protected bool ShouldInclude(FIBond bond, DateTime? valueDate, string criteriaType, string criteriaValue)
{
bool include = true;
var maturity = bond.FI.Maturity;
if (include && valueDate.HasValue)
{
include =
(bond.IssueDate.HasValue && bond.IssueDate.Value <= valueDate.Value) &&
(maturity.HasValue && maturity.Value > valueDate.Value);
}
// do we have criteria?
if (include && criteriaType == "term")
{
int termNum = 0;
if (Int32.TryParse(criteriaValue, out termNum))
{
if (valueDate.HasValue)
{
include = SmoothBondCurveCalculator.ShouldBeIncluded(bond, valueDate.Value, valueDate.Value, termNum);
}
else if (maturity.HasValue)
{
var cutoffDate = maturity.Value.AddTenor(Tenor.BusinessDays(-5));
include = SmoothBondCurveCalculator.ShouldBeIncluded(bond, cutoffDate, cutoffDate, termNum);
}
}
}
return include;
}
public static FI GetOrCreateMLPBond(MLPBondInstrument instrument, SymmetryEntities dc, ThrowBehavior behavior = ThrowBehavior.Throw)
{
if(string.IsNullOrWhiteSpace(instrument.ISIN))
{
return null;
}
FIChangeTracking.DisableChangeTracking(ref dc);
FI fi = null;
try
{
// create instrument
fi = FIHelpers.GetFIBySymmetryCode(instrument.ISIN, dc, behavior);
if (fi == null)
{
fi = new FI
{
InstrumentType = InstrumentType.Bond,
Currency = null,
DisplayName = instrument.MlpTicker,
Maturity = DateTime.FromOADate(instrument.Maturity),
SymmetryCode = instrument.ISIN
};
dc.FIs.Add(fi);
}
else
{
var newCcy = GetBondCurrencyForBbTicker(instrument.BbTicker);
if (!string.IsNullOrEmpty(newCcy) && fi.Currency != newCcy)
{
fi.Currency = newCcy;
FIChangeTracking.SetModified(fi, dc);
}
}
dc.SaveChanges();
// set identifiers
SetOrUpdateIdentifier(fi, IdentifierType.ISIN, instrument.ISIN, dc);
SetOrUpdateIdentifier(fi, IdentifierType.CUSIP, instrument.CUSIP, dc);
SetOrUpdateIdentifier(fi, IdentifierType.MLPCode, instrument.MlpTicker, dc);
SetOrUpdateIdentifier(fi, IdentifierType.RIC, instrument.RIC, dc);
SetOrUpdateIdentifier(fi, IdentifierType.Bloomberg, instrument.ISIN + " Govt", dc);
dc.SaveChanges();
// create bond
var fiBond = dc.FIBonds.SingleOrDefault(b => b.FIID == fi.FIID);
if (fiBond == null)
{
fiBond = new FIBond
{
FIID = fi.FIID,
Market = instrument.GetMarket(),
Coupon = instrument.Coupon.HasValue ? instrument.Coupon.Value : 0,
EffectiveDate = DateTime.FromOADate(instrument.EffectiveDate),
FirstCouponDate = DateTime.FromOADate(instrument.FirstCouponDate),
IssueDate = DateTime.FromOADate(instrument.IssueDate),
Series = instrument.Series,
Term = instrument.Term
};
dc.FIBonds.Add(fiBond);
}
else
{
var coupon = instrument.Coupon.HasValue ? instrument.Coupon.Value : 0;
var effectiveDate = DateTime.FromOADate(instrument.EffectiveDate);
var firstCouponDate = DateTime.FromOADate(instrument.FirstCouponDate);
var issueDate = DateTime.FromOADate(instrument.IssueDate);
if (fiBond.Market != instrument.GetMarket() ||
fiBond.Coupon != coupon ||
fiBond.EffectiveDate != effectiveDate ||
fiBond.FirstCouponDate != firstCouponDate ||
fiBond.IssueDate != issueDate ||
fiBond.Series != instrument.Series ||
fiBond.Term != instrument.Term)
{
fiBond.Market = instrument.GetMarket();
fiBond.Coupon = coupon;
fiBond.EffectiveDate = effectiveDate;
fiBond.FirstCouponDate = firstCouponDate;
fiBond.IssueDate = issueDate;
fiBond.Series = instrument.Series;
fiBond.Term = instrument.Term;
FIChangeTracking.SetModified(fiBond, dc);
}
}
dc.SaveChanges();
}
catch (Exception ex)
{
Exceptions.Rethrow("GetOrCreateMLPBond", behavior, ex);
}
finally
{
FIChangeTracking.EnableChangeTracking(ref dc);
}
return fi;
}
