private BondSpreadResult ComputeCloseFutureBondSpread(BondAnalytics.Country eCountry, Future f, long Freq,
Dictionary<DateTime, double> liborInterestCurveDict, Dictionary<DateTime, double> oisInterestCurveDict)
{
try
{
if (liborInterestCurveDict == null || oisInterestCurveDict == null)
return null;
var floas = BondAnalytics.SolveZSpread(eCountry, f.Delivery, f.BondPriceClose,
DateTime.MinValue,
DateTime.MinValue,
f.Maturity, f.Coupon, Freq,
liborInterestCurveDict.Keys.ToArray(),
liborInterestCurveDict.Values.ToArray(), new List<DateTime>());
var foisoas = BondAnalytics.SolveZSpread(eCountry, f.Delivery, f.BondPriceClose,
DateTime.MinValue,
DateTime.MinValue,
f.Maturity, f.Coupon, Freq,
oisInterestCurveDict.Keys.ToArray(),
oisInterestCurveDict.Values.ToArray(), new List<DateTime>());
floas = (floas == -1.0) ? double.NaN : -1 * floas * 10000;
foisoas = (foisoas == -1.0) ? double.NaN : -1 * foisoas * 10000;
var isFront = GetCTDFlagForBond(f.Contract) == CTDFlag.Front;
var isBack = GetCTDFlagForBond(f.Contract) == CTDFlag.Back;
return new BondSpreadResult
{
Ticker = f.Contract,
Coupon = f.Coupon,
IssueDate = f.IssueDate,
EffectiveDate = f.Delivery,
Maturity = f.Maturity,
LOAS = floas,
OISOAS = foisoas,
FwdLOASFront = isFront ? floas : double.NaN,
FwdLOASBack = isBack ? floas : double.NaN,
FwdOISOASFront = isFront ? foisoas : double.NaN,
FwdOISOASBack = isBack ? foisoas : double.NaN,
Price = f.ClosePrice,
BondPriceUsed = f.BondPriceClose,
CtdBondCusipUsed = f.CTDReuters,
InstrumentType = InstrumentType.BondFuture,
Series = f.Header,
IsLive = false,
};
}
catch (Exception e)
{
Log.Error(string.Format("Failed to compute future spread for {0}", f.Contract), e);
return null;
}
}
public void EnrichFuture(Future futures, Dictionary<DateTime, double> oisCurveLive, Dictionary<DateTime, double> liborCurveLive,
Dictionary<DateTime, double> oisCurve, Dictionary<DateTime, double> liborCurve,
BondSpreadCalculator bondSpreadCalculator)
{
// can throw exceptions
// default country to US
var eCountry = BondAnalytics.Country.US;
// obtain delivery date
futures.Delivery = EnrichDeliveryDate(futures);
RealTimeBondData bondData;
// go to the calculator cache to obtain bond prices.
bondSpreadCalculator.GetBondPrices().TryGetValue(futures.RTTicker, out bondData);
futures.LivePrice = double.NaN;
if (bondData != null)
{
futures.LivePrice = (bondData.Bid + bondData.Ask)/2;
futures.LivePriceTimeUtc = bondData.UtcTime;
}
double closePrice;
if (!histPriceCache.TryGetValue(futures.RTTicker, out closePrice))
{
//**** only fetch closes from symmetry service for front and back month contract in order to reduce hammering the service too much
// this logic could be removed when closes have migrated to carbon
var futureDateCode = FutureContractCode(futures.Contract);
if (futureDateCode == _futureBuilder.FrontTicker || futureDateCode == _futureBuilder.BackTicker)
{
//var histPriceObj = bondServiceModel.GetHistoryPrice(futures.Contract + " Comdty", _futureBuilder.AsOfDate, "Close");
//closePrice = histPriceObj != null ? histPriceObj.Price : double.NaN;
closePrice = bondServiceModel.GetCarbonHistoryPrice(futures.Contract + " Comdty", _futureBuilder.AsOfDate);
if (!double.IsNaN(closePrice))
histPriceCache[futures.RTTicker] = closePrice;
}
else
{
// not front and back contract, skip close
Log.InfoFormat("close price skipped for future {0}", futures.Contract);
closePrice = double.NaN;
}
}
else
closePrice = histPriceCache[futures.RTTicker];
futures.ClosePrice = closePrice;
// get CTD static data
RealTimeBondData ctdData=null;
if (!string.IsNullOrEmpty(futures.CTDRic))
bondSpreadCalculator.GetBondPrices().TryGetValue(futures.CTDRic, out ctdData);
else
Log.ErrorFormat("no CTD ric found for future {0}, please ensure its setup in the BSServiceClient tool", futures.Contract);
// either get from carbon or override
var ctdRecord = FetchSavedCTDFromMongo(futures.Contract);
// validation check
// if no ctd override and carbon data, we cannot proceed further
if ((ctdData == null || string.IsNullOrEmpty(ctdData.BKGD_REF)) &&
(ctdRecord == null || string.IsNullOrEmpty(ctdRecord.CTDCusip)))
{
Log.ErrorFormat("no ctd override and carbon data, we cannot proceed further for {0}", futures.Contract);
return;
}
futures.CTDReuters =(ctdRecord == null || string.IsNullOrEmpty(ctdRecord.CTDCusip)) ? ctdData.BKGD_REF.TrimEnd('=') : ctdRecord.CTDCusip.TrimEnd('=');
BondStatic ctdStatic;
if (futureStaticCache.ContainsKey(futures.CTDReuters))
ctdStatic = futureStaticCache[futures.CTDReuters];
else
{
ctdStatic = bondServiceModel.GetSingleSecurityMetadata(futures.CTDReuters);
