public SmoothCurveAndSettingsGroup(FitPhases phases_, CountryBondSource source_, BondField timeToMaturity_, Focus focus_, BondField minusField_, BondField minusFieldFitted_, int recalcNumber_, bool fitOnEvent_ = true)
: this(phases_, source_, timeToMaturity_, focus_, recalcNumber_, fitOnEvent_)
{
// explanation of logic of last 2 arguments
// false => don't want to continually recalc on the recalc cycle, but only once
// true => if the MinusOffset changes, we want to recalculate
DateTime thirtyYearsTime = DateTime.Today.AddYears(30);
MinusCMT = new CMTLine(source_.Market,focus_);
MinusCalculator = new SmoothCurveCalculator(
cml_: MinusCMT,
cmlStartTenor_: 1,
cmlEndTenor_: 34,
list_: source_.Lines.Where(x => x.Maturity <= thirtyYearsTime).ToList(),
timeToMaturityField_: timeToMaturity_,
valueField_: minusField_,
fittedValueField_: minusFieldFitted_,
recalcNumber_: recalcNumber_,
updateOnCalcEvent_: false,
updateOnMinusOffsetChange_: true,
settings_: Settings);
}
public CountryCurveControl(CountryBondSource source_)
: this()
{
m_countryBondSource = source_;
dummyBondDisplay1.Create(source_.Market);
dummyBondDisplay1.DummyBond.PropertyChanged += (x, y) =>
{
if (String.CompareOrdinal("IsLive", y.PropertyName) == 0 || String.CompareOrdinal("Maturity", y.PropertyName) == 0)
reloadSmoothCurves();
};
}
public SmoothCurveAndSettingsGroup(FitPhases phases_, CountryBondSource source_, BondField timeToMaturity_, Focus focus_, int recalcNumber_, bool fitOnEvent_=true)
{
m_settings = new SmoothCurveSettings(phases_);
LiveCMT = new CMTLine(source_.Market,focus_);
DateTime thirtyYearsTime = DateTime.Today.AddYears(34);
LiveCalculator = new SmoothCurveCalculator(
cml_: LiveCMT,
cmlStartTenor_: 1,
cmlEndTenor_: 34,
list_: source_.Lines.Where(x => x.Maturity <= thirtyYearsTime).ToList(),
timeToMaturityField_: timeToMaturity_,
valueField_: BondAnalysisLineHelper.GetFieldForFocusAndType(focus_,FieldType.Live),
fittedValueField_: BondAnalysisLineHelper.GetFieldForFocusAndType(focus_,FieldType.FittedLive),
recalcNumber_: recalcNumber_,
updateOnCalcEvent_: fitOnEvent_,
settings_: Settings);
}
private void add(BindingList<BondSpreadLine> list_, CountryBondSource src1_, CountryBondSource src2_, bool firstFirst_)
{
Array.ForEach(src1_.Lines.ToArray(), benchBond =>
{
var closestBond =
src2_.Lines.Select(x => new { Diff = Math.Abs((benchBond.Maturity - x.Maturity).TotalDays), Item = x })
.OrderBy(x => x.Diff)
.First();
if (closestBond.Diff > DaysDiffTolerance) return;
var line = firstFirst_ ? new BondSpreadLine(benchBond, closestBond.Item) : new BondSpreadLine(closestBond.Item, benchBond);
if (
list_.Any(
x => object.ReferenceEquals(x.Lines[0], line.Lines[0]) && object.ReferenceEquals(x.Lines[1], line.Lines[1])))
line.Dispose();
else
list_.Add(line);
});
}
private static void stage3_populateBondsWithFittedValues(CountryBondSource countrySource_, DateTime date_)
{
if (countrySource_ == null || countrySource_.Lines == null)
return;
foreach (var cBond in countrySource_.Lines)
{
var v = cBond.UnderlyingBond.TimeSeries.ValueOnExactDate(date_);
if (v == null) // this should never be the case
continue;
v.MM_Yield_Fit = cBond.GetValue(BondField.YieldLiveFitted);
v.MM_ASW_Fit = cBond.GetValue(BondField.ASWLiveFitted);