protected override void processResponsesFromDataScope(Data.SymmetryEntities dc_, Data.MarketSnap saveToThisSnap_, string marketSnapCode_)
{
OutputToCSV(m_resultsFromDataScope);
if (m_resultsFromDataScope == null) return;
var config = BondDiscoveryConfig.GetInstance();
foreach (var response in m_resultsFromDataScope)
{
foreach (var row in response.Rows)
{
try
{
var isin = GetValueFromObjectArray<string>((int)FieldsToReturn.InstrumentID, row, ThrowBehavior.Throw);
var ric = GetValueFromObjectArray<string>((int)FieldsToReturn.TradewebRIC, row, ThrowBehavior.DontThrow);
var maturity = GetValueFromObjectArray<DateTime>((int)FieldsToReturn.Maturity, row, ThrowBehavior.Throw);
var description = GetValueFromObjectArray<string>((int)FieldsToReturn.Description, row, ThrowBehavior.Throw);
var currency = GetValueFromObjectArray<string>((int)FieldsToReturn.Currency, row, ThrowBehavior.DontThrow);
var coupon = GetValueFromObjectArray<double>((int)FieldsToReturn.Coupon, row, ThrowBehavior.Throw);
var auctionDate = GetValueFromObjectArray<DateTime?>((int)FieldsToReturn.AuctionDate, row, ThrowBehavior.DontThrow);
var effectiveDate = GetValueFromObjectArray<DateTime?>((int)FieldsToReturn.EffectiveDate, row, ThrowBehavior.DontThrow);
var firstCouponDate = GetValueFromObjectArray<DateTime?>((int)FieldsToReturn.FirstCouponDate, row, ThrowBehavior.DontThrow);
var issueDate = GetValueFromObjectArray<DateTime?>((int)FieldsToReturn.IssueDate, row, ThrowBehavior.DontThrow);
var series = GetValueFromObjectArray<string>((int)FieldsToReturn.Series, row, ThrowBehavior.DontThrow);
var term = GetValueFromObjectArray<int?>((int)FieldsToReturn.Term, row, ThrowBehavior.DontThrow);
var assetSubType = GetValueFromObjectArray<string>((int)FieldsToReturn.AssetSubType,row,ThrowBehavior.DontThrow);
var couponClass = GetValueFromObjectArray<string>((int) FieldsToReturn.CouponClassCode, row, ThrowBehavior.DontThrow);
var countryCode = GetValueFromObjectArray<string>((int) FieldsToReturn.CountryCode, row, ThrowBehavior.DontThrow);
var inflationFlag = GetValueFromObjectArray<string>((int)FieldsToReturn.InflationProtectedFlag,row,ThrowBehavior.DontThrow);
var floaterFlag = GetValueFromObjectArray<string>((int)FieldsToReturn.FloaterFlag,row,ThrowBehavior.DontThrow);
FIChangeTracking.DisableChangeTracking(ref dc_);
try
{
SLog.log.DebugFormat("Adding new bond to database with ISIN={0}", isin);
// create instrument
var fi = new FI
{
InstrumentType = InstrumentType.Bond,
Currency = currency,
DisplayName = description,
Maturity = maturity,
SymmetryCode = isin
};
dc_.FIs.Add(fi);
dc_.SaveChanges();
FIBondHelpers.SetOrUpdateIdentifier(fi, IdentifierType.ISIN, isin, dc_);
FIBondHelpers.SetOrUpdateIdentifier(fi, IdentifierType.RIC, ric, dc_);
FIBondHelpers.SetOrUpdateIdentifier(fi, IdentifierType.Bloomberg, string.Format("{0} Govt", isin), dc_);
dc_.SaveChanges();
// create bond
var fiBond = new FIBond
{
FIID = fi.FIID,
Coupon = Convert.ToDecimal(coupon),
EffectiveDate = effectiveDate,
FirstCouponDate = firstCouponDate,
AuctionDate = auctionDate,
IssueDate = issueDate,
Series = series,
Term = term,
Market = config == null ? assetSubType : config.GetMarket(countryCode, assetSubType),
IsFloater=floaterFlag!=null && String.Compare("Y", floaterFlag, StringComparison.OrdinalIgnoreCase)==0 ? 1 : 0,
IsInflationLinked = inflationFlag!=null && String.Compare("Y", inflationFlag, StringComparison.OrdinalIgnoreCase)==0 ? 1 : 0,
};
dc_.FIBonds.Add(fiBond);
dc_.SaveChanges();
}
finally
{
FIChangeTracking.EnableChangeTracking(ref dc_);
}
}
catch
{
continue; // a required value wasn't found
}
} // end inner for
} // end first for
}
