public static DateTime[] GetCalendar(string otCode_, CarbonClient client_, ThrowBehavior behavior_=ThrowBehavior.DontThrow)
{
try
{
return client_.GetCalendarAsync(otCode_).Result.Dates.Select(x => x.ToDateTime()).ToArray();
}
catch (Exception ex_)
{
Exceptions.Rethrow(string.Format("Error getting calendar {0}", otCode_), behavior_, ex_);
}
return null;
}
public static async Task<IEnumerable<DateTime>> Get(string holidayCode_, CarbonClient cc_)
{
IEnumerable<DateTime> ret;
if (_cache.TryGetValue(holidayCode_, out ret))
return ret;
var result = await cc_.GetCalendarAsync(holidayCode_);
_cache[holidayCode_] = result.Dates.Select(x => x.ToDateTime()).ToList();
return _cache[holidayCode_];
}
public static DateTime[] GetCalendar(string otCode_, CarbonClient client)
{
try
{
return client.GetCalendarAsync(otCode_).Result.Dates.Select(x => x.ToDateTime()).ToArray();
}
catch (Exception ex_)
{
throw new Exception(string.Format("Error getting calendar {0}", ex_));
}
return null;
}
private static IList<DateTime> getEUTA_Dates(CarbonClient client_)
{
var v = client_.GetCalendarAsync("EUTA").Result;
var list = v.Dates.Select(x => x.ToDateTime().Date).ToList();
list.Add(new DateTime(2014, 12, 24));
return list;
}
//---------------------------------------------------------------------------------------------------------
//[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();
}
}