//------------------------------------------------------------------------------------------------
public SpreadSeriesBuilder(string metric, FuturesSeriesBuilder rawfuturesBuilder, SwapCurveSeriesBuilder swapBuilder,
Dictionary<string, TimeSeriesBondStatic> bondStatics, SpreadConventions conventions, List<DateTime> holidays=null)
//------------------------------------------------------------------------------------------------
{
if (holidays == null)
{
holidays = new List<DateTime>();
}
// Setup Everything
var futuresBuilder = new FuturesSeriesBuilder(rawfuturesBuilder); //use copy constructor
FuturesPrices = futuresBuilder.RawFuturesPrices;
FuturesStatic = futuresBuilder.FuturesStatic;
BondStatic = bondStatics;
CombinedStatic = SpreadSeriesBuilder.combineFuturesAndBondStatic(BondStatic, FuturesStatic);
if (conventions.bForecastCurve)
{
ForecastCurves = swapBuilder.ForecastCurves;
DiscountCurves = swapBuilder.DiscountCurves;
}
else
{
ForecastCurves = swapBuilder.DiscountCurves;
DiscountCurves = swapBuilder.DiscountCurves;
}
SpreadMetric_ = metric;
Conv_ = conventions;
Holidays_ = holidays;
var rawSpreads = computeFuturesSpreads();
// Now use this to get rolling futures too
futuresBuilder.RawFuturesPrices = rawSpreads;
futuresBuilder.interpolateRawPriceFrame();
SpreadValues = futuresBuilder.getCombinedResults();
FuturesBuilder_ = futuresBuilder;
}
//------------------------------------------------------------------------------------------------
// Copy constructor
public FuturesSeriesBuilder(FuturesSeriesBuilder copy2clone)
//------------------------------------------------------------------------------------------------
{
// Copy constructor
carbonEnv_ = copy2clone.carbonEnv_;
futuresStaticMoniker_ = copy2clone.futuresStaticMoniker_;
startDate_ = copy2clone.startDate_;
endDate_ = copy2clone.endDate_;
dateRange_ = copy2clone.dateRange_;
holidays_ = copy2clone.holidays_;
rollMethod_ = copy2clone.rollMethod_;
inputTickers_ = copy2clone.inputTickers_;
contractTickers_ = copy2clone.contractTickers_;
RollingContractSpecs_ = copy2clone.RollingContractSpecs_;
ContractMonthLookupTable_ = copy2clone.ContractMonthLookupTable_;
interpType_ = copy2clone.interpType_;
contractSortOrder_ = copy2clone.contractSortOrder_;
smoothingType_ = copy2clone.smoothingType_;
FuturesStatic = copy2clone.FuturesStatic == null ? null : copy2clone.FuturesStatic.Clone();
RawFuturesPrices = copy2clone.RawFuturesPrices == null? null: copy2clone.RawFuturesPrices.Clone();
RollingFuturesData = copy2clone.RollingFuturesData == null? null: copy2clone.RollingFuturesData.Clone();
}
//-----------------------------------------------------------------------------------
// function to return carry adjusted smooth series, together with Bond ISIN, series price, convfac
public static Frame<DateTime, String> GenerateCarryAdjSeries(
string ticker,
DateTime start,
DateTime end,
string countryCode,
ICarbonClient client = null
)
//-----------------------------------------------------------------------------------
{
//variables used for futureSeriesBuilder
var eRollMethod = TimeSeriesUtilities.GetRollMethods("FirstNoticeDate");
var eInterpolationTypes = TimeSeriesUtilities.GetInterpolationType("None");
var eSmoothingTypes = TimeSeriesUtilities.GetSmoothingTypes("None");
#region Configs
SpreadTimeSeriesConfigs config = new SpreadTimeSeriesConfigs(countryCode, false);
string ccy = config.ccy;
string calendarCode = config.calendarcode;
string futuresStaticMoniker = config.futuresStaticMoniker;
