public BondSpreadWcfService(BondSpreadService bondSpreadService, BondSpreadServiceModel serviceModel, BondSpreadCalculator serviceCalculator, InterestCurves curves)
{
Log.Info("BondSpreadWcfService initialized!");
this.bondSpreadService = bondSpreadService;
this.serviceModel = serviceModel;
this.serviceCalculator = serviceCalculator;
this.curves = curves;
}
public void ShouldGiveCorrectBondLivePricesWithoutRicSubscription()
{
AutoResetEvent reset = new AutoResetEvent(false);
DIContainer.RegisterSingletonType<FutureBuilder>();
Mock<IRepoAssumptions> mockRepo = new Mock<IRepoAssumptions>();
mockRepo.Setup(t => t.LoadDefaultRepo());
//DIContainer.GetInstance().RegisterType<ForwardBuilder>(new InjectionConstructor(mockRepo.Object));
DIContainer.RegisterSingletonType<BondSpreadServiceModel>();
DIContainer.RegisterSingletonType<BondSpreadCalculator>();
DIContainer.RegisterSingletonType<CurveBuilder>();
DIContainer.RegisterSingletonType<FutureBuilder>();
DIContainer.RegisterSingletonType<FutureEnrichment>();
var bondSpreadServiceModel = DIContainer.Resolve<BondSpreadServiceModel>();
var curveBuilder = DIContainer.Resolve<CurveBuilder>();
var futureBuilder = DIContainer.Resolve<FutureBuilder>();
var futureEnrichment = DIContainer.Resolve<FutureEnrichment>();
var forwardBuilder = new ForwardBuilder(futureBuilder, mockRepo.Object);
var curves = new InterestCurves(curveBuilder);
var bondspreadcalc = new BondSpreadCalculator(bondSpreadServiceModel, curveBuilder, futureBuilder, futureEnrichment, forwardBuilder, curves);
bondspreadcalc.GetMarketDataStreamFromCarbon("US912828P956", new[] { "Bid", "Ask" });
bondspreadcalc.BondPriceObservable()
.Subscribe(ProcessMethod);
reset.WaitOne(TimeSpan.FromMinutes(1));
}
public void EnrichFuture(Future futures, Dictionary<DateTime, double> oisCurveLive, Dictionary<DateTime, double> liborCurveLive,
Dictionary<DateTime, double> oisCurve, Dictionary<DateTime, double> liborCurve,
BondSpreadCalculator bondSpreadCalculator)
{
// can throw exceptions
// default country to US
var eCountry = BondAnalytics.Country.US;
// obtain delivery date
futures.Delivery = EnrichDeliveryDate(futures);
RealTimeBondData bondData;
// go to the calculator cache to obtain bond prices.
bondSpreadCalculator.GetBondPrices().TryGetValue(futures.RTTicker, out bondData);
futures.LivePrice = double.NaN;
if (bondData != null)
{
futures.LivePrice = (bondData.Bid + bondData.Ask)/2;
futures.LivePriceTimeUtc = bondData.UtcTime;
}
double closePrice;
if (!histPriceCache.TryGetValue(futures.RTTicker, out closePrice))
{
//**** only fetch closes from symmetry service for front and back month contract in order to reduce hammering the service too much
// this logic could be removed when closes have migrated to carbon
var futureDateCode = FutureContractCode(futures.Contract);
if (futureDateCode == _futureBuilder.FrontTicker || futureDateCode == _futureBuilder.BackTicker)
{
//var histPriceObj = bondServiceModel.GetHistoryPrice(futures.Contract + " Comdty", _futureBuilder.AsOfDate, "Close");
//closePrice = histPriceObj != null ? histPriceObj.Price : double.NaN;
closePrice = bondServiceModel.GetCarbonHistoryPrice(futures.Contract + " Comdty", _futureBuilder.AsOfDate);
if (!double.IsNaN(closePrice))
histPriceCache[futures.RTTicker] = closePrice;
}
else
{
// not front and back contract, skip close
Log.InfoFormat("close price skipped for future {0}", futures.Contract);
closePrice = double.NaN;
}
}
else
closePrice = histPriceCache[futures.RTTicker];
futures.ClosePrice = closePrice;
// get CTD static data
RealTimeBondData ctdData=null;
if (!string.IsNullOrEmpty(futures.CTDRic))
bondSpreadCalculator.GetBondPrices().TryGetValue(futures.CTDRic, out ctdData);
else
Log.ErrorFormat("no CTD ric found for future {0}, please ensure its setup in the BSServiceClient tool", futures.Contract);
