public void CheckExpiryRollForCodeExamples(string futureCode, DateTime expiry, DateTime roll)
{
var code = new FutureCode(futureCode, 2016, TestProviderHelper.FutureSettingsProvider);
Assert.Equal(expiry, code.GetExpiry());
Assert.Equal(roll, code.GetRollDate());
}
public static object CreateSTIRFromCode(
[ExcelArgument(Description = "Object name")] string ObjectName,
[ExcelArgument(Description = "Value date")] DateTime ValDate,
[ExcelArgument(Description = "Futures Code, e.g. EDZ9")] string FuturesCode,
[ExcelArgument(Description = "Rate Index")] string RateIndex,
[ExcelArgument(Description = "Price")] double Price,
[ExcelArgument(Description = "Quantity in lots")] double Quantity,
[ExcelArgument(Description = "Convexity adjustment")] double ConvexityAdjustment,
[ExcelArgument(Description = "Forecast Curve")] string ForecastCurve,
[ExcelArgument(Description = "Solve Curve name ")] object SolveCurve,
[ExcelArgument(Description = "Solve Pillar Date")] object SolvePillarDate)
{
return(ExcelHelper.Execute(_logger, () =>
{
if (!ContainerStores.GetObjectCache <FloatRateIndex>().TryGetObject(RateIndex, out var rIndex))
{
_logger?.LogInformation("Rate index {index} not found in cache", RateIndex);
return $"Rate index {RateIndex} not found in cache";
}
var c = new FutureCode(FuturesCode, DateTime.Today.Year - 2, ContainerStores.SessionContainer.GetService <IFutureSettingsProvider>());
var expiry = c.GetExpiry();
var accrualStart = expiry.AddPeriod(RollType.F, rIndex.Value.HolidayCalendars, rIndex.Value.FixingOffset);
var accrualEnd = accrualStart.AddPeriod(rIndex.Value.RollConvention, rIndex.Value.HolidayCalendars, rIndex.Value.ResetTenor);
//var dcf = accrualStart.CalculateYearFraction(accrualEnd, rIndex.Value.DayCountBasis);
var product = new STIRFuture
{
Currency = rIndex.Value.Currency,
ContractSize = c.Settings.LotSize,
//DCF = dcf,
ConvexityAdjustment = ConvexityAdjustment,
Expiry = expiry,
ForecastCurve = ForecastCurve,
Index = rIndex.Value,
Position = Quantity,
Price = Price,
SolveCurve = SolveCurve.OptionalExcel(ForecastCurve),
PillarDate = SolvePillarDate.OptionalExcel(accrualEnd),
TradeId = ObjectName
};
return ExcelHelper.PushToCache(product, ObjectName);
}));
}
public static object CreateOISFutureFromCode(
[ExcelArgument(Description = "Object name")] string ObjectName,
[ExcelArgument(Description = "Value date")] DateTime ValDate,
[ExcelArgument(Description = "Futures Code, e.g. EDZ9")] string FuturesCode,
[ExcelArgument(Description = "Rate Index")] string RateIndex,
[ExcelArgument(Description = "Price")] double Price,
[ExcelArgument(Description = "Quantity in lots")] double Quantity,
[ExcelArgument(Description = "Forecast Curve")] string ForecastCurve,
[ExcelArgument(Description = "Solve Curve name ")] object SolveCurve,
[ExcelArgument(Description = "Solve Pillar Date")] object SolvePillarDate)
{
return(ExcelHelper.Execute(_logger, () =>
{
if (!ContainerStores.GetObjectCache <FloatRateIndex>().TryGetObject(RateIndex, out var rIndex))
{
_logger?.LogInformation("Rate index {index} not found in cache", RateIndex);
return $"Rate index {RateIndex} not found in cache";
}
var c = new FutureCode(FuturesCode, DateTime.Today.Year - 2, ContainerStores.SessionContainer.GetService <IFutureSettingsProvider>());
var expiry = c.GetExpiry();
var accrualStart = expiry.FirstDayOfMonth();
var accrualEnd = expiry.LastDayOfMonth();
var dcf = accrualStart.CalculateYearFraction(accrualEnd, rIndex.Value.DayCountBasis);
var product = new OISFuture
{
Currency = rIndex.Value.Currency,
ContractSize = c.Settings.LotSize,
DCF = dcf,
AverageStartDate = accrualStart,
AverageEndDate = accrualEnd,
ForecastCurve = ForecastCurve,
Index = rIndex.Value,
Position = Quantity,
Price = Price,
SolveCurve = SolveCurve.OptionalExcel(rIndex.Name),
PillarDate = SolvePillarDate.OptionalExcel(accrualEnd),
TradeId = ObjectName
};
return ExcelHelper.PushToCache(product, ObjectName);
}));
}