//------------------------------------------------------------------------------------------------
public SpreadSeriesBuilder(string metric, FuturesSeriesBuilder rawfuturesBuilder, SwapCurveSeriesBuilder swapBuilder,
Dictionary<string, TimeSeriesBondStatic> bondStatics, SpreadConventions conventions, List<DateTime> holidays=null)
//------------------------------------------------------------------------------------------------
{
if (holidays == null)
{
holidays = new List<DateTime>();
}
// Setup Everything
var futuresBuilder = new FuturesSeriesBuilder(rawfuturesBuilder); //use copy constructor
FuturesPrices = futuresBuilder.RawFuturesPrices;
FuturesStatic = futuresBuilder.FuturesStatic;
BondStatic = bondStatics;
CombinedStatic = SpreadSeriesBuilder.combineFuturesAndBondStatic(BondStatic, FuturesStatic);
if (conventions.bForecastCurve)
{
ForecastCurves = swapBuilder.ForecastCurves;
DiscountCurves = swapBuilder.DiscountCurves;
}
else
{
ForecastCurves = swapBuilder.DiscountCurves;
DiscountCurves = swapBuilder.DiscountCurves;
}
SpreadMetric_ = metric;
Conv_ = conventions;
Holidays_ = holidays;
var rawSpreads = computeFuturesSpreads();
// Now use this to get rolling futures too
futuresBuilder.RawFuturesPrices = rawSpreads;
futuresBuilder.interpolateRawPriceFrame();
SpreadValues = futuresBuilder.getCombinedResults();
FuturesBuilder_ = futuresBuilder;
}
//------------------------------------------------------------------------------------------------
public static double calcFwdBondMeasure(string measure,
AnalyticsBondStaticData bondstatic,
double fwdPrice,
DateTime asofDate, DateTime settle,
SpreadConventions convs,
SortedDictionary<DateTime, Tuple<DateTime,double>[]> ForecastCurves,
SortedDictionary<DateTime, Tuple<DateTime, double>[]> DiscountCurves,
List<DateTime> hols,
Tuple<DateTime, double> previous = null)
//------------------------------------------------------------------------------------------------
{
// Cast forecast and discount curves
var newForecastCurves = new SortedDictionary<DateTime, DiscountFactors>(
ForecastCurves.ToDictionary(kvp => kvp.Key, kvp => new DiscountFactors(kvp.Value)));
var newDiscountCurves = new SortedDictionary<DateTime, DiscountFactors>(
DiscountCurves.ToDictionary(kvp => kvp.Key, kvp => new DiscountFactors(kvp.Value)));
// Run them through original code
return calcFwdBondMeasure(measure,bondstatic,fwdPrice,asofDate,settle,convs,newForecastCurves,newDiscountCurves,hols,previous);
}
//------------------------------------------------------------------------------------------------
public static double calcFwdBondMeasure(string measure,
AnalyticsBondStaticData bondstatic,
double fwdPrice,
DateTime asofDate, DateTime settle,
SpreadConventions convs,
SortedDictionary<DateTime,DiscountFactors> ForecastCurves,
SortedDictionary<DateTime, DiscountFactors> DiscountCurves,
List<DateTime> hols,
Tuple<DateTime,double> previous = null)
//------------------------------------------------------------------------------------------------
{
//string identifier = bondstatic.Id;
// Setup Params
DateTime FwdDate = settle;
DateTime effectiveDate = bondstatic.EffectiveDate;
DateTime firstCpnDate = bondstatic.FirstCouponDate;
DateTime maturity = bondstatic.MaturityDate;
double coupon = bondstatic.Coupon;
long bondCpnFreq = bondstatic.CpnFreq;
long fixedFreq = convs.SwapFixedFrequency;
long floatFreq = convs.SwapFloatFrequency;
BondAnalytics.Country eCountry = bondstatic.Country;
BondAnalytics.DayCountType dct = convs.DayCount;
bool bOIS = !convs.bForecastCurve;
int blendIdx = convs.BlendIndex;
double output = double.NaN;
switch (measure)
{
case "Yield":
{
output = 10000.0 * BondAnalytics.SolveYield(eCountry, FwdDate, fwdPrice, effectiveDate, firstCpnDate, maturity, coupon, bondCpnFreq)[0];
break;
}
case "TrueSpread":
{
if (!ForecastCurves.ContainsKey(asofDate))
{
output = double.NaN;
break;
}
DiscountFactors curve = ForecastCurves[asofDate];
DateTime[] dfDates = curve.CurveDates;
double[] dfs = curve.Dfs;
// Check. Sometimes (holidays) the first date on the curve can be repeated, which will cause an exception in the pricer.
