public SmoothCurveAndSettingsGroup(FitPhases phases_, CountryBondSource source_, BondField timeToMaturity_, Focus focus_, int recalcNumber_, bool fitOnEvent_=true)
{
m_settings = new SmoothCurveSettings(phases_);
LiveCMT = new CMTLine(source_.Market,focus_);
DateTime thirtyYearsTime = DateTime.Today.AddYears(34);
LiveCalculator = new SmoothCurveCalculator(
cml_: LiveCMT,
cmlStartTenor_: 1,
cmlEndTenor_: 34,
list_: source_.Lines.Where(x => x.Maturity <= thirtyYearsTime).ToList(),
timeToMaturityField_: timeToMaturity_,
valueField_: BondAnalysisLineHelper.GetFieldForFocusAndType(focus_,FieldType.Live),
fittedValueField_: BondAnalysisLineHelper.GetFieldForFocusAndType(focus_,FieldType.FittedLive),
recalcNumber_: recalcNumber_,
updateOnCalcEvent_: fitOnEvent_,
settings_: Settings);
}
public SmoothCurveCalculator(
CMTLine cml_,
int cmlStartTenor_,
int cmlEndTenor_,
IList<BondAnalysisLine> list_,
BondField timeToMaturityField_,
BondField valueField_,
BondField fittedValueField_,
SmoothCurveSettings settings_,
int recalcNumber_,
bool updateOnCalcEvent_=true,
bool updateOnMinusOffsetChange_=false)
{
m_bondList = list_;
m_timeToMaturityField = timeToMaturityField_;
m_valueField = valueField_;
m_fittedValueField = fittedValueField_;
m_settings = settings_;
m_cmlStartTenor = cmlStartTenor_;
m_cmlEndTenor = cmlEndTenor_;
m_fitter = new Symmetry.Analytics.NelsonSiegelFunctions();
m_cml = cml_;
//m_settings.PropertyChanged += (a, b) => RebuildCurve(reReadSetup_: true);
reReadSetup();
m_applyCycleNumber = recalcNumber_;
#if DEBUG
Logger.Debug(string.Format("{0} fit will be generated on cycle {1}", m_cml.Market, m_applyCycleNumber), typeof(SmoothCurveCalculator));
#endif
m_updateOnCalcEvent = updateOnCalcEvent_;
subscribeToCentralEvent();
// if the curve build settings change then want to recalc everything
settings_.PropertyChanged += (a, b) =>
{
Logger.Debug(string.Format("Args changed - recalcing {0} fit", m_valueField), typeof (SmoothCurveCalculator));
RebuildCurveAndApplyResults();
};
if (updateOnMinusOffsetChange_)
{
m_updateOnMinusOffsetChange = true;
GlobalSettings.Instance().PropertyChanged += (a, b) =>
{
if (String.Compare(b.PropertyName, "MinusOffset", StringComparison.OrdinalIgnoreCase) == 0)
{
// this will mean this will get updated on the next cycle
subscribeToCentralEvent(true);
}
};
}
foreach (var bond in m_bondList)
bond.PropertyChanged += (x, y) =>
{
if (String.Compare("IncludeInFit", y.PropertyName, StringComparison.OrdinalIgnoreCase) == 0)
{
RebuildCurve(reReadSetup_: true);
ApplyBuildResults();
}
};
;
}