public void VisitCT(CTBond ct, DateTime start)
{
if (ctCache != null)
ctCache.Process(ct, start);
}
private Auction GetRelevantAuctions(CTBond ctcontract, DateTime startDate, int nth)
{
// find the relevant auctions for the term of the ct
var auctions = Singleton<Auctions>.Instance.Where(a => TermBucket.IsTermWithinBucket(a.Term, ctcontract.Series));
// find the most recent auction
var sortedauctions = auctions.Where(x => x.AuctionDate < startDate).OrderByDescending(x => x.AuctionDate)
.GroupBy(a => a.FIID).Select(g => g.First());
var auction = sortedauctions.ElementAt(nth);
return auction;
}
private static Bond findBond(IEnumerable<Bond> bonds_, MonthYear month_, int yearsMaturity_, DateTime currDate, int nthAuction)
{
Logger.InfoFormat(typeof(Generator), "searching CT bond for {0} series", yearsMaturity_);
var overrIDE = _CT_overrides.FirstOrDefault(x => x.Item1 == yearsMaturity_ && x.Item2.Equals(month_));
if (overrIDE != null)
return bonds_.FirstOrDefault(x => String.Compare(x.SymmetryCode, overrIDE.Item3, StringComparison.OrdinalIgnoreCase) == 0);
//var bonds = bonds_.Where(x => x.Maturity.Value.Month == month_.Month && x.Maturity.Value.Year == month_.Year + yearsMaturity_);
//if (bonds.Count() > 1)
//{
// Logger.Debug(string.Format("More than one bond found for {0} with {1} years to maturity", month_.ToString(), yearsMaturity_.ToString()), typeof(Generator));
// Array.ForEach(bonds.ToArray(),x=>Logger.Debug(string.Format("{0} - {1} - {2}",x.SymmetryCode,x.DisplayName,x.IssueDate),typeof(Generator)));
//}
//var bond = bonds_.FirstOrDefault(x => x.Maturity.Value.Month == month_.Month && x.Maturity.Value.Year == month_.Year + yearsMaturity_);
var ctcontract = new CTBond { Ric = "CT" + yearsMaturity_, Series = yearsMaturity_ };
var ctlogic = new CTRollLogic(ctcontract);
var bond = ctlogic.GetCTBond(currDate, nthAuction);
if(bond != null)
Logger.InfoFormat(typeof(Generator), "CT bond found {0}: ", bond.SymmetryCode);
return bond;
}
private Bond GetRelevantCTBond(CTBond ctcontract, Auction auction)
{
// logic suitable for US only
var allbondsForAuction = auction.Bonds.Where(x => x.SymmetryCode.StartsWith("US9128") && x.Term.HasValue && x.IsFloater == false && x.IsInflationLinked == false);
//&& IsTermWithinAuctionBucket(x.Term, ctcontract.Series));
// find the latest maturity
var bond = allbondsForAuction.OrderByDescending(b => b.Maturity).First();
return bond;
}