public static BondStructureDefinitionItem GetDefinition(BondAnalysisLine line_, double multiplier_)
{
return new BondStructureDefinitionItem()
{
Coupon=line_.UnderlyingBond.Coupon,
Market=line_.ParentSource.Market,
Month=line_.Maturity.Month,
Year=line_.Maturity.Year,
Multiplier=multiplier_
};
}
public CellClickedArgs(BondAnalysisLine line_, BondField field_, MouseButtons buttons_)
{
Line = line_;
Field = field_;
Buttons = buttons_;
}
public static double[] GetFlyWeightings(BondAnalysisLine A_, BondAnalysisLine B_, BondAnalysisLine C_, FlyWeightingMethod method_ = FlyWeightingMethod.Standard, int history_ = 100)
{
switch (method_)
{
case FlyWeightingMethod.Standard:
{
return new[] {Bfly_Wing, Bfly_Belly, Bfly_Wing};
}
case FlyWeightingMethod.Value:
{
var Avals =
A_.GetHistoricValuesForField(BondField.YieldLive)
.GetEndValues(history_ + 1)
.GetSubValues<double>(excludeFunction_: double.IsNaN);
var Bvals =
B_.GetHistoricValuesForField(BondField.YieldLive)
.GetEndValues(history_ + 1)
.GetSubValues(excludeFunction_: double.IsNaN);
var Cvals =
C_.GetHistoricValuesForField(BondField.YieldLive)
.GetEndValues(history_ + 1)
.GetSubValues(excludeFunction_: double.IsNaN);
var CminusB = Cvals.Minus(Bvals).ToDifferences().Stdev();
var BminusA = Bvals.Minus(Avals).ToDifferences().Stdev();
var ratio = CminusB/BminusA;
return new double[]
{
ratio/(ratio+1d),
1d,
1d/(ratio+1d)
};
}
case FlyWeightingMethod.PCAyield:
case FlyWeightingMethod.PCAasw:
{
var Avals =
A_.GetHistoricValuesForField(method_==FlyWeightingMethod.PCAyield ? BondField.YieldLive : BondField.ASWLive)
.GetEndValues(history_ + 1)
.GetSubValues<double>(excludeFunction_: double.IsNaN);
var Bvals =
B_.GetHistoricValuesForField(method_ == FlyWeightingMethod.PCAyield ? BondField.YieldLive : BondField.ASWLive)
.GetEndValues(history_ + 1)
.GetSubValues(excludeFunction_: double.IsNaN);
var Cvals =
C_.GetHistoricValuesForField(method_ == FlyWeightingMethod.PCAyield ? BondField.YieldLive : BondField.ASWLive)
.GetEndValues(history_ + 1)
.GetSubValues(excludeFunction_: double.IsNaN);
var inlineDates = new[] {Avals, Bvals, Cvals}.IntersectDatesKeepSeparate();
var dblArr = new double[inlineDates[0].Length, 3];
for(int i=0;i<inlineDates[0].Length;++i)
for (int j = 0; j < 3; ++j)
dblArr[i, j] = inlineDates[j].Data[i];
var pcaWeights = Symmetry.Analytics.PCA.CalculateOptimalHedgeRatios(dblArr, false, 3,
new double?[] {null, 1d, null});
return pcaWeights;
}
}
return null;
}
public bool SetValuesForLineAndFocus(BondAnalysisLine line_, BondField field_)
{
m_allValues = line_.GetHistoricValuesForField(field_);
m_seriesName= BondAnalysisLineHelper.FindColumnNameForField(field_);
return reloadInstrumentHistory();
}
public void BuildStructure(BondAnalysisLine[] bonds_)
{
bondStructureComponentsEditor1.applyStructure(bonds_);
}
public void Dispose()
{
m_instantiation = null;
}
private bool shouldAddToLocalList(BondAnalysisLine line_)
{
return true;
}
public static Tuple<int, int> GetCMTTenorWings(BondAnalysisLine line_)
{
var toMaturity = line_.GetValue(BondField.TimeToMaturity);
for (int i = 1; i < _possibleCMTWingsDbls.Length; ++i)
{
if (_possibleCMTWingsDbls[i] > toMaturity)
{
if (_possibleCMTWingsDbls[i - 1] < toMaturity)
return new Tuple<int, int>(Convert.ToInt32(_possibleCMTWingsDbls[i - 1]),
Convert.ToInt32(_possibleCMTWingsDbls[i]));
break;
}
}
return null;
}
public static BondAnalysisLine[] FindBondFromInputString(string input_)
{
var matches = m_inputStringRegex.Matches(input_.ToUpper());
if (matches.Count == 0)
{
Singleton<CentralEvents>.Instance.FireStatusMessage(string.Format("Couldn't begin to parse '{0}'", input_));
return null;
}
var arr = new BondAnalysisLine[matches.Count];
Singleton<CentralEvents>.Instance.FireStatusMessage(string.Empty);
for(int i=0;i<arr.Length;++i)
{
var match = matches[i];
if (!match.Success)
{
Singleton<CentralEvents>.Instance.FireStatusMessage(string.Format("Couldn't begin to parse '{0}'", match.Value));
continue;
}
var mkt = match.Groups["Market"].Value;
BondMarket market;
if (!Enum.TryParse<BondMarket>(mkt, out market))
continue;
var bondMonth = int.Parse(match.Groups["Month"].Value);
