public static List<CTDLine<Bond>> Go(CashBondRolling cashBondRollOption_=CashBondRolling.Monthly, bool doSerialize_=true)
{
string diskPath = string.Format(@"{0}\Bonds_Roll{1}", DiskCacheHelper.PATH_CTD, cashBondRollOption_);
if (DiskCacheHelper.OnlyReadFromCache)
{
return Singleton<DiscCache>.Instance.ReadFromGivenFilePath<List<CTDLine<Bond>>>(diskPath, true);
}
var startDate = new DateTime(2012, 01, 01);
var bondsList = new List<CTDLine<Bond>>();
var bonds2 = Singleton<Bonds>.Instance.Where(x => x.SymmetryCode.StartsWith("US9128") && x.Term.HasValue && x.Term.Value == 2 && x.IsFloater==false && x.IsInflationLinked==false);
var bonds3 = Singleton<Bonds>.Instance.Where(x => x.SymmetryCode.StartsWith("US9128") && x.Term.HasValue && x.Term.Value == 3 && x.IsFloater == false && x.IsInflationLinked == false);
var bonds5 = Singleton<Bonds>.Instance.Where(x => x.SymmetryCode.StartsWith("US9128") && x.Term.HasValue && x.Term.Value == 5 && x.IsFloater == false && x.IsInflationLinked == false);
var bonds7 = Singleton<Bonds>.Instance.Where(x => x.SymmetryCode.StartsWith("US9128") && x.Term.HasValue && x.Term.Value == 7 && x.IsFloater == false && x.IsInflationLinked == false);
var bonds10 = Singleton<Bonds>.Instance.Where(x => x.SymmetryCode.StartsWith("US9128") && x.Term.HasValue && x.Term.Value == 10 && x.IsFloater == false && x.IsInflationLinked == false);
var bonds30 = Singleton<Bonds>.Instance.Where(x => x.SymmetryCode.StartsWith("US9128") && x.Term.HasValue && x.Term.Value == 30 && x.IsFloater == false && x.IsInflationLinked == false);
while (startDate < DateTime.Today)
{
Logger.InfoFormat(typeof(Generator), "processing ct/ctd on startdate {0}", startDate);
var item = new CTDLine<Bond>(startDate);
//var prevDate = startDate.AddMonths(-1);
//var pervprevDate = startDate.AddMonths(-2);
//var refundingM = startDate.AddMonths(-3);
//var prevrefundingM = startDate.AddMonths(-6);
{
var cashBondOption = cashBondRollOption_ == CashBondRolling.Monthly
? item.CashBondMonth
: item.RefundingMonth;
var cashBondPriorOption = cashBondRollOption_ == CashBondRolling.Monthly
? item.CashBondPriorMonth
: item.PrevRefundingMonth;
var cashBondPriorPriorOption = cashBondRollOption_ == CashBondRolling.Monthly
? item.CashBondPriorPriorMonth
: item.PrevPrevRefundingMonth;
{
// override for Oct 2015 - special case of an auction reissue
item.CT2 = findBond(bonds2, cashBondOption, 2, startDate, 0);
item.PrevCT2 = findBond(bonds2, cashBondPriorOption, 2, startDate, 1);
item.PrevPrevCT2 = findBond(bonds2, cashBondPriorPriorOption, 2, startDate, 2);
item.OOOCT2 = findBond(bonds2, cashBondPriorPriorOption, 2, startDate, 3);
item.OOOOCT2 = findBond(bonds2, cashBondPriorPriorOption, 2, startDate, 4);
if (item.CT2 == null) item.CT2 = findBond(bonds5, cashBondOption, 2, startDate, 0);
if (item.PrevCT2 == null) item.PrevCT2 = findBond(bonds5, cashBondPriorOption, 2, startDate, 1);
if (item.PrevPrevCT2 == null) item.PrevPrevCT2 = findBond(bonds5, cashBondPriorPriorOption, 2, startDate, 2);
}
{
item.CT3 = findBond(bonds3, cashBondOption, 3, startDate, 0);
item.PrevCT3 = findBond(bonds3, cashBondPriorOption, 3, startDate, 1);
item.PrevPrevCT3 = findBond(bonds3, cashBondPriorPriorOption, 3, startDate, 2);
item.OOOCT3 = findBond(bonds3, cashBondPriorPriorOption, 3, startDate, 3);
item.OOOOCT3 = findBond(bonds3, cashBondPriorPriorOption, 3, startDate, 4);
if (item.CT3 == null) item.CT3 = findBond(bonds5, cashBondOption, 3, startDate, 0);
if (item.PrevCT3 == null) item.PrevCT3 = findBond(bonds5, cashBondPriorOption, 3, startDate, 1);
if (item.PrevPrevCT3 == null) item.PrevPrevCT3 = findBond(bonds5, cashBondPriorPriorOption, 3, startDate, 2);
}
{
item.CT5 = findBond(bonds5, cashBondOption, 5, startDate, 0);
item.PrevCT5 = findBond(bonds5, cashBondPriorOption, 5, startDate, 1);
item.PrevPrevCT5 = findBond(bonds5, cashBondPriorPriorOption, 5, startDate, 2);