string carbonEnv = config.carbonEnv;
BondAnalytics.Country country = config.country;
BondAnalytics.DayCountType dct = config.dct;
List<string> contractSortOrder = config.contractSortOrder;
List<DateTime> holidays = TimeSeriesUtilities.GetHolidays(calendarCode, client);
#endregion
// in rolling series US is following calendar of USGS rather than USNY
var dateRange = TimeSeriesUtilities.GetAllDatesInDateime(start, end, countryCode.ToUpper() == "US" ? "USGS" : calendarCode, client, "1b");
//Get Rolling Series
HashSet<string> futuresList = new HashSet<string> { "TU", "FV", "TY", "UXY", "US", "WN", "DU", "OE", "RX", "UB", "IK", "BTS", "OAT" };
bool tickerIsFuture = futuresList.Contains(ticker);
bool isCT = ticker.ToUpper().Contains("CT");
var rollType = isCT ? "ct" : "ctd";
string moniker = string.Format("symapp.roll.{0}.{1}.{2}", rollType, ticker.Market(), ticker).ToLower();
string fmoniker;
// Carbon frame //
var frame = client.GetFrameAsync<DateTime>(moniker).Result;
if (!frame.ColumnKeys.Contains("price")) return null;// need better null value checker here
Series<DateTime, string> bondISIN = null;
Series<DateTime, double> bondPrice = null;
Dictionary<DateTime, string> futureTicker = new Dictionary<DateTime, string>();
Dictionary<DateTime, double> convFac = new Dictionary<DateTime, double>();
Dictionary<DateTime, double> futurePrice = new Dictionary<DateTime, double>();
Dictionary<DateTime, double> smoothSeries = new Dictionary<DateTime, double>();
Series<DateTime, double> futureConvertedPrice = null;
//Repo series and carry series
Dictionary<DateTime, double> repoSeries = new Dictionary<DateTime, double>();
Dictionary<DateTime, double> carrySeries = new Dictionary<DateTime, double>();
//DV01 series (Future DV01 = CTD DV01/ConvFac; CT DV01 = Bond DV01)
Dictionary<DateTime, double> DV01Series = new Dictionary<DateTime, double>();
//Variables needed for futures
Frame<string, string> combinedStatic = null;
int RowNum = 0;
try
{
bondISIN = frame.GetColumn<string>("ticker").Between(start, end);//Need check on sorted by date
bondPrice = frame.GetColumn<double>("price").Between(start, end);
}
catch (Exception)
{
//Error handling
}
//Future tickers and Future Price as well as conversion factors
if (tickerIsFuture)
{
fmoniker = string.Format("symapp.roll.{0}.{1}.{2}", "f" + rollType, ticker.Market(), ticker).ToLower();
frame = client.GetFrameAsync<DateTime>(fmoniker).Result;
if (!frame.ColumnIndex.KeySequence.Contains("price")) return null;//need better null value checker here
try
{
futureConvertedPrice = frame.GetColumn<double>("price").Between(start, end).Sort();
}
catch (Exception)
{
//Error handling
}
//Get the future static table
//Futures
List<string> tickers = new List<string>();
tickers.Add(ticker.ToUpper() + ".Front");
FuturesSeriesBuilder
seriesBuilder = new FuturesSeriesBuilder(tickers, dateRange, holidays, futuresStaticMoniker, client, carbonEnv, rollMthd: eRollMethod, interpType: eInterpolationTypes, contractSortOrder: config.contractSortOrder, smoothingType: eSmoothingTypes);
var futStatic = seriesBuilder.FuturesStatic;
//Bond Static
Dictionary<String, TimeSeriesBondStatic> bndStatics = TimeSeriesUtilities.GetBondStaticsFromFuturesBuilder(seriesBuilder, config, client);
combinedStatic = SpreadSeriesBuilder.combineFuturesAndBondStatic(bndStatics, futStatic);
RowNum = combinedStatic.RowCount;
}
double futureConvertedPx = 0.0;
double lastRepo = 0.0;
double fwdPrice = 0.0;
object dailyRepo = null;
bool bHaveEverthing = true;
