protected ATMVolsRankGroup(FXGroup group_)
{
var currencies = Singleton<FXIDs>.Instance.Where(x => x.IsGroup(group_)).ToArray();
var oneWeek = new ConstructGen<double>(currencies.Select(x => x.Code).ToArray());
var oneMonth = new ConstructGen<double>(currencies.Select(x => x.Code).ToArray());
for (int i = 0; i < currencies.Length; ++i)
{
{
var vols = BbgTalk.HistoryRequester.GetHistory(DataConstants.DATA_START, currencies[i].AtTheMoneyVolTicker_1W, "PX_LAST", false);
oneWeek.SetColumnValues(i, vols);
}
{
var vols = BbgTalk.HistoryRequester.GetHistory(DataConstants.DATA_START, currencies[i].AtTheMoneyVolTicker_1M, "PX_LAST", false);
oneMonth.SetColumnValues(i, vols);
}
}
{
oneWeek.SortKeys();
var avg1W = oneWeek.AvgRows();
ATM_1W_Avg = avg1W;
ATM_1W_o6M = avg1W.ToPercentileRanked(126);
ATM_1W_o1Y = avg1W.ToPercentileRanked(252);
}
{
oneMonth.SortKeys();
var avg1M = oneMonth.AvgRows();
ATM_1M_Avg = avg1M;
ATM_1M_o6M = avg1M.ToPercentileRanked(126);
ATM_1M_o1Y = avg1M.ToPercentileRanked(252);
}
}
public static ConstructGen<double> GetSmoothCurvesColumnsAreCurvePoints(DateTime valueDate_, uint curveCount_, BondMarket market_, BondField field_, SI.Data.BondCurves curve_, string close_ = "MLP", string source_ = "MLP")
{
DateTime date = valueDate_;
var points = new List<decimal>();
for (decimal d = 1M; d < 30M; d = d + 0.25M)
points.Add(d);
var con = new ConstructGen<double>(points.Select(x => x.ToString()).ToArray());
for (int i = 0; i < curveCount_; ++i)
{
var curve = GetSmoothCurve(date, market_, field_, curve_, close_, source_);
if (curve == null) continue;
foreach (var node in curve.GetNodes())
{
int index = points.IndexOf(node);
if (index == -1) continue;
var point = curve.GetValue(node);
if(point.HasValue)
con.SetValue(date, index, point.Value);
}
date = MyCalendar.PrevWeekDay(date);
}
con.SortKeys();
return con;
}
private ConstructGen<double> getConstructOfInvoiceSpreads()
{
var con = new ConstructGen<double>(Configs.Length);
for (int i = 0; i < con.ArrayLength; ++i)
{
for (int j = 0; j < Collections[i].Lines.Count; ++j)
{
var date = Collections[i].Lines[j].Date;
var val = Collections[i].Lines[j].InvoiceSpread;
con.SetValue(date, i, val ?? double.PositiveInfinity);
}
}
con.SortKeys();
// feed forward missing values
double[] before = null;
foreach (var date in con.Dates)
{
var today = con.GetValues(date);
if (before != null)
{
for(int i=0;i<today.Length;++i)
if (double.IsInfinity(today[i]))
today[i] = before[i];
}
before = today;
}
return con;
}
public void Refresh()
{
// going to get historical values from our database
ConstructGen<double> hist = new ConstructGen<double>(m_tickers.Count<string>());
for (int i = 0; i < m_tickers.Length; ++i)
{
var histvalues = BbgTalk.HistoryRequester.GetHistory(SI.Data.DataConstants.DATA_START, m_tickers[i],
"PX_LAST", false, null);
//histvalues = histvalues.unwind_1d();
hist.SetColumnValues(i, histvalues);
}
hist.SortKeys();
// initialise 'today's' values to previous day
hist.SetValues(DateTime.Today, (double[])hist.GetValues(hist.LastDate).Clone());
double[] avgs = new double[m_windowLength];
// initialise the avgs array NOTE: today's value is in item with index 0
for (int i = 0; i < m_windowLength; ++i)
avgs[i] = hist.GetValues(hist.Dates[hist.Dates.Count - 1 - i]).Average();
m_avgs = avgs;
m_liveValues = hist.GetValues(DateTime.Today);
}
public static ConstructGen<PairTrade> CalculateWeights(ComID[] commodities_)
{
// calculate the weighting
var con = new ConstructGen<PairTrade>(commodities_.Select(x => x.Name).ToArray());
for (int i = 0; i < con.ArrayLength; ++i)
con.SetColumnValues(i, CalculateWeights(commodities_[i]));
if (con.NeedsToSortKeys())
con.SortKeys();
return con;
}
public void Create(IList<DataSeriesEvaluator> evals_)
{
m_evals = evals_;
m_pnls = new ConstructGen<double>(evals_.Count);
for (int evalIndex = 0; evalIndex < evals_.Count; ++evalIndex)
for (int i = 0; i < m_evals[evalIndex].Daily.Data.Length; ++i)
m_pnls.SetValue(m_evals[evalIndex].Daily.Dates[i], evalIndex, m_evals[evalIndex].Daily.Data[i]);
m_pnls.SortKeys();
m_customStartDate = DateTime.Today.Month == 1
? new DateTime(DateTime.Today.Year - 1, 1, 1)
: new DateTime(DateTime.Today.Year, 1, 1);
//AsOfDate = MyCalendar.PrevWeekDay(DateTime.Today);
AsOfDate = m_pnls.LastDate;
}
private void btnCombinePnl_Click(object sender, EventArgs e)
{
var all = spreadWeightGeneratorCollectionGrid1.ListOfGenerators;
if (all.Count() == 0) return;
ConstructGen<double> con = new ConstructGen<double>(all.Count());
con.ColumnHeadings = new string[con.ArrayLength];
for (int i = 0; i < con.ArrayLength; ++i)
{
var item = all.ElementAt(i);
con.ColumnHeadings[i] = item.ToString();
con.SetColumnValues(i, item.GetSimplePnl());
}
if (con.NeedsToSortKeys())
con.SortKeys();
var eval = new ReturnsEval.DataSeriesEvaluator("Combined", ReturnsEval.DataSeriesType.Returns);
eval.AddInnerSeries(con.Dates.ToArray(), con.ToArray(), con.ColumnHeadings);
eval.Display("Combined");
}
private void buildData()
{
var pxDates = new List<DateTime>();
var pxValues = new List<double>();
for (int y = 2003;y <= DateTime.Now.Year; ++y)
{
// find the contracts
var conLon = Long.Underlying.Futures.Where(x => x.Expiry.Year-Long.YearOffset == y && x.Expiry.Month == (int)Long.Month).FirstOrDefault();
var conShort = Short.Underlying.Futures.Where(x => x.Expiry.Year-Short.YearOffset == y && x.Expiry.Month == (int)Short.Month).FirstOrDefault();
if (conLon != null && conShort != null)
{
m_contractsLongShort.Add(y, new KeyValuePair<ComFutureMeta, ComFutureMeta>(conLon, conShort));
// last trade of this pair is the earliest lastTrade date of the two
var lastTrade = (conLon.LastTrade < conShort.LastTrade) ? conLon.LastLastDate : conShort.LastLastDate;
