//------------------------------------------------------------------------------------------------
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;
}
//---------------------------------------------------------------------------------------------------------
//[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();
}
