SWAP MANAGER AND FIELD SEARCH
Let us assume, that the following cross-currency basis swap transaction has been created and stored in Bloomberg Swap Manager. Note, that when the transaction is stored, Swap Manager is automatically creating identification code for this transaction (SL5Q3637 - on the upper right corner of the screen).
When using Bloomberg Field Search (FLDS) for this transaction (SL5Q3637 Corp), I can request all the fields (static, calculated) what are available in any of the Swap Manager screens. Just as one example, we see that in the transaction screen above, dirty PV for this swap is 12 157 660 EUR (for historical valuation date 5.6.2015).
Field search is showing the value of 11 889 635 EUR (SW_MARKET_VAL). However, since the transaction valuation date is historical, we need to override settlement and curve date. Clicking SW_MARKET_VAL (dirty PV) field in the Field Search screen will show all the parameters, what are available for overriding for this particular field.
By overriding SETTLE_DT and SW_CURVE_DT, PV (SW_MARKET_VAL) is 12 157 660 EUR, which is exactly the same as in our initial transaction screen above. Note, that if you are valuing any transaction per historical date, the both fields (settlement data, curve date) have to have the same date value.
Now we come to the beef of this posting : since we can use Bloomberg Field Search for finding a value for any fields what are available in any of the Swap Manager screens, we can also request values for those fields by using Bloomberg API. The easiest way is just to use Excel and Bloomberg-addin function BDP (security = SL5Q3637 Corp, field = SW_MARKET_VAL). Another way is to request those fields programmatically, by using Bloomberg programming API. In this posting, we are using the latter approach.
PROGRAM INPUT AND OUTPUT
A list of swap transactions (which have already been created and stored in Swap Manager) for a given portfolio (tradingSwaps in this example) is defined in the transaction source file (csv).
The program is producing the following output for a given portfolio of swap transactions (using current configurations).
CONFIGURATION FILES
Application configurations file (App.Config in C# project) is only defining repository folder for all individual portfolio configurations. It should be noted, that we can have several different portfolio configurations at the same time in that repository folder.
Single portfolio configuration file (as shown in the picture below) defines the following information
- Portfolio name
- Source data path and file name
- Field separator for source file
- Bloomberg fields to be requested
- Possible Bloomberg override fields
- Possible Bloomberg override values
- Type of target output (file, console, excel, etc)
- Path and file name for output file (if not console)
By handling portfolio construction via individual configuration files, we are achieving a lot of flexibility into this program. For example, different portfolios can
- read source data (Bloomberg transaction ID's) from any given source data file.
- have completely different set of Bloomberg request fields and set of field overrides.
- be printed out into different target medium (console, csv, xml, web-page, Excel, etc).
In a nutshell, the program is first finding configurations repository folder based on the information given in Application configurations file (App.Config). After this, the program is constructing N portfolio configuration objects for all existing configuration files given in repository folder. Finally, program is using Bloomberg API for requesting data for each configuration and then printing out the results based on given configuration.
PROGRAM DESIGN
UML class diagram has been presented below.
GREEN
In the first stage, Configuration objects has to be created. In this example program, Client is sending creation request for static Configurations class. Static Configurations class is then using concrete XMLConfigurationBuilder (implementation of abstract ConfigurationBuilder) to create Configuration objects. Static Configuration class has one to many Configuration objects. Static Configurations class is available for all the other objects during the program execution.
THISTLE
In the second stage, PortfolioProcessor object has to be created. Client is sending creation request for one concrete FileProcessorBuilder (implementation of abstract PortfolioProcessorBuilder) to build one PortfolioProcessor object. On a general level, PortfolioProcessor is hosting several other objects: one to many Portfolio objects (aggregation), one BBCOMMWrapper object (composition) and one to many PortfolioVisitor objects (aggregation).
YELLOW
PortfolioProcessor has one BBCOMMWrapper object (composition) for requesting data from Bloomberg by using BBCOMM Server API. For any portfolio being processed, all data fields (and optional field overrides), which are going to be requested from Bloomberg API, have been defined inside static Configurations class.
TURQUOISE
There is a hierarchy of objects. PortfolioProcessor object has one to many Portfolio objects (aggregation). One Portfolio object has one to many Contract objects (aggregation). One Contract object has one to many Field objects (aggregation). Essentially, when PortfolioProcessor is executing its Process method, it will request results from BBCOMMWrapper object for all contracts and data fields, for all Portfolio objects which are hosted inside PortfolioProcessor object. After receiving results from BBCOMMWrapper object, it will then export all results into corresponding Field objects for each Contract and Portfolio.
