//----------------------------------------------------------------------------------------
public static BondStatic GetBondStatic(string bondID)
//----------------------------------------------------------------------------------------
{
Log_.InfoFormat("Getting bond static for {0}", bondID);
if (bondStaticCache.ContainsKey(bondID))
return bondStaticCache[bondID];
BondStatic instrumentStatic = new BondStatic();
int MAX_RETRIES = 5;
int retries = 0;
for (retries = 0; retries < MAX_RETRIES; ++retries)
{
try
{
var moniker = new Moniker
{
Close = Moniker.sStatic,
Source = Moniker.sOfficial,
Date = null,
Name = bondID.Trim(),
Type = "bondstatic"
};
var symmetryServiceClient = GetSymmetryServiceClient();
var resultObj = symmetryServiceClient.GetSingleObject(moniker.ToString());
instrumentStatic = resultObj.Xml.DeserializeObject<BondStatic>();
break;
}
catch (Exception e)
{
Log_.WarnFormat("Attempt" + retries.ToString() + " - Error in setting static for " +bondID + ": " + e.Message);
Thread.Sleep(200); // Wait for 2 seconds first before trying again
}
}
if (retries == MAX_RETRIES)
{
throw new TimeoutException("Max retries reach " + MAX_RETRIES + ". Giving up on pulling bond static");
}
// Set cache
bondStaticCache[bondID] = instrumentStatic;
return instrumentStatic;
}
private BondSpreadResult BondSpreadResult(BondAnalytics.Country eCountry, DateTime settleDate, double optStartDate,
double optFirstCpnDate, long Freq, Dictionary<DateTime, double> liborInterestCurveDict, Dictionary<DateTime, double> oisInterestCurveDict,
double cleanPrice, BondStatic bondStatic)
{
try
{
if (liborInterestCurveDict == null || oisInterestCurveDict == null)
return null;
var yield = BondAnalytics.SolveYield(eCountry, settleDate, cleanPrice, DateTime.MinValue, DateTime.MinValue, DateTime.FromOADate(bondStatic.Maturity), bondStatic.Coupon, Freq)[0];
var loas = BondAnalytics.SolveZSpread(eCountry, settleDate, cleanPrice,
(optStartDate == 0.0 ? DateTime.MinValue : DateTime.FromOADate(optStartDate)),
(optFirstCpnDate == 0.0 ? DateTime.MinValue : DateTime.FromOADate(optFirstCpnDate)),
DateTime.FromOADate(bondStatic.Maturity), bondStatic.Coupon, Freq,
liborInterestCurveDict.Keys.ToArray(),
liborInterestCurveDict.Values.ToArray(), new List<DateTime>());
var oisoas = BondAnalytics.SolveZSpread(eCountry, settleDate, cleanPrice,
(optStartDate == 0.0 ? DateTime.MinValue : DateTime.FromOADate(optStartDate)),
(optFirstCpnDate == 0.0 ? DateTime.MinValue : DateTime.FromOADate(optFirstCpnDate)),
DateTime.FromOADate(bondStatic.Maturity), bondStatic.Coupon, Freq,
oisInterestCurveDict.Keys.ToArray(),
oisInterestCurveDict.Values.ToArray(), new List<DateTime>());
if (loas == -1.0) loas = double.NaN;
if (oisoas == -1.0) oisoas = double.NaN;
// Forward
var frontDate = forwardBuilder.GetFrontDateForBond(DateTime.FromOADate(bondStatic.Maturity));
var fwdPriceFrontResult = forwardBuilder.ComputeBondForwardPrice(bondStatic.MLP, cleanPrice,
DateTime.FromOADate(bondStatic.IssueDate), DateTime.FromOADate(bondStatic.Maturity),
bondStatic.Coupon, true);
var fwdPriceFront = fwdPriceFrontResult.Item1;
double fwdLoasFront=Double.NaN;
double fwdOisoasFront=Double.NaN;
double fwdOisoasBack = Double.NaN;
double fwdLoasBack = Double.NaN;
if (fwdPriceFront != 0.0)
{
fwdLoasFront = BondAnalytics.SolveZSpread(eCountry, frontDate, fwdPriceFront,
(optStartDate == 0.0 ? DateTime.MinValue : DateTime.FromOADate(optStartDate)),
(optFirstCpnDate == 0.0 ? DateTime.MinValue : DateTime.FromOADate(optFirstCpnDate)),
