private static string connDebugText(Product prod, int curveType, int tenorType, DateTime day)
{
return prod.Name + " : " +
CURVE_TYPE.ToString(curveType) + " : " +
TENOR_TYPE.ToString(tenorType) + " : " +
day.ToShortDateString();
}
private SortedDictionary<DateTime, double> DataContainer; // @@@ provide the possiblity to handle this via a numerics interp curve, although really only surfaces
#endregion Fields
#region Constructors
public Curve(Product product, int sourceType, int tenorType)
{
this.MyProduct = product;
this.SourceType = sourceType;
this.TenorType = tenorType;
this.DataContainer = new SortedDictionary<DateTime, double>();
this.MinMarketDate = DateTime.MaxValue;
this.MaxMarketDate = DateTime.MinValue;
}
public CurveReportItem(CurveReport curveRep, DateTime minDate, DateTime maxDate, DateTime singleDate, int curveType)
{
this.ParentCurveReport = curveRep;
this.ParentProduct = DynamicData.Products[curveRep.ProductName];
this.CurveType = curveType;
this.MinDate = minDate;
this.MaxDate = maxDate;
this.SingleDate = singleDate;
this.FLAG_FOR_DELETION = false;
PostConstruct();
}
private Dictionary<int, DateTime> MinDeliveryDates; // <SurfaceType, date>
#endregion Fields
#region Constructors
public VolCurve(Product product, int sourceType, int tenorType, int surfaceType, DateTime deliveryDate)
{
this.MyProduct = product;
this.SourceType = sourceType;
this.TenorType = tenorType;
this.DeliveryDate = deliveryDate;
this.InterpolationType = INTERPOLATION_TYPE.LINEAR; //@@@
this.DataContainer = new SortedDictionary<DateTime, Dictionary<int, SortedDictionary<double, double>>>();
this.MinDeliveryDates = new Dictionary<int, DateTime>();
this.MaxDeliveryDates = new Dictionary<int, DateTime>();
}
//// old DS RequestVolSurface obsolete with MarketDataLoader
//public override VolSurface RequestVolSurface(Product prod, int tenorType, int surfaceType,
// DateTime marketDate, DateTime fromDate, DateTime toDate)
//{
// VolSurface myVolSurface = new VolSurface(prod, SOURCE_TYPE.RWE_DS, tenorType, surfaceType, marketDate);
// SortedDictionary<DateTime, SortedDictionary<double, double>> ret;
// ret = RWE_API.MarketInterface_Wrapper.GetVolDict("DSCharting_Forward", TENOR_TYPE.ToStringDS(tenorType), prod.RWE_DS_Commodity, prod.RWE_DS_Vol_Product,
// marketDate, fromDate, toDate);
// myVolSurface.SetSurface(ret);
// return myVolSurface;
//}
public override Curve RequestCurve(Product prod, int tenorType, int curveType,
DateTime marketDate, DateTime fromDate, DateTime toDate)
{
if (curveType != CURVE_TYPE.FWD_CURVE) throw new NotImplementedException();
Curve myCurve = new Curve(prod, SOURCE_TYPE.RWE_DS, tenorType, marketDate);
SortedDictionary<DateTime, double> ret;
ret = RWE_API.MarketInterface_Wrapper.GetCurveDict("DSCharting_Forward", TENOR_TYPE.ToStringDS(tenorType), prod.RWE_DS_Commodity, prod.RWE_DS_Product,
marketDate, fromDate, toDate);
myCurve.SetCurve(new SortedList<DateTime, double>(ret));
return myCurve;
}
public override SortedDictionary<DateTime, SortedDictionary<double, double>> RequestFWDVolSurface(Product prod, int tenorType, int surfaceType, int dataType, int sourceType, DateTime delDateFrom, DateTime delDateTo, DateTime marketDate)
{
// get csv data
string filePath = Path.Combine(tempVolPath, (prod.Name == "TTF" ? TTFSuffix : NBPSuffix) + marketDate.ToString("yyyy_MM_dd") + ".csv");
List<string[]> parsedData = new List<string[]>();
try
{
using (TextFieldParser parser = new TextFieldParser(filePath))
{
parser.TextFieldType = FieldType.Delimited;
parser.SetDelimiters(",");
while (!parser.EndOfData)
{
parsedData.Add(parser.ReadFields());
}
}
}
catch (Exception e)
{
Debugger.AddDebugLine("CSV: "
+ (prod.Name == "TTF" ? TTFSuffix : NBPSuffix) + marketDate.ToString("yyyy_MM_dd") + ".csv"
+ " : " + e.ToString());
return null;
}
// post processing [old Endur Data: 1lom = current month] this is all very bad @@@
SortedDictionary<DateTime, SortedDictionary<double, double>> vol = new SortedDictionary<DateTime, SortedDictionary<double, double>>();
string[] runArray = parsedData.First();
int maxCol = runArray.Contains("1cd") ? Array.FindIndex(runArray, w => w == "1cd") : runArray.GetUpperBound(0);