WHEAT
When PortfolioProcessor object is being built, concrete FileProcessorBuilder is also using PortfolioVisitorFactory object for creating one or more concrete Visitor objects. References of those Visitor objects are stored inside PortfolioProcessor (aggregation). Essentially, PortfolioProcessor object method Print will print all results (values from stored in Field objects inside Contract objects for each Portfolio object) into selected target medium. For this task, PortfolioProcessor object is using one or more Visitor objects (specific Visitor type for each Portfolio).
THE PROGRAM
It should be noted, that each class (or class hierarchy) should be copy-pasted into a separate cs-file. References to Bloomberg API and System.Configuration should be made in order to compile this program.// file : Program.cs using System; using System.Collections.Generic; using System.Linq; using System.Text; using System.Threading.Tasks; using System.Configuration; using System.IO; using System.Xml; namespace PortfolioValuation { // CLIENT class Program { static void Main(string[] args) { try { // build static configurations from pre-defined configuration files for each portfolio Configurations.Build(new XMLConfigurationBuilder()); // // build swap manager object from a given file information PortfolioProcessorBuilder swapManagerBuilder = new FileProcessorBuilder(); PortfolioProcessor swapManager = swapManagerBuilder.Build(); // // process and print portfolio swapManager.Process(); swapManager.Print(); } catch (Exception e) { Console.WriteLine(e.Message); } Console.WriteLine("Program has been executed"); Console.ReadLine(); } } } // // // file : PortfolioProcessorBuilder.cs using System; using System.Collections.Generic; using System.Linq; using System.Text; using System.Threading.Tasks; using System.Configuration; namespace PortfolioValuation { // builder for swap manager object - class hierarchy public abstract class PortfolioProcessorBuilder { public abstract PortfolioProcessor Build(); } // build data for swap manager object using source files public class FileProcessorBuilder : PortfolioProcessorBuilder { public override PortfolioProcessor Build() { // build portfolio and visitor objects based on configurations List<Portfolio> portfolios = new List<Portfolio>(); List<PortfolioVisitor> visitors = new List<PortfolioVisitor>(); // // loop through configurations for (int i = 0; i < Configurations.N; i++) { // get one configuration, create portfolio object and // read source data (isin codes) for this portfolio Configuration table = Configurations.Get(i); string ID = table.ID; Portfolio portfolio = new Portfolio(ID); List<string> sourceData = new List<string>(); TextFileHandler.Read(table.Get("sourcedatafilepathname"), sourceData); // // create empty contracts into portfolio char fieldSeparator = Convert.ToChar(Configurations.Get(ID, "fieldseparator")); sourceData.ForEach(it => { if (it.Split(Convert.ToChar(fieldSeparator))[0] == ID) portfolio.AddContract(new Contract(it.Split(fieldSeparator)[1])); }); // // decision : portfolio must have at least one contract if (portfolio.Count() == 0) throw new Exception("builder : empty portfolio error"); // // request visitor for swap manager object, created by factory method PortfolioOutputVisitorFactory factory = new PortfolioOutputVisitorFactory(); string visitorType = table.Get("visitortype"); PortfolioVisitor visitor = factory.CreatePortfolioOutputVisitor(visitorType); portfolios.Add(portfolio); visitors.Add(visitor); } // return constructed swap manager objects for a client return new PortfolioProcessor(portfolios, visitors); } } } // // // file : PortfolioProcessor.cs using System; using System.Collections.Generic; using System.Linq; using System.Text; using System.Threading.Tasks; namespace PortfolioValuation { public class PortfolioProcessor { private BBCOMMDataRequest bloombergAPI; private List<PortfolioVisitor> visitors; private List<Portfolio> portfolios; private List<string> securities; private List<string> bloombergFields; private List<string> bloombergOverrideFields; private List<string> bloombergOverrideValues; // public PortfolioProcessor(List<Portfolio> portfolios, List<PortfolioVisitor> visitors) { this.portfolios = portfolios; this.visitors = visitors; } public void Process() { // process all portfolios foreach (Portfolio portfolio in portfolios) { // create information for Bloomberg API string ID = portfolio.ID; char fieldSeparator = Convert.ToChar(Configurations.Get(ID, "fieldseparator")); securities = portfolio.Select(it => it.Isin).ToList(); // bloombergFields = Configurations.Get(ID, "bloombergfields").Split(fieldSeparator).ToList<string>(); bloombergOverrideFields = Configurations.Get(ID, "bloombergoverridefields").Split(fieldSeparator).ToList<string>(); bloombergOverrideValues = Configurations.Get(ID, "bloombergoverridevalues").Split(fieldSeparator).ToList<string>(); // // decision : override collections always has to be provided if ((bloombergOverrideFields == null) || (bloombergOverrideValues == null)) throw new Exception("swap manager : null override collection error"); // // create reference data request for Bloomberg API if ((bloombergOverrideFields.Count != 0) && (bloombergOverrideValues.Count != 0)) { // data request with overrides bloombergAPI = new ReferenceDataRequest(securities, bloombergFields, bloombergOverrideFields, bloombergOverrideValues); } else { // data request without overrides bloombergAPI = new ReferenceDataRequest(securities, bloombergFields); } // receive requested data dynamic[, ,] result = bloombergAPI.ProcessData(); // // process bloomberg results into portfolio contracts and fields int nFields = bloombergFields.Count; int nSecurities = securities.Count; for (int i = 0; i < nSecurities; i++) { for (int j = 0; j < nFields; j++) { Field field = new Field(bloombergFields[j], result[i, 0, j]); portfolio.UpdateContract(securities[i], field); } } } } public void Print() { // delegate accept requests for portfolio objects for (int i = 0; i < portfolios.Count; i++) { portfolios[i].AcceptVisitor(visitors[i]); } } } } // // // file : TextFileHandler.cs using System; using System.Collections.Generic; using System.Linq; using System.Text; using System.Threading.Tasks; using System.IO; namespace PortfolioValuation { public static class TextFileHandler { public static void Read(string filePathName, List<string> output) { // read file content into list StreamReader reader = new StreamReader(filePathName); while (!reader.EndOfStream) { output.Add(reader.ReadLine()); } reader.Close(); } public static void Write(string filePathName, List<string> input, bool append) { // write text stream list to file StreamWriter writer = new StreamWriter(filePathName, append); input.ForEach(it => writer.WriteLine(it)); writer.Close(); } } } // // // file : PortfolioVisitor.cs using System; using System.Collections.Generic; using System.Linq; using System.Text; using System.Threading.Tasks; using System.Configuration; namespace PortfolioValuation { // output visitor - class hierarchy public abstract class PortfolioVisitor { public abstract void Visit(Portfolio portfolio); } public class ConsolePortfolioVisitor : PortfolioVisitor { public override void Visit(Portfolio portfolio) { //Configuration configuration foreach (Contract contract in portfolio) { string fieldSeparator = Configurations.Get(portfolio.ID, "fieldseparator"); StringBuilder sb = new StringBuilder(); foreach (Field f in contract) { sb.Append(f.Value); sb.Append(fieldSeparator); } // print the content of string builder into console Console.WriteLine(sb.ToString()); } } } public class FilePortfolioVisitor : PortfolioVisitor { public override void Visit(Portfolio portfolio) { // extract filePathName for a given portfolio from configuration table string fieldSeparator = Configurations.Get(portfolio.ID, "fieldseparator"); List<string> resultDataFilePathNames = Configurations.Get(portfolio.ID, "resultdatafilepathname").Split(Convert.ToChar(fieldSeparator)).ToList(); List<string> portfolioIDs = Configurations.Get(portfolio.ID, "portfolioid").Split(Convert.ToChar(fieldSeparator)).ToList(); string resultDataFilePathName = null; for (int i = 0; i < portfolioIDs.Count; i++) { if(portfolioIDs[i] == portfolio.ID) { resultDataFilePathName = resultDataFilePathNames[i]; break; } } List<string> fileOutputList = new List<string>(); StringBuilder sb = new StringBuilder(); // foreach (Contract contract in portfolio) { // add all fields into string builder object foreach (Field f in contract) { sb.Append(f.Value); sb.Append(fieldSeparator); } // add constructed string into output list and clear string builder fileOutputList.Add(sb.ToString()); sb.Clear(); } // print the content of output list into file TextFileHandler.Write(resultDataFilePathName, fileOutputList, false); } } } // // // file : PortfolioConfiguration.cs using System; using System.Collections.Generic; using