var dataStart = lastTrade.AddYears(-1);
if (MyCalendar.IsWeekend(dataStart)) dataStart = MyCalendar.NextWeekDay(dataStart);
ConstructGen<double> con = new ConstructGen<double>(new string[] { conLon.Ticker, conShort.Ticker, "Diff", "Normalized" });
con.SetColumnValues((int)dataColumns.Long, conLon.Prices.GetSubValues(dataStart, lastTrade));
con.SetColumnValues((int)dataColumns.Short, conShort.Prices.GetSubValues(dataStart, lastTrade));
if (con.NeedsToSortKeys()) con.SortKeys();
if (con.Dates.Count == 0)
continue;
// calculate differences
foreach (DateTime date in con.Keys)
{
double[] d = con.GetValues(date);
// if we have a value for both contracts on this day
if (d[(int)dataColumns.Long] != 0d && d[(int)dataColumns.Short] != 0d)
{
// save down the difference
d[(int)dataColumns.Diff] = d[(int)dataColumns.Long] - d[(int)dataColumns.Short];
if (date.Year == y)
{
pxDates.Add(date);
pxValues.Add(d[2]);
}
}
}
// normalize differences
{
DatedDataCollectionGen<double> diffs = con.GetColumnValuesAsDDC((int)dataColumns.Diff);
if (diffs==null || diffs.Length == 0)
continue;
var min = diffs.Data.Min();
var max = diffs.Data.Max();
var normArr = new double[diffs.Length];
for (int i = 0; i < normArr.Length; ++i)
normArr[i] = (diffs.Data[i] - min) / (max - min);
con.SetColumnValues((int)dataColumns.NormalizedDiff, new DatedDataCollectionGen<double>(diffs.Dates, normArr));
}
m_yearToPxs.Add(y, con);
}
}
m_hasBuiltData = true;
}
public ConstructGen<double> AllProductPrices(bool fillInGapsWithPrevious_ = true)
{
// start by generating price series
ConstructGen<double> prices = new ConstructGen<double>(Products.Select(x => x.Name).ToArray());
for (int i = 0; i < Products.Count; ++i)
prices.SetColumnValues(i, Products[i].Prices);
if (prices.NeedsToSortKeys())
prices.SortKeys();
// fill in any missing values (holidays)
if(fillInGapsWithPrevious_)
{
double[] yesterday = null;
foreach (var date in prices.Dates)
{
var today = prices.GetValues(date);
if (yesterday != null)
{
for(int i=0;i<today.Length;++i)
if (today[i] == 0d)
today[i] = yesterday[i];
}
yesterday = today;
}
}
return prices;
}
public void Go()
{
var allweights=new ConstructGen<WeightsLine>(Spreads.Length);
// mark each of the individual spread weight entry/exit points in the construct - could well be different dates per spread...
for(int i=0;i<Spreads.Length;++i)
{
var wts = Spreads[i].GenerateWeights();
foreach (var wt in wts)
{
if (wt.EntryDate <= DateTime.Today) allweights.SetValue(wt.EntryDate, i, wt);
if (wt.ExitDate <= DateTime.Today) allweights.SetValue(wt.ExitDate, i, wt);
}
}
allweights.SortKeys();
// on each date, note the positions that are carried over from an earlier trade on the same day, so that we have a
// full picture of what is in play on that day
WeightsLine[] prev = null;
foreach (var date in allweights.Dates)
{
var todays = allweights.GetValues(date);
if (prev != null)
{
for (int i = 0; i < todays.Length; ++i)
{
if (prev[i] != null && todays[i]==null && date <= prev[i].ExitDate)
todays[i] = prev[i];
}
}
prev = todays;
}
if (allweights.NeedsToSortKeys()) allweights.SortKeys();
// go through each of the dates to generate a covariance and scale the positions
foreach (DateTime date in allweights.Keys)
{
var arr = allweights.GetValues(date);
// build up list of indicies that are live on the current date
var liveIndicies = new List<int>();
for (int i = 0; i < arr.Length; ++i)
if (arr[i] != null && arr[i].ExitDate > date)
liveIndicies.Add(i);
if (!liveIndicies.Any()) continue;
var liveItems = liveIndicies.Select(x => arr[x]).ToArray();
// for all live items form an array of recent returns over of length 'NumDaysForCovariance'
var returns = new double[NumDaysForCovariance, liveIndicies.Count()];
var rawSpreadWeights = new double[liveIndicies.Count()];
for (int i = 0; i < liveIndicies.Count; ++i)
{
var indexReturns = liveItems[i].GetAllSpreadReturns();
// have prices been updated?
if (indexReturns.LastDate < date)
continue;
int indexOfDate = indexReturns.IndexOfElsePrevious(date);
--indexOfDate;
var slice = indexReturns.Data.Slice(indexOfDate - NumDaysForCovariance + 1, NumDaysForCovariance);
rawSpreadWeights[i] = liveItems[i].SpreadWeight/Statistics.Stdev(slice);
returns.SetColumn(i, slice);
}
// buil the covariance
var covar = new CovarianceItem(Utils.CalculateCovariance(returns));
// vol bucketing
var targetvol = liveItems.Length*0.02;
// scale the weights
var newwts = covar.ScaleSeries(rawSpreadWeights, targetvol);
for (int i = 0; i < newwts.Length; ++i)
liveItems[i].AddCombineWeight(date, newwts[i]);
}
}
public static void Test()
{
const int lookback = 5;
const WeightGeneratorType genType = WeightGeneratorType.LongestZScoreOverThreshold;
SpreadWeightGenerator[] arr = new[]
{
new SpreadWeightGenerator(
new WeightGeneratorArgs()
{
Lookback = lookback,
WeightGenerationType = genType,
MinWindowLength = 50,
ZScoreThreshold = 1.3d
},
new SpreadDefinition(
new MonthYearOffset(ComIDs.Sugar, 0, MonthCode.V),
new MonthYearOffset(ComIDs.Sugar, 1, MonthCode.K),
false)),
//new SpreadWeightGenerator(
// new WeightGeneratorArgs()
// {
// Lookback = lookback,
// WeightGenerationType = genType,
// MinWindowLength = 40,
// ZScoreThreshold = 1d
// },
// new SpreadDefinition(
// new MonthYearOffset(ComIDs.Sugar, 0, MonthCode.V),
// new MonthYearOffset(ComIDs.Sugar, 1, MonthCode.K),
// false)),
//new SpreadWeightGenerator(
// new WeightGeneratorArgs()
// {
// Lookback = lookback,
// WeightGenerationType = genType,
// MinWindowLength = 40,
// ZScoreThreshold = 1.5d
// },
// new SpreadDefinition(
// new MonthYearOffset(ComIDs.NatGas, 0, MonthCode.H),
// new MonthYearOffset(ComIDs.NatGas, 0, MonthCode.X),