DateTime prevD8 = DateTime.MinValue;
//loop through each date to find the corresponding future ticker and conversion factors
// and add repo and carry for bond series
// can we get the sorted key list
#region buildSeries
foreach (DateTime d8 in bondISIN.Keys.OfType<DateTime>())
{
// DV01Series
string currBondISIN = bondISIN.TryGet(d8).Value;
Double bondDV01 = 0.0;
DateTime settleDate = d8;
var currBondStatic = AnalyticsUtilities.GetBondStaticData(client, currBondISIN);
if (currBondStatic == null)
{
bHaveEverthing = false;
DV01Series.Add(d8, 0.0);//Need better handling on empty bond static
}
else
{
if (config.bondSettleLag > 0)
{
settleDate = BondAnalytics.NextBusDay(settleDate.AddDays(1), holidays);
}
if (config.bondSettleLag > 1)
{
settleDate = BondAnalytics.NextBusDay(settleDate.AddDays(1), holidays);
}
bondDV01 = BondAnalytics.SolveYield(country, settleDate, bondPrice.TryGet(d8).Value, currBondStatic.EffectiveDate, currBondStatic.FirstCouponDate,
currBondStatic.MaturityDate, currBondStatic.Coupon, currBondStatic.CpnFreq)[1];
DV01Series.Add(d8, bondDV01);
}
if (tickerIsFuture)
{
//Need gaurantee that the table is sorted
int i = 0;
while (combinedStatic.GetColumn<DateTime>("fut_notice_first").GetAt(i) <= d8 && i < RowNum)
{
i++;
}
if (i == RowNum)
{
futureTicker.Add(d8, string.Empty);
convFac.Add(d8, double.NaN);
futurePrice.Add(d8, double.NaN);
}
else
{
futureTicker.Add(d8, combinedStatic.GetColumn<string>("ticker").GetAt(i));
convFac.Add(d8, combinedStatic.GetColumn<double>("fut_cnvs_factor").GetAt(i));
futureConvertedPx = futureConvertedPrice.TryGet(d8).Value;
futurePrice.Add(d8, futureConvertedPx / combinedStatic.GetColumn<double>("fut_cnvs_factor").GetAt(i));
//update CTD DV01 to be future DV01
DV01Series[d8] = DV01Series[d8] / combinedStatic.GetColumn<double>("fut_cnvs_factor").GetAt(i);
}
//Add SmoothSeries
if (prevD8 == DateTime.MinValue)
{
smoothSeries.Add(d8, futurePrice[d8]);
}
else
{
//check if there is ticker change
if (futureTicker[d8] == futureTicker[prevD8])
{
smoothSeries.Add(d8, smoothSeries[prevD8] + futurePrice[d8] - futurePrice[prevD8]);
}
else
{
//find the old future price on current date
string oldFutureTicker = futureTicker[prevD8];
string full_ticker = oldFutureTicker + " COMDTY";
var oldFuturePrice = client.GetCbnTimeSeriesDataCell(full_ticker, "eod", d8, "settle");
if (oldFuturePrice == null)
{
full_ticker = AnalyticsUtilities.GetAlternativeFuturesName(full_ticker);
oldFuturePrice = client.GetCbnTimeSeriesDataCell(full_ticker, "eod", d8, "settle");
}
//Otherwise report error: assume no price change a good way?
if (oldFuturePrice == null) oldFuturePrice = futurePrice[prevD8];
smoothSeries.Add(d8, smoothSeries[prevD8] + (oldFuturePrice as double? ?? double.NaN) - futurePrice[prevD8]);// potential problem if current res is NaN, all following value would be NaN
}
}
}
else
{
//repo and carry series for bond
try
{
dailyRepo = client.GetCbnTimeSeriesDataCell(currBondISIN, "eod-mlp", d8, "wtdRate");
// repoSeries.Add(d8, dailyRepo as double?);
}
catch
{
//Missing Data
//need to convert it
}
lastRepo = (dailyRepo as double?) ?? lastRepo;
repoSeries.Add(d8, lastRepo);
//need bond static info
if (currBondStatic == null)
{
bHaveEverthing = false;
carrySeries.Add(d8, 0.0);//Need better handling for missing bond static
smoothSeries.Add(d8, 0.0);//Need better handling for missing bond static
}
else
{
//calculate one-day fwdPrice
//Current next business day function doesn't handle number of days so get settleDate the hard way.
