public void EnsureBondInMarket(string market_, MongoBond bond_)
{
if (bond_ == null) return;
if (!_cache.ContainsKey(market_))
{
// make sure we've tried to get from the server first
GetBondsForMarket(market_);
if(!_cache.ContainsKey(market_))
_cache[market_] = new List<MongoBond>();
}
if (!_cache[market_].Contains(bond_))
_cache[market_].Add(bond_);
}
public static IEnumerable<KeyValuePair<string, double>> GetHistoricValues(
BondMarket market_,
MongoBond bond_,
double price_,
DateTime asOf_,
CarbonClient client_,
string pricingSetup_="Sym_LIBOR"
)
{
try
{
var baseBondId = getBaseBondID(market_, bond_.Maturity);
var result = client_.PriceBondAsync(
baseBondId: (long)baseBondId,
issueDate: DateConversions.ToNodaLocalDate(bond_.IssueDate),
maturityDate: DateConversions.ToNodaLocalDate(bond_.Maturity),
coupon: bond_.Coupon / 100d,
asof: asOf_,
pricingSetup: pricingSetup_,
quantity: 1000000d,
stubDate: DateConversions.ToNodaLocalDate(bond_.FirstCouponDate),
price: price_).Result;
if (result.Results.Any(x => double.IsNaN(x.Value)))
{
Logger.Error(
string.Format("At least one Null value returned from carbon Date={0}, Market={1}", asOf_.ToString("dd-MMM-yyyy"),
market_), typeof(CarbonHistoricRetriever));
}
return result.Results;
}
catch (Exception ex_)
{
Logger.Error("Error pricing bond", typeof(CarbonHistoricRetriever), ex_);
return null;
}
}
private static void stage1_getBondValuesFromCarbon(BondMarket market_, IEnumerable<SI.Data.Bond> bonds_, DateTime date_, CarbonClient client_)
{
foreach (var bond in bonds_)
{
var coll = Singleton<Mongo.MongoBondCache>.Instance.GetBondsForMarket(bond.Market);
MongoBond mBond = null;
if (coll.Count > 0)
mBond =
coll.FirstOrDefault(x => string.Compare(bond.SymmetryCode, x.Isin, StringComparison.OrdinalIgnoreCase) == 0);
if (mBond == null)
{
Logger.Info(string.Format("Adding in bond with isin = {0}", bond.SymmetryCode), typeof (DataBuilder));
mBond = new MongoBond()
{
Coupon = bond.Coupon,
DisplayName = bond.DisplayName,
Isin = bond.SymmetryCode,
Market = bond.Market,
Maturity = bond.Maturity.Value,
Term = bond.Term.Value,
IssueDate = bond.IssueDate ?? DateTime.MinValue,
FirstCouponDate = bond.FirstCouponDate ?? DateTime.MinValue,
EffectiveDate=bond.EffectiveDate ?? DateTime.MinValue,
};
{
var refData = BbgTalk.HistoryRequester.GetReferenceData(string.Format("{0} Govt", bond.SymmetryCode),
"AMT_ISSUED", null);
if (refData.AllResult.Count > 0)
mBond.Issuance = refData.GetValue<double>("AMT_ISSUED");
}
mBond.Changed = true;
Singleton<Mongo.MongoBondCache>.Instance.EnsureBondInMarket(bond.Market, mBond);
}
else
{
// maintain dates
if (bond.FirstCouponDate.HasValue && bond.FirstCouponDate.Value != mBond.FirstCouponDate)
{
mBond.FirstCouponDate = bond.FirstCouponDate.Value;
mBond.Changed = true;
}
if (bond.IssueDate.HasValue && bond.IssueDate.Value != mBond.IssueDate)
{
mBond.IssueDate = bond.IssueDate.Value;
mBond.Changed = true;
}
if (bond.EffectiveDate.HasValue && bond.EffectiveDate.Value != mBond.EffectiveDate)
{
mBond.EffectiveDate = bond.EffectiveDate.Value;
mBond.Changed = true;
}
}
//mBond.IsBenchmark = (benchIsins != null && benchIsins.ContainsValue(mBond.Isin.ToUpper()));
double? price = null;
// may have to use MLP price if not there
if (!price.HasValue)
{
var prices = bond.GetPrice("MLP", "MLP", 1);
if (prices != null && prices.HasDate(date_))
price = prices.ValueOnExactDate(date_);
}
// try to get the 'price' value from SYM.LDN
if (!price.HasValue)
{
var prices = bond.GetPrice("SYM", market_==BondMarket.US ? "NYK" : "LDN", 1);