if (dfDates[0] == dfDates[1])
{
dfDates = dfDates.GetSubArray(1, dfDates.GetLength(0)).ToArray();
dfs = dfs.GetSubArray(1, dfs.GetLength(0)).ToArray();
}
output = -10000.0 * BondAnalytics.SolveZSpread(eCountry, FwdDate, fwdPrice, effectiveDate, firstCpnDate, maturity, coupon, bondCpnFreq, dfDates, dfs, hols);
break;
}
case "MMS":
{
if (!ForecastCurves.ContainsKey(asofDate))
{
output = double.NaN;
break;
}
var discountCurve = DiscountCurves[asofDate];
var forecastCurve = ForecastCurves[asofDate];
DateTime[] discDfDates = discountCurve.CurveDates;
DateTime[] fcstDfDates = forecastCurve.CurveDates;
double[] discDfs = discountCurve.Dfs;
double[] fcstDfs = forecastCurve.Dfs;
//double mms = BondAnalytics.CalcMMS(FwdDate, maturity, dct, fixedFreq, floatFreq, discDfDates, discDfs, fcstDfDates, fcstDfs, hols, null, null, null, null, null, firstCpnDate, blendIdx);
var mms = SwapAnalytics.CalcSwapRate(FwdDate, maturity, 0.0, dct, fixedFreq, dct, floatFreq, discDfDates,
discDfs, fcstDfDates, fcstDfs, hols, 0.0, blendIdx, bOIS ? blendIdx : 0);
output = 10000.0 * mms;
break;
}
case "Spread":
{
if (!ForecastCurves.ContainsKey(asofDate))
{
output = double.NaN;
break;
}
var discountCurve = DiscountCurves[asofDate];
var forecastCurve = ForecastCurves[asofDate];
DateTime[] discDfDates = discountCurve.CurveDates;
DateTime[] fcstDfDates = forecastCurve.CurveDates;
double[] discDfs = discountCurve.Dfs;
double[] fcstDfs = forecastCurve.Dfs;
var mms = SwapAnalytics.CalcSwapRate(FwdDate, maturity, 0.0, dct, fixedFreq, dct, floatFreq, discDfDates,
discDfs, fcstDfDates, fcstDfs, hols, 0.0, blendIdx, bOIS ? blendIdx : 0);
double yield = 0.0;
yield = BondAnalytics.SolveYield(eCountry, FwdDate, fwdPrice, effectiveDate, firstCpnDate, maturity, coupon, bondCpnFreq)[0];
output = 10000.0 * (mms - yield);
break;
}
case "FuturesDV01":
{
double previous_price = double.NaN;
if (previous != null)
{
previous_price = previous.Item2;
}
// Get the CTD Bond DV01 here
double dv01 = BondAnalytics.SolveYield(eCountry, FwdDate, fwdPrice, effectiveDate, firstCpnDate, maturity, coupon, bondCpnFreq)[1] / 1000000 * 100;
// Get next price
output = dv01;
break;
}
case "MMSDV01":
{
// Setup current swap curve
if (!ForecastCurves.ContainsKey(asofDate))
{
output = double.NaN;
break;
}
var discountCurve = DiscountCurves[asofDate];
var forecastCurve = ForecastCurves[asofDate];
double rate = BondAnalytics.CalcMMS(FwdDate, maturity, dct, fixedFreq, floatFreq, discountCurve.CurveDates, discountCurve.Dfs, forecastCurve.CurveDates, forecastCurve.Dfs, hols, null, null, null, null, null, firstCpnDate, blendIdx);
// Get Current DV01
double dv01 = SwapAnalytics.CalcSwapDv01(FwdDate, maturity, 1, rate, dct, dct, fixedFreq,
floatFreq, discountCurve.CurveDates, discountCurve.Dfs, forecastCurve.CurveDates,
forecastCurve.Dfs, hols);
// DV01 adjusted PnL
output = dv01 * 100; // 100 Notional Terms here
break;
}
case "FuturesPnlDV01Adj":
{
double previous_fwdprice = double.NaN;
if (previous != null)
{
previous_fwdprice = previous.Item2;
}
// Get the CTD Bond DV01 here
double dv01 = BondAnalytics.SolveYield(eCountry, FwdDate, fwdPrice, effectiveDate, firstCpnDate, maturity, coupon, bondCpnFreq)[1] / 1000000 * 100;
// Get next price
output = (fwdPrice - previous_fwdprice) / Math.Abs(dv01); //Normalise into 100 par terms
break;
}
case "FuturesPnl":
{
double previous_fwdprice = double.NaN;
if (previous != null)
{
previous_fwdprice = previous.Item2;
}
// PnL in notional terms
output = fwdPrice - previous_fwdprice; // Actual pnl is given by price change of the CTD bond
break;
}
case "SwapPnl":
{
// Previous date, curve to get original MMS rate
DateTime previousDate = DateTime.MinValue;
if (previous != null)
{
previousDate = previous.Item1;
}
if (!ForecastCurves.ContainsKey(previousDate))
{
output = double.NaN;
break;
}
var discountCurve = DiscountCurves[previousDate];
var forecastCurve = ForecastCurves[previousDate];
double previouRate = BondAnalytics.CalcMMS(FwdDate, maturity, dct, fixedFreq, floatFreq, discountCurve.CurveDates, discountCurve.Dfs, forecastCurve.CurveDates, forecastCurve.Dfs, hols, null, null, null, null, null, firstCpnDate, blendIdx);
previouRate *= 100; // For cents
// Setup current swap curve
if (!ForecastCurves.ContainsKey(asofDate))
{
output = double.NaN;
break;
}
discountCurve = DiscountCurves[asofDate];