DateTime delDate;
int iRow = 3;
foreach (var item in parsedData.Skip(3)) // skip strikes, cod, 1lom
{
TradingCenter.TCTenorSelector(marketDate, TENOR_TYPE.MONTH, 4 - iRow);
delDate = TradingCenter.TCTenorSelector(marketDate, TENOR_TYPE.MONTH, 4 - iRow);
vol.Add(delDate, new SortedDictionary<double, double>());
for (int k = 1; k <= maxCol; k++)
{
vol[delDate].Add(Double.Parse(runArray[k], System.Globalization.NumberStyles.Float),
double.Parse(item[k]));
}
iRow++;
}
return vol;
}
private string CreateObjectName(Product prod, int tenorType, int surfaceType, int dataType, int sourceType, DateTime delDate)
{
string surfaceTypeSuffix = null;
string sourceTypeSuffix = null;
string stripBulletSuffix = null;
string tenorSuffix = null;
string commSuffix = null;
string prodSuffix = null;
switch (surfaceType)
{
case SURFACE_TYPE.MONEYNESS: surfaceTypeSuffix = "_MNS"; break;
case SURFACE_TYPE.DELTA: surfaceTypeSuffix = "_DEL"; break;
default: throw new NotImplementedException();
}
switch (sourceType)
{
case SOURCE_TYPE.RWE: sourceTypeSuffix = "IMPL_VOL"; break;
case SOURCE_TYPE.EXCH: sourceTypeSuffix = "EXCH-VOL"; break;
}
stripBulletSuffix = "_BULLET"; // calculate strips yourself
switch (tenorType)
{
case TENOR_TYPE.MONTH: tenorSuffix = "_M_" + delDate.ToString("MMMyy").ToUpper(); break;
case TENOR_TYPE.QUARTER:
int qrt = ((int)TradingCenter.TCTenorSelector(delDate, tenorType).Month / 3) + 1;
tenorSuffix = "_Q_" + qrt + "Q" + delDate.ToString("yy");
break;
case TENOR_TYPE.SEASON: tenorSuffix = "_S_" + (delDate.Month == 4 ? "SUM" : "WIN") + delDate.ToString("yy"); break;
}
switch(prod.Commodity.ToUpper())
{
case "GAS": commSuffix = "_GAS"; break;
}
prodSuffix = "_" + prod.Name.ToUpper() + "_NATGAS";
// map products , i.e. api2... @@@
return @"LOCAL/" + sourceTypeSuffix + commSuffix + prodSuffix + tenorSuffix + surfaceTypeSuffix + stripBulletSuffix;
}
public override VolSurface RequestVolSurface(Product prod, int tenorType, int surfaceType,
DateTime marketDate, DateTime fromDate, DateTime toDate)
{
VolSurface myVolSurface = new VolSurface(prod, SOURCE_TYPE.RWE_DS, tenorType, surfaceType, marketDate);
object[,] vol_raw = RWE_API.MarketDataLoader_Wrapper.GetVolGrid("iVol_NG_" + prod.Name + "_P_" + (tenorType == TENOR_TYPE.DAY? "D" : "M"),
marketDate, fromDate, toDate);
// convert object[,] to SortedDict
DateTime delDate;
SortedDictionary<DateTime, SortedDictionary<double, double>> vol = new SortedDictionary<DateTime, SortedDictionary<double, double>>();
for (int i = 1; i < vol_raw.GetLength(0); i++)
{
delDate = (DateTime)vol_raw[i,0];
vol.Add(delDate, new SortedDictionary<double,double>());
for (int j = 1; j < vol_raw.GetLength(1); j++)
{
vol[delDate].Add((double)vol_raw[0, j], (double)vol_raw[i, j]);
}
}
myVolSurface.SetSurface(vol);
return myVolSurface;
}
public override SortedDictionary<DateTime, SortedDictionary<double, double>> RequestDEVLPVolSurface(Product prod, int tenorType, int surfaceType, int dataType, int sourceType, DateTime delDate, DateTime marketDateFrom, DateTime marketDateTo)
{
string finalName = CreateObjectName(prod, tenorType, surfaceType, dataType, sourceType, delDate);
return RWE_API.FinCacheLoader.GetSurface(CacheDir, finalName, finalName, marketDateFrom, marketDateTo);
}
public override SortedDictionary<DateTime, SortedDictionary<double, double>> RequestFWDVolSurface(Product prod, int tenorType, int surfaceType, int dataType, int sourceType, DateTime delDateFrom, DateTime delDateTo, DateTime marketDate)
{
throw new NotImplementedException();
}
public override SortedDictionary<DateTime, double> RequestFWDCurve(Product prod, int tenorType, int dataType, int sourceType, DateTime delDateFrom, DateTime delDateTo, DateTime marketDate)
{
SortedDictionary<DateTime, double> ret;
ret = RWE_API.MarketInterface_Wrapper.GetCurveDict("DSCharting_Forward", TENOR_TYPE.ToStringDS(tenorType), prod.RWE_DS_Commodity, tenorType == TENOR_TYPE.DAY? prod.RWE_DS_Product_Daily : prod.RWE_DS_Product,
marketDate, delDateFrom, delDateTo);
if (ret.Count == 0)
{
Debugger.AddDebugLine("Sequence contains no elements");
return null;