//one day carry
DateTime fwdDate = settleDate;
fwdDate = BondAnalytics.NextBusDay(fwdDate.AddDays(1), holidays);
if (fwdDate <= settleDate)
{
//error handling here : fwdDate must be bigger than settleDate
}
fwdPrice = BondAnalytics.CalcBondFwd(country, settleDate, bondPrice.TryGet(d8).Value, currBondStatic.EffectiveDate, currBondStatic.FirstCouponDate, currBondStatic.MaturityDate,
currBondStatic.Coupon, currBondStatic.CpnFreq, fwdDate, lastRepo)[0];
carrySeries.Add(d8, bondPrice.TryGet(d8).Value - fwdPrice);
//Smooth series for bond
if (prevD8 == DateTime.MinValue)
{
smoothSeries.Add(d8, bondPrice.TryGet(d8).Value);//assume no carry added on day 1
}
else
{
if (bondISIN.TryGet(prevD8).Value == bondISIN.TryGet(d8).Value)
{
//no change in series
smoothSeries.Add(d8, smoothSeries[prevD8] + bondPrice.TryGet(d8).Value - bondPrice.TryGet(prevD8).Value);
}
else
{
string oldBondISIN = bondISIN.TryGet(prevD8).Value;
var oldBondPrice = client.GetCbnTimeSeriesDataCell(oldBondISIN, "eod-mlp", d8, "close");
if (oldBondPrice == null) oldBondPrice = bondPrice.TryGet(prevD8).Value;// May need better way to handle this error
smoothSeries.Add(d8, smoothSeries[prevD8] + (oldBondPrice as double? ?? double.NaN) - bondPrice.TryGet(prevD8).Value);
}
}
}
}
//update prevD8
prevD8 = d8;
}
#endregion
//Sort the dictionary and package into frame for output
if (tickerIsFuture)
{
//building using dictionary
Dictionary<string, Series<DateTime, string>> resHolder = new Dictionary<string, Series<DateTime, string>>();
resHolder["futureTicker"] = futureTicker.ToSeries();
var res = Frame.FromColumns(resHolder);
res.AddColumn("futruePrice", futurePrice.ToSeries());
res.AddColumn("CTD_ISIN", bondISIN);
res.AddColumn("ConvFac", convFac.ToSeries());
res.AddColumn("DV01", DV01Series.ToSeries());
res.AddColumn("smoothSeries", smoothSeries.ToSeries());
res.SortRowsByKey();
return res;
}
else
{
//if bond
Dictionary<string, Series<DateTime, string>> resHolder = new Dictionary<string, Series<DateTime, string>>();
resHolder["BondISIN"] = bondISIN;
var res = Frame.FromColumns(resHolder);
res.AddColumn("BondPrice", bondPrice);
res.AddColumn("repo", repoSeries.ToSeries());
res.AddColumn("carry", carrySeries.ToSeries());
res.AddColumn("DV01", DV01Series.ToSeries());
res.AddColumn("smoothSeries", smoothSeries.ToSeries());
res.SortRowsByKey();
return res;
}
}
//----------------------------------------------------------------------------------------
public static Frame<DateTime, String> GenerateInvoiceSpreadTRS(
List<string> tickers,
DateTime start,
DateTime end,
string countryCode,
string pnlType = "InvoiceSpread",
bool bCumulative = true,
bool bOIS = true,
string samplingFreq= "1b",
string rollMethod = "FirstNoticeDate",
string holcal = "",
double notional = double.NaN,
ICarbonClient client = null)
//----------------------------------------------------------------------------------------
{
var eRollMethod = TimeSeriesUtilities.GetRollMethods(rollMethod);
var eInterpolationTypes = TimeSeriesUtilities.GetInterpolationType("None");
var eSmoothingTypes = TimeSeriesUtilities.GetSmoothingTypes("None"); // Don't smooth, doesn't make sense for PnL
bool bForecastCurve = !bOIS;
/* CARBON REQUIRES UTC TIME - MODIFY DATES TO ACCOMODATE */
start = new DateTime(start.Year, start.Month, start.Day, 0, 0, 0, DateTimeKind.Utc);
end = new DateTime(end.Year, end.Month, end.Day, 0, 0, 0, DateTimeKind.Utc);
#region cache
string all_tickers = ";";
foreach (var s in tickers) all_tickers += s;
string cacheKey = "GenerateInvoiceSpread" + tickers.ToString() + start.ToString() + end.ToString() +
countryCode + pnlType + bCumulative.ToString() + bOIS.ToString() + samplingFreq +
rollMethod + holcal + notional.ToString();
if (TimeSeriesCache.ContainsKey(cacheKey))
{
return TimeSeriesCache[cacheKey];