System.Linq; using System.Text; using System.Threading.Tasks; namespace PortfolioValuation { public class PortfolioConfiguration { // private member data public readonly string ID; private Dictionary<string, string> configurationTable = new Dictionary<string, string>(); // public PortfolioConfiguration(string ID) { this.ID = ID; } // add key-value pair public void Add(string key, string value) { // decision : configuration table cannot contain two identical keys if (configurationTable.ContainsKey(key)) throw new Exception("configuration table : duplicate key error"); configurationTable.Add(key, value); } // get value for a given key public string Get(string key) { // decision : value for a given key cannot be returnde if it does not exist if (!configurationTable.ContainsKey(key)) throw new Exception("configuration table : invalid key error"); return configurationTable[key]; } // clear all key-value pairs public void Clear() { // clear all configurations configurationTable.Clear(); } } } // // // file : Portfolio.cs using System; using System.Collections.Generic; using System.Collections; using System.Linq; using System.Text; using System.Threading.Tasks; namespace PortfolioValuation { public class Portfolio : IEnumerable<Contract> { // private member data public readonly string ID; private List<Contract> contracts; // // ctor public Portfolio(string ID) { this.ID = ID; contracts = new List<Contract>(); } // add one contract into list of contracts public void AddContract(Contract contract) { // decision : portfolio cannot contain two identical contracts if(contracts.Exists(it => it.Isin == contract.Isin)) throw new Exception("portfolio : duplicate contract error"); contracts.Add(contract); } // update existing contract in list of contracts public void UpdateContract(string isin, Field field) { // contract cannot be updated if it does not exist if (!contracts.Exists(it => it.Isin == isin)) throw new Exception("portfolio : update contract error"); // for (int i = 0; i < contracts.Count; i++) { if (contracts[i].Isin == isin) { contracts[i].AddField(field); break; } } } // implementation for generic IEnumerable public IEnumerator<Contract> GetEnumerator() { foreach (Contract contract in contracts) { yield return contract; } } // implementation for non-generic IEnumerable IEnumerator IEnumerable.GetEnumerator() { return GetEnumerator(); } // implementation method for visitor pattern public void AcceptVisitor(PortfolioVisitor visitor) { // send this-object (portfolio) for visitor implementation visitor.Visit(this); } } } // // // file : PortfolioOutputVisitorFactory.cs using System; using System.Collections.Generic; using System.Linq; using System.Text; using System.Threading.Tasks; namespace PortfolioValuation { public class PortfolioOutputVisitorFactory { // create output visitor public PortfolioVisitor CreatePortfolioOutputVisitor(string visitorType) { // HARD-CODED selection of output visitors // add new visitor type into switch branch and write // implementation into visitor class hierarchy PortfolioVisitor visitor = null; switch (visitorType) { case "console": visitor = new ConsolePortfolioVisitor(); break; case "file": visitor = new FilePortfolioVisitor(); break; default: throw new Exception("factory : undefined visitor error"); } return visitor; } } } // // // file : Field.cs using System; using System.Collections.Generic; using System.Linq; using System.Text; using System.Threading.Tasks; namespace PortfolioValuation { public class Field { // private data and read-only accessors private KeyValuePair<string, dynamic> kvp; public string Key { get { return kvp.Key; } } public dynamic Value { get { return kvp.Value; } } // // ctor public Field(string key, dynamic value) { kvp = new KeyValuePair<string, dynamic>(key, value); } } } // // // file : Contract.cs using System; using System.Collections.Generic; using System.Collections; using System.Linq; using System.Text; using System.Threading.Tasks; namespace PortfolioValuation { public class Contract : IEnumerable<Field> { // private data and read-only accessor private string isin; private List<Field> fields; public string Isin { get { return isin; } } // // ctor public Contract(string isin) { this.isin = isin; fields = new List<Field>(); } // add one field into list of fields public void AddField(Field field) { // decision : contract cannot contain two identical fields if (fields.Exists(it => it.Key == field.Key)) throw new Exception("contract : duplicate field error"); fields.Add(field); } // implementation for generic IEnumerable public IEnumerator<Field> GetEnumerator() { foreach (Field field in fields) { yield return field; } } // implementation for non-generic IEnumerable IEnumerator IEnumerable.GetEnumerator() { return GetEnumerator(); } } } // // // file : Configurations.cs using System; using System.Collections.Generic; using System.Linq; using System.Text; using System.Threading.Tasks; namespace PortfolioValuation { // static wrapper class for all configurations public static class Configurations { // static members and accessors private static int n; public static int N { get { return Configurations.n; } } private static List<Configuration> tables = null; // // ctor public static void Build(ConfigurationBuilder builder) { tables = builder.Build(); n = tables.Count; } public static string Get(string ID, string key) { string value = null; foreach (Configuration table in tables) { if (table.ID == ID) { value = table.Get(key); break; } } return value; } public static Configuration Get(int index) { return tables[index]; } } } // // // file : ConfigurationBuilder.cs using System; using System.Collections.Generic; using System.Linq; using System.Text; using System.Threading.Tasks; using System.Xml; using System.Xml.Linq; using System.IO; using System.Configuration; namespace PortfolioValuation { // class hierarchy for configuration builder public abstract class ConfigurationBuilder { public abstract List<Configuration> Build(); } public class XMLConfigurationBuilder : ConfigurationBuilder { private string folderPath; private List<Configuration> configurations; public XMLConfigurationBuilder() { // read path to source folder containing configurations for all portfolios directly from system configuration file this.folderPath = ConfigurationManager.AppSettings["PortfolioConfigurationsFolder"].ToString(); configurations = new List<Configuration>(); } public override List<Configuration> Build() { foreach (string filePathName in Directory.GetFiles(folderPath)) { XDocument database = XDocument.Load(filePathName); Dictionary<string, string> pairs = database.Descendants("configuration") .Elements().ToDictionary(r => r.Attribute("key").Value.ToString(), r => r.Attribute("value").Value.ToString()); configurations.Add(new Configuration(pairs["portfolioid"], pairs)); } return configurations; } } } // // // file : Configuration.cs using System; using System.Collections.Generic; using System.Linq; using System.Text; using System.Threading.Tasks; namespace PortfolioValuation { public class Configuration { public readonly string ID; private Dictionary<string, string> pairs; // // ctor public Configuration(string ID, Dictionary<string, string> pairs) { this.ID = ID; this.pairs = pairs; } // accessor method public string Get(string key) { // decision : value for a given key cannot be returned if it does not exist if (!pairs.ContainsKey(key)) throw new Exception("configuration : invalid key error"); return this.pairs[key]; } } } // // // file : BBCOMMWrapper.cs using System; using System.Collections.Generic; using System.Linq; using System.Text; using System.Threading.Tasks; using BBCOMM = Bloomberglp.Blpapi; namespace PortfolioValuation { // enumerators for historical data request settings public enum E_PRICING_OPTION { PRICING_OPTION_PRICE, PRICING_OPTION_YIELD }; public enum E_PERIODICITY_ADJUSTMENT { ACTUAL, CALENDAR, FISCAL }; public enum E_PERIODICITY_SELECTION { DAILY, WEEKLY, MONTHLY, QUARTERLY, SEMI_ANNUALLY, YEARLY }; public enum E_NON_TRADING_DAY_FILL_OPTION { NON_TRADING_WEEKDAYS, ALL_CALENDAR_DAYS, ACTIVE_DAYS_ONLY }; public enum E_NON_TRADING_DAY_FILL_METHOD { PREVIOUS_VALUE, NIL_VALUE }; // // abstract base class for data request public abstract class BBCOMMDataRequest { // BBCOMM names protected readonly BBCOMM.Name SECURITY_DATA = new BBCOMM.Name("securityData"); protected readonly BBCOMM.Name FIELD_DATA = new BBCOMM.Name("fieldData"); protected readonly BBCOMM.Name FIELD_ID = new BBCOMM.Name("fieldId"); protected readonly BBCOMM.Name VALUE = new BBCOMM.Name("value"); protected readonly BBCOMM.Name OVERRIDES = new BBCOMM.Name("overrides"); protected readonly BBCOMM.Name SECURITIES = new BBCOMM.Name("securities"); protected readonly BBCOMM.Name FIELDS = new BBCOMM.Name("fields"); protected readonly BBCOMM.Name SEQUENCE_NUMBER = new BBCOMM.Name("sequenceNumber"); protected readonly BBCOMM.Name START_DATE = new