futureStaticCache[futures.CTDReuters] = ctdStatic;
}
futures.CTD = ctdStatic.MLP;
futures.IssueDate = DateTime.FromOADate(ctdStatic.IssueDate);
futures.Maturity = DateTime.FromOADate(ctdStatic.Maturity);
futures.Coupon = ctdStatic.Coupon;
// beware that the delivery date used to compute conversion factor is from the long dated future, therefore we need to roll back 3 days for short dated futures
var deliveryDateUsedForConvFactor = (futures.IsShortLong == ShortLongFuture.ShortDated) ? bondServiceModel.RollDate(futures.Delivery, -3, DateUnit.Bd ,
BusinessDayConvention.Following, "USNY").ContinueWith(a => a.Result.ToDateTime()).Result
: futures.Delivery;
futures.ConvFator = BondAnalytics.CalcBondCF(futures.Coupon, futures.IssueDate, DateTime.MinValue, futures.Maturity, deliveryDateUsedForConvFactor, futures.Header, 0.0);
// ctd bond
if (double.IsNaN(futures.LivePrice))
{
futures.BondPriceLive = double.NaN;
futures.FwdYieldLive = double.NaN;
}
else
{
futures.BondPriceLive = futures.LivePrice * futures.ConvFator;
futures.FwdYieldLive = BondAnalytics.SolveYield(eCountry, futures.Delivery, futures.BondPriceLive, DateTime.MinValue, DateTime.MinValue, futures.Maturity, futures.Coupon, 6).First();
}
futures.BondPriceClose = futures.ClosePrice*futures.ConvFator;
futures.FwdYieldClose = BondAnalytics.SolveYield(eCountry, futures.Delivery, futures.BondPriceClose, DateTime.MinValue,DateTime.MinValue, futures.Maturity, futures.Coupon, 6).First();
if (liborCurveLive != null)
{
Log.DebugFormat("deliver{0} mat{1} oiscurve{2} libor{3}", futures.Delivery, futures.Maturity, oisCurve.Keys.Select(d => d.ToString("yyyy-MM-dd")).ToArray().JoinStrings(";"), liborCurveLive.Keys.Select(d => d.ToString("yyyy-MM-dd")).ToArray().JoinStrings(";"));
futures.LMMSLive = BondAnalytics.CalcMMS(futures.Delivery, futures.Maturity, BondAnalytics.DayCountType.I30360, 6, 3, oisCurve.Keys.ToArray(),oisCurve.Values.ToArray(),
liborCurveLive.Keys.ToArray(), liborCurveLive.Values.ToArray(), null, null, null, null, null, null, DateTime.MinValue);
}
futures.LMMSClose = BondAnalytics.CalcMMS(futures.Delivery, futures.Maturity, BondAnalytics.DayCountType.I30360, 6, 3, oisCurve.Keys.ToArray(), oisCurve.Values.ToArray(),
liborCurve.Keys.ToArray(), liborCurve.Values.ToArray(), null, null, null, null, null, null, DateTime.MinValue);
if (oisCurveLive != null)
futures.OISMMSLive = BondAnalytics.CalcMMS(futures.Delivery, futures.Maturity, BondAnalytics.DayCountType.I30360, 12, 12, oisCurve.Keys.ToArray(), oisCurve.Values.ToArray(),
oisCurveLive.Keys.ToArray(), oisCurveLive.Values.ToArray(), null, null, null, null, null, null, DateTime.MinValue);
futures.OISMMSClose = BondAnalytics.CalcMMS(futures.Delivery, futures.Maturity, BondAnalytics.DayCountType.I30360, 12, 12, oisCurve.Keys.ToArray(), oisCurve.Values.ToArray(),
oisCurve.Keys.ToArray(), oisCurve.Values.ToArray(), null, null, null, null, null, null, DateTime.MinValue);
futures.CanComputeSpread = true;
}
private DateTime EnrichDeliveryDate(Future futures)
{
ValididateFutureContract(futures);
var futureDateCode = FutureContractCode(futures.Contract);
if (futures.Header == "TU" || futures.Header == "FV")
{
if (futureDateCode == _futureBuilder.PrevFrontTicker)
return _futureBuilder.PrevFrontRollShort;
if (futureDateCode == _futureBuilder.FrontTicker)
return _futureBuilder.FrontRollShort;
if (futureDateCode == _futureBuilder.BackTicker)
return _futureBuilder.BackRollShort;
if (futureDateCode == _futureBuilder.Back2Ticker)
return _futureBuilder.Back2RollShort;
}
else if (futures.Header == "TY" || futures.Header == "US" || futures.Header == "WN")
{
if (futureDateCode == _futureBuilder.PrevFrontTicker)
return _futureBuilder.PrevFrontRollLong;
if (futureDateCode == _futureBuilder.FrontTicker)
return _futureBuilder.FrontRollLong;
if (futureDateCode == _futureBuilder.BackTicker)
return _futureBuilder.BackRollLong;
if (futureDateCode == _futureBuilder.Back2Ticker)
return _futureBuilder.Back2RollLong;
}
return DateTime.MinValue;
}
private void ValididateFutureContract(Future futures)
{
var futureDateCode = FutureContractCode(futures.Contract);
if(futureDateCode != _futureBuilder.PrevFrontTicker
&& futureDateCode != _futureBuilder.FrontTicker
&& futureDateCode != _futureBuilder.BackTicker
&& futureDateCode != _futureBuilder.Back2Ticker)
throw new Exception("Invalid Future contract");
}
protected bool Equals(Future other)
{
return string.Equals(Contract, other.Contract) && string.Equals(RTTicker, other.RTTicker) && string.Equals(CTD, other.CTD) && string.Equals(CTDRic, other.CTDRic);
}