}
#endregion
if (client == null)
{
throw new ArgumentException("No Carbon Client!");
}
#region MeasureSetup
string swapMeasure = "";
string futMeasure = "";
string ratio = "";
bool bDefaultNoCumulative = false;
switch (pnlType)
{
case "InvoiceSpread":
if (double.IsNaN(notional)) // work in DV01 terms
{
swapMeasure = "SwapPnlDV01Adj";
futMeasure = "FuturesPnlDV01Adj";
}
else
{
swapMeasure = "SwapPnl";
futMeasure = "FuturesPnl";
//ratio = "SpreadHedgeRatio"; // required to construct the correct pnl
}
break;
case "Futures":
if (double.IsNaN(notional)) // work in DV01 terms
{
swapMeasure = "";
futMeasure = "FuturesPnlDV01Adj";
}
else
{
swapMeasure = "";
futMeasure = "FuturesPnl";
}
break;
case "MMS":
if (double.IsNaN(notional)) // work in DV01 terms
{
swapMeasure = "SwapPnlDV01Adj";
futMeasure = "";
}
else
{
swapMeasure = "SwapPnl";
futMeasure = "";
}
break;
case "MMSDV01":
swapMeasure = "MMSDV01";
futMeasure = "";
bDefaultNoCumulative = true;
break;
case "FuturesDV01":
swapMeasure = "FuturesDV01";
futMeasure = "";
bDefaultNoCumulative = true;
break;
case "HedgeRatio":
swapMeasure = "SpreadHedgeRatio";
futMeasure = "";
bDefaultNoCumulative = true;
break;
default:
throw new ArgumentException("");
}
#endregion
#region Configs
SpreadTimeSeriesConfigs config = new SpreadTimeSeriesConfigs(countryCode, !bOIS);
string ccy = config.ccy;
string calendarcode = (holcal != "") ? holcal : config.calendarcode;
string futuresStaticMoniker = config.futuresStaticMoniker;
string carbonEnv = config.carbonEnv;
BondAnalytics.Country country = config.country;
BondAnalytics.DayCountType dct = config.dct;
long swpfixfreq = config.swpfixfreq;
long swpfloatfreq = config.swpfloatfreq;
long bndCouponFreq = config.bndCouponFreq;
int BlendIndex = config.BlendIndex;
string symForecastCurveName = config.SymForecastCurveName;
string symDiscountCurveName = config.SymDiscountCurveName;
List<string> contractSortOrder = config.contractSortOrder;
List<DateTime> holidays = TimeSeriesUtilities.GetHolidays(calendarcode, client);
#endregion
var dateRange = TimeSeriesUtilities.GetAllDatesInDateime(start, end, calendarcode, client, samplingFreq);
// Spread Static.
SpreadConventions
spreadconventions = new SpreadConventions(country, dct, swpfixfreq, swpfloatfreq, bndCouponFreq, bForecastCurve, BlendIndex);
// Futures.
FuturesSeriesBuilder
seriesBuilder = new FuturesSeriesBuilder(tickers, dateRange, holidays, futuresStaticMoniker, client, carbonEnv, rollMthd: eRollMethod, interpType: eInterpolationTypes, contractSortOrder: contractSortOrder, smoothingType: eSmoothingTypes);
// Bond Static
var bndStatics = TimeSeriesUtilities.GetBondStaticsFromFuturesBuilder(seriesBuilder, config, client);
// Swap Curves
var curves = TimeSeriesUtilities.GetCurvesFromCarbon(dateRange, ccy, client);
if (curves == null || bndStatics == null) return null;
var forecastCurves = curves.Item1;
var discountCurves = curves.Item2;
SwapCurveSeriesBuilder
swapBuilder = new SwapCurveSeriesBuilder(dateRange, symForecastCurveName, symDiscountCurveName, ccy, holidays, forecastCurves, discountCurves, client);
// Generate Pnls
Frame<DateTime,string> swapPnl = null;
Frame<DateTime, string> futPnl = null;
if (swapMeasure != "")
{
SpreadSeriesBuilder swapPnlBuilder = new SpreadSeriesBuilder(swapMeasure, seriesBuilder, swapBuilder,
bndStatics, spreadconventions, holidays);
swapPnl = swapPnlBuilder.SpreadValues;
}
if (futMeasure != "")
{
SpreadSeriesBuilder futPnlBuilder = new SpreadSeriesBuilder(futMeasure, seriesBuilder, swapBuilder,
bndStatics, spreadconventions, holidays);
futPnl = futPnlBuilder.SpreadValues;
}
// Setup pnl correctly
Frame<DateTime, string> pnl;
if ( (swapPnl != null) && (futPnl != null))
{
// This allows it to match movements on the invoice spread chart.
