public void Refresh()
{
// going to get historical values from our database
ConstructGen<double> hist = new ConstructGen<double>(m_tickers.Count<string>());
for (int i = 0; i < m_tickers.Length; ++i)
{
var histvalues = BbgTalk.HistoryRequester.GetHistory(SI.Data.DataConstants.DATA_START, m_tickers[i],
"PX_LAST", false, null);
//histvalues = histvalues.unwind_1d();
hist.SetColumnValues(i, histvalues);
}
hist.SortKeys();
// initialise 'today's' values to previous day
hist.SetValues(DateTime.Today, (double[])hist.GetValues(hist.LastDate).Clone());
double[] avgs = new double[m_windowLength];
// initialise the avgs array NOTE: today's value is in item with index 0
for (int i = 0; i < m_windowLength; ++i)
avgs[i] = hist.GetValues(hist.Dates[hist.Dates.Count - 1 - i]).Average();
m_avgs = avgs;
m_liveValues = hist.GetValues(DateTime.Today);
}
protected ATMVolsRankGroup(FXGroup group_)
{
var currencies = Singleton<FXIDs>.Instance.Where(x => x.IsGroup(group_)).ToArray();
var oneWeek = new ConstructGen<double>(currencies.Select(x => x.Code).ToArray());
var oneMonth = new ConstructGen<double>(currencies.Select(x => x.Code).ToArray());
for (int i = 0; i < currencies.Length; ++i)
{
{
var vols = BbgTalk.HistoryRequester.GetHistory(DataConstants.DATA_START, currencies[i].AtTheMoneyVolTicker_1W, "PX_LAST", false);
oneWeek.SetColumnValues(i, vols);
}
{
var vols = BbgTalk.HistoryRequester.GetHistory(DataConstants.DATA_START, currencies[i].AtTheMoneyVolTicker_1M, "PX_LAST", false);
oneMonth.SetColumnValues(i, vols);
}
}
{
oneWeek.SortKeys();
var avg1W = oneWeek.AvgRows();
ATM_1W_Avg = avg1W;
ATM_1W_o6M = avg1W.ToPercentileRanked(126);
ATM_1W_o1Y = avg1W.ToPercentileRanked(252);
}
{
oneMonth.SortKeys();
var avg1M = oneMonth.AvgRows();
ATM_1M_Avg = avg1M;
ATM_1M_o6M = avg1M.ToPercentileRanked(126);
ATM_1M_o1Y = avg1M.ToPercentileRanked(252);
}
}
public static ConstructGen<double> TestOnCT()
{
var str = KnownStructure.US_WN;
var comps = new[]
{
new ChartComponent(),
new ChartComponent(),
new ChartComponent(),
};
var bondsRollMonthly = Generator.Go(cashBondRollOption_: Generator.CashBondRolling.Monthly);
var spreadsRollMonthly = new Dictionary<BondCurves, List<CTDLine<BondSpreads>>>();
spreadsRollMonthly[BondCurves.USD3mLibor] = Generator.GetSpreads(bondsRollMonthly, BondCurves.USD3mLibor, Generator.CashBondRolling.Monthly);
var cdRollMonthly = new ChartDataSource(comps, spreadsRollMonthly, bondsRollMonthly);
var impl = StructureFactory.GetStructure(str);
impl.Configure(comps);
var data = cdRollMonthly.GetData().SmoothedData.GetEndValues(650);
var con = new ConstructGen<double>(1);
con.SetColumnValues(0, data);
return con;
}
public static ConstructGen<double> getOHLCSeriesFromBbg(DateTime firstDate_, string ticker_, bool insertNan_ = true)
{
var ret = new ConstructGen<double>(new string[] { "PX_OPEN", "PX_HIGH", "PX_LOW", "PX_CLOSE_1D" });
DateTime[] bbgDates = null;
for (int i = 0; i < ret.ColumnHeadings.Length; ++i)
{
DateTime start;
if (i == 3)
start = firstDate_.AddDays(1);
else
start = firstDate_;
var b = BbgTalk.HistoryRequester.GetHistory(start, ticker_, ret.ColumnHeadings[i], false);
if (b == null || b.Length == 0)
{
throw new Exception(string.Format("No data retrieved for given ticker '{0}'", ticker_.ToUpper()));
}
else
b = HelperMethods.ensureAllWeekdays(b, insertNan_);
if (i == 3)
{
var closeData = bbgDates.Length > b.Dates.Length ? b.Data : b.Data.Skip(1).ToArray();
ret.SetColumnValues(i, bbgDates.SkipLast().ToArray(), closeData);
}
else
{
ret.SetColumnValues(i, b.Dates, b.Data);
bbgDates = b.Dates;
}
}
foreach (var d in ret.Dates.OrderByDescending(d => d))
{
if (ret.GetValue(d, 3) == 0)
{
ret.RemoveValues(d);
}
else break;
}
return ret;
}
public static ConstructGen<PairTrade> CalculateWeights(ComID[] commodities_)
{
// calculate the weighting
var con = new ConstructGen<PairTrade>(commodities_.Select(x => x.Name).ToArray());
for (int i = 0; i < con.ArrayLength; ++i)
con.SetColumnValues(i, CalculateWeights(commodities_[i]));
if (con.NeedsToSortKeys())
con.SortKeys();
return con;
}
public static void Collate(BondMarket market_=BondMarket.US)
{
var allTenors = SI.ExtensionMethods.CreateArray(1, 30, x => x + 1);
var con = new ConstructGen<double>(allTenors.Select(x => string.Format("cmt_{0}", x)).ToArray());
for (int i = 0; i < allTenors.Length; ++i)
{
var cr = Get(market_, allTenors[i]);
if (cr == null) continue;
con.SetColumnValues(i, cr.Values.GetColumnValuesAsDDC((int) CMTCarry.ColPosition.Carry));
}
con.WriteToCSV(string.Format(@"e:\temp\CMTCarry_{0}.csv", market_));
}
private static ConstructGen<double> expandToFullUniverse(ConstructGen<double> input_)
{
if (input_.ArrayLength == Singleton<FXIDs>.Instance.Count)
return input_;
System.Diagnostics.Debug.Assert(input_.ColumnHeadings != null, "Column Headings not set on ConstructGen<double> wts, therefore can't ascertain securities");
ConstructGen<double> ret = new ConstructGen<double>(Singleton<FXIDs>.Instance.Count);
ret.ColumnHeadings = Singleton<FXIDs>.Instance.ColumnHeadings;
for (int i = 0; i < input_.ArrayLength; ++i)
{
Currency c = Singleton<FXIDs>.Instance[input_.ColumnHeadings[i]];
ret.SetColumnValues(c.ArrayIndex, input_.Dates.ToArray<DateTime>(), input_.GetColumnValues(i));
}
return ret;
}
protected override SI.ReturnsEval.DataSeriesEvaluator doPnl(TraderArgs args_, ConstructGen<double> wts_)
{
ConstructGen<double> allCcys = new ConstructGen<double>(Singleton<FXIDs>.Instance.ColumnHeadings);
for (int i = 0; i < args_.Products.Count; ++i)
{
ProductFX prod = (ProductFX)args_.Products[i];
allCcys.SetColumnValues(prod.CoreProduct.ArrayIndex, wts_.Dates.ToArray(), wts_.GetColumnValues(i));
}
var result = ReturnsFromFXWeights.DoIt_DailyWeights(allCcys);
var eval = new ReturnsEval.DataSeriesEvaluator("FX pnl", ReturnsEval.DataSeriesType.Returns);
if (args_.WtIndicators.Any())
eval.Name = string.Format("FX : {0}", args_.WtIndicators[0].ToString());
eval.AddInnerSeries(result.CombinedPnl.Dates.ToArray(), result.CombinedPnl.ToArray(), result.CombinedPnl.ColumnHeadings);
return eval;
}
public static ConstructGen<double> GetTestData()
{
var ret = new ConstructGen<double>(new string[] {"PX_OPEN", "PX_HIGH", "PX_LOW", "PX_CLOSE_1D"});