var bondYear = int.Parse(match.Groups["Year"].Value);
if (bondYear < 10) { bondYear += (DateTime.Today.Year - (DateTime.Today.Year % 10)); }
if (bondYear < 2000) { bondYear += 2000; }
var bonds =
CountryBondSource.GetInstance(market)
.Lines.Where(x => x.Maturity.Month == bondMonth && x.Maturity.Year == bondYear);
double? coupon = null;
{
if (match.Groups["Coupon"].Success && !string.IsNullOrEmpty(match.Groups["Coupon"].Value))
coupon = double.Parse(match.Groups["Coupon"].Value);
}
if (coupon.HasValue)
bonds = bonds.Where(x => Math.Abs(x.UnderlyingBond.Coupon - coupon.Value) < 1e-5);
arr[i] = bonds.FirstOrDefault();
if (arr[i] == null)
Singleton<CentralEvents>.Instance.FireStatusMessage(string.Format("Could not find matching bond for '{0}'",
match.Value));
}
return arr;
}
internal void applyStructure(BondAnalysisLine[] result)
{
if (result == null || result.Any(x => x == null))
return;
SetNumberOfComponents((uint)result.Length);
switch (result.Length)
{
case 1:
{
InternalStructure[0].Bond = result[0];
InternalStructure[0].Multiplier = 1d;
}
break;
case 2: // curve
{
InternalStructure[0].Bond = result[0];
InternalStructure[0].Multiplier = StructureWeightings.Curve_Near;
InternalStructure[1].Bond = result[1];
InternalStructure[1].Multiplier = StructureWeightings.Curve_Far;
}
break;
case 3: // butterfly
{
InternalStructure[0].Bond = result[0];
InternalStructure[0].Multiplier = StructureWeightings.Bfly_Wing;
InternalStructure[1].Bond = result[1];
InternalStructure[1].Multiplier = StructureWeightings.Bfly_Belly;
InternalStructure[2].Bond = result[2];
InternalStructure[2].Multiplier = StructureWeightings.Bfly_Wing;
}
break;
case 4:
{
InternalStructure[0].Bond = result[0];
InternalStructure[0].Multiplier = StructureWeightings.Box_1;
InternalStructure[1].Bond = result[1];
InternalStructure[1].Multiplier = StructureWeightings.Box_2;
InternalStructure[2].Bond = result[2];
InternalStructure[2].Multiplier = StructureWeightings.Box_3;
InternalStructure[3].Bond = result[3];
InternalStructure[3].Multiplier = StructureWeightings.Box_4;
}
break;
case 5:
{
for (int i = 0; i < result.Length; ++i)
{
InternalStructure[i].Bond = result[i];
InternalStructure[i].Multiplier = 1d;
}
}
break;
}
OnGoClicked(EventArgs.Empty);
}
private static BondAnalysisLine findBestBond(BondAnalysisLine bellyBond_, DateTime perfectDate_, IEnumerable<BondAnalysisLine> candidates_, BondFlyWeightMode mode_, int unitGap_, MaturityGapUnit unitType_)
{
DateTime fromDate = perfectDate_, toDate = perfectDate_;
switch (mode_)
{
case BondFlyWeightMode.WithinMonthNonWeighted:
{
if (unitType_ == MaturityGapUnit.Years && bellyBond_.TimeToMaturity >= 10)
{
fromDate = perfectDate_.AddYears(-1);
toDate = perfectDate_.AddYears(1);
}
else
{
fromDate = perfectDate_.AddMonths(-1);
toDate = perfectDate_.AddMonths(1);
}
}
break;
case BondFlyWeightMode.WithinAThirdWeighted:
case BondFlyWeightMode.WithinAThirdNonWeighted:
{
if (unitType_ == MaturityGapUnit.Years)
{
fromDate = perfectDate_.AddMonths(-Convert.ToInt32(unitGap_ * 12 / 3));
toDate = perfectDate_.AddMonths(Convert.ToInt32(unitGap_ * 12 / 3));
}
else if (unitType_ == MaturityGapUnit.Months)
{
fromDate = perfectDate_.AddMonths(-Convert.ToInt32(unitGap_/3));
toDate = perfectDate_.AddMonths(Convert.ToInt32(unitGap_/3));
}
}
break;
}
var best2 =
candidates_.Where(
x =>
// within maturity range
x.Maturity >= fromDate && x.Maturity <= toDate &&
// not the belly bond
String.Compare(x.UnderlyingBond.Isin, bellyBond_.UnderlyingBond.Isin, StringComparison.OrdinalIgnoreCase) !=
0)
.Select(x => new {Gap = Math.Abs((perfectDate_ - x.Maturity).TotalDays), Candidate = x})
// ordered by the gap to the perfect date
.OrderBy(x => x.Gap)
.Take(2).ToArray();
if (best2 == null || best2.Length == 0) return null;
if (best2.Length == 1)
return best2[0].Candidate;
// if there are 2 bonds maturing in the same month, then return the lower coupon one
if (best2[0].Candidate.Maturity.Year == best2[1].Candidate.Maturity.Year
&& best2[0].Candidate.Maturity.Month == best2[1].Candidate.Maturity.Month)
{
return best2.OrderBy(x => x.Candidate.UnderlyingBond.Coupon).First().Candidate;
}
return best2[0].Candidate;
}