// Long TRS = pay fixed, long bond
// Spread increases, mms increases, yield decreases -> swap/bond +ve pnl
pnl = futPnl - swapPnl;
}
else if (swapPnl != null)
{
pnl = swapPnl;
}
else
{
pnl = futPnl;
}
// Make it cumulative if flagged, but not for hedge ratios etc
if (bCumulative && !bDefaultNoCumulative)
{
pnl = pnl.SortRowsByKey(); // in case
pnl = TimeSeriesUtilities.DeedleFrameCumsum(pnl);
}
//Notional Adjust this thing
if (!double.IsNaN(notional) && pnlType!="HedgeRatio")
{
pnl *= notional/100; // Default 100
}
TimeSeriesCache[cacheKey] = pnl;
return pnl;
}
//---------------------------------------------------------------------------------------------------------
//[Test]
public void SpreadSeriesToArrayTests()
//---------------------------------------------------------------------------------------------------------
{
// Params.
DateTime start = new DateTime(2016, 2, 28);
DateTime end = new DateTime(2016, 3, 18);
List<String> tickers = new List<string>() { "TUH6", "TUM6", "TUU6" };
string samplingFreq = "1b";
// Default Configs
SpreadTimeSeriesConfigs config = new SpreadTimeSeriesConfigs("US");
string forecastCurveName = config.forecastCurveName;
string discountCurveName = config.discountCurveName;
string ccy = config.ccy;
string calendarcode = config.calendarcode;
string futuresStaticMoniker = config.futuresStaticMoniker;
string carbonEnv = config.carbonEnv;
BondAnalytics.Country country = config.country;
BondAnalytics.DayCountType dct = config.dct;
long swpfixfreq = config.swpfixfreq;
long swpfloatfreq = config.swpfloatfreq;
long bndCouponFreq = config.bndCouponFreq;
int BlendIndex = config.BlendIndex;
bool bForecastCurve = true;
// Bond Static
Dictionary<string, TimeSeriesBondStatic> bondstatic = new Dictionary<string, TimeSeriesBondStatic>()
{
{"US912828G799", new TimeSeriesBondStatic("US912828G799", new DateTime(2017,12,15), new DateTime(2015,12,15),DateTime.MinValue,1.0)},
{"US912828J686", new TimeSeriesBondStatic("US912828J686", new DateTime(2018,03,15), new DateTime(2015,03,16),DateTime.MinValue,1.0)},
{"US912828VK31", new TimeSeriesBondStatic("US912828VK31", new DateTime(2018,06,30), new DateTime(2015,07,01),DateTime.MinValue,1.0)}
};
//Spread Static
SpreadConventions spreadconventions = new SpreadConventions(country, dct, swpfixfreq, swpfloatfreq, bndCouponFreq, bForecastCurve, BlendIndex);
// Dates
var holidays = new List<DateTime>();
var dateRange = new List<DateTime>();
using (var client = new CarbonClient(carbonEnv))
{
// Holidays
if (calendarcode != "")
{
var nodaHols = client.GetCalendarAsync(calendarcode).Result.Dates;
foreach (LocalDate hol in nodaHols)
{
holidays.Add(hol.ToDateTime());
}
}
// DateRange
DateTime startDate = start.AddTenor(Tenor.FromString("1b"), "").AddTenor(Tenor.FromString("-1b"), "");
DateTime nextDate = end.AddTenor(Tenor.FromString("1b"), "").AddTenor(Tenor.FromString("-1b"), "");
//TimeSpan EOD = new TimeSpan(23, 59, 59);
/*if (startDate > nextDate)
{
return "Error! Bad Inputs!";
}*/
var tenor = Tenor.FromString("-" + samplingFreq);
while (nextDate >= startDate)
{
dateRange.Add(nextDate);
nextDate = BondAnalytics.PrevBusDay(nextDate.AddTenor(tenor, ""), holidays);
}
}
//Swap.
var swapBuilder = new SwapCurveSeriesBuilder(dateRange, forecastCurveName, discountCurveName, ccy, holidays, mCarbonClient);
swapBuilder.buildAllCurves();
// Futures.
var seriesBuilder = new FuturesSeriesBuilder(tickers, dateRange, holidays, futuresStaticMoniker, mCarbonClient, carbonEnv);
// Spread Series.