for (int i = 0; i < ret.ColumnHeadings.Length; ++i)
{
var s = BbgTalk.HistoryRequester.GetHistory(new DateTime(2015, 1, 1), "EUR CMPL CURNCY", ret.ColumnHeadings[i], false);
if (i == 3)
{
s = unwind_1d(s);
}
ret.SetColumnValues(i, s.Dates, s.Data);
}
ret.Dates.Remove(DateTime.Today);
return ret;
}
public static void GoMulti()
{
var data = DataRetriever.GetData(indexStart_: "ES", suffix_: "Index", contractIndex_: 1);
var listOfEvals = new List<ReturnsEval.DataSeriesEvaluator>();
foreach (var firstWindow in new[] {5, 10, 15, 20, 25, 50, })
{
var indic = new SI.Research.Technicals.MACross(firstWindow, firstWindow * 2);
var signals = indic.GenerateWeightSeries(data, null);
for (int i = 0; i < signals.Length; ++i)
signals.Data[i] = signals.Data[i] < 0d ? -1d : 1d;
signals = CollapseToChanges(signals);
if (false)
{
var con = new ConstructGen<double>(new[] { "Signal", "CleanPrice" });
con.SetColumnValues(0, signals);
foreach (var date in con.Dates)
con.SetValue(date, 1, data.ValueOnExactDate(date));
con.DisplayInGrid("changes with price levels");
}
//signals.DisplayInGrid("changes");
var pnl = GeneratePnl(data, signals);
var eval = new ReturnsEval.DataSeriesEvaluator(pnl.Dates, pnl.Data, string.Format("ES_{0}", firstWindow), ReturnsEval.DataSeriesType.Returns);
listOfEvals.Add(eval);
}
listOfEvals.Display("blah");
}
private void btnCombinePnl_Click(object sender, EventArgs e)
{
var all = spreadWeightGeneratorCollectionGrid1.ListOfGenerators;
if (all.Count() == 0) return;
ConstructGen<double> con = new ConstructGen<double>(all.Count());
con.ColumnHeadings = new string[con.ArrayLength];
for (int i = 0; i < con.ArrayLength; ++i)
{
var item = all.ElementAt(i);
con.ColumnHeadings[i] = item.ToString();
con.SetColumnValues(i, item.GetSimplePnl());
}
if (con.NeedsToSortKeys())
con.SortKeys();
var eval = new ReturnsEval.DataSeriesEvaluator("Combined", ReturnsEval.DataSeriesType.Returns);
eval.AddInnerSeries(con.Dates.ToArray(), con.ToArray(), con.ColumnHeadings);
eval.Display("Combined");
}
private static void ConstructTickerTrueSpreads(List<RollResults> results, ref ConstructGen<string> ticker, ref ConstructGen<double> spreads,
Func<RollResults, RollResultContractItem> GetResults, string headingTickerPostfix, string headingValuePostfix)
{
var resultItem = results.Where(r => GetResults(r) != null).ToArray();
if (resultItem.Any())
{
var content =
resultItem.Select(r => new { r.Identifier, GetResults(r).TrueSpread }).ToLookup(l => l.Identifier);
var lookupHeader = resultItem.Select(r => r.Identifier).ToArray();
ticker = new ConstructGen<string>(content.Count)
{
ColumnHeadings = resultItem.Select(r => r.Identifier + " " + headingTickerPostfix).ToArray()
};
spreads = new ConstructGen<double>(content.Count)
{
ColumnHeadings = resultItem.Select(r => r.Identifier + " " + headingValuePostfix).ToArray()
};
for (int i = 0; i < ticker.ArrayLength; i++)
{
var series = content[lookupHeader[i]].First().TrueSpread;
if (series != null)
{
ticker.SetColumnValues(i, series.Dates, series.Data.Select(x => x.Name).ToArray());
spreads.SetColumnValues(i, series.Dates, series.Data.Select(x => x.Value).ToArray());
}
}
}
}
public static ConstructGen<double> GetInvoiceSpreadsAsConstruct()
{
var configs = invoiceSpreadConfigs().ToArray();
var con = new ConstructGen<double>(
configs.Select(x => string.Format("{0}_{1}_{2}", x.Future, x.Series + 1, x.Curve.ToString())).ToArray());
for (int i = 0; i < configs.Length; ++i)
{
var spreads = getInvoiceSpreadsCollectionFromMongo(configs[i]);
con.SetColumnValues(i,
new DatedDataCollectionGen<double>(spreads.Lines.Select(x => x.Date).ToArray(),
spreads.Lines.Select(x => x.InvoiceSpread ?? 0d).ToArray()));
}
if (con.NeedsToSortKeys())
con.SortKeys();
// feed forward missing values
{
var values = con.GetValues(con.Dates[0]);
for (int i = 1; i < con.Dates.Count; ++i)
{
var date = con.Dates[i];
var todayValues = con.GetValues(date);
for (int j = 0; j < todayValues.Length; ++j)
{
if (todayValues[j] == 0d)
todayValues[j] = values[j];
}
values = todayValues;
}
}
return con;
}
public static ConstructGen<double> GetFlow(ConstructGen<double> wts_)
{
var ret = new ConstructGen<double>(wts_.ColumnHeadings);
for (int i = 0; i < wts_.ArrayLength; ++i)
{
ret.SetColumnValues(i, wts_.GetColumnValuesAsDDC(i).ToDifferences().ToAbs());
}
return ret;
}
public ConstructGen<double> AllConstantMaturityPrices()
{
if (m_allFuturePrices != null)
return m_allFuturePrices;
// get the quarterlyin contracts
var allIMMs = Underlying.IMM_Contracts();
// build up the list of prices for all contracts
ConstructGen<double> subCon;
{
var con = new ConstructGen<double>(allIMMs.Select(x => x.SymmetryCode).ToArray());
{
for (int i = 0; i < con.ArrayLength; ++i)
con.SetColumnValues(i, allIMMs[i].GetPrices(marketSnapCode_:MarketSnapCode,quoteSource_:QuoteSourceCode,priceType_:1));
con.SortKeys();
}
var dates = SI.Strategy.RatesSpreads.DateHelper.GetBusinessDates(CurveNames.USD3M);
subCon = new ConstructGen<double>(con.ColumnHeadings);
foreach (var date in dates)
if (con.Dates.Contains(date))
subCon.SetValues(date, con.GetValues(date));
}
// create the construct that will hode the constant maturity prices
// is NumContracts+1 as first column will be interest rate fixing
m_allFuturePrices =
new ConstructGen<double>(
ExtensionMethods.CreateArrayRep(Underlying.FutureStart, NumContracts+1)
.Select((x, i) => string.Format("{0}cm{1}", x.ToUpper(), i))
.ToArray());
foreach (var date in subCon.Dates)
{
// set the fixing
m_allFuturePrices.SetValue(date, 0, Underlying.FixingInstrmnet.GetPrices().ValueOnDate(date)*100d);
for (int pointIndex = 0; pointIndex < NumContracts; ++pointIndex)
{
var daysForward = Convert.ToDouble(pointIndex + 1)*DaysSpan;
var forwardDate = date.AddDays(daysForward);
int beforeIndex=-1, afterIndex=-1;
for (int i = 0; i < allIMMs.Count-1; ++i)
{
if(allIMMs[i].Maturity.Value==forwardDate)
{
beforeIndex = i;
afterIndex = i;
break;
}
else if (allIMMs[i].Maturity.Value < forwardDate && allIMMs[i+1].Maturity.Value > forwardDate)
{
beforeIndex = i;
afterIndex = i + 1;
}
}
// were the indexes of the contract that straddle the forward date found?