forecastCurve = ForecastCurves[asofDate];
// Get PnL of rate
//priceSwap(DateTime startDate, DateTime endDate, int payRec, double fixedRate, BondAnalytics.DayCountType fixedDctType, long fixedFreq, double floatSpread, BondAnalytics.DayCountType floatDctType, long floatFreq, DateTime[] discCurveDates, double[] discDfs, DateTime[] fcstCurveDates, double[] fcstDfs, List<DateTime> holidays, double lastFixing = 0.0, int blendIndexD = 0, int blendIndexF = 0, bool incPrin = false)
double pnl = SwapAnalytics.PriceSwap(FwdDate, maturity, 1, previouRate, dct, fixedFreq, 0.0, dct,
floatFreq, discountCurve.CurveDates, discountCurve.Dfs, forecastCurve.CurveDates,
forecastCurve.Dfs, hols);
// Raw PnL innotional terms
output = pnl * 100; // pnl in cents
break;
}
case "SwapPnlDV01Adj":
{
// Previous date, curve to get original MMS rate
DateTime previousDate = DateTime.MinValue;
if (previous != null)
{
previousDate = previous.Item1;
}
if (!ForecastCurves.ContainsKey(previousDate))
{
output = double.NaN;
break;
}
var discountCurve = DiscountCurves[previousDate];
var forecastCurve = ForecastCurves[previousDate];
double previousRate = BondAnalytics.CalcMMS(FwdDate, maturity, dct, fixedFreq, floatFreq, discountCurve.CurveDates, discountCurve.Dfs, forecastCurve.CurveDates, forecastCurve.Dfs, hols, null, null, null, null, null, firstCpnDate, blendIdx);
previousRate *= 100; // To put this into cents
// Setup current swap curve
if (!ForecastCurves.ContainsKey(asofDate))
{
output = double.NaN;
break;
}
discountCurve = DiscountCurves[asofDate];
forecastCurve = ForecastCurves[asofDate];
// Get PnL of rate
double pnl = SwapAnalytics.PriceSwap(FwdDate, maturity, 1, previousRate, dct, fixedFreq, 0.0, dct,
floatFreq, discountCurve.CurveDates, discountCurve.Dfs, forecastCurve.CurveDates,
forecastCurve.Dfs, hols);
// Get Current DV01
double dv01 = SwapAnalytics.CalcSwapDv01(FwdDate, maturity, 1, previousRate, dct, dct, fixedFreq,
floatFreq, discountCurve.CurveDates, discountCurve.Dfs, forecastCurve.CurveDates,
forecastCurve.Dfs, hols);
// DV01 adjusted PnL
output = pnl / Math.Abs(dv01); // 100 Notional Terms here
break;
}
case "SpreadPnlDV01Adj":
{
// FUTURES.
double previous_fwdprice = double.NaN;
if (previous != null)
{
previous_fwdprice = previous.Item2;
}
// Get the CTD Bond DV01 here
double dv01 = BondAnalytics.SolveYield(eCountry, FwdDate, fwdPrice, effectiveDate, firstCpnDate, maturity, coupon, bondCpnFreq)[1] / 1000000 * 100;
// Get next price
double futures01AdjPnl = (fwdPrice - previous_fwdprice) / Math.Abs(dv01);
// SWAP.
// Previous date, curve to get original MMS rate
DateTime previousDate = DateTime.MinValue;
if (previous != null)
{
previousDate = previous.Item1;
}
if (!ForecastCurves.ContainsKey(previousDate))
{
output = double.NaN;
break;
}
var discountCurve = DiscountCurves[previousDate];
var forecastCurve = ForecastCurves[previousDate];
double previousRate = BondAnalytics.CalcMMS(FwdDate, maturity, dct, fixedFreq, floatFreq, discountCurve.CurveDates, discountCurve.Dfs, forecastCurve.CurveDates, forecastCurve.Dfs, hols, null, null, null, null, null, firstCpnDate, blendIdx);
previousRate *= 100; // To put in cents
// Setup current swap curve
if (!ForecastCurves.ContainsKey(asofDate))
{
output = double.NaN;
break;
}
discountCurve = DiscountCurves[asofDate];
forecastCurve = ForecastCurves[asofDate];
// Get PnL of rate
double pnl = SwapAnalytics.PriceSwap(FwdDate, maturity, 1, previousRate, dct, fixedFreq, 0.0, dct,
floatFreq, discountCurve.CurveDates, discountCurve.Dfs, forecastCurve.CurveDates,
forecastCurve.Dfs, hols);
// Get Current DV01
dv01 = SwapAnalytics.CalcSwapDv01(FwdDate, maturity, 1, previousRate, dct, dct, fixedFreq,
floatFreq, discountCurve.CurveDates, discountCurve.Dfs, forecastCurve.CurveDates,
forecastCurve.Dfs, hols);
// DV01 adjusted PnL
double swap01AdjPnl = pnl / Math.Abs(dv01); // Notional Terms here
output = swap01AdjPnl - futures01AdjPnl;
break;
}
case "SpreadHedgeRatio":
{
// Get Bond DV01
double previous_price = double.NaN;
if (previous != null)
{
previous_price = previous.Item2;
}
// Get the CTD Bond DV01 here
double futuresDv01 = BondAnalytics.SolveYield(eCountry, FwdDate, fwdPrice, effectiveDate, firstCpnDate, maturity, coupon, bondCpnFreq)[1] / 1000000;// Match futures notional (1mil notional. prices in cents)