item.OOOCT5 = findBond(bonds5, cashBondPriorPriorOption, 5, startDate, 3);
item.OOOOCT5 = findBond(bonds5, cashBondPriorPriorOption, 5, startDate, 4);
if (item.CT5 == null) item.CT5 = findBond(bonds7, cashBondOption, 5, startDate, 0);
if (item.PrevCT5 == null) item.PrevCT5 = findBond(bonds7, cashBondPriorOption, 5, startDate, 1);
if (item.PrevPrevCT5 == null) item.PrevPrevCT5 = findBond(bonds7, cashBondPriorPriorOption, 5, startDate, 2);
}
item.CT7 = findBond(bonds7, cashBondOption, 7, startDate, 0);
item.PrevCT7 = findBond(bonds7, cashBondPriorOption, 7, startDate, 1);
item.PrevPrevCT7 = findBond(bonds7, cashBondPriorPriorOption, 7, startDate, 2);
item.OOOCT7 = findBond(bonds7, cashBondPriorPriorOption, 7, startDate, 3);
item.OOOOCT7 = findBond(bonds7, cashBondPriorPriorOption, 7, startDate, 4);
}
item.CT10 = findBond(bonds10, item.RefundingMonth, 10, startDate, 0);
item.PrevCT10 = findBond(bonds10, item.PrevRefundingMonth, 10, startDate, 1);
item.PrevPrevCT10 = findBond(bonds10, item.PrevPrevRefundingMonth, 10, startDate, 2);
item.OOOCT10 = findBond(bonds10, item.PrevPrevRefundingMonth, 10, startDate, 3);
item.OOOOCT10 = findBond(bonds10, item.PrevPrevRefundingMonth, 10, startDate, 4);
item.CT30 = findBond(bonds30, item.RefundingMonth, 30, startDate, 0);
item.PrevCT30 = findBond(bonds30, item.PrevRefundingMonth, 30, startDate, 1);
item.PrevPrevCT30 = findBond(bonds30, item.PrevPrevRefundingMonth, 30, startDate, 2);
item.OOOCT30 = findBond(bonds30, item.PrevPrevRefundingMonth, 30, startDate, 3);
item.OOOOCT30 = findBond(bonds30, item.PrevPrevRefundingMonth, 30, startDate, 4);
item.TU = FutureBondLookup.GetBondForFuture("TU", item.Contract);
item.PrevTU = FutureBondLookup.GetBondForFuture("TU", item.PrevContract);
item.PrevPrevTU = FutureBondLookup.GetBondForFuture("TU", item.PrevPrevContract);
item.FV = FutureBondLookup.GetBondForFuture("FV", item.Contract);
item.PrevFV = FutureBondLookup.GetBondForFuture("FV", item.PrevContract);
item.PrevPrevFV = FutureBondLookup.GetBondForFuture("FV", item.PrevPrevContract);
item.TY = FutureBondLookup.GetBondForFuture("TY", item.Contract);
item.PrevTY = FutureBondLookup.GetBondForFuture("TY", item.PrevContract);
item.PrevPrevTY = FutureBondLookup.GetBondForFuture("TY", item.PrevPrevContract);
item.US = FutureBondLookup.GetBondForFuture("US", item.Contract);
item.PrevUS = FutureBondLookup.GetBondForFuture("US", item.PrevContract);
item.PrevPrevUS = FutureBondLookup.GetBondForFuture("US", item.PrevPrevContract);
item.WN = FutureBondLookup.GetBondForFuture("WN", item.Contract);
item.PrevWN = FutureBondLookup.GetBondForFuture("WN", item.PrevContract);
item.PrevPrevWN = FutureBondLookup.GetBondForFuture("WN", item.PrevPrevContract);
bondsList.Add(item);
startDate = MyCalendar.NextWeekDay(startDate);
}
if(doSerialize_)
Singleton<DiscCache>.Instance.WriteToGivenFilePath(diskPath, bondsList);
return bondsList;
}
public static List<CTDLine<BondSpreads>> GetSpreads(List<CTDLine<Bond>> bonds_, BondCurves curve_, CashBondRolling cashBondRollOption_ = CashBondRolling.Monthly, bool doSerialize_=true)
{
string diskPath = string.Format(@"{0}\BondSpreads_Roll{1}_{2}", DiskCacheHelper.PATH_CTD, cashBondRollOption_, curve_);
if (DiskCacheHelper.OnlyReadFromCache)
{
return Singleton<DiscCache>.Instance.ReadFromGivenFilePath<List<CTDLine<BondSpreads>>>(diskPath, true);
}
var retList=new List<CTDLine<BondSpreads>>();
CTDValue[] allVals = (CTDValue[])Enum.GetValues(typeof(CTDValue));
foreach(var line in bonds_)
{
var retLine=new CTDLine<BondSpreads>(line.MarkDate);
foreach(var val in allVals)
{
Logger.InfoFormat(typeof(Generator), "Computing bond spreads for {0} on date: {1}", val, line.MarkDate);
var sp = getSpreads(line[val], line.MarkDate, curve_);
retLine[val] = sp;
}
retList.Add(retLine);
}
if(doSerialize_)
Singleton<DiscCache>.Instance.WriteToGivenFilePath(diskPath, retList);
return retList;
}
