public CMTTestSheet(DateTime startDate, DateTime endDate, string market, KnownCurve curve1, KnownCurve curve2)
{
mStartDate = startDate;
mEndDate = endDate;
mMarket = market;
mCurve1 = curve1;
mCurve2 = curve2;
BuildMonikers();
}
protected Moniker CreateCurveMoniker(string close, string source, KnownCurve knownCurve, Type type)
{
return new Moniker
{
Close = close,
Date = ValueDate,
Name = KnownCurveHelpers.GetKnownCurveCode(knownCurve),
Source = source,
Type = type.Name
};
}
public static void BuildUSDSmooth(string quoteSource, DateTime valueDate, KnownCurve curve_ = KnownCurve.NotSet)
{
try
{
new CalculationAgent(valueDate, quoteSource).BuildUSDSmoothSeries(curve_);
}
catch (Exception ex)
{
SLog.log.Error("Error calculating smooth curves for date " + valueDate.ToString(), ex);
}
}
public static string InferSnapCodeFromKnownCurve(KnownCurve curve_)
{
switch (curve_)
{
case KnownCurve.USD3mLibor:
case KnownCurve.USD3mLiborOISD:
case KnownCurve.USDFedFunds:
return "NYK";
default:
return "LDN";
}
}
protected Tuple<Moniker, string> CreateMonikerTuple(int series, decimal point, KnownCurve curve, string curveType)
{
return new Tuple<Moniker, string>(BondSpread.CreateBondSpreadMoniker(mStartDate, "mlp", "mlp", mMarket, series, KnownCurveHelpers.GetKnownCurveCode(curve), point), curveType);
}
protected DiscountCurve CallCurveCalculator(ICalculator calculator, KnownCurve knownCurve, string marketSnapCode_, string quotesourceCode_, CarbonClient carbonClient_)
{
DateTime startTime = DateTime.Now;
SLog.log.InfoFormat("Calculation of {0} for {1} starting...", knownCurve.GetDescription(), ValueDate);
// generate the table of constituents
{
var cp = String.Compare("mlp", quotesourceCode_, StringComparison.OrdinalIgnoreCase) == 0
? calculator.BuildConstituentsTable()
: null;
if (cp != null)
{
var moniker = GenericTable.GenerateSwapCurveConstituentsMoniker(ValueDate, marketSnapCode_.ToLower(), quotesourceCode_.ToLower(), KnownCurveHelpers.GetKnownCurveCode(knownCurve));
SObjectManager.Instance().SaveSObject(moniker, cp);
}
}
if (mConstituentsOnly)
return null;
// this is the old way, which will invoke fincad...
//var curves = calculator.Calculate();
var curves = Symmetry.Interop.Carbon.OT.CurveRetriever
.GetCurvesAsDictionary(knownCurve, ValueDate, carbonClient_, ThrowBehavior.DontThrow);
foreach (var kvp in curves)
{
if (kvp.Value != null)
{
Type type = null;
switch (kvp.Key)
{
case "DiscountCurve":
type = typeof(DiscountCurve);
break;
case "RateCurve":
type = typeof(RateCurve);
break;
case "Parameters":
type = typeof(SwapCurveParameters);
break;
}
if (type != null)
{
var moniker = CreateCurveMoniker(marketSnapCode_.ToLower(), quotesourceCode_.ToLower(), knownCurve, type);
SObjectManager.Instance().SaveSObject(moniker, kvp.Value);
}
else if (kvp.Key == "Constituents")
{
// don't want to overwrite if mlp (will have been written above
if (String.Compare("mlp", quotesourceCode_, StringComparison.OrdinalIgnoreCase) == 0)
continue;