// Setup current swap curve
if (!ForecastCurves.ContainsKey(asofDate))
{
output = double.NaN;
break;
}
var discountCurve = DiscountCurves[asofDate];
var forecastCurve = ForecastCurves[asofDate];
double mms = BondAnalytics.CalcMMS(FwdDate, maturity, dct, fixedFreq, floatFreq, discountCurve.CurveDates, discountCurve.Dfs, forecastCurve.CurveDates, forecastCurve.Dfs, hols, null, null, null, null, null, firstCpnDate, blendIdx);
mms *= 100;
// Get Swap DV01
double swapDv01 = SwapAnalytics.CalcSwapDv01(FwdDate, maturity, 1, mms, dct, dct, fixedFreq,
floatFreq, discountCurve.CurveDates, discountCurve.Dfs, forecastCurve.CurveDates,
forecastCurve.Dfs, hols);
output = Math.Abs(futuresDv01) / Math.Abs(swapDv01);
break;
}
}
return output;
}
//----------------------------------------------------------------------------------------
public static Frame<DateTime, String> GenerateInvoiceSpreadTRS(
List<string> tickers,
DateTime start,
DateTime end,
string countryCode,
string pnlType = "InvoiceSpread",
bool bCumulative = true,
bool bOIS = true,
string samplingFreq= "1b",
string rollMethod = "FirstNoticeDate",
string holcal = "",
double notional = double.NaN,
ICarbonClient client = null)
//----------------------------------------------------------------------------------------
{
var eRollMethod = TimeSeriesUtilities.GetRollMethods(rollMethod);
var eInterpolationTypes = TimeSeriesUtilities.GetInterpolationType("None");
var eSmoothingTypes = TimeSeriesUtilities.GetSmoothingTypes("None"); // Don't smooth, doesn't make sense for PnL
bool bForecastCurve = !bOIS;
/* CARBON REQUIRES UTC TIME - MODIFY DATES TO ACCOMODATE */
start = new DateTime(start.Year, start.Month, start.Day, 0, 0, 0, DateTimeKind.Utc);
end = new DateTime(end.Year, end.Month, end.Day, 0, 0, 0, DateTimeKind.Utc);
#region cache
string all_tickers = ";";
foreach (var s in tickers) all_tickers += s;
string cacheKey = "GenerateInvoiceSpread" + tickers.ToString() + start.ToString() + end.ToString() +
countryCode + pnlType + bCumulative.ToString() + bOIS.ToString() + samplingFreq +
rollMethod + holcal + notional.ToString();
if (TimeSeriesCache.ContainsKey(cacheKey))
{
return TimeSeriesCache[cacheKey];
}
#endregion
if (client == null)
{
throw new ArgumentException("No Carbon Client!");
}
#region MeasureSetup
string swapMeasure = "";
string futMeasure = "";
string ratio = "";
bool bDefaultNoCumulative = false;
switch (pnlType)
{
case "InvoiceSpread":
if (double.IsNaN(notional)) // work in DV01 terms
{
swapMeasure = "SwapPnlDV01Adj";
futMeasure = "FuturesPnlDV01Adj";
}
else
{
swapMeasure = "SwapPnl";
futMeasure = "FuturesPnl";
//ratio = "SpreadHedgeRatio"; // required to construct the correct pnl
}
break;
case "Futures":
if (double.IsNaN(notional)) // work in DV01 terms
{
swapMeasure = "";
futMeasure = "FuturesPnlDV01Adj";
}
else
{
swapMeasure = "";
futMeasure = "FuturesPnl";
}
break;
case "MMS":
if (double.IsNaN(notional)) // work in DV01 terms
{
swapMeasure = "SwapPnlDV01Adj";
futMeasure = "";
}
else
{
swapMeasure = "SwapPnl";
futMeasure = "";
}
break;
case "MMSDV01":
swapMeasure = "MMSDV01";
futMeasure = "";
bDefaultNoCumulative = true;
break;
case "FuturesDV01":
swapMeasure = "FuturesDV01";
futMeasure = "";
bDefaultNoCumulative = true;
break;
case "HedgeRatio":
swapMeasure = "SpreadHedgeRatio";
futMeasure = "";
bDefaultNoCumulative = true;
break;
default:
throw new ArgumentException("");
}
#endregion
#region Configs
SpreadTimeSeriesConfigs config = new SpreadTimeSeriesConfigs(countryCode, !bOIS);
string ccy = config.ccy;
string calendarcode = (holcal != "") ? holcal : config.calendarcode;
string futuresStaticMoniker = config.futuresStaticMoniker;
string carbonEnv = config.carbonEnv;
BondAnalytics.Country country = config.country;
BondAnalytics.DayCountType dct = config.dct;
long swpfixfreq = config.swpfixfreq;
long swpfloatfreq = config.swpfloatfreq;
long bndCouponFreq = config.bndCouponFreq;
int BlendIndex = config.BlendIndex;
string symForecastCurveName = config.SymForecastCurveName;
string symDiscountCurveName = config.SymDiscountCurveName;
List<string> contractSortOrder = config.contractSortOrder;
List<DateTime> holidays = TimeSeriesUtilities.GetHolidays(calendarcode, client);
#endregion
var dateRange = TimeSeriesUtilities.GetAllDatesInDateime(start, end, calendarcode, client, samplingFreq);
// Spread Static.