// either get from carbon or override
var ctdRecord = FetchSavedCTDFromMongo(futures.Contract);
// validation check
// if no ctd override and carbon data, we cannot proceed further
if ((ctdData == null || string.IsNullOrEmpty(ctdData.BKGD_REF)) &&
(ctdRecord == null || string.IsNullOrEmpty(ctdRecord.CTDCusip)))
{
Log.ErrorFormat("no ctd override and carbon data, we cannot proceed further for {0}", futures.Contract);
return;
}
futures.CTDReuters =(ctdRecord == null || string.IsNullOrEmpty(ctdRecord.CTDCusip)) ? ctdData.BKGD_REF.TrimEnd('=') : ctdRecord.CTDCusip.TrimEnd('=');
BondStatic ctdStatic;
if (futureStaticCache.ContainsKey(futures.CTDReuters))
ctdStatic = futureStaticCache[futures.CTDReuters];
else
{
ctdStatic = bondServiceModel.GetSingleSecurityMetadata(futures.CTDReuters);
futureStaticCache[futures.CTDReuters] = ctdStatic;
}
futures.CTD = ctdStatic.MLP;
futures.IssueDate = DateTime.FromOADate(ctdStatic.IssueDate);
futures.Maturity = DateTime.FromOADate(ctdStatic.Maturity);
futures.Coupon = ctdStatic.Coupon;
// beware that the delivery date used to compute conversion factor is from the long dated future, therefore we need to roll back 3 days for short dated futures
var deliveryDateUsedForConvFactor = (futures.IsShortLong == ShortLongFuture.ShortDated) ? bondServiceModel.RollDate(futures.Delivery, -3, DateUnit.Bd ,
BusinessDayConvention.Following, "USNY").ContinueWith(a => a.Result.ToDateTime()).Result
: futures.Delivery;
futures.ConvFator = BondAnalytics.CalcBondCF(futures.Coupon, futures.IssueDate, DateTime.MinValue, futures.Maturity, deliveryDateUsedForConvFactor, futures.Header, 0.0);
// ctd bond
if (double.IsNaN(futures.LivePrice))
{
futures.BondPriceLive = double.NaN;
futures.FwdYieldLive = double.NaN;
}
else
{
futures.BondPriceLive = futures.LivePrice * futures.ConvFator;
futures.FwdYieldLive = BondAnalytics.SolveYield(eCountry, futures.Delivery, futures.BondPriceLive, DateTime.MinValue, DateTime.MinValue, futures.Maturity, futures.Coupon, 6).First();
}
futures.BondPriceClose = futures.ClosePrice*futures.ConvFator;
futures.FwdYieldClose = BondAnalytics.SolveYield(eCountry, futures.Delivery, futures.BondPriceClose, DateTime.MinValue,DateTime.MinValue, futures.Maturity, futures.Coupon, 6).First();
if (liborCurveLive != null)
{
Log.DebugFormat("deliver{0} mat{1} oiscurve{2} libor{3}", futures.Delivery, futures.Maturity, oisCurve.Keys.Select(d => d.ToString("yyyy-MM-dd")).ToArray().JoinStrings(";"), liborCurveLive.Keys.Select(d => d.ToString("yyyy-MM-dd")).ToArray().JoinStrings(";"));
futures.LMMSLive = BondAnalytics.CalcMMS(futures.Delivery, futures.Maturity, BondAnalytics.DayCountType.I30360, 6, 3, oisCurve.Keys.ToArray(),oisCurve.Values.ToArray(),
liborCurveLive.Keys.ToArray(), liborCurveLive.Values.ToArray(), null, null, null, null, null, null, DateTime.MinValue);
}
futures.LMMSClose = BondAnalytics.CalcMMS(futures.Delivery, futures.Maturity, BondAnalytics.DayCountType.I30360, 6, 3, oisCurve.Keys.ToArray(), oisCurve.Values.ToArray(),
liborCurve.Keys.ToArray(), liborCurve.Values.ToArray(), null, null, null, null, null, null, DateTime.MinValue);
if (oisCurveLive != null)
futures.OISMMSLive = BondAnalytics.CalcMMS(futures.Delivery, futures.Maturity, BondAnalytics.DayCountType.I30360, 12, 12, oisCurve.Keys.ToArray(), oisCurve.Values.ToArray(),
oisCurveLive.Keys.ToArray(), oisCurveLive.Values.ToArray(), null, null, null, null, null, null, DateTime.MinValue);
futures.OISMMSClose = BondAnalytics.CalcMMS(futures.Delivery, futures.Maturity, BondAnalytics.DayCountType.I30360, 12, 12, oisCurve.Keys.ToArray(), oisCurve.Values.ToArray(),
oisCurve.Keys.ToArray(), oisCurve.Values.ToArray(), null, null, null, null, null, null, DateTime.MinValue);
futures.CanComputeSpread = true;
}