if (beforeIndex >= 0)
{
if (beforeIndex == afterIndex)
{
m_allFuturePrices.SetValue(date, pointIndex+1, 100d-subCon.GetValue(date, beforeIndex));
}
else
{
var beforeValue = subCon.GetValue(date, beforeIndex);
var afterValue = subCon.GetValue(date, afterIndex);
if (beforeValue == 0d || afterValue == 0d)
continue;
var width = allIMMs[afterIndex].Maturity.Value - allIMMs[beforeIndex].Maturity.Value;
var w1 = forwardDate - allIMMs[beforeIndex].Maturity.Value;
var propAfter = w1.TotalDays/width.TotalDays;
var interpValue = (afterValue*propAfter) + (beforeValue*(1d - propAfter));
m_allFuturePrices.SetValue(date, pointIndex+1, 100d-interpValue);
}
}
}
}
return m_allFuturePrices;
}
internal static DatedDataCollectionGen<double> getRollingAvgVol(FXGroup group_, int daysCalc_)
{
ConstructGen<double> ccyReturns = Singleton<FXSpots>.Instance.GetData(DataConstants.DATA_START, DateTime.Today).ToReturns();
Currency[] ccys = Singleton<FXIDs>.Instance.Where(x=>x.IsGroup(group_)).ToArray();
ConstructGen<double> ccyVols = new ConstructGen<double>(ccys.Length);
// set individual ccy vols
for(int i=0;i<ccyVols.ArrayLength;++i)
{
DatedDataCollectionGen<double> rets = new DatedDataCollectionGen<double>(ccyReturns.Dates.ToArray(), ccyReturns.GetColumnValues(ccys[i].ArrayIndex));
DatedDataCollectionGen<double> stdevs = rets.ToRollingStdev(windowSize_: daysCalc_);
ccyVols.SetColumnValues(i, stdevs.Dates, stdevs.Data);
}
// average them
double[] avgs = new double[ccyVols.Dates.Count];
for (int i = 0; i < avgs.Length; ++i)
avgs[i] = ccyVols.GetValues(ccyVols.Dates[i]).Average();
return new DatedDataCollectionGen<double>(ccyVols.Dates.ToArray(), avgs);
}
public ChartData GetDataFromCarbonFrame()
{
var enabled = Components.Where(x => x.IsReady()).ToList();
if (!enabled.Any())
return null;
var listofAllRollDates = new Dictionary<CTCTDType, Tuple<string, DateTime>[]>();
var listOfAllOldDates = new Dictionary<CTCTDType, Tuple<string, DateTime>[]>();
ConstructGen<double> con = new ConstructGen<double>(enabled.Count());
ConstructGen<double> conOld = new ConstructGen<double>(enabled.Count());
ConstructGen<double> conOldOld = new ConstructGen<double>(enabled.Count());
ConstructGen<double> conSmoothed = new ConstructGen<double>(enabled.Count());
for (int i = 0; i < con.ArrayLength; ++i)
{
var curDataTuple = ChartComponentCarbonMediator.GetItemsFromCarbonFrame(enabled[i], g => g.CurrentResult, r => r.TrueSpread);
con.SetColumnValues(i, curDataTuple.Item2);
var oDataTuple = ChartComponentCarbonMediator.GetItemsFromCarbonFrame(enabled[i], g => g.OResult, r => r.TrueSpread);
conOld.SetColumnValues(i, oDataTuple.Item2);
var ooDataTuple = ChartComponentCarbonMediator.GetItemsFromCarbonFrame(enabled[i], g => g.OOResult, r => r.TrueSpread);
conOldOld.SetColumnValues(i, ooDataTuple.Item2);
var smoothDataTuple = ChartComponentCarbonMediator.GetItemsFromCarbonFrame(enabled[i], g => g.SmoothResult, r => r.TrueSpread);
conSmoothed.SetColumnValues(i, smoothDataTuple.Item2);
for (int j = 1; j < con.Dates.Count; ++j)
{
// if the bond hasn't changed, then just adjust the previous value by change in the bond
if (j < curDataTuple.Item1.Data.Length)
{
if (String.CompareOrdinal(curDataTuple.Item1.Data[j], curDataTuple.Item1.Data[j - 1]) != 0)
{
listofAllRollDates.AddOrAppendDictionaryValueArray(enabled[i].CTCTDType, new Tuple<string, DateTime>(enabled[i].Component + "\n" + curDataTuple.Item1.Data[j], curDataTuple.Item1.Dates[j]));
listOfAllOldDates.AddOrAppendDictionaryValueArray(enabled[i].CTCTDType, new Tuple<string, DateTime>(enabled[i].Component + "\n" + curDataTuple.Item1.Data[j - 1], curDataTuple.Item1.Dates[j - 1]));
}
}
}
}
return new ChartData
{
OriginalData = con.SumRows(),
OldData = conOld.SumRows(),
OldOldData = conOldOld.SumRows(),
SmoothedData = conSmoothed.SumRows(),
NewDates = listofAllRollDates.SelectMany(d => d.Value.Select(v => v.Item2)).Distinct().OrderBy(x => x).ToArray(),
OldDates = listOfAllOldDates.SelectMany(d => d.Value.Select(v => v.Item2)).Distinct().OrderBy(x => x).ToArray(),
OldRollTypeDates = listOfAllOldDates.Select(k => new {k.Key, v = k.Value.Distinct().OrderBy(x => x).ToArray() } ).ToDictionary(k => k.Key, k => k.v),
NewRollTypeDates = listofAllRollDates.Select(k => new { k.Key, v = k.Value.Distinct().OrderBy(x => x).ToArray() }).ToDictionary(k => k.Key, k => k.v),
};
}
private void buildData()
{
var pxDates = new List<DateTime>();
var pxValues = new List<double>();
for (int y = 2003;y <= DateTime.Now.Year; ++y)
{
// find the contracts
var conLon = Long.Underlying.Futures.Where(x => x.Expiry.Year-Long.YearOffset == y && x.Expiry.Month == (int)Long.Month).FirstOrDefault();
var conShort = Short.Underlying.Futures.Where(x => x.Expiry.Year-Short.YearOffset == y && x.Expiry.Month == (int)Short.Month).FirstOrDefault();
if (conLon != null && conShort != null)
{
m_contractsLongShort.Add(y, new KeyValuePair<ComFutureMeta, ComFutureMeta>(conLon, conShort));
// last trade of this pair is the earliest lastTrade date of the two