Dictionary<string, double> testVals = new Dictionary<string, double>()
{
{"Price", 109.1015625},
{"Yield", 0.009007303 * 10000},
{"TrueSpread",6.7788999},
{"MMS", 0.009689381* 10000},
{"Spread", 6.820787365}
};
Dictionary<string /*metric*/, SpreadSeriesBuilder /*builder*/> spreadbuildermap = new Dictionary<string, SpreadSeriesBuilder>();
SpreadSeriesBuilder output = null;
foreach (var metric in testVals.Keys.ToList())
{
output = new SpreadSeriesBuilder(metric, seriesBuilder, swapBuilder, bondstatic, spreadconventions);
Console.WriteLine(metric + " :");
output.SpreadValues.Print();
var row = output.SpreadValues.GetRow<double>(new DateTime(2016, 03, 18));
double TUM6 = row.Get("TUM6");
double error = Math.Abs(TUM6 - testVals[metric]);
Assert.LessOrEqual(error, Math.Pow(10, -3) * 5, "Error found in " + metric + ", test: " + testVals[metric].ToString() + ", actual: " + TUM6.ToString()); // 0.005bps
Console.WriteLine("Error :{0}", error);
}
// Now let's look at converting this to an array
if (output != null)
{
var objArr = output.getSpreadAsObjArr();
}
}
//---------------------------------------------------------------------------------------------------------
//[Test]
public void SpreadSeries()
//---------------------------------------------------------------------------------------------------------
{
// Params.
DateTime start = new DateTime(2016, 2, 28);
DateTime end = new DateTime(2016, 3, 18);
List<String> tickers = new List<string>() { "TUH6", "TUM6", "TUU6","TU.Front" };
// Default Configs
SpreadTimeSeriesConfigs config = new SpreadTimeSeriesConfigs("US");
string forecastCurveName = config.forecastCurveName;
string discountCurveName = config.discountCurveName;
string ccy = config.ccy;
string calendarcode = config.calendarcode;
string futuresStaticMoniker = config.futuresStaticMoniker;
string carbonEnv = config.carbonEnv;
BondAnalytics.Country country = config.country;
BondAnalytics.DayCountType dct = config.dct;
long swpfixfreq = config.swpfixfreq;
long swpfloatfreq = config.swpfloatfreq;
long bndCouponFreq = config.bndCouponFreq;
int BlendIndex = config.BlendIndex;
bool bForecastCurve = true;
// Bond Static
Dictionary<string, TimeSeriesBondStatic> bondstatic = new Dictionary<string, TimeSeriesBondStatic>()
{
{"US912828G799", new TimeSeriesBondStatic("US912828G799", new DateTime(2017,12,15), new DateTime(2015,12,15),DateTime.MinValue,1.0)},
{"US912828J686", new TimeSeriesBondStatic("US912828J686", new DateTime(2018,03,15), new DateTime(2015,03,16),DateTime.MinValue,1.0)},
{"US912828VK31", new TimeSeriesBondStatic("US912828VK31", new DateTime(2018,06,30), new DateTime(2015,07,01),DateTime.MinValue,1.0)}
};
//Spread Static
SpreadConventions spreadconventions = new SpreadConventions(country,dct,swpfixfreq,swpfloatfreq,bndCouponFreq,bForecastCurve,BlendIndex);
//Swap.
var swapBuilder = new SwapCurveSeriesBuilder(start, end, forecastCurveName, discountCurveName, ccy, mCarbonClient, calendarcode);
swapBuilder.buildAllCurves();
//swapBuilder.DiscountCurves[new DateTime(2016, 03, 18)].PrintDump();
swapBuilder.ForecastCurves[new DateTime(2016, 03, 18)].PrintDump();
// Futures.
var seriesBuilder = new FuturesSeriesBuilder(tickers, start, end, calendarcode, futuresStaticMoniker, mCarbonClient,carbonEnv);
// Spread Series.