DateTime.FromOADate(bondStatic.Maturity), bondStatic.Coupon, Freq,
liborInterestCurveDict.Keys.ToArray(),
liborInterestCurveDict.Values.ToArray(), new List<DateTime>());
fwdOisoasFront = BondAnalytics.SolveZSpread(eCountry, frontDate, fwdPriceFront,
(optStartDate == 0.0 ? DateTime.MinValue : DateTime.FromOADate(optStartDate)),
(optFirstCpnDate == 0.0 ? DateTime.MinValue : DateTime.FromOADate(optFirstCpnDate)),
DateTime.FromOADate(bondStatic.Maturity), bondStatic.Coupon, Freq,
oisInterestCurveDict.Keys.ToArray(),
oisInterestCurveDict.Values.ToArray(), new List<DateTime>());
if (fwdLoasFront == -1.0) fwdLoasFront = double.NaN;
if (fwdOisoasFront == -1.0) fwdOisoasFront = double.NaN;
}
var backDate = forwardBuilder.GetBackDateForBond(DateTime.FromOADate(bondStatic.Maturity));
var fwdPriceBackResult = forwardBuilder.ComputeBondForwardPrice(bondStatic.MLP, cleanPrice,
DateTime.FromOADate(bondStatic.IssueDate), DateTime.FromOADate(bondStatic.Maturity),
bondStatic.Coupon, false);
var fwdPriceBack = fwdPriceBackResult.Item1;
if (fwdPriceBack != 0.0)
{
fwdLoasBack = BondAnalytics.SolveZSpread(eCountry, backDate, fwdPriceBack,
(optStartDate == 0.0 ? DateTime.MinValue : DateTime.FromOADate(optStartDate)),
(optFirstCpnDate == 0.0 ? DateTime.MinValue : DateTime.FromOADate(optFirstCpnDate)),
DateTime.FromOADate(bondStatic.Maturity), bondStatic.Coupon, Freq,
liborInterestCurveDict.Keys.ToArray(),
liborInterestCurveDict.Values.ToArray(), new List<DateTime>());
fwdOisoasBack = BondAnalytics.SolveZSpread(eCountry, backDate, fwdPriceBack,
(optStartDate == 0.0 ? DateTime.MinValue : DateTime.FromOADate(optStartDate)),
(optFirstCpnDate == 0.0 ? DateTime.MinValue : DateTime.FromOADate(optFirstCpnDate)),
DateTime.FromOADate(bondStatic.Maturity), bondStatic.Coupon, Freq,
oisInterestCurveDict.Keys.ToArray(),
oisInterestCurveDict.Values.ToArray(), new List<DateTime>());
if (fwdLoasBack == -1.0) fwdLoasBack = double.NaN;
if (fwdOisoasBack == -1.0) fwdOisoasBack = double.NaN;
}
// forward price would not be 0.0, we change it to NaN.....
if (fwdPriceFront == 0.0) fwdPriceFront = double.NaN;
if (fwdPriceBack == 0.0) fwdPriceBack = double.NaN;
// find out if the bond is a ctd bond
Future ctdFuture = null;
var ctdreuters = FutureCache.Where(f => f.CTDReuters != null).ToArray();
if (ctdreuters.Any())
{
if (ctdreuters.Select(f => f.CTDReuters.TrimEnd('=')).Contains(bondStatic.CUSIP))
{
ctdFuture = ctdreuters.First(f => f.CTDReuters.TrimEnd('=') == bondStatic.CUSIP);
}
}
return new BondSpreadResult
{
Ticker = bondStatic.MLP,
Cusip = bondStatic.CUSIP,
ISIN = bondStatic.ISIN,
Coupon = bondStatic.Coupon,
IssueDate = DateTime.FromOADate(bondStatic.IssueDate),
Maturity = DateTime.FromOADate(bondStatic.Maturity),
LOAS = -1*loas*10000,
OISOAS = -1*oisoas*10000,
Price = cleanPrice,
Yield = yield,
ForwardPriceFront = fwdPriceFront,
FwdLOASFront = -1*fwdLoasFront*10000,
FwdOISOASFront = -1 * fwdOisoasFront * 10000,
ForwardPriceBack = fwdPriceBack,
FwdLOASBack = -1*fwdLoasBack * 10000,
FwdOISOASBack = -1*fwdOisoasBack * 10000,
FrontUsedRepo = fwdPriceFrontResult.Item2,
BackUsedRepo = fwdPriceBackResult.Item2,
InstrumentType = InstrumentType.Bond,
CtFlag = forwardBuilder.GetCTFlagForBond(bondStatic.MLP),
CtdFlag = ctdFuture == null? CTDFlag.None : GetCTDFlagForBond(ctdFuture.Contract),
Series =
((int)
Math.Round(
(DateTime.FromOADate(bondStatic.Maturity) -
DateTime.FromOADate(bondStatic.IssueDate)).TotalDays/360.0)).ToString(),