var moniker = GenericTable.GenerateSwapCurveConstituentsMoniker(ValueDate, marketSnapCode_.ToLower(), quotesourceCode_.ToLower(), KnownCurveHelpers.GetKnownCurveCode(knownCurve));
SObjectManager.Instance().SaveSObject(moniker, kvp.Value);
}
}
}
SLog.log.InfoFormat("Calculation of {0} finished in {1} ms...", knownCurve.GetDescription(), (DateTime.Now - startTime).TotalMilliseconds);
if (curves.ContainsKey("DiscountCurve"))
{
return (DiscountCurve)curves["DiscountCurve"];
}
return null;
}
public void BuildUSDSmoothSeries(KnownCurve curve_ = KnownCurve.NotSet)
{
foreach (var sourceSet in SP.GetUSD(mQuoteSource))
{
var sw = Stopwatch.StartNew();
SLog.log.InfoFormat("Smooth Bond Curve calculation starting for USD.{0} {1}...", sourceSet.QS, ValueDate);
if (curve_ == KnownCurve.NotSet || curve_ == KnownCurve.USD3mLibor)
{
InternalBuildSmoothBondSeries(KnownCurve.USD3mLibor, new SmoothBondCurveCalculationParams
{
SpotDelay = 2,
SettleDelay = 1,
HolidayCenter = "USA_FI",
Close = sourceSet.MS,
Source = sourceSet.QS,
CurveStart = 1,
CurveStep = 0.25M,
YieldLambdas = new Dictionary<int, double> { { 2, 0 }, { 3, 1 }, { 5, 1 }, { 7, 1 }, { 10, 1 }, { 30, 0 } },
SpreadLambdas = new Dictionary<int, double> { { 2, 0 }, { 3, 1 }, { 5, 1 }, { 7, 1 }, { 10, 1 }, { 30, 0 } },
TrueSpreadLambdas = new Dictionary<int, double> { { 2, 0 }, { 3, 1 }, { 5, 1 }, { 7, 1 }, { 10, 1 }, { 30, 0 } },
CurveName = KnownCurveHelpers.GetKnownCurveCode(KnownCurve.USD3mLibor),
Markets = new string[] { "UST" },
Currency = "USD",
Maturities = new int[] { 2, 3, 5, 7, 10, 30 },
SwapCurveType = SwapCurveType.USD3mLibor,
Country = "UST",
AnalyticsCountry=BondAnalytics.Country.US,
ShouldIncludeBondInTargetMaturityDelegate = (bond_, targetMaturity) => targetMaturity == 30 && bond_.Term.HasValue && bond_.Term.Value > 15
});
}
if (curve_ == KnownCurve.NotSet || curve_ == KnownCurve.USDFedFunds)
{
InternalBuildSmoothBondSeries(KnownCurve.USDFedFunds, new SmoothBondCurveCalculationParams
{
SpotDelay = 2,
SettleDelay = 1,
HolidayCenter = "USA_FI",
Close = sourceSet.MS,
Source = sourceSet.QS,
CurveStart = 1,
CurveStep = 0.25M,
YieldLambdas = new Dictionary<int, double> { { 2, 0 }, { 3, 1 }, { 5, 1 }, { 7, 1 }, { 10, 1 }, { 30, 0 } },
SpreadLambdas = new Dictionary<int, double> { { 2, 0 }, { 3, 1 }, { 5, 1 }, { 7, 1 }, { 10, 1 }, { 30, 0 } },
TrueSpreadLambdas = new Dictionary<int, double> { { 2, 0 }, { 3, 1 }, { 5, 1 }, { 7, 1 }, { 10, 1 }, { 30, 0 } },
CurveName = KnownCurveHelpers.GetKnownCurveCode(KnownCurve.USDFedFunds),
Markets = new string[] { "UST" },
Currency = "USD",
Maturities = new int[] { 2, 3, 5, 7, 10, 30 },
SwapCurveType = SwapCurveType.USDOIS,
Country = "UST",
AnalyticsCountry=BondAnalytics.Country.US,
ShouldIncludeBondInTargetMaturityDelegate = (bond_, targetMaturity) => targetMaturity == 30 && bond_.Term.HasValue && bond_.Term.Value > 15
});
}
//if (curve_ == KnownCurve.NotSet || curve_ == KnownCurve.USD3mLiborOISD)
//{
// InternalBuildSmoothBondSeries(KnownCurve.USD3mLiborOISD, new SmoothBondCurveCalculationParams
// {
// SpotDelay = 2,
