//------------------------------------------------------------------------------------------------
public SpreadSeriesBuilder(string metric, FuturesSeriesBuilder rawfuturesBuilder, SwapCurveSeriesBuilder swapBuilder,
Dictionary<string, TimeSeriesBondStatic> bondStatics, SpreadConventions conventions, List<DateTime> holidays=null)
//------------------------------------------------------------------------------------------------
{
if (holidays == null)
{
holidays = new List<DateTime>();
}
// Setup Everything
var futuresBuilder = new FuturesSeriesBuilder(rawfuturesBuilder); //use copy constructor
FuturesPrices = futuresBuilder.RawFuturesPrices;
FuturesStatic = futuresBuilder.FuturesStatic;
BondStatic = bondStatics;
CombinedStatic = SpreadSeriesBuilder.combineFuturesAndBondStatic(BondStatic, FuturesStatic);
if (conventions.bForecastCurve)
{
ForecastCurves = swapBuilder.ForecastCurves;
DiscountCurves = swapBuilder.DiscountCurves;
}
else
{
ForecastCurves = swapBuilder.DiscountCurves;
DiscountCurves = swapBuilder.DiscountCurves;
}
SpreadMetric_ = metric;
Conv_ = conventions;
Holidays_ = holidays;
var rawSpreads = computeFuturesSpreads();
// Now use this to get rolling futures too
futuresBuilder.RawFuturesPrices = rawSpreads;
futuresBuilder.interpolateRawPriceFrame();
SpreadValues = futuresBuilder.getCombinedResults();
FuturesBuilder_ = futuresBuilder;
}
//----------------------------------------------------------------------------------------
public static Frame<DateTime, String> GenerateInvoiceSpreadTRS(
List<string> tickers,
DateTime start,
DateTime end,
string countryCode,
string pnlType = "InvoiceSpread",
bool bCumulative = true,
bool bOIS = true,
string samplingFreq= "1b",
string rollMethod = "FirstNoticeDate",
string holcal = "",
double notional = double.NaN,
ICarbonClient client = null)
//----------------------------------------------------------------------------------------
{
var eRollMethod = TimeSeriesUtilities.GetRollMethods(rollMethod);
var eInterpolationTypes = TimeSeriesUtilities.GetInterpolationType("None");
var eSmoothingTypes = TimeSeriesUtilities.GetSmoothingTypes("None"); // Don't smooth, doesn't make sense for PnL
bool bForecastCurve = !bOIS;
/* CARBON REQUIRES UTC TIME - MODIFY DATES TO ACCOMODATE */
start = new DateTime(start.Year, start.Month, start.Day, 0, 0, 0, DateTimeKind.Utc);
end = new DateTime(end.Year, end.Month, end.Day, 0, 0, 0, DateTimeKind.Utc);
#region cache
string all_tickers = ";";
foreach (var s in tickers) all_tickers += s;
string cacheKey = "GenerateInvoiceSpread" + tickers.ToString() + start.ToString() + end.ToString() +
countryCode + pnlType + bCumulative.ToString() + bOIS.ToString() + samplingFreq +
rollMethod + holcal + notional.ToString();
if (TimeSeriesCache.ContainsKey(cacheKey))
{
return TimeSeriesCache[cacheKey];
}
#endregion
if (client == null)
{
throw new ArgumentException("No Carbon Client!");
}
#region MeasureSetup
string swapMeasure = "";
string futMeasure = "";
string ratio = "";
bool bDefaultNoCumulative = false;
switch (pnlType)
{
case "InvoiceSpread":
if (double.IsNaN(notional)) // work in DV01 terms
{
swapMeasure = "SwapPnlDV01Adj";
futMeasure = "FuturesPnlDV01Adj";
}
else
{
swapMeasure = "SwapPnl";
futMeasure = "FuturesPnl";
//ratio = "SpreadHedgeRatio"; // required to construct the correct pnl
}
break;
case "Futures":
if (double.IsNaN(notional)) // work in DV01 terms
{
swapMeasure = "";
futMeasure = "FuturesPnlDV01Adj";
}
else
{
swapMeasure = "";
futMeasure = "FuturesPnl";
}
break;
case "MMS":
if (double.IsNaN(notional)) // work in DV01 terms
{
swapMeasure = "SwapPnlDV01Adj";
futMeasure = "";
}
else
{
swapMeasure = "SwapPnl";
futMeasure = "";
}
break;
case "MMSDV01":
swapMeasure = "MMSDV01";
futMeasure = "";
bDefaultNoCumulative = true;
break;
case "FuturesDV01":
swapMeasure = "FuturesDV01";
futMeasure = "";
bDefaultNoCumulative = true;
break;
case "HedgeRatio":
swapMeasure = "SpreadHedgeRatio";
futMeasure = "";
bDefaultNoCumulative = true;
break;
default:
throw new ArgumentException("");
}
#endregion
#region Configs
SpreadTimeSeriesConfigs config = new SpreadTimeSeriesConfigs(countryCode, !bOIS);
string ccy = config.ccy;
string calendarcode = (holcal != "") ? holcal : 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;
string symForecastCurveName = config.SymForecastCurveName;
string symDiscountCurveName = config.SymDiscountCurveName;
List<string> contractSortOrder = config.contractSortOrder;
List<DateTime> holidays = TimeSeriesUtilities.GetHolidays(calendarcode, client);
#endregion
var dateRange = TimeSeriesUtilities.GetAllDatesInDateime(start, end, calendarcode, client, samplingFreq);
// Spread Static.
