public void Create(WtsSeriesAnalyzer analyzer_, DateTime? startDate_=null, DateTime? endDate_=null)
{
m_analyzer = analyzer_;
m_startDate = startDate_;
m_endDate = endDate_;
if (m_wtsChart == null)
{
m_wtsChart = new DataCollectionDisplay();
m_wtsChart.Dock = DockStyle.Fill;
panel3.ClientArea.Controls.Add(m_wtsChart);
}
if (m_perfAndWeightsChart == null)
{
m_perfAndWeightsChart = new ZoneChart();
m_perfAndWeightsChart.Dock = DockStyle.Fill;
panel1.ClientArea.Controls.Add(m_perfAndWeightsChart);
}
if (m_c2vWeightsChart == null)
{
m_c2vWeightsChart = new ZoneChart();
m_c2vWeightsChart.Dock = DockStyle.Fill;
panel2.ClientArea.Controls.Add(m_c2vWeightsChart);
}
if (m_monthlyPnlChart == null)
{
m_monthlyPnlChart = new SimpleWtsColumnChart();
m_monthlyPnlChart.Dock = DockStyle.Fill;
panel4.ClientArea.Controls.Add(m_monthlyPnlChart);
}
if (m_annotatedChart == null)
{
m_annotatedChart = new LineChartWithAnnotations();
m_annotatedChart.Dock = DockStyle.Fill;
panel5.ClientArea.Controls.Add(m_annotatedChart);
}
ultraListBar1.Groups[0].Items.Clear();
for(int i=0;i<m_analyzer.SourceWts.ColumnHeadings.Length;++i)
{
string s = m_analyzer.SourceWts.ColumnHeadings[i];
//Currency c = Singleton<FXIDs>.Instance[s];
Infragistics.Win.UltraWinListBar.Item item = ultraListBar1.Groups[0].Items.Add(key: s, text: s);
item.Tag = i;
}
}
internal void Create(BindingList<CurveReconciler.CompareItem> items_)
{
var grid = new BoundInfraGrid();
grid.Bind(items_);
grid.Dock=DockStyle.Fill;
this.splitContainer1.Panel1.Controls.Add(grid);
var chart = new SimpleWtsColumnChart();
var sorted = items_.OrderBy(x => x.FIID);
var headings = sorted.Select(x => x.SymmetryCode.Split(' ')[0]).ToArray();
var values = sorted.Select(x => (x.DiffAsBps.HasValue) ? x.DiffAsBps.Value : 0d).ToArray();
chart.SetYAxisFormat("##0.000#");
chart.Dock = DockStyle.Fill;
chart.Create(headings, values);
this.splitContainer1.Panel2.Controls.Add(chart);
}
private void btnPersistence_Click(object sender, EventArgs e)
{
FlowLayoutPanel flp = new FlowLayoutPanel();
Size controlSize = new Size(600, 200);
foreach (WtsSeriesAnalyzer anal in m_seriesAnalyzers)
{
SI.Controls.GroupBox gb = new SI.Controls.GroupBox();
gb.Text = anal.Name;
gb.Size = controlSize;
SI.Controls.SimpleWtsColumnChart swc = new SI.Controls.SimpleWtsColumnChart();
swc.Dock = DockStyle.Fill;
gb.Controls.Add(swc);
//QC.Common.WtsAnalysis.OverallPersistenceDisplay.setupPersistenceAvgLongShortChart(swc, anal);
//flp.Controls.Add(gb);
}
flp.DisplayInShowForm("Avg holding period for strategies on individual currencies");
}
public void Create(WtsSeriesAnalyzer analyzer_, DateTime? startDate_=null, DateTime? endDate_=null)
{
var wtsDisplay = new SimpleWtsColumnChart();
var c2vDisplay = new SimpleWtsColumnChart();
var pnlDisplay = new SimpleWtsColumnChart();
wtsDisplay.Dock = DockStyle.Fill;
panel1.ClientArea.Controls.Add(wtsDisplay);
c2vDisplay.Dock = DockStyle.Fill;
panel2.ClientArea.Controls.Add(c2vDisplay);
pnlDisplay.Dock = DockStyle.Fill;
panel3.ClientArea.Controls.Add(pnlDisplay);
ConstructGen<double> sourceWts = analyzer_.SourceWts;
ConstructGen<double> sourceC2V = analyzer_.SourceC2V;
ConstructGen<double> perf = analyzer_.Performance;
if (startDate_ != null && endDate_ != null)
{
sourceWts = sourceWts.GetSubValues(startDate_.Value,endDate_.Value);
sourceC2V = sourceC2V.GetSubValues(startDate_.Value, endDate_.Value);
perf = perf.GetSubValues(startDate_.Value, endDate_.Value);
}
{
IDictionary<string, double[]> wts = new Dictionary<string, double[]>();
for (int i = 0; i < sourceWts.ArrayLength; ++i)
{
double[] w = sourceWts.GetColumnValues(i);
double[] vals = new double[]
{
w.Min(),
w.Average(),
w.Max()
};
wts.Add(sourceWts.ColumnHeadings[i], vals);
}
wtsDisplay.Create<string, string>(wts, new string[] { "Min", "Avg", "Max" });
}
{