// SettleDelay = 1,
// HolidayCenter = "USA_FI",
// Close = sourceSet.MS,
// Source = sourceSet.QS,
// CurveStart = 1,
// CurveStep = 0.25M,
// YieldLambdas = new Dictionary<int, double> { { 2, 0 }, { 3, 1 }, { 5, 1 }, { 7, 1 }, { 10, 1 }, { 30, 0 } },
// SpreadLambdas = new Dictionary<int, double> { { 2, 0 }, { 3, 1 }, { 5, 1 }, { 7, 1 }, { 10, 1 }, { 30, 0 } },
// TrueSpreadLambdas = new Dictionary<int, double> { { 2, 0 }, { 3, 1 }, { 5, 1 }, { 7, 1 }, { 10, 1 }, { 30, 0 } },
// CurveName = KnownCurveHelpers.GetKnownCurveCode(KnownCurve.USD3mLiborOISD),
// Markets = new string[] { "UST" },
// Currency = "USD",
// Maturities = new int[] { 2, 3, 5, 7, 10, 30 },
// SwapCurveType = SwapCurveType.USD3mLibor,
// Country = "UST",
// ShouldIncludeBondInTargetMaturityDelegate = (bond_, targetMaturity) => targetMaturity == 30 && bond_.Term.HasValue && bond_.Term.Value > 15
// });
//}
SLog.log.InfoFormat("Smooth Bond Curve calculation finished in {0} ms...", sw.ElapsedMilliseconds);
}
}
protected void InternalBuildSmoothBondSeries(KnownCurve knownCurve, SmoothBondCurveCalculationParams parameters,
bool buildCMT = true)
{
if (mConstituentsOnly)
{
return;
}
var curve = SObjectManager.Instance().LoadSObject<DiscountCurve>(new Moniker
{
Close = parameters.Close,
Source = parameters.Source,
Type = "DiscountCurve",
Date = ValueDate,
Name = KnownCurveHelpers.GetKnownCurveCode(knownCurve)
});
if (curve == null)
{
SLog.log.ErrorFormat("Unable to load curve {0} for smooth series construction.", knownCurve.ToString());
return;
}
// delete the old data else might have residual stuff saved that confuses things
{
SLog.log.Debug("Deleting any previous data from the database...");
foreach (var ending in new[] { string.Empty, "%" })
SObjectManager.Instance().DeleteCachedObject(
monikerDate_: ValueDate,
monikerSource_: parameters.Source,
likeMonikerName_: string.Format("{0}%{1}{2}", parameters.Country, parameters.CurveName, ending));
}
SLog.log.DebugFormat("Building {0} smooth curve over {1} on {2}", parameters.Country, parameters.CurveName,
ValueDate);
IEnumerable<KeyValuePair<string, AnySObject>> allObjects = new Dictionary<string, AnySObject>();
Dictionary<string, Dictionary<int, RateCurve>> cmtGlobal =
new Dictionary<string, Dictionary<int, RateCurve>>();
foreach (var maturity in parameters.Maturities)
{
try
{
var smoothCurves = new SmoothBondCurveCalculator(ValueDate, new SmoothBondCurveParameters
{
SpotDelay = parameters.SpotDelay,
SettleDelay = parameters.SettleDelay,
HolidayCenter = parameters.HolidayCenter,
Close = parameters.Close,
Source = parameters.Source,
CurveStart = parameters.CurveStart,
CurveStep = parameters.CurveStep,
YieldLambda = parameters.YieldLambdas[maturity],
SpreadLambda = parameters.SpreadLambdas[maturity],
TrueSpreadLambda = parameters.TrueSpreadLambdas[maturity],
CurveName = parameters.CurveName,
Markets = parameters.Markets,
Currency = parameters.Currency,
Country = parameters.Country,
AnalyticsCountry = parameters.AnalyticsCountry,
Maturity = maturity,