v.MM_ZSpread_Fit = cBond.GetValue(BondField.CASLiveFitted);
v.AdjustedZSpread = cBond.GetValue(BondField.CASLive);
cBond.UnderlyingBond.Changed = true;
}
}
public void Create()
{
BbgTalk.Core.GUI_INVOKE_CONTROL = this;
m_countryBondSource = m_countryBondSource;
mainGrid.Create(m_localList);
mainGrid.StatCellClicked += handleCellClicked;
// smart markings on fit y axis
swccVsFit.SetYAxixTickStyle(Infragistics.UltraChart.Shared.Styles.AxisTickStyle.Smart);
// no labels on different x axis
swccChange.Chart.Axis.X.Labels.ItemFormat = Infragistics.UltraChart.Shared.Styles.AxisItemLabelFormat.None;
focusSwitchControl1.SelectedFocus = m_countryBondSource.Focus;
focusSwitchControl1.FocusChanged += (x, y) => m_countryBondSource.Focus = y.Focus;
rebuildLocalList();
m_countryBondSource.PropertyChanged += (a, b) =>
{
switch (b.PropertyName)
{
case "Focus":
reloadAllStats();
break;
}
};
m_countryBondSource.DisplayArgs.PropertyChanged += (a, b) =>
{
switch (b.PropertyName)
{
case "StartTenor":
case "EndTenor":
reloadSmoothCurves();
break;
case "ZScore1":
case "ZScore2":
reloadFocusZScores(false);
break;
}
};
m_countryBondSource.DisplayArgs.GetClusterArgs(0).PropertyChanged += (a, b) => reloadClusterFlyZScores(0, false);
m_countryBondSource.DisplayArgs.GetClusterArgs(1).PropertyChanged += (a, b) => reloadClusterFlyZScores(1, false);
tbFlyZ1_1.Bind(m_countryBondSource.DisplayArgs.GetClusterArgs(0), "ZScore1", new Validators.IntValidator());
tbFlyZ1_2.Bind(m_countryBondSource.DisplayArgs.GetClusterArgs(0), "ZScore2", new Validators.IntValidator());
tbFlyZ2_1.Bind(m_countryBondSource.DisplayArgs.GetClusterArgs(1), "ZScore1", new Validators.IntValidator());
tbFlyZ2_2.Bind(m_countryBondSource.DisplayArgs.GetClusterArgs(1), "ZScore2", new Validators.IntValidator());
tbfocusZ1.Bind(m_countryBondSource.DisplayArgs, "ZScore1", new Validators.IntValidator());
tbHighLowWindow.Bind(m_countryBondSource.DisplayArgs, "HighLowAvgWindow", new Validators.IntValidator());
tbStartTenor.Bind(m_countryBondSource.DisplayArgs, "StartTenor", new Validators.IntValidator());
tbEndTenor.Bind(m_countryBondSource.DisplayArgs, "EndTenor", new Validators.IntValidator());
tbRepoRate.Bind(m_countryBondSource, "RepoRate", new Validators.DoubleValidator(null));
#if DEBUG
mainGrid.AddClickHandler("Bond", (a, b) =>
{
var line = b.ListObject as BondAnalysisLine;
if (line == null) return;
SI.Common.CBBExecute.Execute(string.Format("<home><blp-0>{0} <GOVT> <go> FLDS <go>", line.UnderlyingBond.Isin));
});
mainGrid.AddClickHandler("ModifiedDuration", (a, b) =>
{
var line = b.ListObject as BondAnalysisLine;
if (line == null) return;
var dt = line.ValuesAsDataTable((BondField[])Enum.GetValues(typeof(BondField)));
var grid = new SI.Controls.BoundInfraGrid();
grid.Bind(dt);
grid.DisplayInShowForm(string.Format("{0} underlying values", line.Bond));
});
#endif
mainGrid.AddClickHandler("ImageIncludeInFit", (a, b) =>
{
var line = b.ListObject as BondAnalysisLine;
if (line == null) return;
line.IncludeInFit = !line.IncludeInFit;
reloadSmoothCurves();
});
reloadAllStats();
}
public void Create(CountryBondSource analyser_, BondField field_, TimePeriod period_)
{
Create(analyser_.Lines, field_, period_);
}