var lastTrade = (conLon.LastTrade < conShort.LastTrade) ? conLon.LastLastDate : conShort.LastLastDate;
var dataStart = lastTrade.AddYears(-1);
if (MyCalendar.IsWeekend(dataStart)) dataStart = MyCalendar.NextWeekDay(dataStart);
ConstructGen<double> con = new ConstructGen<double>(new string[] { conLon.Ticker, conShort.Ticker, "Diff", "Normalized" });
con.SetColumnValues((int)dataColumns.Long, conLon.Prices.GetSubValues(dataStart, lastTrade));
con.SetColumnValues((int)dataColumns.Short, conShort.Prices.GetSubValues(dataStart, lastTrade));
if (con.NeedsToSortKeys()) con.SortKeys();
if (con.Dates.Count == 0)
continue;
// calculate differences
foreach (DateTime date in con.Keys)
{
double[] d = con.GetValues(date);
// if we have a value for both contracts on this day
if (d[(int)dataColumns.Long] != 0d && d[(int)dataColumns.Short] != 0d)
{
// save down the difference
d[(int)dataColumns.Diff] = d[(int)dataColumns.Long] - d[(int)dataColumns.Short];
if (date.Year == y)
{
pxDates.Add(date);
pxValues.Add(d[2]);
}
}
}
// normalize differences
{
DatedDataCollectionGen<double> diffs = con.GetColumnValuesAsDDC((int)dataColumns.Diff);
if (diffs==null || diffs.Length == 0)
continue;
var min = diffs.Data.Min();
var max = diffs.Data.Max();
var normArr = new double[diffs.Length];
for (int i = 0; i < normArr.Length; ++i)
normArr[i] = (diffs.Data[i] - min) / (max - min);
con.SetColumnValues((int)dataColumns.NormalizedDiff, new DatedDataCollectionGen<double>(diffs.Dates, normArr));
}
m_yearToPxs.Add(y, con);
}
}
m_hasBuiltData = true;
}
public static void Go_ES_NthContract(int contractIndex_ = 1)
{
var data = DataRetriever.GetData("ES", "Index", contractIndex_);
var args = new SI.Research.Technicals.MA3ComplexArgs()
{
MA1Win = 10,
MA2Win = 20,
MA3Win = 40,
Long = -1d,
Long_1MA = -0.5d,
Long_2MA = 0.5d,
Short = 1d,
Short_1MA = 0.5d,
Short_2MA = -0.5d
};
var indic = new SI.Research.Technicals.MA3ComplexIndicator(args);
var signals = indic.GenerateWeightSeries(data, null);
signals = CollapseToChanges(signals);
{
var con = new ConstructGen<double>(new[] { "Signal", "CleanPrice" });
con.SetColumnValues(0, signals);
foreach (var date in con.Dates)
con.SetValue(date, 1, data.ValueOnExactDate(date));
//con.DisplayInGrid("changes with price levels");
}
//signals.DisplayInGrid("changes");
var pnl = GeneratePnl(data, signals);
var chart = pnl.ToCumulative().DisplayLineChart("ES");
chart.AddSeries(data, "FuturePrice", 80, "#,##0.0");
//var percentilRankedVol = HelperMethods.GetRollingStat(data, 48, (x) => Statistics.Stdev(x)).ToPercentileRanked(252);
//for (int i = 0; i < percentilRankedVol.Length; ++i)
// percentilRankedVol.Data[i] = percentilRankedVol.Data[i] < 0.5 ? 0d : 1d;
//chart.AddSeries(percentilRankedVol, "Rolling vol", 120, "#,##0.0%");
}
public static void Go_multiMA3Complex_MR(string futureStart_, string suffix_, int contractIndex_)
{
//var data = DataRetriever.GetData("ES", "Index", contractIndex_);
var data = DataRetriever.GetData(futureStart_, suffix_, contractIndex_);
DataRetriever.ChartData(futureStart_, suffix_, contractIndex_);
//data = Singleton<SI.Data.FXSpots>.Instance.GetData(new DateTime(2003, 1, 1), DateTime.Today).GetColumnValuesAsDDC(SI.Data.Currency.TWD.ArrayIndex);
//data = BbgTalk.HistoryRequester.GetHistory(new DateTime(2009, 1, 1), "ES1 Index", "PX_LAST", true);
var listOfEvals = new List<ReturnsEval.DataSeriesEvaluator>();
var mas = new int[] {5, 10, 15, 20, 25, 30, 35, 40, 45, 50};
mas = new int[] {15};
foreach (var firstWindow in mas )
{
var args = new SI.Research.Technicals.MA3ComplexArgs()
{
MA1Win = firstWindow,
MA2Win = firstWindow*2,
MA3Win = firstWindow*4,
Long = -1d,
Long_1MA = -0.5d,
Long_2MA = 0.5d,
Short = 1d,
Short_1MA = 0.5d,
Short_2MA = -0.5d
};
var indic = new SI.Research.Technicals.MA3ComplexIndicator(args);
var signals = indic.GenerateWeightSeries(data, null);
signals = CollapseToChanges(signals);
if (true)
{
var con = new ConstructGen<double>(new[] { "Signal", "CleanPrice" });
con.SetColumnValues(0, signals);
foreach (var date in con.Dates)
con.SetValue(date, 1, data.ValueOnExactDate(date));
con.DisplayInGrid("changes with price levels");
}
//signals.DisplayInGrid("changes");
var pnl = GeneratePnl(data, signals);
var eval = new ReturnsEval.DataSeriesEvaluator(pnl.Dates, pnl.Data, string.Format("{2}_{0}_{1}", contractIndex_, args.ToString(),futureStart_), ReturnsEval.DataSeriesType.Returns);
listOfEvals.Add(eval);
//eval.Display(eval.Name);
//pnl.ToCumulative().DisplayLineChart("ES");
}
listOfEvals.Display("blah");
}
public ChartData GetData()
{
var enabled = Components.Where(x => x.IsReady()).ToList();
if (!enabled.Any())
return null;
DateTime[] oldDates, rollDates;
DatedDataCollectionGen<double> primary, old, oldold, ooo, oooo, smthd, oldsmthd, oosmthd, ooosmthd;
{
ConstructGen<double> con = new ConstructGen<double>(enabled.Count());
ConstructGen<double> conOld = new ConstructGen<double>(enabled.Count());
ConstructGen<double> conOldOld = new ConstructGen<double>(enabled.Count());
