public static ConstructGen<double> TestOnCT()
{
var str = KnownStructure.US_WN;
var comps = new[]
{
new ChartComponent(),
new ChartComponent(),
new ChartComponent(),
};
var bondsRollMonthly = Generator.Go(cashBondRollOption_: Generator.CashBondRolling.Monthly);
var spreadsRollMonthly = new Dictionary<BondCurves, List<CTDLine<BondSpreads>>>();
spreadsRollMonthly[BondCurves.USD3mLibor] = Generator.GetSpreads(bondsRollMonthly, BondCurves.USD3mLibor, Generator.CashBondRolling.Monthly);
var cdRollMonthly = new ChartDataSource(comps, spreadsRollMonthly, bondsRollMonthly);
var impl = StructureFactory.GetStructure(str);
impl.Configure(comps);
var data = cdRollMonthly.GetData().SmoothedData.GetEndValues(650);
var con = new ConstructGen<double>(1);
con.SetColumnValues(0, data);
return con;
}
public void Create(IDictionary<BondCurves,List<CTDLine<BondSpreads>>> spreads_, List<CTDLine<Bond>> bonds_)
{
m_editors = new[]
{
this.chartComp1,
this.chartComp2,
this.chartComp3
};
Array.ForEach(m_editors, (x) => x.Create());
m_data = new ChartDataSource(m_editors.Select(x => x.Component).ToArray(), spreads_, bonds_);
cbHandleRoll.DataBindings.Add("Checked", m_data, "SmoothRolling", false, DataSourceUpdateMode.OnPropertyChanged);
}
public HistSeriesChartViewModel()
{
var rollsetting = new RollSettings {DataSource = RollDataSource.CarbonLive};
futureRollCache = new FutureRollCache(rollsetting); // we use carbon live for this.
futureContracts = FutureContractsFactory.CreateFutureContracts();
var task = new Task(() =>
{
try
{
var bonds = Generator.Go(Generator.CashBondRolling.Monthly);
var dictionary = new Dictionary<BondCurves, List<CTDLine<BondSpreads>>>
{
{BondCurves.USD3mLibor, Generator.GetSpreads(bonds, BondCurves.USD3mLibor)}
};
m_cd = new ChartDataSource(chartComponents_: new[]
{
new ChartComponent(),
new ChartComponent(),
new ChartComponent()
},
bonds_: bonds,
spreads_: dictionary
);
// subscribe to live curve and live bonds
m_live = new LiveDataModel(bonds.Last());
}
catch (Exception ex_)
{
Logger.Error("Error building CTD data for seasonality application", typeof(HistSeriesChartViewModel), ex_);
}
});
task.ContinueWith( t =>
{
// hook up carbon and live data result
m_live.SubscribeForLiveCurveAndBondPrices();
});
task.ContinueWith(t => m_live.BondSpreadModel().BondSpreadResultObservable().Where(b => b != null)
.ObserveOn(SynchronizationContext.Current)
.Subscribe(LiveChartUpdate), TaskScheduler.FromCurrentSynchronizationContext());
task.Start();
}
public void Create()
{
if (m_args != null) return;
var task = new Task(() =>
{
try
{
var bonds = Generator.Go(Generator.CashBondRolling.Monthly);
var dictionary = new Dictionary<BondCurves, List<CTDLine<BondSpreads>>>
{
{BondCurves.USD3mLibor, Generator.GetSpreads(bonds, BondCurves.USD3mLibor)}
};
m_cd = new ChartDataSource(chartComponents_: new[]
{
new ChartComponent(),
new ChartComponent(),
new ChartComponent()
},
bonds_: bonds,
spreads_: dictionary
);
}
catch (Exception ex_)
{
Logger.Error("Error building CTD data for seasonality application", typeof(CTSeasonalityComponent), ex_);
}
});
m_args = new Args();
boundComboBox1.AddItems(typeof(KnownStructure), true);
boundComboBox1.Bind(m_args, "KnownStructure", new Validators.EnumDescValidator(KnownStructure.Basis10Y));
//lblEquation.Bind(m_args, "StructureEquation", null);
TextBoxEquation.Bind(m_args, "StructureEquation", null);
task.Start();
}
override public void Create()
{
base.Create();
var structures = new[]
{
KnownStructure.Basis5Y,
KnownStructure.Basis7Y,
KnownStructure.Basis10Y,
KnownStructure.Basis30Y,
KnownStructure.FV_3s,
KnownStructure.TU_3s,
KnownStructure.TY_US,
KnownStructure.US_WN,
KnownStructure.USASWFLY,
KnownStructure.TYASWFLY
};
var task = new Task(() =>
{
try
{
var bonds = Generator.Go(Generator.CashBondRolling.Monthly);
var dictionary = new Dictionary<BondCurves, List<CTDLine<BondSpreads>>>
{
{BondCurves.USD3mLibor, Generator.GetSpreads(bonds, BondCurves.USD3mLibor)}
};
m_cd = new ChartDataSource(chartComponents_: new[]
{
new ChartComponent(),
new ChartComponent(),
new ChartComponent()
},
bonds_: bonds,
spreads_: dictionary
);
}
catch (Exception ex_)
{
Logger.Error("Error building CTD data for seasonality application", typeof(CTSeasonalityComponent), ex_);
}
});
foreach (var s in structures)
{
var button = new StructureButton(s);
flowLayoutPanel1.Controls.Add(button);
button.Click += (a_, b_) =>
{
var b = (StructureButton)a_;
try
{
if (m_cd == null)
{
displayMessage("Data is still being put together. Please try again in a sec.", "Data building...",
MessageBoxIcon.Information);
return;
}
var eventARgs = GiveMeEvents();
if (!canProcessArgs(eventARgs))
return;
var o = Structures.StructureFactory.GetStructure(b.Structure);
o.Configure(m_cd.Components);
var data = m_cd.GetData();
var list = new List<SeasonalityAnalysis.DataAroundEvent>();
foreach (var v in eventARgs.Events)
{
list.Add(new SeasonalityAnalysis.DataAroundEvent(eventDate_: v.Date.Date, instrument_: o,
data_: data.SmoothedData, numPointsAroundEvent_: eventARgs.NumberOfPointsAroundEvent, eventCode_: v.SourceEvent.EventCode));
}
OnDataAroundEventsGenerated(new SeasonalityAnalysis.DataAroundEVentsGeneratedData()
{
DataAroundEvents = list.ToArray()
});
}
catch (Exception ex_)
{
Logger.Error("Error", typeof(CTSeasonalityComponent), ex_);
}
};
}
task.Start();
}