// false)),
new SpreadWeightGenerator(
new WeightGeneratorArgs()
{
Lookback = lookback,
WeightGenerationType = genType,
MinWindowLength = 60,
ZScoreThreshold = 1.2d
},
new SpreadDefinition(
new MonthYearOffset(ComIDs.NymexGas, 0, MonthCode.H),
new MonthYearOffset(ComIDs.NymexGas, 0, MonthCode.X),
false)),
//new SpreadWeightGenerator(
// new WeightGeneratorArgs()
// {
// Lookback = lookback,
// WeightGenerationType = genType,
// MinWindowLength = 90,
// ZScoreThreshold = 1.7d
// },
// new SpreadDefinition(
// new MonthYearOffset(ComIDs.NatGas, 0, MonthCode.H),
// new MonthYearOffset(ComIDs.NatGas, 0, MonthCode.X),
// false)),
//new SpreadWeightGenerator(
// new WeightGeneratorArgs()
// {
// Lookback = lookback,
// WeightGenerationType = genType,
// MinWindowLength = 40,
// ZScoreThreshold = 1.6d
// },
// new SpreadDefinition(
// new MonthYearOffset(ComIDs.Corn, 0, MonthCode.U),
// new MonthYearOffset(ComIDs.Corn, 0, MonthCode.Z),
// false)),
new SpreadWeightGenerator(
new WeightGeneratorArgs()
{
Lookback = lookback,
WeightGenerationType = genType,
MinWindowLength = 60,
ZScoreThreshold = 1.3d
},
new SpreadDefinition(
new MonthYearOffset(ComIDs.Corn, 0, MonthCode.U),
new MonthYearOffset(ComIDs.Corn, 0, MonthCode.Z),
false)),
//new SpreadWeightGenerator(
// new WeightGeneratorArgs()
// {
// Lookback = lookback,
// WeightGenerationType = genType,
// MinWindowLength = 90,
// ZScoreThreshold = 0.8d
// },
// new SpreadDefinition(
// new MonthYearOffset(ComIDs.Corn, 0, MonthCode.U),
// new MonthYearOffset(ComIDs.Corn, 0, MonthCode.Z),
// false)),
new SpreadWeightGenerator(
new WeightGeneratorArgs()
{
Lookback = lookback,
WeightGenerationType = genType,
MinWindowLength = 40,
ZScoreThreshold = 1.5d
},
new SpreadDefinition(
new MonthYearOffset(ComIDs.Wheat, 0, MonthCode.U),
new MonthYearOffset(ComIDs.Wheat, 0, MonthCode.Z),
false)),
//new SpreadWeightGenerator(
// new WeightGeneratorArgs()
// {
// Lookback = lookback,
// WeightGenerationType = genType,
// MinWindowLength = 50,
// ZScoreThreshold = 1.3d
// },
// new SpreadDefinition(
// new MonthYearOffset(ComIDs.Wheat, 0, MonthCode.U),
// new MonthYearOffset(ComIDs.Wheat, 0, MonthCode.Z),
// false)),
//new SpreadWeightGenerator(
// new WeightGeneratorArgs()
// {
// Lookback = lookback,
// WeightGenerationType = genType,
// MinWindowLength = 70,
// ZScoreThreshold = 1.1d
// },
// new SpreadDefinition(
// new MonthYearOffset(ComIDs.Wheat, 0, MonthCode.U),
// new MonthYearOffset(ComIDs.Wheat, 0, MonthCode.Z),
// false)),
new SpreadWeightGenerator(
new WeightGeneratorArgs()
{
Lookback = lookback,
WeightGenerationType = genType,
MinWindowLength = 50,
ZScoreThreshold = 1.6d
},
new SpreadDefinition(
new MonthYearOffset(ComIDs.RBOB, 0, MonthCode.J),
new MonthYearOffset(ComIDs.RBOB, 0, MonthCode.U),
false)),
};
var comb = new SpreadWeightGeneratorCombiner(arr) {NumDaysForCovariance = 42, TargetVol = 0.06};
comb.Go();
{
var combinedPnl = new ConstructGen<double>(arr.Length);
combinedPnl.ColumnHeadings =
arr.Select(x => string.Format("{0} / {1} / {2}", x.Spread, x.Args.MinWindowLength, x.Args.ZScoreThreshold))
.ToArray();
for (int i = 0; i < arr.Length; ++i)
combinedPnl.SetColumnValues(i, arr[i].GetCombinedPnl());
if (combinedPnl.NeedsToSortKeys())
combinedPnl.SortKeys();
var eval = new ReturnsEval.DataSeriesEvaluator("Combined", ReturnsEval.DataSeriesType.Returns);
eval.AddInnerSeries(combinedPnl.Dates.ToArray(), combinedPnl.ToArray(), combinedPnl.ColumnHeadings);
eval.Display("Combined");
combinedPnl.SumRows().ToCumulative().DisplayLineChart("combined pnl of scaled weights");
}
}
public void ShowPortfolioPnlProgression()
{
var pnl = new ConstructGen<double>(Positions.Select(x=>x.Security).ToArray());
var flp = new System.Windows.Forms.FlowLayoutPanel();
var listOfInfraBoxes = new List<Infragistics.Win.Misc.UltraGroupBox>();
for (int i = 0; i < pnl.ArrayLength; ++i)
{
var posPnl = Positions[i].GeneratePnlSinceFix();
for (int d = 0; d < posPnl.Length; ++d)
{
pnl.SetValue(posPnl.Dates[d], i, posPnl.Data[d].Close);
}
{
Infragistics.Win.Misc.UltraGroupBox box = new Infragistics.Win.Misc.UltraGroupBox();
box.Text = string.Format("{0} {1}", Positions[i].Security, Positions[i].Pnl.ToString("###0.0#;(###0.0#);-"));
box.Tag = Positions[i].Pnl;
box.Size = new System.Drawing.Size(250, 250);
var chart = new SI.Controls.BarDataPointChart();
chart.SetYAxisFormat("##0.0#");
chart.Dock = System.Windows.Forms.DockStyle.Fill;
chart.Create(posPnl);
box.Controls.Add(chart);
listOfInfraBoxes.Add(box);
}
}
Infragistics.Win.Misc.UltraGroupBox[] boxArr = listOfInfraBoxes.OrderByDescending(x => (double)x.Tag).ToArray();
{
double max = 0d;
foreach (Infragistics.Win.Misc.UltraGroupBox box in boxArr)
{
max = Math.Max(max, ((SI.Controls.BarDataPointChart)box.Controls[0]).YAxisAbsoluteMax);
}
foreach (Infragistics.Win.Misc.UltraGroupBox box in boxArr)
{
((SI.Controls.BarDataPointChart)box.Controls[0]).SetMaxMinYAxisRange(max);
}
}
foreach (Infragistics.Win.Misc.UltraGroupBox box in boxArr)
{
flp.Controls.Add(box);
}
pnl.SortKeys();
for (int i = 0; i < pnl.ArrayLength; ++i)
{
DatedDataCollectionGen<double> col = pnl.GetColumnValuesAsDDC(i);
double last = col.Data[0];
for (int j = 1; j < col.Length; ++j)
{
double val = col.Data[j];
if (val == 0d)
{
if (last != 0d)
{
pnl.SetValue(col.Dates[j], i, last);
}
}
else
last = val;
}
}
DatedDataCollectionGen<double> total = pnl.SumRows();
KeyValuePair<string, System.Windows.Forms.Control>[] cons = new KeyValuePair<string, System.Windows.Forms.Control>[3];
var stack = new Controls.SimpleStackedColumnChart();
stack.Create<string, string>(
pnl.Dates.Select(x => x.ToString("HH:mm")).ToArray(),
