protected void getCalcs()
{
var conf = CountryConfig.GetCountryConfig(Market);
if (Values == null)
Values =
new ConstructGen<double>(
((ColPosition[]) Enum.GetValues(typeof (ColPosition))).Select(x => x.ToString()).ToArray());
var crv = Singleton<CMTCurveCache>.Instance.Get(
market_: Market,
series_: CMTSeriesNumber,
curve_: conf.OISCurve,
focus_: Focus.ASW,
createIfNotThere_: true);
if (crv == null || crv.Data == null) return;
// need to find the indexof of the tenor points in the data construct
int pointIndex = -1;
for (int i = 0; i < crv.Data.ArrayLength && (pointIndex == -1); ++i)
{
var asDbl = double.Parse(crv.Data.ColumnHeadings[i]);
if (Math.Abs(asDbl - Tenor) < 1e-7)
pointIndex = i;
}
var startDate = new DateTime(2010, 1, 1);
Values.SetColumnValues((int)ColPosition.CMT_OIS, crv.Data.GetColumnValuesAsDDC(pointIndex).GetValuesBetweenDates(startDate, DateTime.Today).MultiplyBy(-100d));
Values.SetColumnValues((int)ColPosition.GC, BbgTalk.HistoryRequester.GetHistory(startDate, conf.CollateralTicker, "PX_LAST", false));
Values.SetColumnValues((int)ColPosition.OIS, BbgTalk.HistoryRequester.GetHistory(startDate, conf.OISTicker, "PX_LAST", false));
Values.SortKeys();
using (var cc = new CarbonClient("PRD"))
{
var fillCols = new[] { ColPosition.CMT_OIS, ColPosition.GC, ColPosition.OIS };
for (int i = 0; i < Values.Dates.Count; ++i)
{
var date = Values.Dates[i];
var vals = Values.GetValues(Values.Dates[i]);
// fill in zeros as unlikely all series will line up
if (i > 0)
{
foreach (var col in fillCols)
{
if (vals[(int)col].IsZero())
vals[(int)col] = Values.GetValues(Values.Dates[i - 1])[(int)col];
}
}
vals[(int)ColPosition.GCminusOIS] = vals[(int)ColPosition.GC] - vals[(int)ColPosition.OIS];
bool needToMakeCall = true;
{
var currentValue = Values.GetValue(date.Date, (int) ColPosition.SwapValue);
if (!currentValue.IsZero())
needToMakeCall = false;
}
if (needToMakeCall)
{
Logger.Info(string.Format("Making calls for {0}.{1}.{2} carry calc on {3}",Market,Tenor,CMTSeriesNumber, date.ToString("dd-MMM-yyyy")),
typeof(CMTCarry));
var settleDate = cc.RollDateAsync(date.ToNodaLocalDate(), 2, Symmetry.Carbon.Model.DateUnit.Bd,
Symmetry.Carbon.Model.BusinessDayConvention.Following, conf.HolidayCalendar).Result;
var swapDate =
cc.RollDateAsync(settleDate, Tenor, Symmetry.Carbon.Model.DateUnit.Y,
Symmetry.Carbon.Model.BusinessDayConvention.Following, conf.HolidayCalendar).Result;
var swapResult = cc.PriceSwapAsync(
curveName: conf.OTSwapName,
startDate: settleDate,
endDate: swapDate,
asof: date.Date.AddHours(23),
pricingSetup: "Symmetry").Result;
if (swapResult == null) continue;
foreach (var v in swapResult.Results)
{
switch (v.Key)
{
case "BreakEven Rate":
vals[(int)ColPosition.SwapValue] = v.Value;
break;
case "PV01":
vals[(int)ColPosition.SwapDuration] = v.Value;
break;
}
}
m_changed = true;
}
}
if (Values.NeedsToSortKeys())
Values.SortKeys();
// 20 day moving average of difference
{
var series = Values.GetColumnValuesAsDDC((int)ColPosition.GCminusOIS);
Values.SetColumnValues((int)ColPosition.GCminusOIS_MA20, HelperMethods.GetMA(series, 20));
}
// calculate carry
{
var mustNotBeZero = new[]
