internal static List<BondStructureCountryGroupCreator> GetXMktSpreads(IEnumerable<BondMarket> markets_, CountryGroupNodeMode mode_, int index_ = -1)
{
var ret = new List<BondStructureCountryGroupCreator>();
var markets = markets_.ToArray();
for (int i = 0; i < markets.Length; ++i)
for (int j = i + 1; j < markets.Length; ++j)
{
// James needs to supply the order of convention to make this accurage
var higherTenor = markets[i];
var lowerTenor = markets[j];
if (index_ == -1)
{
ret.AddRange(StructureConfigs.InterCountrySpreadPoints.Select(conf => new BondStructureCountryGroupCreator(new[]
{
new Tuple<int, BondMarket, double>(conf[0], higherTenor, StructureWeightings.Curve_Near),
new Tuple<int, BondMarket, double>(conf[0], lowerTenor, StructureWeightings.Curve_Far)
}, mode_)));
}
else
{
ret.Add(new BondStructureCountryGroupCreator(new[]
{
new Tuple<int,BondMarket,double>(StructureConfigs.InterCountrySpreadPoints[index_][0],higherTenor,StructureWeightings.Curve_Near),
new Tuple<int,BondMarket,double>(StructureConfigs.InterCountrySpreadPoints[index_][0],lowerTenor,StructureWeightings.Curve_Far)
}, mode_));
}
}
return ret;
}
public CountryGroupNode(string text_, BondMarket[] markets_, StructureGrouping grouping_, CountryGroupNodeMode mode_, int structureIndex_=-1)
{
Markets = markets_;
Text = text_;
Grouping = grouping_;
StructureIndex = structureIndex_;
Mode = mode_;
}
internal static List<BondStructureCountryGroupCreator> GetOutrights(IEnumerable<BondMarket> markets_, CountryGroupNodeMode mode_, int index_ = -1)
{
if (index_ == -1)
return (from mkt in markets_
from tenor in CMTLine.DisplayPoints
select new BondStructureCountryGroupCreator(new[]
{
new Tuple<int,BondMarket,double>((int)tenor,mkt, 1d)
}, mode_)).ToList();
else
return (from mkt in markets_
select new BondStructureCountryGroupCreator(new[]
{
new Tuple<int,BondMarket,double>((int)CMTLine.DisplayPoints[index_],mkt, 1d)
}, mode_)).ToList();
}
internal static List<BondStructureCountryGroupCreator> GetButterflies(IEnumerable<BondMarket> markets_, CountryGroupNodeMode mode_, int index_ = -1)
{
if (index_ == -1)
return (from mkt in markets_
from conf in StructureConfigs.IntraCountryButterflies
select new BondStructureCountryGroupCreator(new[]
{
new Tuple<int,BondMarket,double>( conf[0],mkt,StructureWeightings.Bfly_Wing) ,
new Tuple<int,BondMarket,double>( conf[1],mkt,StructureWeightings.Bfly_Belly) ,
new Tuple<int,BondMarket,double>( conf[2],mkt,StructureWeightings.Bfly_Wing) ,
}, mode_)).ToList();
else
return (from mkt in markets_
select new BondStructureCountryGroupCreator(new[]
{
new Tuple<int,BondMarket,double>( StructureConfigs.IntraCountryButterflies[index_][0],mkt,StructureWeightings.Bfly_Wing) ,
new Tuple<int,BondMarket,double>( StructureConfigs.IntraCountryButterflies[index_][1],mkt,StructureWeightings.Bfly_Belly) ,
new Tuple<int,BondMarket,double>( StructureConfigs.IntraCountryButterflies[index_][2],mkt,StructureWeightings.Bfly_Wing) ,
}, mode_)).ToList();
}
private void addCountryStructures(string rootNodeText_, CountryGroupNodeMode mode_)
{
var otrTop = new CountryGroupNode(rootNodeText_, LiveMarkets.Markets,
StructureGrouping.Outrights | StructureGrouping.Butterflies | StructureGrouping.Curves, mode_);
otrTop.LeftImages.Add(BSAResources.folder_icon_16black);