SpreadConventions
spreadconventions = new SpreadConventions(country, dct, swpfixfreq, swpfloatfreq, bndCouponFreq, bForecastCurve, BlendIndex);
// Futures.
FuturesSeriesBuilder
seriesBuilder = new FuturesSeriesBuilder(tickers, dateRange, holidays, futuresStaticMoniker, client, carbonEnv, rollMthd: eRollMethod, interpType: eInterpolationTypes, contractSortOrder: contractSortOrder, smoothingType: eSmoothingTypes);
// Bond Static
var bndStatics = TimeSeriesUtilities.GetBondStaticsFromFuturesBuilder(seriesBuilder, config, client);
// Swap Curves
var curves = TimeSeriesUtilities.GetCurvesFromCarbon(dateRange, ccy, client);
if (curves == null || bndStatics == null) return null;
var forecastCurves = curves.Item1;
var discountCurves = curves.Item2;
SwapCurveSeriesBuilder
swapBuilder = new SwapCurveSeriesBuilder(dateRange, symForecastCurveName, symDiscountCurveName, ccy, holidays, forecastCurves, discountCurves, client);
// Generate Pnls
Frame<DateTime,string> swapPnl = null;
Frame<DateTime, string> futPnl = null;
if (swapMeasure != "")
{
SpreadSeriesBuilder swapPnlBuilder = new SpreadSeriesBuilder(swapMeasure, seriesBuilder, swapBuilder,
bndStatics, spreadconventions, holidays);
swapPnl = swapPnlBuilder.SpreadValues;
}
if (futMeasure != "")
{
SpreadSeriesBuilder futPnlBuilder = new SpreadSeriesBuilder(futMeasure, seriesBuilder, swapBuilder,
bndStatics, spreadconventions, holidays);
futPnl = futPnlBuilder.SpreadValues;
}
// Setup pnl correctly
Frame<DateTime, string> pnl;
if ( (swapPnl != null) && (futPnl != null))
{
// This allows it to match movements on the invoice spread chart.
// Long TRS = pay fixed, long bond
// Spread increases, mms increases, yield decreases -> swap/bond +ve pnl
pnl = futPnl - swapPnl;
}
else if (swapPnl != null)
{
pnl = swapPnl;
}
else
{
pnl = futPnl;
}
// Make it cumulative if flagged, but not for hedge ratios etc
if (bCumulative && !bDefaultNoCumulative)
{
pnl = pnl.SortRowsByKey(); // in case
pnl = TimeSeriesUtilities.DeedleFrameCumsum(pnl);
}
//Notional Adjust this thing
if (!double.IsNaN(notional) && pnlType!="HedgeRatio")
{
pnl *= notional/100; // Default 100
}
TimeSeriesCache[cacheKey] = pnl;
return pnl;
}
//----------------------------------------------------------------------------------------
public static Frame<DateTime, String> GenerateRollingBondForwardSeries(
List<string> tickers,
DateTime start,
DateTime end,
string tenor,
string countryCode,
string measure,
string holidayCode,
bool bOIS = true,
int optExDivDays = 0,
bool bSpreadOrRepo = true,
List<double> reposOrSpreads = null,
ICarbonClient client = null)
//----------------------------------------------------------------------------------------
{
// Checks
if (client == null)
{
throw new ArgumentException("No Carbon Client!");
}
#region cache
string all_tickers = ";";
foreach (var s in tickers) all_tickers += s;
string allRepoOis = "";
if (reposOrSpreads != null)
foreach (var s in reposOrSpreads) allRepoOis+= s;
string cacheKey = "GenerateRollingBondForwardSeries" + tickers.ToString() + start.ToString() + end.ToString() +
tenor + countryCode + measure + holidayCode + bOIS.ToString()
+ optExDivDays.ToString() + bSpreadOrRepo.ToString() + allRepoOis;
if (TimeSeriesCache.ContainsKey(cacheKey))
{
return TimeSeriesCache[cacheKey];
}
#endregion
#region Checks
if (start >end) throw new ArgumentException("#Error: start date cannot be after end date");
#endregion
var settings = new List<Tuple<string/*moniker*/, string/*tickercol*/, string/*pricecol*/>>();
// Get Configs
foreach (var ticker in tickers)
{
if (ticker.Contains('.')) // it's a CTD series!