if (prices != null && prices.HasDate(date_))
price = prices.ValueOnExactDate(date_);
}
if (!price.HasValue)
{
Logger.Error(
string.Format("Price value not found for bond={0} on date={1}", bond.SymmetryCode,
date_.ToString("dd-MMM-yyyy")), typeof(DataBuilder));
continue;
}
var flds = CarbonHistoricRetriever.GetHistoricValues(market_, bond, price.Value / 100d, date_.Date.AddHours(23).AddMinutes(59),
client_);
if (flds == null)
{
Logger.Error(
string.Format("Failure to get values from Carbon/OT for {0} on {1}", bond.SymmetryCode,
date_.ToString("dd-MMM-yyyy")), typeof (DataBuilder));
continue;
}
var ts = new TimeSeriesLine {CleanPrice = price.Value};
foreach (var kvp in flds)
{
switch (kvp.Key)
{
case CarbonFields.ASWpp:
ts.ASWpp = kvp.Value;
break;
case CarbonFields.ASWyy:
ts.ASWyy = kvp.Value;
break;
case CarbonFields.Yield:
ts.Yield = kvp.Value;
break;
case CarbonFields.ZSpread:
ts.ZSpread = kvp.Value;
break;
case CarbonFields.ZSpread01:
ts.ZSpread01 = kvp.Value;
break;
case CarbonFields.YieldBPV:
ts.YieldBPV = kvp.Value;
break;
case CarbonFields.ModifiedDuration:
ts.ModDuration = kvp.Value;
break;
case CarbonFields.DirtyPrice:
ts.DirtyPrice = kvp.Value * 100d;
break;
}
}
if (mBond.TimeSeries == null)
{
mBond.TimeSeries = new DatedDataCollectionGen<TimeSeriesLine>(
new[] { date_ },
new[] { ts }
);
}
else
{
mBond.TimeSeries.SetValueOnDate(date_, ts);
}
mBond.Changed = true;
Singleton<Mongo.MongoBondCache>.Instance.EnsureBondInMarket(bond.Market, mBond);
}
}
// public static IEnumerable<KeyValuePair<string,double>> GetForwardValues(
// BondMarket markets_,
// SI.Data.Bond bond_,
// double cleanPriceInPercent_,
// CouponPaymentFrequency freq_,
// DateTime settleDate_,
// DateTime forwardDate_,
// double repoRateInPercent_
//)
// {
// var fwdPrice = FwdPriceCalculator.GetForwardPrice(bond_.IssueDate.Value, bond_.Maturity.Value, cleanPriceInPercent_,
// bond_.Coupon, freq_, settleDate_,
// forwardDate_, repoRateInPercent_);
// var vals = CarbonHistoricRetriever.GetHistoricValues(
// markets_: markets_,
// asOf_: forwardDate_,
// bond_: bond_,
// price_: fwdPrice / 100d,
// client_: CarbonSubscriber.GetInstance().GetCarbonClientInstance());
// return vals;
// }
/// <summary>
/// Get the forward values given the inputs
/// </summary>
/// <param name="market_"></param>
/// <param name="marketCode_"></param>
/// <param name="bond_"></param>
/// <param name="cleanPriceInPercent_">1.01 not 101.00</param>
/// <param name="freq_"></param>
/// <param name="settleDate_"></param>
/// <param name="forwardDate_"></param>
/// <param name="repoRateInPercent_">in decimals</param>
/// <returns></returns>
public static IEnumerable<KeyValuePair<string, double>> GetForwardValues(
BondMarket market_,
string marketCode_,
MongoBond bond_,
double cleanPriceInPercent_,
CouponPaymentFrequency freq_,
DateTime settleDate_,
DateTime forwardDate_,
double repoRateInPercent_
)
{
var fwdPrice = FwdPriceCalculator.GetForwardPrice(
effectiveDate_: bond_.IssueDate,
maturityDate_: bond_.Maturity,
firstCouponDate_:bond_.FirstCouponDate,
cleanPriceInPercent_: cleanPriceInPercent_,
couponInPercent_: bond_.Coupon,
freq_: freq_,
settleDate_: settleDate_,
repoRateInPercent_: repoRateInPercent_,
market_: market_,
forwardDate_: forwardDate_);
var vals = CarbonHistoricRetriever.GetHistoricValues(
market_: market_,
asOf_: forwardDate_,
bond_: bond_,
price_: fwdPrice / 100d,
client_: CarbonSubscriber.GetInstance().GetCarbonClientInstance());
return vals;
}