BBCOMM.Name("startDate"); protected readonly BBCOMM.Name END_DATE = new BBCOMM.Name("endDate"); protected readonly BBCOMM.Name DATE = new BBCOMM.Name("date"); protected readonly BBCOMM.Name PRICING_OPTION = new BBCOMM.Name("pricingOption"); protected readonly BBCOMM.Name PERIODICITY_ADJUSTMENT = new BBCOMM.Name("periodicityAdjustment"); protected readonly BBCOMM.Name PERIODICITY_SELECTION = new BBCOMM.Name("periodicitySelection"); protected readonly BBCOMM.Name NON_TRADING_DAY_FILL_OPTION = new BBCOMM.Name("nonTradingDayFillOption"); protected readonly BBCOMM.Name NON_TRADING_DAY_FILL_METHOD = new BBCOMM.Name("nonTradingDayFillMethod"); protected readonly BBCOMM.Name OVERRIDE_CURRENCY = new BBCOMM.Name("currency"); // // const strings, enumerators, etc. protected readonly string NOT_AVAILABLE = "#N/A"; protected readonly string SESSION_EXCEPTION = "Session not started"; protected readonly string SERVICE_EXCEPTION = "Service not opened"; protected readonly string REQUEST_TYPE_REFERENCE = "ReferenceDataRequest"; protected readonly string REQUEST_TYPE_HISTORICAL = "HistoricalDataRequest"; protected readonly string REFERENCE_DATA_SERVICE = "//blp/refdata"; protected readonly string BLOOMBERG_DATE_FORMAT = "yyyyMMdd"; protected E_PRICING_OPTION pricingOption; protected E_PERIODICITY_ADJUSTMENT periodicityAdjustment; protected E_PERIODICITY_SELECTION periodicitySelection; protected E_NON_TRADING_DAY_FILL_OPTION nonTradingDayFillOption; protected E_NON_TRADING_DAY_FILL_METHOD nonTradingDayFillMethod; protected string requestType; protected string startDate; protected string endDate; protected string overrideCurrency; // // wrapped BBCOMM objects protected BBCOMM.Session session; protected BBCOMM.Service service; protected BBCOMM.Request request; // // input data structures protected List<string> securityNames = new List<string>(); protected List<string> fieldNames = new List<string>(); protected List<string> overrideFields = new List<string>(); protected List<string> overrideValues = new List<string>(); // // output result data structure protected dynamic[, ,] result; // public dynamic[, ,] ProcessData() { Open(); CreateRequest(); SendRequest(); Close(); return result; } private void Open() { // create and start bloomberg BBCOMM session BBCOMM.SessionOptions sessionOptions = new BBCOMM.SessionOptions(); session = new BBCOMM.Session(sessionOptions); if (!session.Start()) throw new Exception(SESSION_EXCEPTION); // // get service from session object and create request by service object if (!session.OpenService(REFERENCE_DATA_SERVICE)) throw new Exception(SERVICE_EXCEPTION); service = session.GetService(REFERENCE_DATA_SERVICE); request = service.CreateRequest(requestType); } private void CreateRequest() { // append securities, fields foreach (string securityName in securityNames) request.Append(SECURITIES, securityName); foreach (string fieldName in fieldNames) request.Append(FIELDS, fieldName); // // conditionally, append overrides into request object if (overrideFields.Count > 0) { BBCOMM.Element requestOverrides = request.GetElement(OVERRIDES); for (int i = 0; i < overrideFields.Count; i++) { BBCOMM.Element requestOverride = requestOverrides.AppendElement(); requestOverride.SetElement(FIELD_ID, overrideFields[i]); requestOverride.SetElement(VALUE, overrideValues[i]); } } // set optional parameters for historical data request if (requestType == REQUEST_TYPE_HISTORICAL) { request.Set(START_DATE, startDate); request.Set(END_DATE, endDate); request.Set(PRICING_OPTION, pricingOption.ToString()); request.Set(PERIODICITY_ADJUSTMENT, periodicityAdjustment.ToString()); request.Set(PERIODICITY_SELECTION, periodicitySelection.ToString()); request.Set(NON_TRADING_DAY_FILL_OPTION, nonTradingDayFillOption.ToString()); request.Set(NON_TRADING_DAY_FILL_METHOD, nonTradingDayFillMethod.ToString()); if (overrideCurrency != String.Empty) request.Set(OVERRIDE_CURRENCY, overrideCurrency); } } private void SendRequest() { // send constructed request to BBCOMM server long ID = Guid.NewGuid().GetHashCode(); session.SendRequest(request, new BBCOMM.CorrelationID(ID)); bool isProcessing = true; // while (isProcessing) { // receive data response from BBCOMM server, send // response to be processed by sub-classed algorithm BBCOMM.Event response = session.NextEvent(); switch (response.Type) { case BBCOMM.Event.EventType.PARTIAL_RESPONSE: ProcessDataResponse(ref response); break; case BBCOMM.Event.EventType.RESPONSE: ProcessDataResponse(ref