{
settings.Add(MonikerConfigs.getCTDMoniker(countryCode,ticker,client));
}
else if (ticker.ToLower().Contains("ct"))
{
settings.Add(MonikerConfigs.getCTMoniker(countryCode, ticker, client));
}
else
{
throw new ArgumentException("#Error: Invalid ticker found - " + ticker);
}
}
#region DATA
bool bHaveEverything = true;
var configs = new SpreadTimeSeriesConfigs(countryCode, !bOIS);
var spreadConventions = new SpreadConventions(configs);
var dateRange = TimeSeriesUtilities.GetAllDatesInDateime(start, end, configs.calendarcode, client, "1b"); // Force daily sampling
var fwdDates = dateRange.Select(dte => dte.AddTenor(Tenor.FromString(tenor))).ToList();
var holidays = TimeSeriesUtilities.GetHolidays(holidayCode,client);
// Parcel input repo rates or spreads
Series<DateTime, double> inputSrs = null;
if (reposOrSpreads != null )
if (reposOrSpreads.Count != dateRange.Count && reposOrSpreads.Count != 1)
{
throw new ArgumentException("#Error: number of spreads or rates do not much the days in range");
}
else
{
var sb = new SeriesBuilder<DateTime, double>();
double scale_factor = bSpreadOrRepo ? 10000 : 1;
for (int i = 0; i < dateRange.Count; ++i)
{
if (reposOrSpreads.Count == 1)
{
sb.Add(dateRange[i], reposOrSpreads[0]/scale_factor);
}
else
{
sb.Add(dateRange[i], reposOrSpreads[i]/scale_factor);
}
}
inputSrs = sb.Series;
}
// Swap Curves
var curves = TimeSeriesUtilities.GetCurvesFromCarbon(dateRange, configs.ccy, client);
if (curves == null) bHaveEverything = false;
// Prices and tickers from ad-hoc persistence
var frames = new Dictionary<string, Frame<DateTime, string>>();
for (int i = 0; i < tickers.Count; ++i)
{
var setting = settings[i];
var ticker = tickers[i];
var moniker = setting.Item1;
var tickercol = setting.Item2;
var pricecol = setting.Item3;
var tmp_df = client.GetFrameAsync<DateTime>(moniker, "AdHocData").Result;
if (tmp_df == null)
{
bHaveEverything = false;
}
else
{
// Extract price and ticker cols only
var colsOfInterest = new Dictionary<string, Series<DateTime,object>>();
// Filter data to contain date range
tmp_df = tmp_df.Where(kvp => (kvp.Key >= start) && (kvp.Key <= end));
colsOfInterest["price"] = tmp_df.GetColumn<object>(pricecol);
colsOfInterest["isin"] = tmp_df.GetColumn<object>(tickercol);
frames[ticker] = Frame.FromColumns(colsOfInterest);
}
}
//Bond static
var bondIsinSet = new HashSet<string>();
foreach(var kvp in frames)
{
var ticker = kvp.Key;
var data = kvp.Value;
var isins = data.GetColumn<string>("isin").Values;
//isins.Select(isin => bondIsinSet.Add(isin));
foreach (string isin in isins)
{
bondIsinSet.Add(isin);
}
}
var bondStatics = client.BulkGetBondStaticData( bondIsinSet.ToList());
if (curves == null || bondStatics == null ) return null;
#endregion
#region RepoRegion
Series<DateTime, double> repoSrs = null;
if (reposOrSpreads == null)
{
// Load default repo-OIS Spread
double[,] repoRates =
client.GetRepoRateFromSavedRepoOisSpread(BondAnalytics.CountryMappings[countryCode], dateRange,
fwdDates, holidays);
// Break out if no data
if (repoRates == null) return null;
var repoSrsBlder = new SeriesBuilder<DateTime, double>();
for (int i = 0; i < dateRange.Count; ++i)
{
repoSrsBlder.Add(dateRange[i], repoRates[i, 1]);
}
repoSrs = repoSrsBlder.Series;
}
else
{
// User-defined repo-OIS Spread or repo rates
if (bSpreadOrRepo)
{
//Inputs are spreads
double[,] repoRates =
client.CalcRepoRatesFromOisSpread(inputSrs, BondAnalytics.CountryMappings[countryCode], dateRange, fwdDates, holidays);
// Break out if no data
if (repoRates == null) return null;
var repoSrsBlder = new SeriesBuilder<DateTime, double>();
for (int i = 0; i < dateRange.Count; ++i)
{
repoSrsBlder.Add(dateRange[i], repoRates[i, 1]);
}
repoSrs = repoSrsBlder.Series;
}
else
{
//Inputs are repo rates
repoSrs = inputSrs;
}
}
#endregion
// Calculation loop
var forecastCurves = curves.Item1;
var discountCurves = curves.Item2;
// Overwrite forecast curve if we want OIS
if (bOIS)
{
forecastCurves = discountCurves;
}
var outputs = new Dictionary<string, Series<DateTime, double>> ();
foreach (string ticker in tickers)
{
var sb = new SeriesBuilder<DateTime, double>();
var df = frames[ticker];
var idx = df.RowKeys;
var isins = df.GetColumn<string>("isin");
var prices = df.GetColumn<double>("price");
foreach (var dte in idx)
{
var tryisin = isins.TryGet(dte);
var tryprice = prices.TryGet(dte);
var tryrepo = repoSrs.TryGet(dte);
if (!tryprice.HasValue || !tryisin.HasValue || !tryrepo.HasValue)
continue;
var isin = tryisin.Value;
var price = tryprice.Value;
var repo = tryrepo.Value;
var fwddate = dte.AddTenor(Tenor.FromString(tenor));
var bondstatic = bondStatics[isin];
double value = double.NaN;
if (measure == "Repo")
{
value = repo;
}
else
{
var fwdprice = BondAnalytics.CalcBondFwd(configs.country, dte, price, bondstatic.EffectiveDate,
bondstatic.FirstCouponDate, bondstatic.MaturityDate, bondstatic.Coupon, bondstatic.CpnFreq,
fwddate, repo, optExDivDays)[0];
if (measure == "Price")
{
value = fwdprice;
}
else
{
value = MeasureCalculator.calcFwdBondMeasure(measure, bondstatic, fwdprice, dte, fwddate,
spreadConventions, forecastCurves, discountCurves, holidays);
}
}
sb.Add(dte,value);
}
outputs[ticker] = sb.Series;
}
var consolidatedMeasures = Frame.FromColumns(outputs);
// Cache results
TimeSeriesCache[cacheKey] = consolidatedMeasures;
return consolidatedMeasures;
}
//---------------------------------------------------------------------------------------------------------
//[Test]
public void SpreadSeriesToArrayTests()
//---------------------------------------------------------------------------------------------------------
{
// Params.
