public CreateCountryBondFlysForMaturityGaps(string[] folderPath_, string text_, BondMarket market_, uint unitGap_, MaturityGapUnit unitType_, BondFlyWeightMode mode_)
: base(folderPath_,text_)
{
Market = market_;
UnitGap = unitGap_;
MyMode = mode_;
UnitType = unitType_;
}
public static void AddMicroGrapFlys(string[] addToThisFolderPath_, BondMarket market_, BondFlyWeightMode mode_ = BondFlyWeightMode.WithinMonthNonWeighted)
{
foreach(var tenor in new[] {6})
{
var folderPath = addToThisFolderPath_.Concat(new string[] { "MicroGap Flys", string.Format("{0}M Wings", tenor) }).ToArray();
CreateIntraCountryMaturityGapBondFlies(folderPath, market_, (uint)tenor, MaturityGapUnit.Months, BondFlyWeightMode.WithinAThirdNonWeighted);
}
foreach (var tenor in new[] { 1, 2, 3, 5 })
{
var folderPath = addToThisFolderPath_.Concat(new string[] { "MicroGap Flys", string.Format("{0}Y Wings", tenor) }).ToArray();
CreateIntraCountryMaturityGapBondFlies(folderPath, market_, (uint)tenor, MaturityGapUnit.Years, mode_);
}
}
public static async void CreateIntraCountryMaturityGapBondFlies(string[] folderPath_, BondMarket market_, uint unitGap_, MaturityGapUnit unitType_, BondFlyWeightMode mode_)
{
var source = CountryBondSource.GetInstance(market_);
var newDefinitions = new List<BondStructureDefinition>();
foreach (var bond in source.Lines)
{
var idealPriorDate = (unitType_ == MaturityGapUnit.Years)
? bond.Maturity.AddYears(-(int) unitGap_)
: bond.Maturity.AddMonths(-(int) unitGap_);
var priorBond = findBestBond(bond, idealPriorDate, source.Lines, mode_, (int) unitGap_, unitType_);
if (priorBond == null) continue;
var idealLatterDate = (unitType_ == MaturityGapUnit.Years)
? bond.Maturity.AddYears((int) unitGap_)
: bond.Maturity.AddMonths((int) unitGap_);
var latterBond = findBestBond(bond, idealLatterDate, source.Lines, mode_, (int) unitGap_, unitType_);
if (latterBond == null) continue;
var priorWeighting = StructureWeightings.Bfly_Wing;
var latterWeighting = StructureWeightings.Bfly_Wing;
if (mode_ == BondFlyWeightMode.WithinAThirdWeighted)
{
var priorLevel = priorBond.GetValue(BondField.YieldLive);
var level = bond.GetValue(BondField.YieldLive);
var latterLevel = latterBond.GetValue(BondField.YieldLive);
{
var yieldDiff = level - priorLevel;
var maturityDiff = (bond.Maturity - priorBond.Maturity).TotalDays / 365.25d;
var desiredLevel = level - (maturityDiff / Convert.ToDouble(unitGap_) * yieldDiff);
var levelAdjustment = desiredLevel / priorLevel;
priorWeighting *= levelAdjustment;
}
{
var yieldDiff = latterLevel - level;
var maturityDiff = (latterBond.Maturity - bond.Maturity).TotalDays / 365.25d;
var desiredLevel = level + (maturityDiff / Convert.ToDouble(unitGap_) * yieldDiff);
var levelAdjustment = desiredLevel / latterLevel;
latterWeighting *= levelAdjustment;
}
}
var newDef = new BondStructureDefinition()
{
FolderTree = folderPath_,
Items = new System.ComponentModel.BindingList<BondStructureDefinitionItem>(
new[]
{
BondStructureDefinitionItem.GetDefinition(priorBond, priorWeighting),
BondStructureDefinitionItem.GetDefinition(bond, StructureWeightings.Bfly_Belly),
BondStructureDefinitionItem.GetDefinition(latterBond, latterWeighting)
}.ToList()),
Name =
string.Format("{0} {1} {2} {3}{4}", market_, priorBond.Maturity.ToString("MM/yy"),
bond.Maturity.ToString("MM/yy"), latterBond.Maturity.ToString("MM/yy"),
mode_ == BondFlyWeightMode.WithinAThirdWeighted ? " (w)" : string.Empty),
Owner = SymmetryEnvironment.UserName
};
if (!newDefinitions.Any(x => x.Name.Equals(newDef.Name)))
newDefinitions.Add(newDef);
}
await Singleton<BondStructureDefinitionCache>.Instance.AddOrUpdateDefinitions(newDefinitions);
}
private static BondAnalysisLine findBestBond(BondAnalysisLine bellyBond_, DateTime perfectDate_, IEnumerable<BondAnalysisLine> candidates_, BondFlyWeightMode mode_, int unitGap_, MaturityGapUnit unitType_)
{
DateTime fromDate = perfectDate_, toDate = perfectDate_;
switch (mode_)
{
case BondFlyWeightMode.WithinMonthNonWeighted:
{
if (unitType_ == MaturityGapUnit.Years && bellyBond_.TimeToMaturity >= 10)
{
fromDate = perfectDate_.AddYears(-1);
toDate = perfectDate_.AddYears(1);
}
else
{
fromDate = perfectDate_.AddMonths(-1);
toDate = perfectDate_.AddMonths(1);
}
}
break;
case BondFlyWeightMode.WithinAThirdWeighted:
case BondFlyWeightMode.WithinAThirdNonWeighted:
{
if (unitType_ == MaturityGapUnit.Years)
{
fromDate = perfectDate_.AddMonths(-Convert.ToInt32(unitGap_ * 12 / 3));
toDate = perfectDate_.AddMonths(Convert.ToInt32(unitGap_ * 12 / 3));
}
else if (unitType_ == MaturityGapUnit.Months)
{
fromDate = perfectDate_.AddMonths(-Convert.ToInt32(unitGap_/3));
toDate = perfectDate_.AddMonths(Convert.ToInt32(unitGap_/3));
}
}
break;
}
var best2 =
candidates_.Where(
x =>
// within maturity range
x.Maturity >= fromDate && x.Maturity <= toDate &&
// not the belly bond
String.Compare(x.UnderlyingBond.Isin, bellyBond_.UnderlyingBond.Isin, StringComparison.OrdinalIgnoreCase) !=
0)
.Select(x => new {Gap = Math.Abs((perfectDate_ - x.Maturity).TotalDays), Candidate = x})
// ordered by the gap to the perfect date
.OrderBy(x => x.Gap)
.Take(2).ToArray();
if (best2 == null || best2.Length == 0) return null;
if (best2.Length == 1)
return best2[0].Candidate;
// if there are 2 bonds maturing in the same month, then return the lower coupon one
if (best2[0].Candidate.Maturity.Year == best2[1].Candidate.Maturity.Year
&& best2[0].Candidate.Maturity.Month == best2[1].Candidate.Maturity.Month)
{
return best2.OrderBy(x => x.Candidate.UnderlyingBond.Coupon).First().Candidate;
}
return best2[0].Candidate;
}