response); isProcessing = false; break; default: break; } } } private void Close() { // close BBCOMM session if (session != null) session.Stop(); } // // sub-classes are providing specific algorithm implementations for // processing and packing BBCOMM server response data into resulting data structure protected abstract void ProcessDataResponse(ref BBCOMM.Event response); } // // concrete class implementation for processing reference data request public class ReferenceDataRequest : BBCOMMDataRequest { public ReferenceDataRequest(List<string> bloombergSecurityNames, List<string> bloombergFieldNames) { // ctor : create reference data request without field overrides requestType = REQUEST_TYPE_REFERENCE; securityNames = bloombergSecurityNames; fieldNames = bloombergFieldNames; // // define result data structure dimensions for reference data request result = new dynamic[securityNames.Count, 1, fieldNames.Count]; } public ReferenceDataRequest(List<string> bloombergSecurityNames, List<string> bloombergFieldNames, List<string> bloombergOverrideFields, List<string> bloombergOverrideValues) { // ctor : create reference data request with field overrides requestType = REQUEST_TYPE_REFERENCE; securityNames = bloombergSecurityNames; fieldNames = bloombergFieldNames; overrideFields = bloombergOverrideFields; overrideValues = bloombergOverrideValues; // // define result data structure dimensions for reference data request result = new dynamic[securityNames.Count, 1, fieldNames.Count]; } protected override void ProcessDataResponse(ref BBCOMM.Event response) { // receive response, which contains N securities and M fields // event queue can send multiple responses for large requests foreach (BBCOMM.Message message in response.GetMessages()) { // extract N securities BBCOMM.Element securities = message.GetElement(SECURITY_DATA); int nSecurities = securities.NumValues; // // loop through all securities for (int i = 0; i < nSecurities; i++) { // extract one security and fields for this security BBCOMM.Element security = securities.GetValueAsElement(i); BBCOMM.Element fields = security.GetElement(FIELD_DATA); int sequenceNumber = security.GetElementAsInt32(SEQUENCE_NUMBER); int nFieldNames = fieldNames.Count; // // loop through all M fields for this security for (int j = 0; j < nFieldNames; j++) { // if the requested field has been found, pack value into result data structure if (fields.HasElement(fieldNames[j])) { result[sequenceNumber, 0, j] = fields.GetElement(fieldNames[j]).GetValue(); } // otherwise, pack NOT_AVAILABLE string into data structure else { result[sequenceNumber, 0, j] = NOT_AVAILABLE; } } } } } } // // concrete class implementation for processing historical data request public class HistoricalDataRequest : BBCOMMDataRequest { private bool hasDimensions = false; // // optional parameters are configured to retrieve time-series having actual daily observations, including all weekdays, // in the case of non-trading days the previous date value will be used. public HistoricalDataRequest(List<string> bloombergSecurityNames, List<string> bloombergFieldNames, DateTime bloombergStartDate, DateTime BloombergEndDate, E_PRICING_OPTION bloombergPricingOption = E_PRICING_OPTION.PRICING_OPTION_PRICE, E_PERIODICITY_SELECTION bloombergPeriodicitySelection = E_PERIODICITY_SELECTION.DAILY, E_PERIODICITY_ADJUSTMENT bloombergPeriodicityAdjustment = E_PERIODICITY_ADJUSTMENT.ACTUAL, E_NON_TRADING_DAY_FILL_OPTION bloombergNonTradingDayFillOption = E_NON_TRADING_DAY_FILL_OPTION.ALL_CALENDAR_DAYS, E_NON_TRADING_DAY_FILL_METHOD bloombergNonTradingDayFillMethod = E_NON_TRADING_DAY_FILL_METHOD.PREVIOUS_VALUE, string bloombergOverrideCurrency = "") { // ctor : create historical data request without field overrides requestType = REQUEST_TYPE_HISTORICAL; securityNames = bloombergSecurityNames; fieldNames = bloombergFieldNames; startDate = bloombergStartDate.ToString(BLOOMBERG_DATE_FORMAT); endDate = BloombergEndDate.ToString(BLOOMBERG_DATE_FORMAT); // pricingOption = bloombergPricingOption; periodicitySelection = bloombergPeriodicitySelection; periodicityAdjustment = bloombergPeriodicityAdjustment; nonTradingDayFillOption = bloombergNonTradingDayFillOption; nonTradingDayFillMethod = bloombergNonTradingDayFillMethod; overrideCurrency = bloombergOverrideCurrency; } public HistoricalDataRequest(List<string> bloombergSecurityNames, List<string> bloombergFieldNames, DateTime bloombergStartDate, DateTime