Positions.Select(x => x.Security).ToArray(),
pnl.ToArray());
cons[0] = new KeyValuePair<string, System.Windows.Forms.Control>("position attributed", stack);
//stack.DisplayInShowForm(string.Format("{0} pnl progression, position attributed", this.Name));
var lcdd = new SI.Controls.LineChartDataDisplay();
lcdd.AddSeries(total.Dates, total.Data, Name, 40, "#0.0#");
lcdd.SetXAxisFormat("HH:mm");
//lcdd.DisplayInShowForm(string.Format("{0} total pnl progression", m_p.DisplayName));
cons[1] = new KeyValuePair<string, Control>("total", lcdd);
cons[2] = new KeyValuePair<string, Control>("comp", flp);
cons.DisplayInShowForm(string.Format("{0} pnl progression", Name));
}
private SortedDictionary<DateTime, double[]> getRollingVols()
{
int[] selIndexes = getSelectedIndixes();
ConstructGen<double> cum = new ConstructGen<double>(selIndexes.Length);
DateTime startDate = m_comp.GetDate(m_focus);
for (int i = 0; i < cum.ArrayLength; ++i)
{
ReturnsEval.DataSeriesEvaluator e = m_comp.GetEval(selIndexes[i]);
if(e.Daily.Dates[0]>startDate)
e.Evaluate();
e.Daily.GenerateRollingWindowSeries(m_extraArgs.RollingWindowLength);
for (int j = 0; j < e.Daily.RollingSharpeSeries[m_extraArgs.RollingSeriesType].Dates.Length; ++j)
{
DateTime date = e.Daily.RollingSharpeSeries[m_extraArgs.RollingSeriesType].Dates[j];
if (date < startDate)
continue;
double val = e.Daily.RollingSharpeSeries[m_extraArgs.RollingSeriesType].Data[j];
if(m_extraArgs.RollingSeriesType==SI.ReturnsEval.RollingSeriesType.Vol)
val /= 100.0;
cum.SetValue(date, i, val);
}
}
cum.SortKeys();
return new SortedDictionary<DateTime, double[]>(cum.GetInnerData());
}
public static void Go()
{
// var is like 'dim'
// make an array of size 10 - each initalized to the default double value i.e. 0d
var arr = new double[10];
// I could 'initialise' the values of this array in one call:
arr = new double[] {1, 2, 3, 4, 5, 6, 7, 8, 9, 10};
// an expanding construct is a list
// make a list that I can only put doubles into
var list = new List<double>();
list.Add(1);
list.Add(2);
list.Add(3);
// this is exactly the same as using an intializer:
list = new List<double> {1, 2, 3};
// I can use in built stuff to convert this to an array really easily
double[] arr2 = list.ToArray();
// dictionaries are lookups or hashmaps with types
var birthdays = new Dictionary<string, DateTime>();
birthdays.Add("Ben", new DateTime(1979, 12, 11));
//or
birthdays["Jess"] = new DateTime(1985, 1, 19);
// note, the first method (.Add) will throw an exception if the item already exists, the second method will just overwrite
// might be better to:
if (birthdays.ContainsKey("Ben"))
birthdays.Add("Ben", new DateTime(1979, 12, 11));
// as we're dealing with time series a lot, I have created some classes that make it easier to work with dates and associated values
// first of these is DatedDataCollection<T> where T is normally 'double'.
// these are created with an array of Dates, and an array of 'Ts', which obviously must be of the same length, as the values correspond
// NOTE: creating array on 1st, 3rd, 5th
var dtsArray = new DateTime[] {new DateTime(2001, 1, 1), new DateTime(2001, 1, 3), new DateTime(2001, 1, 5)};
var valuesArray = new double[] {1.21, 1.45, 1.65};
var ddc = new DatedDataCollectionGen<double>(dtsArray, valuesArray);
// obviously you wouldn't put normally create ddc like this - it normally gets populated from calls the the database or bbg initially, but we'll
// look at that later
var date4th = new DateTime(2001, 1, 4);
var value = ddc.ValueOnExactDate(date4th); // this will fail as I'm insisting on the date being exact and there's nothing for 4th
var value2 = ddc.ValueOnDate(date4th); // this will give me a value equal to that on the 3rd, since that is value for max date that is before 4th
var value3 = ddc.ValueOnExactDate_Zero(date4th); // this won't fail but will pass back zero if there isn't an exact date
// I've extended the classes to make it really easy to plot and see stuff
ddc.DisplayColumnChart("Values in column chart");
ddc.DisplayInGrid("values in grid");
ddc.DisplayLineChart("Line chart");
// this might be a bit of a leap, but I could very quickly extract EUR values from bloomberg in the following way, and display in a graph
BbgTalk.HistoryRequester.GetHistory(new DateTime(2001, 1, 1),"EUR Curncy","PX_CLOSE",true)
.DisplayLineChart("EUR from bbg from 2001");
// what's this done?
// BbgTalk.HistoryRequest knows how to connect to bloomberg and pulls out the series as a DatedDataCollection (so long as you're logged into bloomberg)
DatedDataCollectionGen<double> euroSeries = BbgTalk.HistoryRequester.GetHistory(new DateTime(2001, 1, 1),
"EUR Curncy", "PX_CLOSE", true);
// then we displayed in a line chart:
euroSeries.DisplayLineChart("EUR");
// what else could we do with this euro series?
// convert to returns:
var euroReturns = euroSeries.ToReturns();
var cumulative = euroReturns.ToCumulative();
var stdFromMean = euroSeries.ToStdevFromMean(meanWindowLength_: 21, sdWindowLength_: 126);
// I've also done a load of stuff to transform this series, take a look at HelperMethods.
// often, we don't deal with individual price series, though we need inline data
// for this I have made something called ConstructGen<T>, where again, T is normally a double
var firstConstruct = new ConstructGen<double>(9);
// this has made a construct that is set up to store dated values for 9 different variables
// it's good to set the columnHeadings on the construct so you know what they refer to
var headings = new string[] {"AUD", "CAD", "CHF", "EUR", "GBP", "JPY", "NOK", "NZD", "SEK"};
firstConstruct.ColumnHeadings = headings;
// (I'll show you how to do this more easily in a bit...
