private static void import(SymmetryEntities dc_, AuctionInfo info_)
{
var cusipIdentifier = findCusipIdentifier(dc_, info_);
if (cusipIdentifier == null) return;
// take the opportunity to update the coupon if it's different
if (cusipIdentifier.FI != null
&& cusipIdentifier.FI.FIBond != null
&& info_.Coupon.HasValue
&& Math.Abs(Convert.ToDouble(cusipIdentifier.FI.FIBond.Coupon) - info_.Coupon.Value) > 1e-3)
{
SLog.log.InfoFormat("Changing coupon of {0} from {1} to {2}", cusipIdentifier.Identifier,
cusipIdentifier.FI.FIBond.Coupon, info_.Coupon);
cusipIdentifier.FI.FIBond.Coupon = Convert.ToDecimal(info_.Coupon.Value);
FIChangeTracking.SetModified(cusipIdentifier.FI.FIBond, dc_);
dc_.SaveChanges();
}
bool found = false;
foreach (var auction in dc_.FIBondAuctions.Where(x => x.FIID == cusipIdentifier.FIID))
{
if (auction.AuctionDate == info_.AuctionDate.Value)
{
//SLog.log.DebugFormat("Auction already set up for {0} on {1}", info_.Cusip, info_.AuctionDate.Value);
if (!auction.EffectiveDate.HasValue)
{
SLog.log.InfoFormat("Updating auction effective date to {0}", info_.IssueDate.Value);
auction.EffectiveDate = info_.IssueDate.Value;
FIChangeTracking.SetModified(auction, dc_);
}
found = true;
break;
}
}
if (found)
{
dc_.SaveChanges();
return;
}
SLog.log.InfoFormat("Setting up auction for {0} on {1}", info_.Cusip, info_.AuctionDate.Value);
var newAuction = new FIBondAuction()
{
FIID = cusipIdentifier.FIID,
FIBond = dc_.FIBonds.FirstOrDefault(x => x.FIID == cusipIdentifier.FIID),
AuctionDate = info_.AuctionDate.Value,
EffectiveDate = info_.IssueDate.Value,
Term = info_.Term.Value
};
dc_.FIBondAuctions.Add(newAuction);
dc_.SaveChanges();
}
public static void Go(bool makeChanges_=false)
{
string path = @"e:\TreasuryOTRHistory.csv";
var missingBonds = new List<MissingBond>();
using (var dc = SymmetryDataSource.ReadWrite())
{
var earliestMaturity = new DateTime(2008, 1, 1);
foreach (var l in CsvFile.Read<Line>(path).Where(x=>x.MaturityAsDate>=earliestMaturity))
{
var cusipIdentifier =
dc.FIIdentifiers.FirstOrDefault(
x => String.Compare(l.CUSIP, x.Identifier, StringComparison.OrdinalIgnoreCase) == 0);
if (cusipIdentifier == null)
{
// can we find by assuming that the cusip is contained with the ISIN...
var fi = dc.FIs.FirstOrDefault(x => x.InstrumentType == Symmetry.Data.Enums.InstrumentType.Bond
&& x.SymmetryCode.Contains(l.CUSIP));
if (fi == null)
{
Logger.Error(string.Format("Couldn't find a bond for cusip={0}, Term={1}", l.CUSIP,l.Term),
typeof(ProcessUSTreasuryAuctionsFile));
missingBonds.Add(new MissingBond {CUSIP = l.CUSIP, Maturity=l.MaturityString});
continue;
}
if (!makeChanges_) continue;
// we need to create a cusip identifier too
cusipIdentifier = new FIIdentifier()
{
FIID = fi.FIID,
FI = fi,
Identifier = l.CUSIP,
IdentifierType = Symmetry.Data.Enums.IdentifierType.CUSIP
};
Logger.Info(string.Format("Adding in cusip identifer for bond={0} (cusip={1})", fi.SymmetryCode, l.CUSIP),
typeof (ProcessUSTreasuryAuctionsFile));
dc.FIIdentifiers.Add(cusipIdentifier);
}
if (!makeChanges_)
continue;
bool found = false;
foreach (var auction in dc.FIBondAuctions.Where(x => x.FIID == cusipIdentifier.FIID))
{
if (auction.AuctionDate == l.AuctionDateAsDate)
{
Logger.Info(string.Format("Auction already set up for {0} on {1}", l.CUSIP, l.AuctionDateAsDate),
typeof (ProcessUSTreasuryAuctionsFile));
if (!auction.EffectiveDate.HasValue)
{
Logger.Info(string.Format("Updating effectivedate"), typeof (ProcessUSTreasuryAuctionsFile));
auction.EffectiveDate = l.IssueDateAsDate;
FIChangeTracking.SetModified(auction, dc);
}
found = true;
break;
}
}
if (found)
continue;
Logger.Info(string.Format("Setting up auction for {0} on {1}", l.CUSIP, l.AuctionDateAsDate),
typeof (ProcessUSTreasuryAuctionsFile));
var newauction = new FIBondAuction()
{
FIID = cusipIdentifier.FIID,
FIBond = dc.FIBonds.FirstOrDefault(x => x.FIID == cusipIdentifier.FIID),
AuctionDate = l.AuctionDateAsDate,
EffectiveDate=l.IssueDateAsDate,
Term = Convert.ToInt32(Math.Round((l.MaturityAsDate - l.AuctionDateAsDate).TotalDays/365.2, 0))
};
dc.FIBondAuctions.Add(newauction);
}
if(makeChanges_) dc.SaveChanges();
}
if (missingBonds.Count > 0)
missingBonds.ToCsv(@"e:\missingUSBonds.csv");
}