BloombergEndDate, List<string> bloombergOverrideFields, List<string> bloombergOverrideValues, E_PRICING_OPTION bloombergPricingOption = E_PRICING_OPTION.PRICING_OPTION_PRICE, E_PERIODICITY_SELECTION bloombergPeriodicitySelection = E_PERIODICITY_SELECTION.DAILY, E_PERIODICITY_ADJUSTMENT bloombergPeriodicityAdjustment = E_PERIODICITY_ADJUSTMENT.ACTUAL, E_NON_TRADING_DAY_FILL_OPTION bloombergNonTradingDayFillOption = E_NON_TRADING_DAY_FILL_OPTION.ALL_CALENDAR_DAYS, E_NON_TRADING_DAY_FILL_METHOD bloombergNonTradingDayFillMethod = E_NON_TRADING_DAY_FILL_METHOD.PREVIOUS_VALUE, string bloombergOverrideCurrency = "") { // ctor : create historical data request with field overrides requestType = REQUEST_TYPE_HISTORICAL; securityNames = bloombergSecurityNames; fieldNames = bloombergFieldNames; overrideFields = bloombergOverrideFields; overrideValues = bloombergOverrideValues; startDate = bloombergStartDate.ToString(BLOOMBERG_DATE_FORMAT); endDate = BloombergEndDate.ToString(BLOOMBERG_DATE_FORMAT); // pricingOption = bloombergPricingOption; periodicitySelection = bloombergPeriodicitySelection; periodicityAdjustment = bloombergPeriodicityAdjustment; nonTradingDayFillOption = bloombergNonTradingDayFillOption; nonTradingDayFillMethod = bloombergNonTradingDayFillMethod; overrideCurrency = bloombergOverrideCurrency; } protected override void ProcessDataResponse(ref BBCOMM.Event response) { // unzip and pack messages received from BBCOMM server // receive one security per message and multiple messages per event foreach (BBCOMM.Message message in response.GetMessages()) { // extract security and fields BBCOMM.Element security = message.GetElement(SECURITY_DATA); BBCOMM.Element fields = security.GetElement(FIELD_DATA); // int sequenceNumber = security.GetElementAsInt32(SEQUENCE_NUMBER); int nFieldNames = fieldNames.Count; int nObservationDates = fields.NumValues; // // the exact dimension will be known only, when the response has been received from BBCOMM server if (!hasDimensions) { // define result data structure dimensions for historical data request // observation date will be stored into first field for each observation date result = new dynamic[securityNames.Count, nObservationDates, fieldNames.Count + 1]; hasDimensions = true; } // // loop through all observation dates for (int i = 0; i < nObservationDates; i++) { // extract all field data for a single observation date BBCOMM.Element observationDateFields = fields.GetValueAsElement(i); // // pack observation date into data structure result[sequenceNumber, i, 0] = observationDateFields.GetElementAsDatetime(DATE); // // then, loop through all 'user-requested' fields for a given observation date // and pack results data into data structure for (int j = 0; j < nFieldNames; j++) { // pack field value into data structure if such value has been found if (observationDateFields.HasElement(fieldNames[j])) { result[sequenceNumber, i, j + 1] = observationDateFields.GetElement(fieldNames[j]).GetValue(); } // otherwise, pack NOT_AVAILABLE string into data structure else { result[sequenceNumber, i, j + 1] = NOT_AVAILABLE; } } } } } } }
AFTERTHOUGHTS
Stripped from all of its superficial complexities, this example program is actually nothing more, but very standard INPUT DATA - PROCESS DATA - OUTPUT RESULTS scheme. However, by implementing some useful Design Patterns (Builder, Factory method, Visitor), we are now having a lot of flexibility and configurability in this program. Getting results file with all requested fields from Bloomberg, for any new portfolio (for a list of Bloomberg Swap Manager transactions stored in a file) is just a matter of creating a new configuration file into existing repository folder.One small disappointing issue is the manual administration tasks of hosting that list of transactions which are stored in Bloomberg Swap Manager. So far, I have not been able to find a way to request those transactions directly from Bloomberg. However, Bloomberg has recently been releasing its Swaps Toolkit for Excel, which (according to our Bloomberg account manager) has also programming interface. I might get some new ideas for handling swaps books, as soon as I am familiar enough with the product.
UML class diagram has been created with the online tool called YUML. It is completely free, easy to use, the most flexible and the coolest UML tool what I have been using so far, so check it out. And thanks again for spending your precious time here and reading my blog.
-Mike