// let's look at what we can do with construct and how we use it
DateTime conDate = new DateTime(2014, 1, 1);
firstConstruct.SetValue(conDate, 0, 100.2);
// this has set the value for the first column (AUD) on the given Date
// we get it out by:
var v1 = firstConstruct.GetValue(conDate, 0);
// set the second value:
firstConstruct.SetValue(conDate, 1, 45.6);
// this has set the value for the given date for 'CAD'
// we could set all values at once using SetValues rather than SetValue
firstConstruct.SetValues(conDate, new double[] {1, 2, 3, 4, 5, 6, 7, 8, 9});
// and we could get them out using:
double[] allValuesOnDate = firstConstruct.GetValues(conDate);
// there are lots of methods on Construct<T> to make our life easier when dealing with data
// we can fill it up randomly using the SetValues, and then just call SortKeys() to ensure teh dates are in order
firstConstruct.SortKeys();
// this means that we will be iterate over the dates in order when we go through it
// e.g.
foreach (DateTime date in firstConstruct.Dates)
{
var datesVAlues = firstConstruct.GetValues(date);
// here we could process them...
}
// there are methods on ConstructGen<T> to make it easy to see what's in it. e.g.
firstConstruct.DisplayInGrid("Grid of construct values");
firstConstruct.DisplayInDataCollectionDisplay("Display each column as a line in a chart");
// there is also a useful method to get the column of values as a DatedDataCollection<T>
DatedDataCollectionGen<double> firstColumn = firstConstruct.GetColumnValuesAsDDC(0);
// this is an expensive operation FYI, so you wouldn't use this iterating over the dates within the ConstructGen<T> , but it is useful
// ok, now, as we have a set universe of ccys, in the way I extract data from the database (prices / weights / carry / etc) I tend to pull
// out in a standard way, making a ConstructGen<double> with a column for every currency in the universe
// so, for example, if I wanted the spots from the database from 2013 onwards, I would call this
SI.Data.FXSpots spotsProvider = new FXSpots();
ConstructGen<double> spots = spotsProvider.GetData(new DateTime(2013, 1, 1), DateTime.Today);
// this returns me a ConstructGen<double> with 27 columns, with each row being a date
// I can then use the spots values as I wish
// similarly
SI.Data.FXForwards1Wk fwdProvider = new FXForwards1Wk();
ConstructGen<double> fwds = fwdProvider.GetData(new DateTime(2013, 1, 1), DateTime.Today);
// within these classes, the data is cached, so that I don't call the database again if I don't need to
// so if I call for the second time:
var spots2 = spotsProvider.GetData(new DateTime(2013, 1, 1), DateTime.Today);
// ... this won't have hit the database again, but will get from the cached data
// but you'll notice that i have to have a reference to spotsProvider to benefit from the cached data.
// if I was to make the same request from another point in my code, I would have to create a new FXSpots() instance and then call the method on it to get the data
// it can be useful in this instance to make use of what's known as the 'Singleton' pattern.
// This basically provides a means of referring to the same instance every time, in this case so that we make use of cached data
// I have a Singleton<T> wrapper that wraps up a single instance of T so that I know I'm calling methods on the same instance every time
// so I would usually get spots from the database wrapping FXSpots in this. like:
spots = Singleton<FXSpots>.Instance.GetData(new DateTime(2013, 1, 1), DateTime.Today);
// now I could call the method on Singleton<FXSpots>.Instance from anywhere in my code and I would benefit from the caching
// I do tend to use most of the classes that retrive from the database Within SI.Data wrapped in a Singleton
// another example is the class that pulls information about signals
var signals = Singleton<Signals>.Instance;
// this is just a list of SI.Data.Signal classes
}
private void reloadTopRight(IDictionary<string, DataEncapsValue> list)
{
if (list.Count == 0 || m_trArgs.Locked)
return;
ConstructGen<double> conTopRight = new ConstructGen<double>(list.Count);
conTopRight.ColumnHeadings = new string[conTopRight.ArrayLength];
int i = 0;
foreach (string s in list.Keys)
{
conTopRight.ColumnHeadings[i] = s;
DatedDataCollectionGen<double> coll = list[s].Data;
double[] series = (cbTopRightCumulative.Checked) ? coll.Data.Cumulative() : coll.Data;
for (int j = 0; j < series.Length; ++j)
conTopRight.SetValue(coll.Dates[j], i, series[j]);
++i;
}
conTopRight.SortKeys();
StringBuilder titleBuilder=new StringBuilder();
foreach (string s in list.Values.Select<DataEncapsValue, string>(x => x.Name).Distinct<string>())
titleBuilder.Append(s).Append(" / ");
titleBuilder.Length -= 3;
lbl_TR_title.Text = titleBuilder.ToString();
dataCollectionDisplay1.Create(new SortedDictionary<DateTime, double[]>(conTopRight.GetInnerData()), conTopRight.ColumnHeadings);
}
public static ConstructGen<double> DoBW(ComID[] coms_, ConstructGen<PairTrade> pairTrades_)
{
var conRets = new ConstructGen<double>(coms_.Select(x => x.Name).ToArray());
for (int rebalIndex = 0; rebalIndex < pairTrades_.Dates.Count; ++rebalIndex)