IDictionary<string, double[]> c2v = new Dictionary<string, double[]>();
for (int i = 0; i < sourceC2V.ArrayLength; ++i)
{
double[] w = sourceC2V.GetColumnValues(i);
double[] vals = new double[]
{
w.Min(),
w.Average(),
w.Max()
};
c2v.Add(sourceC2V.ColumnHeadings[i], vals);
}
c2vDisplay.Create<string, string>(c2v, new string[] { "Min", "Avg", "Max" });
}
{
double[] ds=new double[perf.ArrayLength];
for(int i=0;i<ds.Length;++i)
ds[i]=perf.GetColumnValues(i).Sum();
pnlDisplay.Create(analyzer_.SourceWts.ColumnHeadings, ds);
}
}
public static void Go(DateTime date_)
{
LookFeel.SetupNoirModerneLookFeel();
double thresholdForFlagging = 0.5d;
var controlDict=new Dictionary<string,SimpleWtsColumnChart>();
var listOfItems = Retriever.Retrieve(date_);
var listOfAnomolies = new List<FlagListItem>();
foreach (var distinctCurve in listOfItems.Select(x => x.CurveName).Distinct())
{
var curveSubset = listOfItems.Where(x => x.CurveName.Equals(distinctCurve));
foreach (var distinctTenor in curveSubset.Select(x => x.Tenor).Distinct().OrderBy(x=>x))
{
var tenorAndCurveSubset = curveSubset.Where(x => x.Tenor == distinctTenor);
var isins = new List<string>();
var changeInMMS = new List<double>();
foreach (var isin in tenorAndCurveSubset.OrderBy(x=>x.Maturity).Select(x => x.ISIN).Distinct())
{
var isinItems = tenorAndCurveSubset.Where(x => x.ISIN.Equals(isin)).OrderByDescending(x => x.ValueDate).ToArray();
if (isinItems.Count() > 1)
{
isins.Add(isin);
changeInMMS.Add((isinItems[0].MMS - isinItems[1].MMS) * 10000d);
}
}
if (isins.Count() == 0)
continue;
for (int i = 1; i < isins.Count - 1; ++i)
{
var neighbourAverage = (changeInMMS[i - 1] + changeInMMS[i + 1]) / 2d;
var diff = changeInMMS[i] - neighbourAverage;
var bond = listOfItems.Where(x => string.Compare(isins[i], x.ISIN, true) == 0).First();
if (Math.Abs(diff) >= thresholdForFlagging)
{
var timeToMaturity = bond.Maturity - DateTime.Today;
// ignore bonds with less than one yeat to maturity
if (timeToMaturity.Days < 252)
continue;
listOfAnomolies.Add(new FlagListItem()
{
MarkDate = date_,
Curve = distinctCurve,
Tenor = distinctTenor,
Isin = isins[i],
ChangeInMMS = changeInMMS[i],
LeftBond = listOfItems.Where(x => string.Compare(isins[i-1], x.ISIN, true) == 0).First().Bond,
ChangeInMMSLeft = changeInMMS[i - 1],
RightBond = listOfItems.Where(x => string.Compare(isins[i+1], x.ISIN, true) == 0).First().Bond,
ChangeInMMSRight = changeInMMS[i + 1],
Bond=bond.Bond
});
}
}
var chart = new Controls.SimpleWtsColumnChart();
chart.SetYAxisFormat("##0.000#");
chart.Create(isins.ToArray(), changeInMMS.ToArray());
chart.SetXAxisExtent(100);
controlDict.Add(string.Format("{0}_{1}", distinctCurve, distinctTenor), chart);
}
}
if (listOfAnomolies.Count <= 0) return;
MailMessage msg = new MailMessage("*****@*****.**", "*****@*****.**", "beta: MMS change opportunity / change report", "body");
msg.To.Clear();
msg.To.Add("*****@*****.**");
msg.To.Add("*****@*****.**");
msg.IsBodyHtml = true;
var builder = new StringBuilder();
builder.AppendLine(string.Format("<h3>Unusual bond MMS moves on {0}</h3>", date_.ToString("dd-MMM-yyyy")));
builder.AppendLine("<p>(Criteria is 0.5 bps difference from the average of the bonds either side)</p>");
var grid = listOfAnomolies.DisplayInBoundGrid("blah", false);
builder.AppendLine(grid.ToHTML());
var resourceDict=new Dictionary<string,string>();
foreach (string chartKey in listOfAnomolies.Select(x => string.Format("{0}_{1}", x.Curve, x.Tenor)).Distinct())
{
builder.AppendLine(string.Format("<h4>{0} - bp change in MMS per bond</h4>", chartKey));
builder.AppendLine(string.Format("<img src=cid:{0}>", chartKey));
var path = string.Format("{0}\\{1}_{2}.bmp", Environment.GetFolderPath(Environment.SpecialFolder.InternetCache), chartKey, date_.ToString("ddMMyyyy"));
controlDict[chartKey].Chart.DataBind();