Dictionary<string, double> testVals = new Dictionary<string, double>()
{
{"Price", 109.1015625},
{"Yield", 0.009007303 * 10000},
{"TrueSpread",6.7788999},
{"MMS", 0.009689381* 10000},
{"Spread", 6.820787365}
};
Dictionary<string /*metric*/, SpreadSeriesBuilder /*builder*/> spreadbuildermap = new Dictionary<string, SpreadSeriesBuilder>();
SpreadSeriesBuilder output = null;
foreach (var metric in testVals.Keys.ToList())
{
output = new SpreadSeriesBuilder(metric, seriesBuilder, swapBuilder, bondstatic, spreadconventions);
Console.WriteLine(metric + " :");
output.SpreadValues.Print();
var row = output.SpreadValues.GetRow<double>(new DateTime(2016, 03, 18));
double TUM6 = row.Get("TUM6");
double error = Math.Abs(TUM6 - testVals[metric]);
Assert.LessOrEqual(error, Math.Pow(10, -3) * 5, "Error found in " + metric + ", test: " + testVals[metric].ToString() + ", actual: " + TUM6.ToString()); // 0.005bps
Console.WriteLine("Error :{0}", error);
}
// Now let's try to index 1 Mar
if (output != null)
{
var spreadVals = output.SpreadValues;
var myList = spreadVals.RowKeys.ToList();
Console.WriteLine("Key List: {0}", myList);
// Try on individual series
Dictionary<string/*colname*/, Series<DateTime,object>/*actualsrs*/> tmp = new Dictionary<string, Series<DateTime, object>>();
foreach (string colname in spreadVals.ColumnKeys)
{
tmp[colname] = spreadVals.Columns[colname].FillMissing("#N/A");
}
spreadVals = Frame.FromColumns(tmp);
//spreadVals.FillMissing("#N/A").Print();
var row = spreadVals.GetRow<string>(new DateTime(2016, 03, 01));
Console.WriteLine("Row values");
row.Print();
}
}
//---------------------------------------------------------------------------------------------------------
//[Test]
public void FuturesSeriesWErrors()
//---------------------------------------------------------------------------------------------------------
{
bool errored = true;
try
{
List<String> tickers = new List<string>() {"TUH6", "FVH6", "TUM6"};
DateTime start = new DateTime(2016, 3, 7);
DateTime end = new DateTime(2016, 3, 11);
string calendarCode = "USNY";
string futuresStaticMoniker = "BLIM.Futures.US.Static";
string carbonEnv = "PRD";
var seriesBuilder = new FuturesSeriesBuilder(tickers, start, end, calendarCode, futuresStaticMoniker, mCarbonClient,
carbonEnv);
errored = false;
Frame<string, string> futStatic = seriesBuilder.FuturesStatic;
futStatic.Print();
}
catch(Exception e)
{
Console.Write(e.Message);
}
Assert.IsFalse(errored);
}
//---------------------------------------------------------------------------------------------------------
//[Test]
public void FuturesSeriesPerfectRun()
//---------------------------------------------------------------------------------------------------------
{
List<String> tickers = new List<string>() { "TUZ15", "FV.Front", "TUH6", "TUM6", "TUU6", "TY.Back" };
DateTime start = new DateTime(2015,11,1);
DateTime end = new DateTime(2016, 3, 11);
string calendarCode = "USNY";
string futuresStaticMoniker = "BLIM.Futures.US.Static";
string carbonEnv = "PRD";
FuturesSeriesBuilder.RollMethods rollMthd = FuturesSeriesBuilder.RollMethods.LastTradeDate;
var seriesBuilder = new FuturesSeriesBuilder(tickers, start, end, calendarCode, futuresStaticMoniker, mCarbonClient,
carbonEnv, rollMthd);
Frame<string, string> futStatic = seriesBuilder.FuturesStatic;
futStatic.Print();
Assert.IsFalse(futStatic.IsEmpty);
// Set Rolling prices
seriesBuilder.setRollingFuturesPrices();
seriesBuilder.RollingFuturesData.Print();
// Get back the combined df
Console.WriteLine("");
Console.WriteLine("#--------------------------");
Console.WriteLine("Output line");
Console.WriteLine("#--------------------------");
Console.WriteLine("");
var combined = seriesBuilder.getCombinedResults();
combined.Print();
}