};
}
catch (Exception e)
{
Log.Error(string.Format("Failed to compute bond spread for {0}", bondStatic.MLP), e);
return null;
}
}
//----------------------------------------------------------------------------------------
public static double calcMeasure( string Measure,
double price,
BondAnalytics.Country eCountry,
DateTime asof,
DateTime settle,
DiscountCurve discCurve,
DiscountCurve fcstCurve,
BondStatic bondStatic,
SpreadTimeSeriesConfigs configs,
List<DateTime> hols)
//----------------------------------------------------------------------------------------
{
DateTime effectiveDate = DateTime.FromOADate( bondStatic.EffectiveDate);
DateTime maturity = DateTime.FromOADate( bondStatic.Maturity);
DateTime firstCpnDate = DateTime.FromOADate(bondStatic.FirstCoupon);
double coupon = bondStatic.Coupon;
long bondCpnFreq = configs.bndCouponFreq;
bool bOIS = !configs.bForecastCurve;
BondAnalytics.DayCountType dct = configs.dct;
long fixedFreq = configs.swpfixfreq;
long floatFreq = configs.swpfloatfreq;
double output = double.NaN;
switch (Measure)
{
case "Price":
{
output= price;
break;
}
case "Yield":
{
output= 10000.0 * BondAnalytics.SolveYield(eCountry, settle, price, effectiveDate, firstCpnDate, maturity, coupon, bondCpnFreq)[0];
break;
}
case "TrueSpread":
{
DateTime[] dfDates = (bOIS ? discCurve.AsTuples().Select(x => x.Item1).ToArray() : fcstCurve.AsTuples().Select(x => x.Item1).ToArray());
double[] dfs = (bOIS ? discCurve.AsTuples().Select(x => x.Item2).ToArray() : fcstCurve.AsTuples().Select(x => x.Item2).ToArray());
// Check. Sometimes (holidays) the first date on the curve can be repeated, which will cause an exception in the pricer.
if (dfDates[0] == dfDates[1])
{
dfDates = dfDates.GetSubArray(1, dfDates.GetLength(0)).ToArray();
dfs = dfs.GetSubArray(1, dfs.GetLength(0)).ToArray();
}
output= -10000.0 * BondAnalytics.SolveZSpread(eCountry, settle, price, effectiveDate, firstCpnDate, maturity, coupon, bondCpnFreq, dfDates, dfs,hols );
break;
}
case "MMS":
{
DateTime[] discDfDates = discCurve.AsTuples().Select(x => x.Item1).ToArray();
DateTime[] fcstDfDates = (bOIS ? discCurve.AsTuples().Select(x => x.Item1).ToArray() : fcstCurve.AsTuples().Select(x => x.Item1).ToArray());
double[] discDfs = discCurve.AsTuples().Select(x => x.Item2).ToArray();
double[] fcstDfs =(bOIS ? discCurve.AsTuples().Select(x => x.Item2).ToArray() : fcstCurve.AsTuples().Select(x => x.Item2).ToArray());
double mms = BondAnalytics.CalcMMS(settle, maturity, dct, fixedFreq, floatFreq, discDfDates, discDfs, fcstDfDates, fcstDfs, hols, null, null, null, null, null, firstCpnDate, (bOIS ? 5 : 0));
output= 10000.0 * mms;
break;
}
case "Spread":
{
DateTime[] discDfDates = discCurve.AsTuples().Select(x => x.Item1).ToArray();
DateTime[] fcstDfDates = (bOIS ? discCurve.AsTuples().Select(x => x.Item1).ToArray() : fcstCurve.AsTuples().Select(x => x.Item1).ToArray());
double[] discDfs = discCurve.AsTuples().Select(x => x.Item2).ToArray();
double[] fcstDfs = (bOIS ? discCurve.AsTuples().Select(x => x.Item2).ToArray() : fcstCurve.AsTuples().Select(x => x.Item2).ToArray());
double mms = BondAnalytics.CalcMMS(settle, maturity, dct, fixedFreq, floatFreq, discDfDates, discDfs, fcstDfDates, fcstDfs, hols, null, null, null, null, null, firstCpnDate, (bOIS ? 5 : 0));
double yield = BondAnalytics.SolveYield(eCountry,settle ,price, effectiveDate, firstCpnDate, maturity, coupon, bondCpnFreq)[0];
output= 10000.0 * (mms - yield);
break;
}
}
return output;
}