ConstructGen<double> conOOO = new ConstructGen<double>(enabled.Count());
ConstructGen<double> conOOOO = new ConstructGen<double>(enabled.Count());
ConstructGen<double> conSmoothed = new ConstructGen<double>(enabled.Count());
ConstructGen<double> conOldSmoothed = new ConstructGen<double>(enabled.Count());
ConstructGen<double> conOOSmoothed = new ConstructGen<double>(enabled.Count());
ConstructGen<double> conOOOSmoothed = new ConstructGen<double>(enabled.Count());
ConstructGen<double> conOOOOSmoothed = new ConstructGen<double>(enabled.Count());
var listofAllRollDates = new List<DateTime>();
var listOfAllOldDates = new List<DateTime>();
for (int i = 0; i < con.ArrayLength; ++i)
{
var currentTuple = getItems(enabled[i], CTDValueGeneration.Current);
var oldTuple = getItems(enabled[i], CTDValueGeneration.Old);
var oldOldTuple = getItems(enabled[i], CTDValueGeneration.OldOld);
var oooTuple = getItems(enabled[i], CTDValueGeneration.OOO);
var ooooTuple = getItems(enabled[i], CTDValueGeneration.OOOO);
con.SetColumnValues(i, currentTuple.Item2);
conOld.SetColumnValues(i, oldTuple.Item2);
conOldOld.SetColumnValues(i, oldOldTuple.Item2);
conOOO.SetColumnValues(i, oooTuple.Item2);
conOOOO.SetColumnValues(i, ooooTuple.Item2);
{
var smoothed = new double[con.Dates.Count];
var oldSmoothed = new double[con.Dates.Count];
var ooSmoothed = new double[con.Dates.Count];
var oooSmoothed = new double[con.Dates.Count];
var ooooSmoothed = new double[con.Dates.Count];
smoothed[0] = currentTuple.Item2.Data[0];
oldSmoothed[0] = oldTuple.Item2.Data[0];
ooSmoothed[0] = oldOldTuple.Item2.Data[0];
oooSmoothed[0] = oooTuple.Item2.Data[0];
ooooSmoothed[0] = ooooTuple.Item2.Data[0];
for (int j = 1; j < smoothed.Length; ++j)
{
// if the bond hasn't changed, then just adjust the previous value by change in the bond
if (String.CompareOrdinal(currentTuple.Item1.Data[j].SymmetryCode, currentTuple.Item1.Data[j - 1].SymmetryCode) == 0)
{
smoothed[j] = smoothed[j - 1] + (currentTuple.Item2.Data[j] - currentTuple.Item2.Data[j - 1]);
oldSmoothed[j] = oldSmoothed[j - 1] + (oldTuple.Item2.Data[j] - oldTuple.Item2.Data[j - 1]);
ooSmoothed[j] = ooSmoothed[j - 1] + (oldOldTuple.Item2.Data[j] - oldOldTuple.Item2.Data[j - 1]);
oooSmoothed[j] = oooSmoothed[j - 1] + (oooTuple.Item2.Data[j] - oooTuple.Item2.Data[j - 1]);
}
// the bond has changed... yesterday's [current bond] has become the new [old bond], so adjust previous value by [old bond] value today - the [current bond] value yesterday
else
{
smoothed[j] = smoothed[j - 1] + (oldTuple.Item2.Data[j] - currentTuple.Item2.Data[j - 1]);
oldSmoothed[j] = oldSmoothed[j - 1] + (oldOldTuple.Item2.Data[j] - oldTuple.Item2.Data[j - 1]);
ooSmoothed[j] = ooSmoothed[j - 1] + (oooTuple.Item2.Data[j] - oldOldTuple.Item2.Data[j - 1]);
oooSmoothed[j] = oooSmoothed[j - 1] + (ooooTuple.Item2.Data[j] - oooTuple.Item2.Data[j - 1]);
listofAllRollDates.Add(currentTuple.Item1.Dates[j]);
listOfAllOldDates.Add(currentTuple.Item1.Dates[j - 1]);
}
}
conSmoothed.SetColumnValues(i, new DatedDataCollectionGen<double>(currentTuple.Item2.Dates, smoothed));
conOldSmoothed.SetColumnValues(i, new DatedDataCollectionGen<double>(currentTuple.Item2.Dates, oldSmoothed));
conOOSmoothed.SetColumnValues(i, new DatedDataCollectionGen<double>(currentTuple.Item2.Dates, ooSmoothed));
conOOOSmoothed.SetColumnValues(i, new DatedDataCollectionGen<double>(currentTuple.Item2.Dates, oooSmoothed));
}
}
primary = con.SumRows();
old = conOld.SumRows();
oldold = conOldOld.SumRows();
ooo = conOOO.SumRows();
oooo = conOOOO.SumRows();
smthd = conSmoothed.SumRows();
oldsmthd = conOldSmoothed.SumRows();
oosmthd = conOOSmoothed.SumRows();
ooosmthd = conOOOSmoothed.SumRows();
oldDates = listOfAllOldDates.Distinct().OrderBy(x => x).ToArray();
rollDates = listofAllRollDates.Distinct().OrderBy(x => x).ToArray();
}
return new ChartData()
{
OriginalData=primary,
OldData=old,
OldOldData = oldold,
OOOData = ooo,
OOOOData = oooo,
SmoothedData=smthd,
OldSmoothedData=oldsmthd,
OOSmoothedData = oosmthd,
OOOSmoothedData = ooosmthd,
NewDates=rollDates,
OldDates=oldDates
};
}
public static void Test()
{
const int lookback = 5;
const WeightGeneratorType genType = WeightGeneratorType.LongestZScoreOverThreshold;
SpreadWeightGenerator[] arr = new[]
{
new SpreadWeightGenerator(
new WeightGeneratorArgs()
{
Lookback = lookback,
WeightGenerationType = genType,
MinWindowLength = 50,
ZScoreThreshold = 1.3d
},
new SpreadDefinition(
new MonthYearOffset(ComIDs.Sugar, 0, MonthCode.V),
new MonthYearOffset(ComIDs.Sugar, 1, MonthCode.K),
false)),
//new SpreadWeightGenerator(
// new WeightGeneratorArgs()
// {
// Lookback = lookback,
// WeightGenerationType = genType,
// MinWindowLength = 40,
// ZScoreThreshold = 1d
// },
// new SpreadDefinition(
// new MonthYearOffset(ComIDs.Sugar, 0, MonthCode.V),
// new MonthYearOffset(ComIDs.Sugar, 1, MonthCode.K),
// false)),
//new SpreadWeightGenerator(
// new WeightGeneratorArgs()
// {
// Lookback = lookback,
// WeightGenerationType = genType,
// MinWindowLength = 40,
// ZScoreThreshold = 1.5d
