private async Task populateDates(CarbonClient cc_)
{
var yesterday = await cc_.RollDateAsync(
date: DateTime.Today.ToNodaLocalDate(),
count: -1,
unit: Symmetry.Carbon.Model.DateUnit.Bd,
convention: Symmetry.Carbon.Model.BusinessDayConvention.Following,
calendar: Market.HolidayCode());
var spotSettle = await cc_.RollDateAsync(
date: DateTime.Today.ToNodaLocalDate(),
count: Market.DaysToSpot(),
unit: Symmetry.Carbon.Model.DateUnit.Bd,
convention: Symmetry.Carbon.Model.BusinessDayConvention.Following,
calendar: Market.HolidayCode());
var yesterdaySettle = await cc_.RollDateAsync(
date: yesterday,
count: Market.DaysToSpot(),
unit: Symmetry.Carbon.Model.DateUnit.Bd,
convention: Symmetry.Carbon.Model.BusinessDayConvention.Following,
calendar: Market.HolidayCode());
Today = new AsOfAndSpotSettle(DateTime.Today, spotSettle.ToDateTime());
Yesterday = new AsOfAndSpotSettle(yesterday.ToDateTime(), yesterdaySettle.ToDateTime());
}
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));
}
}
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);
}
internal BondMeasureCalcPriceYield CreatePriceYield(AsOfAndSpotSettle aass_, DateTime fwdDate_)
{
// if we're after the spot measures for today, then send back the one that's being maintained via the price subscription
if (aass_.AsOf == OwningMarket.Today.AsOf && fwdDate_==OwningMarket.Today.SpotSettle)
return GetLiveSpotPriceYield();
// if the desired spotsettle is equal to the fwddate, then we're being asked for a spot date on (likely) an historic date.
// so, need to populate the historic price to allow the calc to be done
if (aass_.SpotSettle == fwdDate_)
{
var measures = new BondMeasures(this);
if (HistoricPrices.HasDate(aass_.AsOf))
measures.SetValue(BondMeasure.Price, HistoricPrices.ValueOnDateExact(aass_.AsOf));
return new BondMeasureCalcPriceYield(this, aass_, fwdDate_, measures);
}
return new BondMeasureCalcFwdPriceYield(this, aass_, fwdDate_, CreatePriceYield(aass_,aass_.SpotSettle).Measures, new BondMeasures(this));
}
public CMTStructure(BondMarket market_, AsOfAndSpotSettle asOf_)
{
Market = market_;
DateContext = asOf_;
workOutSections();
}
public async Task<CMT> CreateCMTImpl(BondMeasure field_, AsOfAndSpotSettle asOfAndSpotSettle_, DateTime settleDate_, SwapCurve curve_, CarbonClient cc_)
{
var pricer = await BondMarketPricer.Create(Market, curve_, asOfAndSpotSettle_, settleDate_, cc_);
return new CMT(
structure_: this,
initialField_: field_,
curve_: curve_,
pricer_: pricer
);
}
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;
}
public static async Task<BondMarketPricer> Create(BondMarket market_, SwapCurve curve_, AsOfAndSpotSettle dateContext_, DateTime settleDate_, CarbonClient cc_)
{
var ret = new BondMarketPricer(dateContext_, settleDate_);
await ret.initiate(market_, curve_, cc_);
return ret;
}
private BondMarketPricer(AsOfAndSpotSettle dateContext_, DateTime settleDate_)
{
DateContext = dateContext_;
SettleDate = settleDate_;
}