SwapCurveType = parameters.SwapCurveType,
TermDrift = parameters.BondTermDrift,
ShouldIncludeDelegate = parameters.ShouldIncludeBondInTargetMaturityDelegate,
}, curve).Calculate();
if (smoothCurves.ContainsKey("Yield"))
{
var yieldMoniker = RateCurve.CreateSmoothCurveMoniker(ValueDate, "yield", parameters.Country, maturity,
parameters.Close,
parameters.Source, parameters.CurveName);
SObjectManager.Instance().SaveSObject(yieldMoniker, smoothCurves["Yield"]);
}
if (smoothCurves.ContainsKey("Spread"))
{
var spreadMoniker = RateCurve.CreateSmoothCurveMoniker(ValueDate, "spread", parameters.Country, maturity,
parameters.Close,
parameters.Source, parameters.CurveName);
SObjectManager.Instance().SaveSObject(spreadMoniker, smoothCurves["Spread"]);
}
if (smoothCurves.ContainsKey("MMS"))
{
var mmsMoniker = RateCurve.CreateSmoothCurveMoniker(ValueDate, "mms", parameters.Country, maturity,
parameters.Close,
parameters.Source, parameters.CurveName);
SObjectManager.Instance().SaveSObject(mmsMoniker, smoothCurves["MMS"]);
}
if (smoothCurves.ContainsKey("TrueSpread"))
{
var trueSpreadMoniker = RateCurve.CreateSmoothCurveMoniker(ValueDate, "truespread", parameters.Country,
maturity, parameters.Close,
parameters.Source, parameters.CurveName);
SObjectManager.Instance().SaveSObject(trueSpreadMoniker, smoothCurves["TrueSpread"]);
}
foreach (var kvp in smoothCurves)
{
if (Moniker.IsMoniker(kvp.Key))
{
SObjectManager.Instance().SaveSObject(Moniker.FromString(kvp.Key), kvp.Value);
}
}
if (buildCMT)
{
var bsObjects = new CMTBondSpreadCalculator(ValueDate, new CMTBondSpreadParameters
{
Close = parameters.Close,
CurveName = parameters.CurveName,
Country = parameters.Country,
Maturity = maturity,
Source = parameters.Source,
Maturities = parameters.Maturities
}, smoothCurves, ref cmtGlobal).Calculate();
foreach (var bso in bsObjects)
{
SObjectManager.Instance().SaveSObject(Moniker.FromString(bso.Key), bso.Value);
}
allObjects = allObjects.Union(bsObjects.AsEnumerable());
}
}
catch (Exception ex)
{
SLog.log.Error("Error calculating smooth series", ex);
}
}
if (buildCMT)
{
try
{
foreach (var curveType in cmtGlobal.Keys)
foreach (var series in cmtGlobal[curveType].Keys)
{
var moniker = RateCurve.CreateBondSeriesCurveMoniker(ValueDate, curveType, parameters.Country, series,
parameters.Close, parameters.Source, parameters.CurveName);
SObjectManager.Instance().SaveSObject(moniker, cmtGlobal[curveType][series]);
}
}
catch (Exception ex)
{
SLog.log.Error("Error saving cmt rate curves", ex);
}
}
}
public static SwapPricingConfig GetConfig(KnownCurve curve_)
{
switch (curve_)
{
case KnownCurve.EUR6mEuribor:
case KnownCurve.EUR6mEuriborOISD:
return new SwapPricingConfig()
{
DiscCurve=KnownCurve.EUREonia,
FcstCurve=KnownCurve.EUR6mEuribor,
CalcFunction = BondAnalytics.CalcMMS_Euribor
};
case KnownCurve.EUREonia:
return new SwapPricingConfig()
{
DiscCurve=KnownCurve.EUREonia,
FcstCurve=KnownCurve.EUREonia,
CalcFunction = BondAnalytics.CalcMMS_Eonia,
};
case KnownCurve.USD3mLibor:
case KnownCurve.USD3mLiborOISD:
return new SwapPricingConfig()
{
DiscCurve = KnownCurve.USDFedFunds,
FcstCurve = KnownCurve.USD3mLibor,
CalcFunction = BondAnalytics.CalcMMS_USLibor
};
case KnownCurve.USDFedFunds:
return new SwapPricingConfig()
{
DiscCurve = KnownCurve.USDFedFunds,
FcstCurve = KnownCurve.USDFedFunds,
CalcFunction = BondAnalytics.CalcMMS_USFedFunds
};
case KnownCurve.GBP6mLibor:
case KnownCurve.GBP6mLiborOISD:
return new SwapPricingConfig()
{
DiscCurve = KnownCurve.GBPSonia,
FcstCurve = KnownCurve.GBP6mLibor,
CalcFunction = BondAnalytics.CalcMMS_GBLibor
};
case KnownCurve.GBPSonia:
return new SwapPricingConfig()
{
DiscCurve = KnownCurve.GBPSonia,
FcstCurve = KnownCurve.GBPSonia,
CalcFunction = BondAnalytics.CalcMMS_GBSonia
};
case KnownCurve.JPY6mLibor:
return new SwapPricingConfig()
{
DiscCurve=KnownCurve.JPYTona,
FcstCurve=KnownCurve.JPY6mLibor,
CalcFunction=BondAnalytics.CalcMMS_JPLibor
};
case KnownCurve.JPYTona:
return new SwapPricingConfig()
{
DiscCurve=KnownCurve.JPYTona,
FcstCurve=KnownCurve.JPYTona,
CalcFunction=BondAnalytics.CalcMMS_JPOIS
};
default:
return null;
}
}
public static GenericPrice Calculate(KnownCurve curve_, DateTime valueDate_, DateTime swapStart_, DateTime swapEnd_, string quoteSource_="mlp", string snapCode_="mlp" )
{
// have we set up a config for this curve yet?
var config = SwapPricingConfig.GetConfig(curve_);
if (config == null)
{
SLog.log.ErrorFormat("Coult not find SwapPrincingConfig config for {0}", curve_);
return null;
}
// get the persisted discount curves for the fixed and floating legs
var discCurve = SObjectManager.Instance().LoadSObject<DiscountCurve>(new Moniker()
{
Close=snapCode_,
Source=quoteSource_,
Name=KnownCurveHelpers.GetKnownCurveCode(config.DiscCurve),
Type="discountcurve",
Date=valueDate_
});
if (discCurve == null)
{
SLog.log.ErrorFormat("Could not load {0} discount curve from database for {1}", config.DiscCurve, valueDate_);
}
var fcstCurve = SObjectManager.Instance().LoadSObject<DiscountCurve>(new Moniker()
{
Close = snapCode_,
Source = quoteSource_,
Name = KnownCurveHelpers.GetKnownCurveCode(config.FcstCurve),
Type = "discountcurve",
Date = valueDate_
});
if (fcstCurve == null)
{
SLog.log.ErrorFormat("Could not load {0} discount curve from database for {1}", config.FcstCurve, valueDate_);
}
if (discCurve == null || fcstCurve == null)
{
return null;
}
var mms = config.CalcFunction(
swapStart_,
swapEnd_,
discCurve.AsDoubleArray().SliceColumn(0).Select(DateTime.FromOADate).ToArray(),
discCurve.AsDoubleArray().SliceColumn(1),
fcstCurve.AsDoubleArray().SliceColumn(0).Select(DateTime.FromOADate).ToArray(),
fcstCurve.AsDoubleArray().SliceColumn(1));
if (double.IsNaN(mms))
{
SLog.log.ErrorFormat("Could not calcualate mms for {0} vd:{1}; start:{2}, end:{3}", curve_,
valueDate_.ToString("dd-MMM-yyyy"), swapStart_.ToString("dd-MMM-yyyy"), swapEnd_.ToString("dd-MMM-yyyy"));
}
return new GenericPrice()
{
Price = mms
};
}
public static string GetKnownCurveCode(KnownCurve curve)
{
return curve.GetDescription();
}