// },
// new SpreadDefinition(
// new MonthYearOffset(ComIDs.NatGas, 0, MonthCode.H),
// new MonthYearOffset(ComIDs.NatGas, 0, MonthCode.X),
// false)),
new SpreadWeightGenerator(
new WeightGeneratorArgs()
{
Lookback = lookback,
WeightGenerationType = genType,
MinWindowLength = 60,
ZScoreThreshold = 1.2d
},
new SpreadDefinition(
new MonthYearOffset(ComIDs.NymexGas, 0, MonthCode.H),
new MonthYearOffset(ComIDs.NymexGas, 0, MonthCode.X),
false)),
//new SpreadWeightGenerator(
// new WeightGeneratorArgs()
// {
// Lookback = lookback,
// WeightGenerationType = genType,
// MinWindowLength = 90,
// ZScoreThreshold = 1.7d
// },
// new SpreadDefinition(
// new MonthYearOffset(ComIDs.NatGas, 0, MonthCode.H),
// new MonthYearOffset(ComIDs.NatGas, 0, MonthCode.X),
// false)),
//new SpreadWeightGenerator(
// new WeightGeneratorArgs()
// {
// Lookback = lookback,
// WeightGenerationType = genType,
// MinWindowLength = 40,
// ZScoreThreshold = 1.6d
// },
// new SpreadDefinition(
// new MonthYearOffset(ComIDs.Corn, 0, MonthCode.U),
// new MonthYearOffset(ComIDs.Corn, 0, MonthCode.Z),
// false)),
new SpreadWeightGenerator(
new WeightGeneratorArgs()
{
Lookback = lookback,
WeightGenerationType = genType,
MinWindowLength = 60,
ZScoreThreshold = 1.3d
},
new SpreadDefinition(
new MonthYearOffset(ComIDs.Corn, 0, MonthCode.U),
new MonthYearOffset(ComIDs.Corn, 0, MonthCode.Z),
false)),
//new SpreadWeightGenerator(
// new WeightGeneratorArgs()
// {
// Lookback = lookback,
// WeightGenerationType = genType,
// MinWindowLength = 90,
// ZScoreThreshold = 0.8d
// },
// new SpreadDefinition(
// new MonthYearOffset(ComIDs.Corn, 0, MonthCode.U),
// new MonthYearOffset(ComIDs.Corn, 0, MonthCode.Z),
// false)),
new SpreadWeightGenerator(
new WeightGeneratorArgs()
{
Lookback = lookback,
WeightGenerationType = genType,
MinWindowLength = 40,
ZScoreThreshold = 1.5d
},
new SpreadDefinition(
new MonthYearOffset(ComIDs.Wheat, 0, MonthCode.U),
new MonthYearOffset(ComIDs.Wheat, 0, MonthCode.Z),
false)),
//new SpreadWeightGenerator(
// new WeightGeneratorArgs()
// {
// Lookback = lookback,
// WeightGenerationType = genType,
// MinWindowLength = 50,
// ZScoreThreshold = 1.3d
// },
// new SpreadDefinition(
// new MonthYearOffset(ComIDs.Wheat, 0, MonthCode.U),
// new MonthYearOffset(ComIDs.Wheat, 0, MonthCode.Z),
// false)),
//new SpreadWeightGenerator(
// new WeightGeneratorArgs()
// {
// Lookback = lookback,
// WeightGenerationType = genType,
// MinWindowLength = 70,
// ZScoreThreshold = 1.1d
// },
// new SpreadDefinition(
// new MonthYearOffset(ComIDs.Wheat, 0, MonthCode.U),
// new MonthYearOffset(ComIDs.Wheat, 0, MonthCode.Z),
// false)),
new SpreadWeightGenerator(
new WeightGeneratorArgs()
{
Lookback = lookback,
WeightGenerationType = genType,
MinWindowLength = 50,
ZScoreThreshold = 1.6d
},
new SpreadDefinition(
new MonthYearOffset(ComIDs.RBOB, 0, MonthCode.J),
new MonthYearOffset(ComIDs.RBOB, 0, MonthCode.U),
false)),
};
var comb = new SpreadWeightGeneratorCombiner(arr) {NumDaysForCovariance = 42, TargetVol = 0.06};
comb.Go();
{
var combinedPnl = new ConstructGen<double>(arr.Length);
combinedPnl.ColumnHeadings =
arr.Select(x => string.Format("{0} / {1} / {2}", x.Spread, x.Args.MinWindowLength, x.Args.ZScoreThreshold))
.ToArray();
for (int i = 0; i < arr.Length; ++i)
combinedPnl.SetColumnValues(i, arr[i].GetCombinedPnl());
if (combinedPnl.NeedsToSortKeys())
combinedPnl.SortKeys();
var eval = new ReturnsEval.DataSeriesEvaluator("Combined", ReturnsEval.DataSeriesType.Returns);
eval.AddInnerSeries(combinedPnl.Dates.ToArray(), combinedPnl.ToArray(), combinedPnl.ColumnHeadings);
eval.Display("Combined");
combinedPnl.SumRows().ToCumulative().DisplayLineChart("combined pnl of scaled weights");
}
}
public static List<DeMarkMarker> GetSetups(DatedDataCollectionGen<double> prices_, int targetSeriesLength_=9)
{
var con = new ConstructGen<double>(1);
con.SetColumnValues(0,prices_);
return GetSetups(con, 0, 0, 0, 0, targetSeriesLength_);
}
public static ConstructGen<double> DoBW(ComID[] coms_, ConstructGen<PairTrade> pairTrades_)
{
var conRets = new ConstructGen<double>(coms_.Select(x => x.Name).ToArray());
for (int rebalIndex = 0; rebalIndex < pairTrades_.Dates.Count; ++rebalIndex)
{
var rebalDate = pairTrades_.Dates[rebalIndex];
var tradeEndDate = (rebalIndex < (pairTrades_.Dates.Count - 1) ? pairTrades_.Dates[rebalIndex + 1] : DateTime.Today);
var pairTradesOnDay = pairTrades_.GetValues(rebalDate);
for (int i = 0; i < pairTradesOnDay.Length; ++i)
{
var pairTrade = pairTradesOnDay[i];
if (pairTrade == null)
continue;
var rets = pairTrade.WeightedBackwardation.GetSubValues(rebalDate.AddDays(1d), tradeEndDate);
rets = rets.DivideBy(pairTrade.GetStdev(rebalDate, 63) * 3000d);
conRets.SetColumnValues(i, rets);
}
}
conRets.SortKeys();
conRets = conRets.ProcessEachCell(x => (double.IsNaN(x) || double.IsInfinity(x) || double.IsNegativeInfinity(x) ? 0d : x));
return conRets;
}
public static void Go()
{
var yearOfFile = 2015;