SpreadConventions
spreadconventions = new SpreadConventions(country, dct, swpfixfreq, swpfloatfreq, bndCouponFreq, bForecastCurve, BlendIndex);
// Futures.
FuturesSeriesBuilder
seriesBuilder = new FuturesSeriesBuilder(tickers, dateRange, holidays, futuresStaticMoniker, client, carbonEnv, rollMthd: eRollMethod, interpType: eInterpolationTypes, contractSortOrder: contractSortOrder, smoothingType: eSmoothingTypes);
// Bond Static
var bndStatics = TimeSeriesUtilities.GetBondStaticsFromFuturesBuilder(seriesBuilder, config, client);
// Swap Curves
var curves = TimeSeriesUtilities.GetCurvesFromCarbon(dateRange, ccy, client);
if (curves == null || bndStatics == null) return null;
var forecastCurves = curves.Item1;
var discountCurves = curves.Item2;
SwapCurveSeriesBuilder
swapBuilder = new SwapCurveSeriesBuilder(dateRange, symForecastCurveName, symDiscountCurveName, ccy, holidays, forecastCurves, discountCurves, client);
// Generate Pnls
Frame<DateTime,string> swapPnl = null;
Frame<DateTime, string> futPnl = null;
if (swapMeasure != "")
{
SpreadSeriesBuilder swapPnlBuilder = new SpreadSeriesBuilder(swapMeasure, seriesBuilder, swapBuilder,
bndStatics, spreadconventions, holidays);
swapPnl = swapPnlBuilder.SpreadValues;
}
if (futMeasure != "")
{
SpreadSeriesBuilder futPnlBuilder = new SpreadSeriesBuilder(futMeasure, seriesBuilder, swapBuilder,
bndStatics, spreadconventions, holidays);
futPnl = futPnlBuilder.SpreadValues;
}
// Setup pnl correctly
Frame<DateTime, string> pnl;
if ( (swapPnl != null) && (futPnl != null))
{
// This allows it to match movements on the invoice spread chart.
// Long TRS = pay fixed, long bond
// Spread increases, mms increases, yield decreases -> swap/bond +ve pnl
pnl = futPnl - swapPnl;
}
else if (swapPnl != null)
{
pnl = swapPnl;
}
else
{
pnl = futPnl;
}
// Make it cumulative if flagged, but not for hedge ratios etc
if (bCumulative && !bDefaultNoCumulative)
{
pnl = pnl.SortRowsByKey(); // in case
pnl = TimeSeriesUtilities.DeedleFrameCumsum(pnl);
}
//Notional Adjust this thing
if (!double.IsNaN(notional) && pnlType!="HedgeRatio")
{
pnl *= notional/100; // Default 100
}
TimeSeriesCache[cacheKey] = pnl;
return pnl;
}
//---------------------------------------------------------------------------------------------------------
//[Test]
// Price to Yield
public void SwapSeriesTests()
//---------------------------------------------------------------------------------------------------------
{
// Params
DateTime start = new DateTime(2016,3,7);
DateTime end = new DateTime(2016, 3, 11);
string forecastCurveName = "Symmetry_LIB3M";
string discountCurveName = "Symmetry_OIS";
string ccy = "USD";
string calendarcode = "USNY";
var swapBuilder = new SwapCurveSeriesBuilder(start, end, forecastCurveName, discountCurveName, ccy, mCarbonClient, calendarcode);
swapBuilder.buildAllCurves();
var forecastCurves = swapBuilder.ForecastCurves;
var discountCurves = swapBuilder.DiscountCurves;
// Check that we have the same number of curves on both ends
Assert.AreEqual(forecastCurves.Count, discountCurves.Count,
"Discount and forecast curves have different counts! forec= " + forecastCurves.Count.ToString() +
" , disc= " + discountCurves.Count.ToString());
// Now let's compare 11 Mar's curve to OT - make sure it uses the Fincad format.