ultraTree1.Nodes.Add(otrTop);
foreach (var market in LiveMarkets.Markets)
{
var marketNode = new CountryGroupNode(market.ToString(), new[] { market },
StructureGrouping.Outrights | StructureGrouping.Butterflies | StructureGrouping.Curves, mode_);
marketNode.LeftImages.Add(BSAResources.folder_icon_16black);
otrTop.Nodes.Add(marketNode);
foreach (var group in new[] { StructureGrouping.Outrights, StructureGrouping.Curves, StructureGrouping.Butterflies })
{
var marketGroupNode = new CountryGroupNode(group.ToString(), new[] { market }, group,mode_);
marketGroupNode.LeftImages.Add(BSAResources.folder_arrow_icon_16);
marketNode.Nodes.Add(marketGroupNode);
}
{
var topXMarketNode = new CountryGroupNode("X-Mkt Spreads", new[] { BondMarket.None }, StructureGrouping.None, mode_);
topXMarketNode.LeftImages.Add(BSAResources.globe_1_icon_16);
marketNode.Nodes.Add(topXMarketNode);
for (int i = 0; i < LiveMarkets.Markets.Length; ++i)
{
if (LiveMarkets.Markets[i] == market) continue;
var xmktNode = new CountryGroupNode(string.Format("{0}.{1}", market, LiveMarkets.Markets[i]),
new[] { market, LiveMarkets.Markets[i] }, StructureGrouping.XMarketSpreads, mode_);
xmktNode.LeftImages.Add(BSAResources.globe_2_icon_16);
topXMarketNode.Nodes.Add(xmktNode);
}
}
{
var topXMarketNode = new CountryGroupNode("X-Mkt Boxes", new[] { BondMarket.None }, StructureGrouping.None, mode_);
topXMarketNode.LeftImages.Add(BSAResources.globe_1_icon_16);
marketNode.Nodes.Add(topXMarketNode);
for (int i = 0; i < LiveMarkets.Markets.Length; ++i)
{
if (LiveMarkets.Markets[i] == market) continue;
var xmktNode = new CountryGroupNode(string.Format("{0}.{1}", market, LiveMarkets.Markets[i]),
new[] { market, LiveMarkets.Markets[i] }, StructureGrouping.XMarketBoxes,mode_);
xmktNode.LeftImages.Add(BSAResources.globe_2_icon_16);
topXMarketNode.Nodes.Add(xmktNode);
}
}
}
// outrights
{
var outrightNode = new CountryGroupNode("Outrights", LiveMarkets.Markets, StructureGrouping.None, mode_, -1);
outrightNode.LeftImages.Add(BSAResources.folder_icon_16black);
otrTop.Nodes.Add(outrightNode);
var allPoints = CMTLine.DisplayPoints;
for (int index = 0; index < allPoints.Length; ++index)
{
var node = new CountryGroupNode(string.Format("{0}", allPoints[index]), LiveMarkets.Markets,
StructureGrouping.Outrights, mode_, index);
node.LeftImages.Add(BSAResources.folder_icon_16black);
outrightNode.Nodes.Add(node);
}
}
// curves
{
var curvesNode = new CountryGroupNode("Curves", LiveMarkets.Markets, StructureGrouping.None, mode_, -1);
curvesNode.LeftImages.Add(BSAResources.folder_icon_16black);
otrTop.Nodes.Add(curvesNode);
var allPoints = StructureConfigs.IntraCountryCurves;
for (int index = 0; index < allPoints.Count; ++index)
{
var node = new CountryGroupNode(string.Format("{0} {1}", allPoints[index][0], allPoints[index][1]), LiveMarkets.Markets,
StructureGrouping.Curves, mode_, index);
node.LeftImages.Add(BSAResources.folder_icon_16black);
curvesNode.Nodes.Add(node);
}
}
// butterflies
{
var bflyNode = new CountryGroupNode("Butterflies", LiveMarkets.Markets, StructureGrouping.None, mode_, -1);
bflyNode.LeftImages.Add(BSAResources.folder_icon_16black);
otrTop.Nodes.Add(bflyNode);
var allPoints = StructureConfigs.IntraCountryButterflies;
for (int index = 0; index < allPoints.Count; ++index)