var ricList = new[] {"ED", "FEI", "FGBL", "FGBM", "FGBS", "TY", "FLG", "FSS", "FGB", "FBTP", "FOAT", "ES", "FDX"};
var contractMonths = (MonthCode[])Enum.GetValues(typeof(MonthCode));
var sourceDir = @"E:\futuresData\MarkFiles";
var markDir = @"e:\futuresData\MarkEllis2";
var dict = new SortedDictionary<string, DatedDataCollectionGen<double>>();
var keys = new List<string>();
foreach (var ricStart in ricList)
{
foreach (var contractYear in new[] { 2015, 2016, 2017 })
{
foreach (var contractMonth in contractMonths)
{
var dates = new List<DateTime>();
var values = new List<double>();
foreach (var monthOfFile in new[] { 6, 7, 8 })
{
var searchString = string.Format("*{0}-{1}-{2}{3}{4}.csv", yearOfFile, monthOfFile.ToString("00"), ricStart, contractMonth, contractYear - 2010);
var files = Directory.GetFiles(sourceDir, searchString);
if (files.Length == 0)
continue;
foreach (var item in CsvFile.Read<FuturesIntradaySaver.FuturesLineItem>(files[0]))
{
if (item.gmtDate.HasValue && (item.gmtDate.Value.Minute == 32 || item.gmtDate.Value.Minute == 2))
{
item.Date = TimeZoneHelper.ConvertGmtTimeToLondon(item.gmtDate.Value);
item.Time = string.Empty;
if (item.Date.Hour < 8)
continue;
if (item.Date.Hour > 17)
continue;
dates.Add(item.Date);
values.Add((item.CloseAsk + item.CloseBid) / 2d);
}
}
//list.ToCsv(string.Join("\\", markDir,
// string.Format("{0}-{1}-{2}{3}{4}", yearOfFile, monthOfFile.ToString("00"), UpdateStaticDataForFutures.MAPS[ricStart].Item1, contractMonth, contractYear - 2010)));
}
if(dates.Count>0)
{
try
{
var ticker = string.Format("{0}{1}{2}", UpdateStaticDataForFutures.MAPS[ricStart].Item1, contractMonth, contractYear - 2010);
keys.Add(ticker);
dict.Add(ticker, new DatedDataCollectionGen<double>(dates.ToArray(), values.ToArray()));
}
catch (Exception ex_)
{
Console.WriteLine(ex_.ToString());
}
}
}
}
}
var con = new ConstructGen<double>(keys.ToArray());
for(int i=0;i<keys.Count;++i)
{
con.SetColumnValues(i,dict[keys[i]]);
}
if (con.NeedsToSortKeys())
con.SortKeys();
con.WriteToCSV(@"e:\futuresData\markDataTo1732.csv");
}
public void PublishHourlyVolumes(RollSet set)
{
ReadFromCSV();
var con = new ConstructGen<double>(new[] { MonthFrom, MonthTo, "Spread" });
var priorVolume = new DatedDataCollectionGen<double>(Lines.Dates,
Lines.Data.Select(x => x.PriorContractVolume).ToArray())
.ToGenPeriod(
periodDateFunction_: x => x,
areSamePeriodFunction_: functionForSameVolumeBucketing(),
collationFunction_: x => x.Sum());
con.SetColumnValues(0, priorVolume);
var newVolume = new DatedDataCollectionGen<double>(Lines.Dates,
Lines.Data.Select(x => x.NewContractVolume).ToArray())
.ToGenPeriod(
periodDateFunction_: x=>x,
areSamePeriodFunction_: functionForSameVolumeBucketing(),
collationFunction_: x => x.Sum());
con.SetColumnValues(1, newVolume);
var spreadVolume = new DatedDataCollectionGen<double>(Lines.Dates,
Lines.Data.Select(x => x.SpreadVolume).ToArray())
.ToGenPeriod(
periodDateFunction_: x => x,
areSamePeriodFunction_: functionForSameVolumeBucketing(),
collationFunction_: x => x.Sum());
con.SetColumnValues(2, spreadVolume);
con.WriteToCSV(string.Format(@"{4}\{0}_{1}_{2}_{3}_HourlyVolume.csv", Rolldate.ToString("yyyyMMdd"), set,
MonthFrom, MonthTo,DIR));
}
private static ConstructGen<double> equityFutureComponentPrices()
{
var instruments = Singleton<DBFut_Chains>.Instance.Where(x => x.AssetClass.Equals("Equities")).ToArray();
var con = new ConstructGen<double>(instruments.Select(x => x.BbgTicker).ToArray());
for (int i = 0; i < instruments.Length; ++i)
{
con.SetColumnValues(i, Singleton<DBFut_ChainGenericCache>.Instance.GetGenericSeries(instruments[i]));
}
con.SortKeys();
return con;
}
public static void EquityCTAEnviron()
{
//var copperIndex = Singleton<ComIDs>.Instance.First(x => x.Name.Equals("Copper")).ArrayIndex;
//var index =
// Singleton<ComIndexPrices>.Instance.GetData(DataConstants.DATA_START, DateTime.Today)
// .GetColumnValuesAsDDC(copperIndex);
//var index = EquityIndexOfSorts();
//var countries = new[] { "Germany", "US" };
//var instruments =
// Singleton<DBFut_Chains>.Instance.Where(
// x => x.AssetClass.Equals("Fixed Income") && countries.Any(y => y.Equals(x.Country))).ToArray();
var instruments=
Singleton<DBFut_Chains>.Instance.Where(
x => x.AssetClass.Equals("Equities")).ToArray();
foreach (var v in instruments)
{
var px = Singleton<DBFut_ChainGenericCache>.Instance.GetGenericSeries(v);
showCombinedStdevFromMean(px, v.BbgTicker, new[] {21, 42, 63, 89, 100, 126, 150, 189, 252, 512});
}
return;
//var instruments = Singleton<DBFut_Chains>.Instance.Where(x => x.AssetClass.Equals("Equities")).ToArray();
var con = new ConstructGen<double>(instruments.Select(x => x.BbgTicker).ToArray());
for(int i=0;i<instruments.Length;++i)
{
var index = Singleton<DBFut_ChainGenericCache>.Instance.GetGenericSeries(instruments[i]);
if (index == null || index.Length == 0) continue;
var prop = getMADiffPercentiles(index, new PercDiffArgs[]
{
//new PercDiffArgs() {MA1 = 21, MA2 = 42, PercWindow = 126},
//new PercDiffArgs() {MA1 = 21, MA2 = 63, PercWindow = 126},