{
var rebalDate = pairTrades_.Dates[rebalIndex];
var tradeEndDate = (rebalIndex < (pairTrades_.Dates.Count - 1) ? pairTrades_.Dates[rebalIndex + 1] : DateTime.Today);
var pairTradesOnDay = pairTrades_.GetValues(rebalDate);
for (int i = 0; i < pairTradesOnDay.Length; ++i)
{
var pairTrade = pairTradesOnDay[i];
if (pairTrade == null)
continue;
var rets = pairTrade.WeightedBackwardation.GetSubValues(rebalDate.AddDays(1d), tradeEndDate);
rets = rets.DivideBy(pairTrade.GetStdev(rebalDate, 63) * 3000d);
conRets.SetColumnValues(i, rets);
}
}
conRets.SortKeys();
conRets = conRets.ProcessEachCell(x => (double.IsNaN(x) || double.IsInfinity(x) || double.IsNegativeInfinity(x) ? 0d : x));
return conRets;
}
public static void EquityCTAEnviron()
{
//var copperIndex = Singleton<ComIDs>.Instance.First(x => x.Name.Equals("Copper")).ArrayIndex;
//var index =
// Singleton<ComIndexPrices>.Instance.GetData(DataConstants.DATA_START, DateTime.Today)
// .GetColumnValuesAsDDC(copperIndex);
//var index = EquityIndexOfSorts();
//var countries = new[] { "Germany", "US" };
//var instruments =
// Singleton<DBFut_Chains>.Instance.Where(
// x => x.AssetClass.Equals("Fixed Income") && countries.Any(y => y.Equals(x.Country))).ToArray();
var instruments=
Singleton<DBFut_Chains>.Instance.Where(
x => x.AssetClass.Equals("Equities")).ToArray();
foreach (var v in instruments)
{
var px = Singleton<DBFut_ChainGenericCache>.Instance.GetGenericSeries(v);
showCombinedStdevFromMean(px, v.BbgTicker, new[] {21, 42, 63, 89, 100, 126, 150, 189, 252, 512});
}
return;
//var instruments = Singleton<DBFut_Chains>.Instance.Where(x => x.AssetClass.Equals("Equities")).ToArray();
var con = new ConstructGen<double>(instruments.Select(x => x.BbgTicker).ToArray());
for(int i=0;i<instruments.Length;++i)
{
var index = Singleton<DBFut_ChainGenericCache>.Instance.GetGenericSeries(instruments[i]);
if (index == null || index.Length == 0) continue;
var prop = getMADiffPercentiles(index, new PercDiffArgs[]
{
//new PercDiffArgs() {MA1 = 21, MA2 = 42, PercWindow = 126},
//new PercDiffArgs() {MA1 = 21, MA2 = 63, PercWindow = 126},
//new PercDiffArgs() {MA1 = 21, MA2 = 89, PercWindow = 126},
new PercDiffArgs() {MA1 = 42, MA2 = 89, PercWindow = 126},
new PercDiffArgs() {MA1 = 42, MA2 = 126, PercWindow = 126},
new PercDiffArgs() {MA1 = 63, MA2 = 126, PercWindow = 126},
new PercDiffArgs() {MA1 = 89, MA2 = 180, PercWindow = 126},
new PercDiffArgs() {MA1 = 89, MA2 = 252, PercWindow = 126},
new PercDiffArgs() {MA1 = 126, MA2 = 252, PercWindow = 126},
//new PercDiffArgs() {MA1 = 21, MA2 = 42, PercWindow = 252},
//new PercDiffArgs() {MA1 = 21, MA2 = 63, PercWindow = 252},
//new PercDiffArgs() {MA1 = 21, MA2 = 89, PercWindow = 252},
new PercDiffArgs() {MA1 = 42, MA2 = 89, PercWindow = 252},
new PercDiffArgs() {MA1 = 42, MA2 = 126, PercWindow = 252},
new PercDiffArgs() {MA1 = 63, MA2 = 126, PercWindow = 252},
new PercDiffArgs() {MA1 = 89, MA2 = 180, PercWindow = 252},
new PercDiffArgs() {MA1 = 89, MA2 = 252, PercWindow = 252},
new PercDiffArgs() {MA1 = 126, MA2 = 252, PercWindow = 252},
new PercDiffArgs() {MA1 = 42, MA2 = 89, PercWindow = 504},
new PercDiffArgs() {MA1 = 42, MA2 = 126, PercWindow = 504},
new PercDiffArgs() {MA1 = 63, MA2 = 126, PercWindow = 504},
new PercDiffArgs() {MA1 = 89, MA2 = 180, PercWindow = 504},
new PercDiffArgs() {MA1 = 89, MA2 = 252, PercWindow = 504},
new PercDiffArgs() {MA1 = 126, MA2 = 252, PercWindow = 504},
});
//var c = new SI.Controls.LineChartDataDisplay();
//c.AddSeries(index, "index", 40, "##0.0#");
//c.AddSeries(dates_: prop.Dates,
// values_: prop.Data,
// desc_: "prop",
// yAxisExtent_: 40,
// yLabelFormat_: "##0.0#",
// color_: System.Drawing.Color.Orange,
// yAxisLeft_: false);
//c.DisplayInShowForm("blah");
con.SetColumnValues(i, index.ToReturns().MultiplyBy(prop));
}
con.SortKeys();
var eval = new ReturnsEval.DataSeriesEvaluator("combined", DataSeriesType.Returns);
eval.AddInnerSeries(con.Dates.ToArray(), con.ToArray(), con.ColumnHeadings);
eval.Display();
}
private static ConstructGen<double> equityFutureComponentPrices()
{
var instruments = Singleton<DBFut_Chains>.Instance.Where(x => x.AssetClass.Equals("Equities")).ToArray();
var con = new ConstructGen<double>(instruments.Select(x => x.BbgTicker).ToArray());
for (int i = 0; i < instruments.Length; ++i)
{
con.SetColumnValues(i, Singleton<DBFut_ChainGenericCache>.Instance.GetGenericSeries(instruments[i]));
}
con.SortKeys();
return con;
}
public static void Go()
{
var yearOfFile = 2015;
var ricList = new[] {"ED", "FEI", "FGBL", "FGBM", "FGBS", "TY", "FLG", "FSS", "FGB", "FBTP", "FOAT", "ES", "FDX"};
var contractMonths = (MonthCode[])Enum.GetValues(typeof(MonthCode));
var sourceDir = @"E:\futuresData\MarkFiles";
var markDir = @"e:\futuresData\MarkEllis2";
var dict = new SortedDictionary<string, DatedDataCollectionGen<double>>();
var keys = new List<string>();
foreach (var ricStart in ricList)
{
foreach (var contractYear in new[] { 2015, 2016, 2017 })
{
foreach (var contractMonth in contractMonths)
{
var dates = new List<DateTime>();
var values = new List<double>();
foreach (var monthOfFile in new[] { 6, 7, 8 })
{
