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Sean Kessler
2024-02-23 06:58:53 -05:00
commit 732db8235b
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Model/TermStructureModel.cs Normal file
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using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;
using MarketData.MarketDataModel;
using Microsoft.Research.DynamicDataDisplay.DataSources;
using MarketData.Generator.TermStructure;
using MarketData.Utils;
namespace TradeBlotter.Model
{
public class TermStructureModel
{
private TermStructureModel()
{
}
public static CurveData GetTenorCurve(TermStructureInterpolatorByDate termStrucureInterpolatorByDate,DateTime analysisDate)
{
if(null==termStrucureInterpolatorByDate)return null;
TermStructureInterpolator termStructureInterpolator = termStrucureInterpolatorByDate[analysisDate];
return termStructureInterpolator.CurveData;
}
public static CompositeDataSource GetTenorRates(TermStructureInterpolatorByDate termStrucureInterpolatorByDate,DateTime analysisDate)
{
if (null == termStrucureInterpolatorByDate||!termStrucureInterpolatorByDate.ContainsKey(analysisDate)) return null;
TermStructureInterpolator termStructureInterpolator = termStrucureInterpolatorByDate[analysisDate];
if(null==termStructureInterpolator.CurveData)return null;
CompositeDataSource compositeDataSource;
DateGenerator dateGenerator=new DateGenerator();
List<DateTime> dates = new List<DateTime>();
//DateTime today = DateTime.Now;
dates.Add(analysisDate);
dates.Add(dateGenerator.GenerateFutureDate(analysisDate,30));
dates.Add(dateGenerator.GenerateFutureDate(analysisDate,30*3));
dates.Add(dateGenerator.GenerateFutureDate(analysisDate,30*6));
dates.Add(dateGenerator.GenerateFutureDate(analysisDate,360*1));
dates.Add(dateGenerator.GenerateFutureDate(analysisDate,360*2));
dates.Add(dateGenerator.GenerateFutureDate(analysisDate,360*3));
dates.Add(dateGenerator.GenerateFutureDate(analysisDate,360*5));
dates.Add(dateGenerator.GenerateFutureDate(analysisDate,360*7));
dates.Add(dateGenerator.GenerateFutureDate(analysisDate,360*10));
dates.Add(dateGenerator.GenerateFutureDate(analysisDate,360*20));
dates.Add(dateGenerator.GenerateFutureDate(analysisDate,360*30));
double[] rates = new double[]
{
double.Parse(termStructureInterpolator.CurveData.GetTenorValue("1D")),
double.Parse(termStructureInterpolator.CurveData.GetTenorValue("1M")),
double.Parse(termStructureInterpolator.CurveData.GetTenorValue("3M")),
double.Parse(termStructureInterpolator.CurveData.GetTenorValue("6M")),
double.Parse(termStructureInterpolator.CurveData.GetTenorValue("1Y")),
double.Parse(termStructureInterpolator.CurveData.GetTenorValue("2Y")),
double.Parse(termStructureInterpolator.CurveData.GetTenorValue("3Y")),
double.Parse(termStructureInterpolator.CurveData.GetTenorValue("5Y")),
double.Parse(termStructureInterpolator.CurveData.GetTenorValue("7Y")),
double.Parse(termStructureInterpolator.CurveData.GetTenorValue("10Y")),
double.Parse(termStructureInterpolator.CurveData.GetTenorValue("20Y")),
double.Parse(termStructureInterpolator.CurveData.GetTenorValue("30Y"))
};
var xData = new EnumerableDataSource<DateTime>(dates);
xData.SetXMapping(x => (x.Ticks / 10000000000.0));
var yData = new EnumerableDataSource<double>(rates);
yData.SetYMapping(y => y);
compositeDataSource = xData.Join(yData);
return compositeDataSource;
}
public static CompositeDataSource GetInterpolatedRates(TermStructureInterpolatorByDate termStrucureInterpolatorByDate,DateTime analysisDate)
{
if(null==termStrucureInterpolatorByDate)return null;
// if(null==compositeDataSource)compositeDataSource=new CompositeDataSource();
TermStructureInterpolator termStructureInterpolator = termStrucureInterpolatorByDate[analysisDate];
CompositeDataSource compositeDataSource=new CompositeDataSource();
DateGenerator dateGenerator=new DateGenerator();
List<DateTime> dates = new List<DateTime>();
List<double> rates = new List<double>();
analysisDate=analysisDate.Date;
List<int> keys = new List<int>(termStructureInterpolator.SplineRates.Keys);
keys.Sort();
foreach (int key in keys)
{
dates.Add(analysisDate);
rates.Add(termStructureInterpolator.SplineRates[key]);
analysisDate=dateGenerator.GetNextDay(analysisDate);
}
double[] ratesArray = rates.ToArray<double>();
var xData = new EnumerableDataSource<DateTime>(dates);
xData.SetXMapping(x => (x.Ticks / 10000000000.0));
var yData = new EnumerableDataSource<double>(rates);
yData.SetYMapping(y => y);
// compositeDataSource = xData.Join(yData);
compositeDataSource.AddDataPart(xData.Join(yData));
return compositeDataSource;
}
}
}