public IntraCountryFlyMenuItem(string[] folderPath_, string text_, BondMarket market_, FlyWeightingMethod method_, int historyWinLength_)
: base(folderPath_,text_)
{
Market = market_;
WeightingMethod = method_;
HistoryWindowLength = historyWinLength_;
}
public CrossMarketFlyMenuItem(string[] folderPath_, string text_, int tenor_, int historyLength_, BondMarket[] markets_, FlyWeightingMethod method_)
: base(folderPath_, text_)
{
Tenor = tenor_;
Markets = markets_;
WeightingMethod = method_;
HistoryLength = historyLength_;
}
public static double[] GetFlyWeightings(BondAnalysisLine A_, BondAnalysisLine B_, BondAnalysisLine C_, FlyWeightingMethod method_ = FlyWeightingMethod.Standard, int history_ = 100)
{
switch (method_)
{
case FlyWeightingMethod.Standard:
{
return new[] {Bfly_Wing, Bfly_Belly, Bfly_Wing};
}
case FlyWeightingMethod.Value:
{
var Avals =
A_.GetHistoricValuesForField(BondField.YieldLive)
.GetEndValues(history_ + 1)
.GetSubValues<double>(excludeFunction_: double.IsNaN);
var Bvals =
B_.GetHistoricValuesForField(BondField.YieldLive)
.GetEndValues(history_ + 1)
.GetSubValues(excludeFunction_: double.IsNaN);
var Cvals =
C_.GetHistoricValuesForField(BondField.YieldLive)
.GetEndValues(history_ + 1)
.GetSubValues(excludeFunction_: double.IsNaN);
var CminusB = Cvals.Minus(Bvals).ToDifferences().Stdev();
var BminusA = Bvals.Minus(Avals).ToDifferences().Stdev();
var ratio = CminusB/BminusA;
return new double[]
{
ratio/(ratio+1d),
1d,
1d/(ratio+1d)
};
}
case FlyWeightingMethod.PCAyield:
case FlyWeightingMethod.PCAasw:
{
var Avals =
A_.GetHistoricValuesForField(method_==FlyWeightingMethod.PCAyield ? BondField.YieldLive : BondField.ASWLive)
.GetEndValues(history_ + 1)
.GetSubValues<double>(excludeFunction_: double.IsNaN);
var Bvals =
B_.GetHistoricValuesForField(method_ == FlyWeightingMethod.PCAyield ? BondField.YieldLive : BondField.ASWLive)
.GetEndValues(history_ + 1)
.GetSubValues(excludeFunction_: double.IsNaN);
var Cvals =
C_.GetHistoricValuesForField(method_ == FlyWeightingMethod.PCAyield ? BondField.YieldLive : BondField.ASWLive)
.GetEndValues(history_ + 1)
.GetSubValues(excludeFunction_: double.IsNaN);
var inlineDates = new[] {Avals, Bvals, Cvals}.IntersectDatesKeepSeparate();
var dblArr = new double[inlineDates[0].Length, 3];
for(int i=0;i<inlineDates[0].Length;++i)
for (int j = 0; j < 3; ++j)
dblArr[i, j] = inlineDates[j].Data[i];
var pcaWeights = Symmetry.Analytics.PCA.CalculateOptimalHedgeRatios(dblArr, false, 3,
new double?[] {null, 1d, null});
return pcaWeights;
}
}
return null;
}
public static async void CreateIntraCountryOTRFlies(string[] folderPath_, BondMarket market_, FlyWeightingMethod method_, int historyWinLength_)
{
BondAnalysisLine a, b, c;
var definitions = new List<BondStructureDefinition>();
foreach (var flySet in StructureConfigs.IntraCountryButterflies)
{
var aOTR = CountryBondSource.GetInstance(market_).OTRCache.GetTenor(flySet[0]);
if (aOTR == null || (a = aOTR.Instantiation) == null) continue;
var bOTR = CountryBondSource.GetInstance(market_).OTRCache.GetTenor(flySet[1]);
if (bOTR == null || (b = bOTR.Instantiation) == null) continue;
var cOTR = CountryBondSource.GetInstance(market_).OTRCache.GetTenor(flySet[2]);
if (cOTR == null || (c = cOTR.Instantiation) == null) continue;
var wts = StructureWeightings.GetFlyWeightings(a, b, c, method_, historyWinLength_);
string suffix = string.Empty;
switch (method_)
{
case FlyWeightingMethod.PCAyield:
suffix = " PCAy";
break;
case FlyWeightingMethod.PCAasw:
suffix = " PCAa";
break;
case FlyWeightingMethod.Value:
suffix = " Value";
break;
}
definitions.Add(new BondStructureDefinition()
{
FolderTree = folderPath_,
Items = new System.ComponentModel.BindingList<BondStructureDefinitionItem>(new[]
{
BondStructureDefinitionItem.GetDefinition(a,wts[0]),
BondStructureDefinitionItem.GetDefinition(b,wts[1]),
BondStructureDefinitionItem.GetDefinition(c,wts[2]),
}),
Name = string.Format("{0} [{1}] [{2}] [{3}]{4}",
market_,
string.Format("{0} {1}", wts[0].ToString("##0.0#"), a.Maturity.ToString("MM-yy")),
string.Format("{0} {1}", wts[1].ToString("##0.0#"), b.Maturity.ToString("MM-yy")),
string.Format("{0} {1}", wts[2].ToString("##0.0#"), c.Maturity.ToString("MM-yy")),
suffix),
Owner = SymmetryEnvironment.UserName
});
}
await Singleton<BondStructureDefinitionCache>.Instance.AddOrUpdateDefinitions(definitions);
}