{
ColPosition.CMT_OIS,
ColPosition.GCminusOIS_MA20,
ColPosition.SwapDuration
};
foreach (var date in Values.Dates)
{
var series = Values.GetValues(date);
foreach(var col in mustNotBeZero)
if (series[(int) col].IsZero())
continue;
series[(int) ColPosition.Carry] = (series[(int) ColPosition.CMT_OIS] - series[(int) ColPosition.GCminusOIS_MA20])/
series[(int) ColPosition.SwapDuration]*10000d;
}
}
}
}
internal static BondSpreadResult GetSpreads(
OTBond bondType_,
NodaTime.LocalDate maturity_,
NodaTime.LocalDate issueDate_,
NodaTime.LocalDate firstCouponDate_,
QuoteValueType priceType_,
double priceValue_,
double coupon_,
CurveMappings.Mapping pricingSetup_,
DateTime asOf_,
CarbonClient client_,
ThrowBehavior behavior_=ThrowBehavior.DontThrow )
{
var ret = new BondSpreadResult();
ret.Spreads = new BondSpread();
try
{
SLog.log.DebugFormat(
"Calling PriceBondAsync with params: baseBondID={0} issueDate={1} maturity={2} coupon={3} asOf={4} pricingSetup={5} stubDate={6} priceValue={7}, priceType_={8}",
((long) bondType_).ToString(), issueDate_, maturity_, coupon_, asOf_, pricingSetup_.OT_BondPricingSetup,
firstCouponDate_, priceValue_, priceType_);
switch (priceType_)
{
case QuoteValueType.Price:
{
ret.Price = priceValue_;
var result = client_.PriceBondAsync(
baseBondId: (long)bondType_,
issueDate: issueDate_,
maturityDate: maturity_,
coupon: coupon_,
asof: asOf_,
pricingSetup: pricingSetup_.OT_BondPricingSetup,
quantity: 100000d,
stubDate: firstCouponDate_,
price: ret.Price.Value).Result;
ret.Spreads.Spread = -result.Results[ServiceConstants.KEY_ASW_YY];
ret.Spreads.TrueSpread = -result.Results[ServiceConstants.KEY_ZSpread];
ret.Spreads.Yield = result.Results[ServiceConstants.KEY_Yield];
}
break;
case QuoteValueType.Yield:
{
var result = client_.GetBondPriceFromYieldAsync(
baseBondId: (long)bondType_,
issueDate: issueDate_,
maturityDate: maturity_,
coupon: coupon_,
asof: asOf_,
pricingSetup: pricingSetup_.OT_BondPricingSetup,
quantity: 100000d,
yield: priceValue_,
stubDate: firstCouponDate_).Result;
ret.Price = result.Results[ServiceConstants.KEY_Price];
ret.Spreads.Spread = -result.Results[ServiceConstants.KEY_ASW_YY];
ret.Spreads.TrueSpread = -result.Results[ServiceConstants.KEY_ZSpread];
ret.Spreads.Yield = priceValue_;
}
break;
default:
SLog.log.ErrorFormat("Cannot call Carbon to get spreads with priceType {0}", priceType_);
break;
}
SLog.log.DebugFormat(
"Calling PriceSwapAsync with params: curveName={0} startDate={1} endDate={2} asOf={3} pricingSetup={4}",
pricingSetup_.OT_Swap, issueDate_, maturity_, asOf_, pricingSetup_.OT_BondPricingSetup);
var mmsResult = client_.PriceSwapAsync(
curveName: pricingSetup_.OT_Swap,
startDate: asOf_.ToNodaLocalDate(),
endDate: maturity_,
asof: asOf_,
pricingSetup: pricingSetup_.OT_BondPricingSetup).Result;
ret.Spreads.MMS = mmsResult.Results[ServiceConstants.KEY_MMS];
SLog.log.DebugFormat("Result: y={0} m={1} s={2} t={3}", ret.Spreads.Yield, ret.Spreads.MMS, ret.Spreads.Spread, ret.Spreads.TrueSpread);
postProcess(bondType_, ret.Spreads, pricingSetup_);
}
catch (Exception ex_)
{
Exceptions.Rethrow("GetCurves", behavior_, ex_);
}
return ret;
}