var searchString = string.Format("*{0}-{1}-{2}{3}{4}.csv", yearOfFile, monthOfFile.ToString("00"), ricStart, contractMonth, contractYear - 2010);
var files = Directory.GetFiles(sourceDir, searchString);
if (files.Length == 0)
continue;
foreach (var item in CsvFile.Read<FuturesIntradaySaver.FuturesLineItem>(files[0]))
{
if (item.gmtDate.HasValue && (item.gmtDate.Value.Minute == 32 || item.gmtDate.Value.Minute == 2))
{
item.Date = TimeZoneHelper.ConvertGmtTimeToLondon(item.gmtDate.Value);
item.Time = string.Empty;
if (item.Date.Hour < 8)
continue;
if (item.Date.Hour > 17)
continue;
dates.Add(item.Date);
values.Add((item.CloseAsk + item.CloseBid) / 2d);
}
}
//list.ToCsv(string.Join("\\", markDir,
// string.Format("{0}-{1}-{2}{3}{4}", yearOfFile, monthOfFile.ToString("00"), UpdateStaticDataForFutures.MAPS[ricStart].Item1, contractMonth, contractYear - 2010)));
}
if(dates.Count>0)
{
try
{
var ticker = string.Format("{0}{1}{2}", UpdateStaticDataForFutures.MAPS[ricStart].Item1, contractMonth, contractYear - 2010);
keys.Add(ticker);
dict.Add(ticker, new DatedDataCollectionGen<double>(dates.ToArray(), values.ToArray()));
}
catch (Exception ex_)
{
Console.WriteLine(ex_.ToString());
}
}
}
}
}
var con = new ConstructGen<double>(keys.ToArray());
for(int i=0;i<keys.Count;++i)
{
con.SetColumnValues(i,dict[keys[i]]);
}
if (con.NeedsToSortKeys())
con.SortKeys();
con.WriteToCSV(@"e:\futuresData\markDataTo1732.csv");
}
protected virtual ConstructGen<double> getData(DateTime startDate_, DateTime endDate_, bool refresh_)
{
ConstructGen<double> con = null;
try
{
var ds = Singleton<ConnMngr>.Instance.Execute(queryDBName, getQueryString(startDate_, endDate_));
if (ConnMngr.HasResult(ds))
{
var list = new List<tempRowExtract>();
foreach (DataRow row in ds.Tables[0].Rows)
{
var id = DataRowHelpers.GetInt(row, idColumn);
var value = DataRowHelpers.GetDouble(row, valueColumn);
var date = DataRowHelpers.GetDate(row, dateColumn);
list.Add(new tempRowExtract(id, date, value));
}
var colMapping = getConstructIndicies(list);
con = new ConstructGen<double>(colMapping.Keys.Select(x=>x.ToString()).ToArray());
foreach (var item in list)
{
con.SetValue(item.Date, colMapping[item.ID], item.Value);
}
if (con.NeedsToSortKeys())
con.SortKeys();
postProcessConstruct(con);
}
}
catch (Exception ex_)
{
Logger.Error(string.Format("Error retrieving data (sql={0}). Error:{1}", getQueryString(startDate_, endDate_), ex_.Message), GetType(), ex_);
}
return con;
}
public ConstructGen<double> GetInnerDailyAsConstruct()
{
if (InnerSeries == null) return null;
if (InnerSeries.Count == 0) return null;
if (InnerSeries[0].Daily == null) Evaluate();
ConstructGen<double> ret = new ConstructGen<double>(InnerSeries.Count);
ret.ColumnHeadings = InnerSeries.Select(x => x.Name).ToArray();
for (int i = 0; i < InnerSeries.Count; ++i)
for (int j = 0; j < InnerSeries[i].Daily.Dates.Length; ++j)
ret.SetValue(InnerSeries[i].Daily.Dates[j], i, InnerSeries[i].Daily.Data[j]);
ret.SortKeys();
return ret;
}
public ConstructGen<double> AllConstantMaturityPrices()
{
if (m_allFuturePrices != null)
return m_allFuturePrices;
// get the quarterlyin contracts
var allIMMs = Underlying.IMM_Contracts();
// build up the list of prices for all contracts
ConstructGen<double> subCon;
{
var con = new ConstructGen<double>(allIMMs.Select(x => x.SymmetryCode).ToArray());
{
for (int i = 0; i < con.ArrayLength; ++i)
con.SetColumnValues(i, allIMMs[i].GetPrices(marketSnapCode_:MarketSnapCode,quoteSource_:QuoteSourceCode,priceType_:1));
con.SortKeys();
}
var dates = SI.Strategy.RatesSpreads.DateHelper.GetBusinessDates(CurveNames.USD3M);
subCon = new ConstructGen<double>(con.ColumnHeadings);
foreach (var date in dates)
if (con.Dates.Contains(date))
subCon.SetValues(date, con.GetValues(date));
}
// create the construct that will hode the constant maturity prices
// is NumContracts+1 as first column will be interest rate fixing
m_allFuturePrices =
new ConstructGen<double>(
ExtensionMethods.CreateArrayRep(Underlying.FutureStart, NumContracts+1)
.Select((x, i) => string.Format("{0}cm{1}", x.ToUpper(), i))
.ToArray());
foreach (var date in subCon.Dates)
{
// set the fixing
m_allFuturePrices.SetValue(date, 0, Underlying.FixingInstrmnet.GetPrices().ValueOnDate(date)*100d);
for (int pointIndex = 0; pointIndex < NumContracts; ++pointIndex)
{
var daysForward = Convert.ToDouble(pointIndex + 1)*DaysSpan;
var forwardDate = date.AddDays(daysForward);
int beforeIndex=-1, afterIndex=-1;
for (int i = 0; i < allIMMs.Count-1; ++i)
{
if(allIMMs[i].Maturity.Value==forwardDate)
{
beforeIndex = i;
afterIndex = i;
break;
}
else if (allIMMs[i].Maturity.Value < forwardDate && allIMMs[i+1].Maturity.Value > forwardDate)
{
beforeIndex = i;
afterIndex = i + 1;
}
}
// were the indexes of the contract that straddle the forward date found?
if (beforeIndex >= 0)
{
if (beforeIndex == afterIndex)
{
m_allFuturePrices.SetValue(date, pointIndex+1, 100d-subCon.GetValue(date, beforeIndex));
}
else
{
var beforeValue = subCon.GetValue(date, beforeIndex);
var afterValue = subCon.GetValue(date, afterIndex);
if (beforeValue == 0d || afterValue == 0d)
continue;
var width = allIMMs[afterIndex].Maturity.Value - allIMMs[beforeIndex].Maturity.Value;
