//----------------------------------------------------------------------------------------
public static double[] GetRepoRates(BondAnalytics.Country eCountry, List<DateTime> dates )
//----------------------------------------------------------------------------------------
{
List<double> reporates = new List<double>();
foreach (var dte in dates)
{
double repo = double.NaN;
switch (eCountry)
{
case BondAnalytics.Country.US:
GenericPrice prc = GetHistoryPrice(Constants.NomGcMidRate, dte, "NOM", "NOM");
repo = prc == null ? double.NaN : prc.GcMidRate / 100.0;
break;
case BondAnalytics.Country.DE:
var o = GetCbnTimeSeriesDataCell("GC_GERMANY_SUB_10YR", "eod-icaprepo", dte, "wtdRate", new object[] { "term~S-N" });
if (o is double)
{
repo = (double) o / 100.0;
}
else
repo = double.NaN;
break;
/* case BondAnalytics.Country.UK:
break;*/
default:
throw new ArgumentException("Invalid input country " + eCountry.ToString());
}
reporates.Add(repo);
}
return reporates.ToArray();
}
public static double Calculate(CalcMeasure Measure,
DateTime settle,
double price,
Bond bondStatic,
BondAnalytics.Country eCountry,
DateTime asOfDate,
List<DateTime> hols)
{
// byran lim config coded in symmetry.net. we use this until we have a centralised place for the curve static
// different country has different setting of using forcast and discount curve
bool bForecastCurve;
switch (eCountry)
{
case BondAnalytics.Country.DE:
bForecastCurve = false;
break;
default:
bForecastCurve = true;
break;
}
var fcstCfg = new SpreadTimeSeriesConfigs(eCountry.ToString(), bForecastCurve);
int trial = 0;
DiscountCurve forCurve = null;
DiscountCurve disCurve = null;
if (discountCurveCache.ContainsKey(fcstCfg.SymForecastCurveName))
{
var forTup = discountCurveCache[fcstCfg.SymForecastCurveName].FirstOrDefault(i => i.Item1 == asOfDate);
if (forTup != null) forCurve = forTup.Item2;
}
if (discountCurveCache.ContainsKey(fcstCfg.SymDiscountCurveName))
{
var disTup = discountCurveCache[fcstCfg.SymDiscountCurveName].FirstOrDefault(i => i.Item1 == asOfDate);
if (disTup != null) disCurve = disTup.Item2;
}
if (forCurve == null || disCurve == null)
{
while (trial < 3)
{
try
{
forCurve = SymmetryDataModel.GetDiscountCurve(fcstCfg.SymForecastCurveName, asOfDate);
disCurve = SymmetryDataModel.GetDiscountCurve(fcstCfg.SymDiscountCurveName, asOfDate);
trial = 5;
break;
}
catch (Exception)
{
trial++;
continue;
}
}
if (forCurve != null && disCurve != null)
{
var forTup = new Tuple<DateTime, DiscountCurve>(asOfDate, forCurve);
var disTup = new Tuple<DateTime, DiscountCurve>(asOfDate, disCurve);
if (discountCurveCache.ContainsKey(fcstCfg.SymForecastCurveName))
discountCurveCache[fcstCfg.SymForecastCurveName].Add(forTup);
else
discountCurveCache[fcstCfg.SymForecastCurveName] = new[] {forTup}.ToList();
if (discountCurveCache.ContainsKey(fcstCfg.SymDiscountCurveName))
discountCurveCache[fcstCfg.SymDiscountCurveName].Add(disTup);
else
discountCurveCache[fcstCfg.SymDiscountCurveName] = new[] { disTup }.ToList();
}
}
if (forCurve == null || disCurve == null)
return double.NaN;
DateTime effectiveDate = bondStatic.EffectiveDate ?? DateTime.MinValue;
DateTime maturity = bondStatic.Maturity ?? DateTime.MinValue;
DateTime firstCpnDate = bondStatic.FirstCouponDate ?? DateTime.MinValue;
double coupon = bondStatic.Coupon;
long bondCpnFreq = fcstCfg.bndCouponFreq;
bool bOIS = !fcstCfg.bForecastCurve;
BondAnalytics.DayCountType dct = fcstCfg.dct;
long swapFixedFreq = fcstCfg.swpfixfreq;
long swapFloatFreq = fcstCfg.swpfloatfreq;
return CalcMeasure(Measure, price, eCountry, settle, disCurve, forCurve, effectiveDate, maturity, firstCpnDate, coupon, bondCpnFreq, bOIS, dct, swapFixedFreq, swapFloatFreq, hols);
}