DateTime start = new DateTime(2016, 2, 28);
DateTime end = new DateTime(2016, 3, 18);
List<String> tickers = new List<string>() { "TUH6", "TUM6", "TUU6" };
string samplingFreq = "1b";
// Default Configs
SpreadTimeSeriesConfigs config = new SpreadTimeSeriesConfigs("US");
string forecastCurveName = config.forecastCurveName;
string discountCurveName = config.discountCurveName;
string ccy = config.ccy;
string calendarcode = config.calendarcode;
string futuresStaticMoniker = config.futuresStaticMoniker;
string carbonEnv = config.carbonEnv;
BondAnalytics.Country country = config.country;
BondAnalytics.DayCountType dct = config.dct;
long swpfixfreq = config.swpfixfreq;
long swpfloatfreq = config.swpfloatfreq;
long bndCouponFreq = config.bndCouponFreq;
int BlendIndex = config.BlendIndex;
bool bForecastCurve = true;
// Bond Static
Dictionary<string, TimeSeriesBondStatic> bondstatic = new Dictionary<string, TimeSeriesBondStatic>()
{
{"US912828G799", new TimeSeriesBondStatic("US912828G799", new DateTime(2017,12,15), new DateTime(2015,12,15),DateTime.MinValue,1.0)},
{"US912828J686", new TimeSeriesBondStatic("US912828J686", new DateTime(2018,03,15), new DateTime(2015,03,16),DateTime.MinValue,1.0)},
{"US912828VK31", new TimeSeriesBondStatic("US912828VK31", new DateTime(2018,06,30), new DateTime(2015,07,01),DateTime.MinValue,1.0)}
};
//Spread Static
SpreadConventions spreadconventions = new SpreadConventions(country, dct, swpfixfreq, swpfloatfreq, bndCouponFreq, bForecastCurve, BlendIndex);
// Dates
var holidays = new List<DateTime>();
var dateRange = new List<DateTime>();
using (var client = new CarbonClient(carbonEnv))
{
// Holidays
if (calendarcode != "")
{
var nodaHols = client.GetCalendarAsync(calendarcode).Result.Dates;
foreach (LocalDate hol in nodaHols)
{
holidays.Add(hol.ToDateTime());
}
}
// DateRange
DateTime startDate = start.AddTenor(Tenor.FromString("1b"), "").AddTenor(Tenor.FromString("-1b"), "");
DateTime nextDate = end.AddTenor(Tenor.FromString("1b"), "").AddTenor(Tenor.FromString("-1b"), "");
//TimeSpan EOD = new TimeSpan(23, 59, 59);
/*if (startDate > nextDate)
{
return "Error! Bad Inputs!";
}*/
var tenor = Tenor.FromString("-" + samplingFreq);
while (nextDate >= startDate)
{
dateRange.Add(nextDate);
nextDate = BondAnalytics.PrevBusDay(nextDate.AddTenor(tenor, ""), holidays);
}
}
//Swap.
var swapBuilder = new SwapCurveSeriesBuilder(dateRange, forecastCurveName, discountCurveName, ccy, holidays, mCarbonClient);
swapBuilder.buildAllCurves();
// Futures.
var seriesBuilder = new FuturesSeriesBuilder(tickers, dateRange, holidays, futuresStaticMoniker, mCarbonClient, carbonEnv);
// Spread Series.
