public async Task<BondMeasureCalcSpreadsOverCurve> CreateFullMeasuresCalculator(SwapCurve curve_, CarbonClient cc_)
{
return await BondMeasureCalcSpreadsOverCurve.Create(
bond_: m_bond,
swapcurve_: curve_,
updateThis_: new BondMeasures(m_bond),
listenToThis_: m_measures,
cc_: cc_,
settleDate_: SettleDate,
dateContext_: DateContext);
}
private BondMeasureCalcSpreadsOverCurve(
Bond bond_,
SwapCurve swapcurve_,
AsOfAndSpotSettle dateContext_,
DateTime settleDate_,
BondMeasures updateThis_,
BondMeasures listenToThis_
) : base(bond_,dateContext_,settleDate_,updateThis_)
{
SwapCurve = swapcurve_;
m_listenToThisDisp = listenToThis_.Subscribe(listenToUpdated);
m_myMeasuresDisp = updateThis_.Subscribe(myMeasuresUpdated);
}
private async Task initiate(BondMarket market_, SwapCurve curve_, CarbonClient cc_)
{
m_priceYields =
market_.Bonds.Where(x => x.Value.Maturity > SettleDate)
.Select(x => x.Value.CreatePriceYield(DateContext, SettleDate));
var list = new List<BondMeasureCalcSpreadsOverCurve>();
foreach (var v in m_priceYields)
list.Add(await v.CreateFullMeasuresCalculator(curve_, cc_));
m_spreads = list;
//m_spreads = m_priceYields.Select(x => x.CreateFullMeasuresCalculator(curve_, cc_));
m_values = m_spreads.ToDictionary(x => x.Measures.Bond.Isin, x => x.Measures);
}
public static double CalcMMS(Bond bond_, SwapCurve swapCurve_, DateTime settleDate_, Tuple<DateTime[], double[]> fcs, Tuple<DateTime[], double[]> dis)
{
var conv = swapCurve_.GetConventions();
return BondAnalytics.CalcMMS(
startDate: settleDate_,
maturityDate: bond_.Maturity,
dctType: conv.DayCount,
fixedFreq: conv.FixedFreq,
floatFreq: conv.FloatFreq,
discCurveDates: dis.Item1,
discDfs: dis.Item2,
fcstCurveDates: fcs.Item1,
fcstDfs: fcs.Item2,
holidays: null,
stubExpiries: null,
stubTenors: null,
stubValues: null,
fixingTenors: null,
fixings: null,
firstCpnDate: bond_.FirstCouponDate,
blendIndex: 0);
}
public CMT CreateCMTImpl(BondMeasure field_, BondMarketPricer pricer_, SwapCurve curve_)
{
return new CMT(
structure_: this,
initialField_: field_,
curve_: curve_,
pricer_: pricer_);
}
public async Task<CMT> CreateCMTImpl(BondMeasure field_, AsOfAndSpotSettle asOfAndSpotSettle_, DateTime settleDate_, SwapCurve curve_, CarbonClient cc_)
{
var pricer = await BondMarketPricer.Create(Market, curve_, asOfAndSpotSettle_, settleDate_, cc_);
return new CMT(
structure_: this,
initialField_: field_,
curve_: curve_,
pricer_: pricer
);
}
public static double CalcMMS(Bond bond_, SwapCurve swapCurve_, DateTime settleDate_, IRCurveImpl forecastCurve_, IRCurveImpl discountCurve_)
{
return CalcMMS(bond_, swapCurve_, settleDate_, forecastCurve_.GetValues(), discountCurve_.GetValues());
}
public static async Task<BondMeasureCalcSpreadsOverCurve> Create(
Bond bond_,
SwapCurve swapcurve_,
AsOfAndSpotSettle dateContext_,
DateTime settleDate_,
BondMeasures updateThis_,
BondMeasures listenToThis_,
CarbonClient cc_
)
{
var impl = new BondMeasureCalcSpreadsOverCurve(bond_, swapcurve_, dateContext_, settleDate_, updateThis_,
listenToThis_);
await impl.initiate(cc_,listenToThis_);
return impl;
}
public static async Task<BondMarketPricer> Create(BondMarket market_, SwapCurve curve_, AsOfAndSpotSettle dateContext_, DateTime settleDate_, CarbonClient cc_)
{
var ret = new BondMarketPricer(dateContext_, settleDate_);
await ret.initiate(market_, curve_, cc_);
return ret;
}