LookFeel.ProcessChart(controlDict[chartKey]);
controlDict[chartKey].Chart.SaveTo(path, System.Drawing.Imaging.ImageFormat.Bmp);
resourceDict.Add(chartKey, path);
}
AlternateView htmlView = AlternateView.CreateAlternateViewFromString(builder.ToString(), null, "text/html");
foreach (var k in resourceDict.Keys)
{
LinkedResource lr = new LinkedResource(resourceDict[k]);
lr.ContentId = k;
htmlView.LinkedResources.Add(lr);
}
msg.AlternateViews.Add(htmlView);
try
{
Emailer.GetClient().Send(msg);
}
catch (Exception ex_)
{
Logger.Error("Error sending email", typeof (Analyzer), ex_);
}
}
private void rebind()
{
var finestGranulatiry =
m_evaluator.Daily.Length > (2*m_evaluator.Weekly.Length)
? Period.Daily
: m_evaluator.Weekly.Length > (2*m_evaluator.Monthly.Length)
? Period.Weekly
: Period.Monthly;
lblCumReturn.Bind(m_evaluator.Daily, "CumulativeReturn", new Validators.DoubleValidator("#0.00%"));
lblAvgReturnPA.Bind(m_evaluator.Daily, "AverageReturnsPerAnnum", new Validators.DoubleValidator("#0.00%"));
lblAnnualSharpe.Bind(m_evaluator[finestGranulatiry], "AnnualSharpeRatio", new Validators.DoubleValidator("#0.00"));
lblRealisedVolPA.Bind(m_evaluator[finestGranulatiry], "RealisedVolPerAnnum", new Validators.DoubleValidator("#0.00%"));
lblYTD.Bind(m_evaluator.Daily, "YTD", new Validators.DoubleValidator("#0.00%"));
lblSortino.Bind(m_evaluator.Daily, "AnnualSortinoRatio", new Validators.DoubleValidator("#0.00"));
// periodic returns
dailyReturnsDisplay.Bind(m_evaluator.Daily);
weeklyReturnsDisplay.Bind(m_evaluator.Weekly);
monthlyReturnsDisplay.Bind(m_evaluator.Monthly);
monthlyReturnsChart.Bind(m_evaluator, ReturnsEval.Period.Monthly, "MMM-yy");
// drawdowns
for (int i = 0; i < m_drawdownControls.Length; ++i)
{
// ReSharper disable once AssignmentInConditionalExpression
if (m_drawdownControls[i].Visible = (i < m_evaluator.Daily.DrawDowns.Length))
m_drawdownControls[i].Bind(m_evaluator, i, true);
}
drawdownAnalysisControl1.Bind(m_evaluator);
cumulativeChart.Bind(m_evaluator, ReturnsEval.Period.Daily);
if (m_evaluator.InnerSeries.Count > 0)
{
#region Add overall attribution
if (m_overallAttributionChart == null)
{
Infragistics.Win.UltraWinTabControl.UltraTab tab = ultraTabControl1.Tabs.Add();
tab.Text = "Attribution";
m_overallAttributionChart = new Controls.SimpleWtsColumnChart();
m_overallAttributionChart.Dock = DockStyle.Fill;
m_overallAttributionChart.SetXAxisExtent(80);
tab.TabPage.Controls.Add(m_overallAttributionChart);
}
m_overallAttributionChart.Create(m_evaluator.InnerSeries.Select(x => x.Name).ToArray(), m_evaluator.InnerSeries.Select(x => x.Daily.CumulativeReturn).ToArray());
m_overallAttributionChart.SetXAxisExtent(80);
#endregion
#region Add Monthly Attribution
//if (m_datedReturnsChartAttributed == null)
//{
// Infragistics.Win.UltraWinTabControl.UltraTab tab = ultraTabControl1.Tabs.Add();
// tab.Text = "Monthly Attribution";
// m_datedReturnsChartAttributed = new DatedReturnsChartAttributed();
// m_datedReturnsChartAttributed.Dock = DockStyle.Fill;
// tab.TabPage.Controls.Add(m_datedReturnsChartAttributed);
//}
//if(m_datedReturnsChartAttributed!=null)
// m_datedReturnsChartAttributed.Bind(m_evaluator, ReturnsEval.Period.Monthly, "MMM yy");
#endregion
#region Add Cumulative returns comparison
//if (m_cumulativeWithInnerAttributedChart == null)
//{
// Infragistics.Win.UltraWinTabControl.UltraTab tab = ultraTabControl1.Tabs.Add();
// tab.Text = "Cumulative Returns Attribution";
// m_cumulativeWithInnerAttributedChart = new CumulativeWithInnerAttributedChart();
// m_cumulativeWithInnerAttributedChart.Dock = DockStyle.Fill;
// tab.TabPage.Controls.Add(m_cumulativeWithInnerAttributedChart);
//}
//if(m_cumulativeWithInnerAttributedChart!=null)
// m_cumulativeWithInnerAttributedChart.Bind(m_evaluator);
#endregion
}
bindRW();
}
