.Win.UltraWinTabControl.UltraTab tab = ultraTabControl1.Tabs.Add();
// tab.Text = "Monthly Attribution";
// m_datedReturnsChartAttributed = new DatedReturnsChartAttributed();
// m_datedReturnsChartAttributed.Dock = DockStyle.Fill;
// tab.TabPage.Controls.Add(m_datedReturnsChartAttributed);
//}
//if(m_datedReturnsChartAttributed!=null)
// m_datedReturnsChartAttributed.Bind(m_evaluator, ReturnsEval.Period.Monthly, "MMM yy");
#endregion
#region Add Cumulative returns comparison
//if (m_cumulativeWithInnerAttributedChart == null)
//{
// Infragistics.Win.UltraWinTabControl.UltraTab tab = ultraTabControl1.Tabs.Add();
// tab.Text = "Cumulative Returns Attribution";
// m_cumulativeWithInnerAttributedChart = new CumulativeWithInnerAttributedChart();
// m_cumulativeWithInnerAttributedChart.Dock = DockStyle.Fill;
// tab.TabPage.Controls.Add(m_cumulativeWithInnerAttributedChart);
//}
//if(m_cumulativeWithInnerAttributedChart!=null)
// m_cumulativeWithInnerAttributedChart.Bind(m_evaluator);
#endregion
}
bindRW();
}