{
var node = new CountryGroupNode(string.Format("{0} {1} {2}", allPoints[index][0], allPoints[index][1], allPoints[index][2]), LiveMarkets.Markets,
StructureGrouping.Butterflies, mode_, index);
node.LeftImages.Add(BSAResources.folder_icon_16black);
bflyNode.Nodes.Add(node);
}
}
// boxes
{
var boxesNode = new CountryGroupNode("Boxes", LiveMarkets.Markets, StructureGrouping.None, mode_, -1);
boxesNode.LeftImages.Add(BSAResources.folder_icon_16black);
otrTop.Nodes.Add(boxesNode);
var allPoints = StructureConfigs.InterCountryBoxSides;
for (int index = 0; index < allPoints.Count; ++index)
{
var node = new CountryGroupNode(string.Format("Boxes {0} {1}", allPoints[index][0], allPoints[index][1]),
LiveMarkets.Markets, StructureGrouping.XMarketBoxes, mode_, index);
node.LeftImages.Add(BSAResources.folder_icon_16black);
boxesNode.Nodes.Add(node);
}
}
ultraTree1.RefreshSort(otrTop.Nodes, true);
}
internal static List<BondStructureCountryGroupCreator> GetItems(BondMarket[] markets_, StructureGrouping grouping_, CountryGroupNodeMode mode_, int index_)
{
var list = new List<BondStructureCountryGroupCreator>();
if (grouping_.Has(StructureGrouping.Outrights))
list.AddRange(GetOutrights(markets_, mode_, index_));
if (grouping_.Has(StructureGrouping.Curves))
list.AddRange(GetCurves(markets_, mode_, index_));
if (grouping_.Has(StructureGrouping.Butterflies))
list.AddRange(GetButterflies(markets_, mode_, index_));
if (grouping_.Has(StructureGrouping.XMarketSpreads))
list.AddRange(GetXMktSpreads(markets_, mode_, index_));
if (grouping_.Has(StructureGrouping.XMarketBoxes))
list.AddRange(GetXMktBoxes(markets_, mode_, index_));
return list;
}
internal static List<BondStructureCountryGroupCreator> GetXMktBoxes(IEnumerable<BondMarket> markets_, CountryGroupNodeMode mode_, int index_ = -1)
{
var ret = new List<BondStructureCountryGroupCreator>();
var markets = markets_.ToArray();
for (int i = 0; i < markets.Length; ++i)
for (int j = i + 1; j < markets.Length; ++j)
{
var higherTenor = markets[i];
var lowerTenor = markets[j];
if (index_ == -1)
{
foreach (var conf in StructureConfigs.InterCountryBoxSides)
{
ret.Add(new BondStructureCountryGroupCreator(new[]
{
new Tuple<int, BondMarket, double>(conf[0], lowerTenor, StructureWeightings.Box_1),
new Tuple<int, BondMarket, double>(conf[1], lowerTenor, StructureWeightings.Box_2),
new Tuple<int, BondMarket, double>(conf[0], higherTenor, StructureWeightings.Box_3),
new Tuple<int, BondMarket, double>(conf[1], higherTenor, StructureWeightings.Box_4),
}, mode_));
}
}
else
{
ret.Add(new BondStructureCountryGroupCreator(new[]
{
new Tuple<int, BondMarket, double>(StructureConfigs.InterCountryBoxSides[index_][0], lowerTenor, StructureWeightings.Box_1),
new Tuple<int, BondMarket, double>(StructureConfigs.InterCountryBoxSides[index_][1], lowerTenor, StructureWeightings.Box_2),
new Tuple<int, BondMarket, double>(StructureConfigs.InterCountryBoxSides[index_][0], higherTenor, StructureWeightings.Box_3),
new Tuple<int, BondMarket, double>(StructureConfigs.InterCountryBoxSides[index_][1], higherTenor, StructureWeightings.Box_4),
}, mode_));
}
}
return ret;
}
public BondStructureCountryGroupCreator(Tuple<int, BondMarket, double>[] points_, CountryGroupNodeMode mode_)
{
Points = points_;
Mode = mode_;
}