Dictionary<string, double> testVals = new Dictionary<string, double>()
{
{"Price", 109.1015625},
{"Yield", 0.009007303 * 10000},
{"TrueSpread",6.7788999},
{"MMS", 0.009689381* 10000},
{"Spread", 6.820787365}
};
Dictionary<string /*metric*/, SpreadSeriesBuilder /*builder*/> spreadbuildermap = new Dictionary<string, SpreadSeriesBuilder>();
SpreadSeriesBuilder output = null;
foreach (var metric in testVals.Keys.ToList())
{
output = new SpreadSeriesBuilder(metric, seriesBuilder, swapBuilder, bondstatic, spreadconventions);
Console.WriteLine(metric + " :");
output.SpreadValues.Print();
var row = output.SpreadValues.GetRow<double>(new DateTime(2016, 03, 18));
double TUM6 = row.Get("TUM6");
double error = Math.Abs(TUM6 - testVals[metric]);
Assert.LessOrEqual(error, Math.Pow(10, -3) * 5, "Error found in " + metric + ", test: " + testVals[metric].ToString() + ", actual: " + TUM6.ToString()); // 0.005bps
Console.WriteLine("Error :{0}", error);
}
// Now let's look at converting this to an array
if (output != null)
{
var objArr = output.getSpreadAsObjArr();
}
}
//---------------------------------------------------------------------------------------------------------
//[Test]
public void SpreadSeries()
//---------------------------------------------------------------------------------------------------------
{
// Params.
DateTime start = new DateTime(2016, 2, 28);
DateTime end = new DateTime(2016, 3, 18);
List<String> tickers = new List<string>() { "TUH6", "TUM6", "TUU6","TU.Front" };
// Default Configs
SpreadTimeSeriesConfigs config = new SpreadTimeSeriesConfigs("US");
string forecastCurveName = config.forecastCurveName;
string discountCurveName = config.discountCurveName;
string ccy = config.ccy;
string calendarcode = config.calendarcode;
string futuresStaticMoniker = config.futuresStaticMoniker;
string carbonEnv = config.carbonEnv;
BondAnalytics.Country country = config.country;
BondAnalytics.DayCountType dct = config.dct;
long swpfixfreq = config.swpfixfreq;
long swpfloatfreq = config.swpfloatfreq;
long bndCouponFreq = config.bndCouponFreq;
int BlendIndex = config.BlendIndex;
bool bForecastCurve = true;
// Bond Static
Dictionary<string, TimeSeriesBondStatic> bondstatic = new Dictionary<string, TimeSeriesBondStatic>()
{
{"US912828G799", new TimeSeriesBondStatic("US912828G799", new DateTime(2017,12,15), new DateTime(2015,12,15),DateTime.MinValue,1.0)},
{"US912828J686", new TimeSeriesBondStatic("US912828J686", new DateTime(2018,03,15), new DateTime(2015,03,16),DateTime.MinValue,1.0)},
{"US912828VK31", new TimeSeriesBondStatic("US912828VK31", new DateTime(2018,06,30), new DateTime(2015,07,01),DateTime.MinValue,1.0)}
};
//Spread Static
SpreadConventions spreadconventions = new SpreadConventions(country,dct,swpfixfreq,swpfloatfreq,bndCouponFreq,bForecastCurve,BlendIndex);
//Swap.
var swapBuilder = new SwapCurveSeriesBuilder(start, end, forecastCurveName, discountCurveName, ccy, mCarbonClient, calendarcode);
swapBuilder.buildAllCurves();
//swapBuilder.DiscountCurves[new DateTime(2016, 03, 18)].PrintDump();
swapBuilder.ForecastCurves[new DateTime(2016, 03, 18)].PrintDump();
// Futures.
var seriesBuilder = new FuturesSeriesBuilder(tickers, start, end, calendarcode, futuresStaticMoniker, mCarbonClient,carbonEnv);
// Spread Series.
Dictionary<string, double> testVals = new Dictionary<string, double>()
{
{"Price", 109.1015625},
{"Yield", 0.009007303 * 10000},
{"TrueSpread",6.7788999},
{"MMS", 0.009689381* 10000},
{"Spread", 6.820787365}
};
Dictionary<string /*metric*/, SpreadSeriesBuilder /*builder*/> spreadbuildermap = new Dictionary<string, SpreadSeriesBuilder>();
SpreadSeriesBuilder output = null;
foreach (var metric in testVals.Keys.ToList())
{
output = new SpreadSeriesBuilder(metric, seriesBuilder, swapBuilder, bondstatic, spreadconventions);
Console.WriteLine(metric + " :");
output.SpreadValues.Print();
var row = output.SpreadValues.GetRow<double>(new DateTime(2016, 03, 18));
double TUM6 = row.Get("TUM6");
double error = Math.Abs(TUM6 - testVals[metric]);
Assert.LessOrEqual(error, Math.Pow(10, -3) * 5, "Error found in " + metric + ", test: " + testVals[metric].ToString() + ", actual: " + TUM6.ToString()); // 0.005bps
Console.WriteLine("Error :{0}", error);
}
// Now let's try to index 1 Mar
if (output != null)
{
var spreadVals = output.SpreadValues;
var myList = spreadVals.RowKeys.ToList();
Console.WriteLine("Key List: {0}", myList);
// Try on individual series
Dictionary<string/*colname*/, Series<DateTime,object>/*actualsrs*/> tmp = new Dictionary<string, Series<DateTime, object>>();
foreach (string colname in spreadVals.ColumnKeys)
{
tmp[colname] = spreadVals.Columns[colname].FillMissing("#N/A");
}
spreadVals = Frame.FromColumns(tmp);
//spreadVals.FillMissing("#N/A").Print();
var row = spreadVals.GetRow<string>(new DateTime(2016, 03, 01));
Console.WriteLine("Row values");
row.Print();
}
}