}
return ret;
}
public override SortedDictionary<DateTime, SortedDictionary<double, double>> RequestFWDVolSurface(Product prod, int tenorType, int surfaceType, int dataType, int sourceType, DateTime delDateFrom, DateTime delDateTo, DateTime marketDate)
{
object[,] vol_raw = RWE_API.MarketDataLoader_Wrapper.GetVolGrid("iVol_NG_" + prod.Name + "_P_" + (tenorType == TENOR_TYPE.DAY ? "D" : "M"), marketDate, delDateFrom, delDateTo);
if (vol_raw.GetUpperBound(0) == 0 && vol_raw.GetUpperBound(1) == 0)
{
if (vol_raw[0, 0].ToString().Contains("Sequence contains no elements")) ;
{
Debugger.AddDebugLine(vol_raw[0, 0].ToString());
return null;
}
throw new ArgumentException(vol_raw[0, 0].ToString());
}
// convert object[,] to SortedDict
DateTime delDate;
SortedDictionary<DateTime, SortedDictionary<double, double>> vol = new SortedDictionary<DateTime, SortedDictionary<double, double>>();
for (int i = 1; i < vol_raw.GetLength(0); i++)
{
delDate = (DateTime)vol_raw[i, 0];
vol.Add(delDate, new SortedDictionary<double, double>());
for (int j = 1; j < vol_raw.GetLength(1); j++)
{
vol[delDate].Add((double)vol_raw[0, j], (double)vol_raw[i, j]);
}
}
return vol;
}
public SortedList<DateTime, double> GetFwdCurve(Product prod, int sourceType, int tenorType, DateTime delDateFrom, DateTime delDateTo, DateTime marketDate)
{
return prod.ReturnCurveSeries(sourceType).GetFwdCurve(tenorType, delDateFrom, delDateTo, marketDate);
}
// @@@ why 'object' for strikeParam, should this not only be double?
private static KeyValuePair<int, double> OptSurfaceInput(Product prod, object surfaceType, object strikeParam)
{
int k;
if (surfaceType is ExcelDna.Integration.ExcelMissing)
{
k = prod.DefaultVolSurfaceType;
}
else if (int.TryParse((String)surfaceType, out k))
{
// nothign to do
// @@@ very ugly, how to improve?
}
else
{
k = SURFACE_TYPE.ToInt((String)surfaceType);
}
//k = surfaceType is ExcelDna.Integration.ExcelMissing? prod.DefaultVolSurfaceType : Convert.ToInt32(surfaceType);
return new KeyValuePair<int, double>(k, strikeParam is ExcelDna.Integration.ExcelMissing? SURFACE_TYPE.GetDefaultStrikeParam(k) : Convert.ToDouble(strikeParam));
}
public SortedList<DateTime, double> GetFwdCurveFromDates(Product prod, int sourceType, int tenorType, List<DateTime> delDateArr, DateTime marketDate)
{
return prod.ReturnCurveSeries(sourceType).GetFwdCurveFromDates(tenorType, delDateArr, marketDate);
}
/* delivery date is optional (omitted for for GRAN_TYPE == SPOT) */
public Curve(Product product, int sourceType, int tenorType, DateTime deliveryDate)
: this(product, sourceType, tenorType)
{
this.DeliveryDate = deliveryDate;
}
public override VolSurface RequestVolSurface(Product prod, int tenorType, int surfaceType, DateTime marketDate, DateTime fromDate, DateTime toDate)
{
throw new NotImplementedException();
}
public Dictionary<int, Dictionary<DateTime, Curve>> DataContainer; // <tenorType, <DeliveryStart, Curve>>
#endregion Fields
#region Constructors
public CurveSeries(Product myProduct, int sourceType)
{
this.DataContainer = new Dictionary<int, Dictionary<DateTime, Curve>>();
this.MyProduct = myProduct;
this.SourceType = sourceType;
}
public static SortedList<DateTime, double> GetDevlpCurveFromDates(Product prod, int sourceType, int tenorType, DateTime delDate, List<DateTime> marketDateArr)
{
return prod.ReturnCurveSeries(sourceType).GetDevlpCurveFromDates(tenorType, delDate, marketDateArr);
}
public static double GetValue(Product prod, int sourceType, int tenorType, DateTime delStart, DateTime marketDate)
{
return prod.ReturnCurveSeries(sourceType).GetValue(tenorType, delStart, marketDate);
}
public void PostConstruct()
{
MyProduct = DynamicData.GetProduct(ProductName);
SplitTradelets();
}
public override SortedDictionary<DateTime, double> RequestDEVLPCurve(Product prod, int tenorType, int dataType, int sourceType, DateTime delDate, DateTime marketDateFrom, DateTime marketDateTo)
{
throw new NotImplementedException();
}
public override Curve RequestCurve(Product prod, int tenorType, int curveType, DateTime marketDate, DateTime fromDate, DateTime toDate)
{
throw new NotImplementedException();
}