//new PercDiffArgs() {MA1 = 21, MA2 = 89, PercWindow = 126},
new PercDiffArgs() {MA1 = 42, MA2 = 89, PercWindow = 126},
new PercDiffArgs() {MA1 = 42, MA2 = 126, PercWindow = 126},
new PercDiffArgs() {MA1 = 63, MA2 = 126, PercWindow = 126},
new PercDiffArgs() {MA1 = 89, MA2 = 180, PercWindow = 126},
new PercDiffArgs() {MA1 = 89, MA2 = 252, PercWindow = 126},
new PercDiffArgs() {MA1 = 126, MA2 = 252, PercWindow = 126},
//new PercDiffArgs() {MA1 = 21, MA2 = 42, PercWindow = 252},
//new PercDiffArgs() {MA1 = 21, MA2 = 63, PercWindow = 252},
//new PercDiffArgs() {MA1 = 21, MA2 = 89, PercWindow = 252},
new PercDiffArgs() {MA1 = 42, MA2 = 89, PercWindow = 252},
new PercDiffArgs() {MA1 = 42, MA2 = 126, PercWindow = 252},
new PercDiffArgs() {MA1 = 63, MA2 = 126, PercWindow = 252},
new PercDiffArgs() {MA1 = 89, MA2 = 180, PercWindow = 252},
new PercDiffArgs() {MA1 = 89, MA2 = 252, PercWindow = 252},
new PercDiffArgs() {MA1 = 126, MA2 = 252, PercWindow = 252},
new PercDiffArgs() {MA1 = 42, MA2 = 89, PercWindow = 504},
new PercDiffArgs() {MA1 = 42, MA2 = 126, PercWindow = 504},
new PercDiffArgs() {MA1 = 63, MA2 = 126, PercWindow = 504},
new PercDiffArgs() {MA1 = 89, MA2 = 180, PercWindow = 504},
new PercDiffArgs() {MA1 = 89, MA2 = 252, PercWindow = 504},
new PercDiffArgs() {MA1 = 126, MA2 = 252, PercWindow = 504},
});
//var c = new SI.Controls.LineChartDataDisplay();
//c.AddSeries(index, "index", 40, "##0.0#");
//c.AddSeries(dates_: prop.Dates,
// values_: prop.Data,
// desc_: "prop",
// yAxisExtent_: 40,
// yLabelFormat_: "##0.0#",
// color_: System.Drawing.Color.Orange,
// yAxisLeft_: false);
//c.DisplayInShowForm("blah");
con.SetColumnValues(i, index.ToReturns().MultiplyBy(prop));
}
con.SortKeys();
var eval = new ReturnsEval.DataSeriesEvaluator("combined", DataSeriesType.Returns);
eval.AddInnerSeries(con.Dates.ToArray(), con.ToArray(), con.ColumnHeadings);
eval.Display();
}
internal static void Go()
{
var listOfTenors = new[]
{
"1Y",
"2Y",
"3Y",
"4Y",
"5Y",
"6Y",
"7Y",
"8Y",
"9Y",
"10Y",
"11Y",
"12Y",
"15Y",
"20Y",
"25Y",
"30Y",
"40Y",
"1Y1Y",
"1Y2Y",
"1Y3Y",
"1Y4Y",
"1Y5Y",
"1Y6Y",
"1Y7Y",
"1Y8Y",
"1Y9Y",
"1Y10Y",
"1Y11Y",
"1Y12Y",
"1Y15Y",
"1Y20Y",
"1Y25Y",
"1Y30Y",
"1Y40Y",
"2Y1Y",
"2Y2Y",
"2Y3Y",
"2Y4Y",
"2Y5Y",
"2Y6Y",
"2Y7Y",
"2Y8Y",
"2Y9Y",
"2Y10Y",
"2Y11Y",
"2Y12Y",
"2Y15Y",
"2Y20Y",
"2Y25Y",
"2Y30Y",
"2Y40Y",
"3Y1Y",
"3Y2Y",
"3Y3Y",
"3Y4Y",
"3Y5Y",
"3Y6Y",
"3Y7Y",
"3Y8Y",
"3Y9Y",
"3Y10Y",
"3Y11Y",
"3Y12Y",
"3Y15Y",
"3Y20Y",
"3Y25Y",
"3Y30Y",
"3Y40Y",
"4Y1Y",
"4Y2Y",
"4Y3Y",
"4Y4Y",
"4Y5Y",
"4Y6Y",
"4Y7Y",
"4Y8Y",
"4Y9Y",
"4Y10Y",
"4Y12Y",
"4Y15Y",
"4Y20Y",
"4Y25Y",
"4Y30Y",
"4Y40Y",
"5Y1Y",
"5Y2Y",
"5Y3Y",
"5Y4Y",
"5Y5Y",
"5Y6Y",
"5Y7Y",
"5Y8Y",
"5Y9Y",
"5Y10Y",
"5Y12Y",
"5Y15Y",
"5Y20Y",
"5Y25Y",
"5Y30Y",
"5Y40Y",
"6Y1Y",
"6Y2Y",
"6Y3Y",
"6Y4Y",
"6Y5Y",
"6Y6Y",
"6Y7Y",
"6Y8Y",
"6Y9Y",
"6Y10Y",
"6Y12Y",
"6Y15Y",
"6Y20Y",
"6Y25Y",
"6Y30Y",
"7Y1Y",
"7Y2Y",
"7Y3Y",
"7Y4Y",
"7Y5Y",
"7Y6Y",
"7Y7Y",
"7Y8Y",
"7Y9Y",
"7Y10Y",
"7Y11Y",
"7Y12Y",
"7Y15Y",
"7Y20Y",
"7Y25Y",
"7Y30Y",
"8Y1Y",
"8Y2Y",
"8Y3Y",
"8Y4Y",
"8Y5Y",
"8Y6Y",
"8Y7Y",
"8Y8Y",
"8Y9Y",
"8Y10Y",
"8Y12Y",
"8Y15Y",
"8Y20Y",
"8Y25Y",
"8Y30Y",
"9Y1Y",
"9Y2Y",
"9Y3Y",
"9Y4Y",
"9Y5Y",
"9Y6Y",
"9Y7Y",
"9Y8Y",
"9Y9Y",
"9Y10Y",
"9Y11Y",
"9Y12Y",
"9Y15Y",
"9Y20Y",
"9Y25Y",
"9Y30Y",
"10Y1Y",
"10Y2Y",
"10Y3Y",
"10Y4Y",
"10Y5Y",
"10Y10Y",
"10Y15Y",
"10Y20Y",
"10Y30Y",
"11Y1Y",
"11Y2Y",
"11Y3Y",
"11Y4Y",
"11Y5Y",
"11Y6Y",
"11Y7Y",
"11Y10Y",
"11Y15Y",
"11Y20Y",
"11Y25Y",
"11Y30Y",
"12Y1Y",
"12Y2Y",
"12Y3Y",
"12Y4Y",
"12Y5Y",
"12Y8Y",
"12Y10Y",
"12Y20Y",
"12Y25Y",
"15Y1Y",
"15Y2Y",
"15Y3Y",
"15Y4Y",
"15Y5Y",
"15Y6Y",
"15Y7Y",
"15Y8Y",
"15Y9Y",
"15Y10Y",
"15Y15Y",
"20Y5Y",
"20Y10Y",
"25Y5Y",
"30Y10Y",
};
ProductList.RegisterMongoClasses();
foreach (var curve in new[] { CurveNames.USD3M, CurveNames.EUR6M} )
{
var con = new ConstructGen<double>(listOfTenors);
for (int i = 0; i < listOfTenors.Length; ++i)
{
var split = listOfTenors[i].Trim('Y').Split('Y');
int start=0, foward=0;
if (split.Length == 1)
{
foward = int.Parse(split[0]);
}
else
{
start = int.Parse(split[0]);
foward = int.Parse(split[1]);
}
var series = xYyY.Get(curve, start, foward);
con.SetColumnValues(i, series.A_Prices);
}
if (con.NeedsToSortKeys())
con.SortKeys();
con.WriteToCSV(string.Format(@"e:\temp\Mark_Swaps_{0}.csv", curve));
}
}
public ConstructGen<double> AllProductPrices(bool fillInGapsWithPrevious_ = true)
{
// start by generating price series
ConstructGen<double> prices = new ConstructGen<double>(Products.Select(x => x.Name).ToArray());
for (int i = 0; i < Products.Count; ++i)
prices.SetColumnValues(i, Products[i].Prices);
if (prices.NeedsToSortKeys())
prices.SortKeys();
// fill in any missing values (holidays)
if(fillInGapsWithPrevious_)
{
double[] yesterday = null;
foreach (var date in prices.Dates)
{
var today = prices.GetValues(date);
if (yesterday != null)
{
for(int i=0;i<today.Length;++i)
if (today[i] == 0d)
today[i] = yesterday[i];
}
yesterday = today;
}
}
return prices;
}