var w1 = forwardDate - allIMMs[beforeIndex].Maturity.Value;
var propAfter = w1.TotalDays/width.TotalDays;
var interpValue = (afterValue*propAfter) + (beforeValue*(1d - propAfter));
m_allFuturePrices.SetValue(date, pointIndex+1, 100d-interpValue);
}
}
}
}
return m_allFuturePrices;
}
private void reloadBottomLeft(IDictionary<string, DataEncapsValue> list)
{
if (list.Count == 0 || m_blArgs.Locked)
return;
ConstructGen<double> conBottomLeft = new ConstructGen<double>(list.Count);
conBottomLeft.ColumnHeadings = new string[conBottomLeft.ArrayLength];
int i = 0;
foreach (string s in list.Keys)
{
conBottomLeft.ColumnHeadings[i] = s;
DatedDataCollectionGen<double> coll = list[s].Data;
DatedDataCollectionGen<double> monthly = coll.ToPeriod(m_blArgs.Period, m_blArgs.Collation);
for (int j = 0; j < monthly.Length; ++j)
conBottomLeft.SetValue(monthly.Dates[j], i, monthly.Data[j]);
++i;
}
conBottomLeft.SortKeys();
StringBuilder titleBuilder = new StringBuilder();
foreach (string s in list.Values.Select<DataEncapsValue, string>(x => x.Name).Distinct<string>())
titleBuilder.Append(s).Append(" / ");
titleBuilder.Length -= 3;
lbl_BL_title.Text = titleBuilder.ToString();
simpleWtsColumnChart2.Create<DateTime, string>(new SortedDictionary<DateTime, double[]>(conBottomLeft.GetInnerData()), conBottomLeft.ColumnHeadings, ExtensionMethods.FormatStringForPeriodicity(m_blArgs.Period));
//simpleWtsColumnChart2.SetYAxisScaleRange(0d, double.MinValue);
}
public static ConstructGen<double> GetInvoiceSpreadsAsConstruct()
{
var configs = invoiceSpreadConfigs().ToArray();
var con = new ConstructGen<double>(
configs.Select(x => string.Format("{0}_{1}_{2}", x.Future, x.Series + 1, x.Curve.ToString())).ToArray());
for (int i = 0; i < configs.Length; ++i)
{
var spreads = getInvoiceSpreadsCollectionFromMongo(configs[i]);
con.SetColumnValues(i,
new DatedDataCollectionGen<double>(spreads.Lines.Select(x => x.Date).ToArray(),
spreads.Lines.Select(x => x.InvoiceSpread ?? 0d).ToArray()));
}
if (con.NeedsToSortKeys())
con.SortKeys();
// feed forward missing values
{
var values = con.GetValues(con.Dates[0]);
for (int i = 1; i < con.Dates.Count; ++i)
{
var date = con.Dates[i];
var todayValues = con.GetValues(date);
for (int j = 0; j < todayValues.Length; ++j)
{
if (todayValues[j] == 0d)
todayValues[j] = values[j];
}
values = todayValues;
}
}
return con;
}
internal static void Go()
{
var listOfTenors = new[]
{
"1Y",
"2Y",
"3Y",
"4Y",
"5Y",
"6Y",
"7Y",
"8Y",
"9Y",
"10Y",
"11Y",
"12Y",
"15Y",
"20Y",
"25Y",
"30Y",
"40Y",
"1Y1Y",
"1Y2Y",
"1Y3Y",
"1Y4Y",
"1Y5Y",
"1Y6Y",
"1Y7Y",
"1Y8Y",
"1Y9Y",
"1Y10Y",
"1Y11Y",
"1Y12Y",
"1Y15Y",
"1Y20Y",
"1Y25Y",
"1Y30Y",
"1Y40Y",
"2Y1Y",
"2Y2Y",
"2Y3Y",
"2Y4Y",
"2Y5Y",
"2Y6Y",
"2Y7Y",
"2Y8Y",
"2Y9Y",
"2Y10Y",
"2Y11Y",
"2Y12Y",
"2Y15Y",
"2Y20Y",
"2Y25Y",
"2Y30Y",
"2Y40Y",
"3Y1Y",
"3Y2Y",
"3Y3Y",
"3Y4Y",
"3Y5Y",
"3Y6Y",
"3Y7Y",
"3Y8Y",
"3Y9Y",
"3Y10Y",
"3Y11Y",
"3Y12Y",
"3Y15Y",
"3Y20Y",
"3Y25Y",
"3Y30Y",
"3Y40Y",
"4Y1Y",
"4Y2Y",
"4Y3Y",
"4Y4Y",
"4Y5Y",
"4Y6Y",
"4Y7Y",
"4Y8Y",
"4Y9Y",
"4Y10Y",
"4Y12Y",
"4Y15Y",
"4Y20Y",
"4Y25Y",
"4Y30Y",
"4Y40Y",
"5Y1Y",
"5Y2Y",
"5Y3Y",
"5Y4Y",
"5Y5Y",
"5Y6Y",
"5Y7Y",
"5Y8Y",
"5Y9Y",
"5Y10Y",
"5Y12Y",
"5Y15Y",
"5Y20Y",
"5Y25Y",
"5Y30Y",
"5Y40Y",
"6Y1Y",
"6Y2Y",
"6Y3Y",
"6Y4Y",
"6Y5Y",
"6Y6Y",
"6Y7Y",
"6Y8Y",
"6Y9Y",
"6Y10Y",
"6Y12Y",
"6Y15Y",
"6Y20Y",
"6Y25Y",
"6Y30Y",
"7Y1Y",
"7Y2Y",
"7Y3Y",
"7Y4Y",
"7Y5Y",
"7Y6Y",
"7Y7Y",
"7Y8Y",
"7Y9Y",
"7Y10Y",
"7Y11Y",
"7Y12Y",
"7Y15Y",
"7Y20Y",
"7Y25Y",
"7Y30Y",
"8Y1Y",
"8Y2Y",
"8Y3Y",
"8Y4Y",
"8Y5Y",
"8Y6Y",
"8Y7Y",
"8Y8Y",
"8Y9Y",
"8Y10Y",
"8Y12Y",
"8Y15Y",
"8Y20Y",
"8Y25Y",
"8Y30Y",
"9Y1Y",
"9Y2Y",
"9Y3Y",
"9Y4Y",
"9Y5Y",
"9Y6Y",
"9Y7Y",
"9Y8Y",
"9Y9Y",
"9Y10Y",
"9Y11Y",
"9Y12Y",
"9Y15Y",
"9Y20Y",
"9Y25Y",
"9Y30Y",
"10Y1Y",
"10Y2Y",
"10Y3Y",
"10Y4Y",
"10Y5Y",
"10Y10Y",
"10Y15Y",
"10Y20Y",
"10Y30Y",
"11Y1Y",
"11Y2Y",
"11Y3Y",
"11Y4Y",
"11Y5Y",
"11Y6Y",
"11Y7Y",
"11Y10Y",
"11Y15Y",
"11Y20Y",
"11Y25Y",
"11Y30Y",
"12Y1Y",
"12Y2Y",
"12Y3Y",
"12Y4Y",
"12Y5Y",
"12Y8Y",
"12Y10Y",
"12Y20Y",
"12Y25Y",
"15Y1Y",
"15Y2Y",
"15Y3Y",
"15Y4Y",
"15Y5Y",
"15Y6Y",
"15Y7Y",
"15Y8Y",
"15Y9Y",
"15Y10Y",
"15Y15Y",
"20Y5Y",
"20Y10Y",
"25Y5Y",
"30Y10Y",
};
ProductList.RegisterMongoClasses();
foreach (var curve in new[] { CurveNames.USD3M, CurveNames.EUR6M} )
{
var con = new ConstructGen<double>(listOfTenors);
for (int i = 0; i < listOfTenors.Length; ++i)
{
var split = listOfTenors[i].Trim('Y').Split('Y');
int start=0, foward=0;
if (split.Length == 1)
{
foward = int.Parse(split[0]);
}
else
{
start = int.Parse(split[0]);
foward = int.Parse(split[1]);
}
var series = xYyY.Get(curve, start, foward);
con.SetColumnValues(i, series.A_Prices);
}
if (con.NeedsToSortKeys())
con.SortKeys();
con.WriteToCSV(string.Format(@"e:\temp\Mark_Swaps_{0}.csv", curve));
}
}
public static void Compare(string indexStart_, string suffix_)
{
var closePrices = GetData(indexStart_, suffix_);
var closePrices2 = GetData2(indexStart_, suffix_);
var con = new ConstructGen<double>(new string[] { "First", "Second" });
con.SetColumnValues(0, closePrices);
con.SetColumnValues(1, closePrices2);
if (con.NeedsToSortKeys())
con.SortKeys();
con.DisplayInGrid("Compare");
}