Dictionary<DateTime, double> usd3mLibor = new Dictionary<DateTime, double>()
{
{new DateTime(2016,06,15),0.99833466686521},
{new DateTime(2016,06,16),0.998308555870634},
{new DateTime(2016,09,15),0.996323400306606},
{new DateTime(2016,12,21),0.993970514678176},
{new DateTime(2017,03,21),0.991543542322688},
{new DateTime(2017,06,15),0.989049450652512},
{new DateTime(2017,09,21),0.986006268100615},
{new DateTime(2017,12,20),0.983010351499106},
{new DateTime(2018,03,20),0.979813454458774},
{new DateTime(2018,06,21),0.976357131081902},
{new DateTime(2018,09,20),0.97282759941777},
{new DateTime(2019,03,15),0.965805631134839},
{new DateTime(2020,03,16),0.949766985972098},
{new DateTime(2021,03,15),0.932337062472182},
{new DateTime(2022,03,15),0.913492071830929},
{new DateTime(2023,03,15),0.893897883633253},
{new DateTime(2024,03,15),0.873591217513506},
{new DateTime(2025,03,17),0.852931807719771},
{new DateTime(2026,03,16),0.832545151400381},
{new DateTime(2028,03,15),0.791512055524562},
{new DateTime(2031,03,17),0.73308525037499},
{new DateTime(2036,03,17),0.644457551104283},
{new DateTime(2041,03,15),0.568653627389078},
{new DateTime(2046,03,15),0.503610865260006},
{new DateTime(2056,03,15),0.398730962090625}
};
var forecastCurve = forecastCurves[new DateTime(2016, 3, 11)];
System.Diagnostics.Debug.WriteLine("Processing curve points");
foreach (var kvp in usd3mLibor)
{
DateTime d8 = kvp.Key;
double val = kvp.Value;
Assert.LessOrEqual(Math.Abs(val - forecastCurve.CurveMap[d8]), Math.Pow(10,-8), "Discount Factors differ on " + d8.ToShortDateString() + " Test = " + val.ToString() + ", OT = " + forecastCurve.CurveMap[d8].ToString());
System.Diagnostics.Debug.WriteLine("{0}: {1}", d8, val);
}
}
//---------------------------------------------------------------------------------------------------------
//[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();
}
}
//---------------------------------------------------------------------------------------------------------
//[Test]
public void SpreadSeries()
//---------------------------------------------------------------------------------------------------------
{
// Params.
DateTime start = new DateTime(2016, 2, 28);
DateTime end = new DateTime(2016, 3, 18);
List<String> tickers = new List<string>() { "TUH6", "TUM6", "TUU6","TU.Front" };
// 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);
//Swap.
var swapBuilder = new SwapCurveSeriesBuilder(start, end, forecastCurveName, discountCurveName, ccy, mCarbonClient, calendarcode);
swapBuilder.buildAllCurves();
//swapBuilder.DiscountCurves[new DateTime(2016, 03, 18)].PrintDump();
swapBuilder.ForecastCurves[new DateTime(2016, 03, 18)].PrintDump();
// Futures.
var seriesBuilder = new FuturesSeriesBuilder(tickers, start, end, calendarcode, 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 try to index 1 Mar
if (output != null)
{
var spreadVals = output.SpreadValues;
var myList = spreadVals.RowKeys.ToList();
Console.WriteLine("Key List: {0}", myList);
// Try on individual series
Dictionary<string/*colname*/, Series<DateTime,object>/*actualsrs*/> tmp = new Dictionary<string, Series<DateTime, object>>();
foreach (string colname in spreadVals.ColumnKeys)
{
tmp[colname] = spreadVals.Columns[colname].FillMissing("#N/A");
}
spreadVals = Frame.FromColumns(tmp);
//spreadVals.FillMissing("#N/A").Print();
var row = spreadVals.GetRow<string>(new DateTime(2016, 03, 01));
Console.WriteLine("Row values");
row.Print();
}
}