Libor - Wealth Lab Forum

gregg

#1

3/3/2009 11:54 AM

Is it possible to graph Libor in WL5?

Eugene

#2

3/3/2009 12:15 PM

Yes, using PlotSeries.

Eugene

#3

3/3/2009 12:58 PM

Just for kicks:

CODE:
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Just for kicks:

[CODE]using System;
using System.Globalization;
using System.Net;
using System.IO;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class Libor3M : WealthScript
	{
			
		protected override void Execute()
		{
			/* Location of the yeraly Libor 3M data, 1986-now */
			Bars libor3m = new Bars( "Libor", BarScale.Yearly, 1 );
			IFormatProvider format = new CultureInfo("en-US");
			string URI = @"http://sdw.ecb.europa.eu/quickviewexport.do;?SERIES_KEY=143.FM.A.GB.USD.RT.MM.USD3MFSR_.HSTA&type=csv";
			
			if ( GetGlobal("onDemand")  == null )
			{
				/* Download the file and split into lines */
				WebClient client = new WebClient();
				string text = client.DownloadString(URI);
				string[] lines = text.Split(new string[] { "\n" }, StringSplitOptions.RemoveEmptyEntries);

/* Parse the Libor data starting from line 7 */
				for ( int i = lines.Length-3; i >= 3; i-- )
				{
					try
					{
						string[] t = lines[i].Split(',');
						DateTime d = DateTime.ParseExact( t[0], new string[] { "yyyy" }, format, DateTimeStyles.None );
						double libor = Convert.ToDouble( t[1], format );
						libor3m.Add( d,libor,libor,libor,libor,1 );
					}
					catch
					{
						PrintDebug( lines[i] );
					}
				}
				SetGlobal( "onDemand", libor3m );
			} 
			
			libor3m = Synchronize( (Bars)GetGlobal("onDemand") ); libor3m.Close.Description = "LIBOR 3m 1yr";
			ChartPane liborPane = CreatePane( 30, true, true );
			PlotSeries( liborPane, libor3m.Close, Color.Blue, WealthLab.LineStyle.Solid, 2 );
		}
	}
}[/CODE]

gregg

#4

3/3/2009 1:08 PM

Yearly doesn't do much :(
... I was am going to try to find a free source for daily data and try to do the same.

Eugene

#5

3/3/2009 5:13 PM

Here you go -- getting the daily Libor rate from an XML-based database somewhere on the web:

CODE:
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Here you go -- getting the daily Libor rate from an XML-based database somewhere on the web:

[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

using System.IO;
using System.Xml;
using System.Globalization;

namespace WealthLab.Strategies
{	
	public class ReverseXmlList : XmlNodeList 
	{
		private readonly XmlNodeList _source;
		public ReverseXmlList(XmlNodeList source)
		{
			_source = source;
		}
		public override XmlNode Item(int index)
		{
			return _source.Item(Count - (index + 1));
		}
		public override System.Collections.IEnumerator GetEnumerator()
		{
			for (int i = Count - 1; i >= 0; i--)
			{
				yield return _source.Item(i);
			}
		}
		public override int Count
		{
			get { return _source.Count; }
		}
	}
	
	public class MyStrategy : WealthScript
	{
		protected override void Execute()
		{
			Bars libor = new Bars( "Monthly Libor", BarScale.Daily, 0 );
			IFormatProvider format = new CultureInfo("en-US");

// Specify start and end date in PRECISELY this data format: M/d/yyyy
			string beginDate = "3/3/2008";
			string endDate = "3/3/2009";

// Location of the LIBOR rate XML data
			string localURL = @"http://www.xignite.com/xRates.asmx/GetHistoricalRates?" +
				"FromDate=" + beginDate + "&ToDate=" + endDate + "&RateType=Libor1Month&PeriodType=Daily";

// Don't download if already present in global memory
			if ( GetGlobal("onDemand")  == null )
			{
				// Download the file and read it
				XmlDocument doc = new XmlDocument();
				doc.Load(localURL);
 
				/* Unfortunately, the order of dates in the XML file is reversed - from end to beginning.
				We'll have trouble sync'ing this data, that's why the need to REVERSE the XMLNodeList ! */
				
				XmlNodeList rateList = doc.GetElementsByTagName("Rate");
				XmlNodeList reverse = new ReverseXmlList(rateList);

// Parse XML element by element
				foreach (XmlNode rate in reverse)
				{
					XmlElement rateElement = (XmlElement) rate;
 
					// Get date and value of the Libor rate
					string date = rateElement.GetElementsByTagName("Date")[0].InnerText;
					string val = rateElement.GetElementsByTagName("Value")[0].InnerText;
					
					// Add a new bar
					try
					{
						DateTime d = new DateTime(); double r = 0;
						d = DateTime.ParseExact( date, new string[] { "M/d/yyyy" }, format, DateTimeStyles.None );
						r = Convert.ToDouble( val, format );
						libor.Add( d,r,r,r,r,1 );
					}
					catch
					{
						PrintDebug( "date: " + date + "; rate: " + val );
					}
				}

// Put the Bars object in Wealth-Lab's global memory for later
				SetGlobal( "onDemand", libor );
			} 
			
			// Fetch Libor from GOP and synchronize
			libor = Synchronize( (Bars)GetGlobal("onDemand") );
			
			// Plot it!
			ChartPane liborPane = CreatePane( 30, true, true );
			libor.Close.Description = "LIBOR 1y Daily";
			PlotSeries( liborPane, libor.Close, Color.Blue, WealthLab.LineStyle.Solid, 2 );

}
	}
}[/CODE]

Eugene

#6

3/4/2009 1:01 AM

Don't forget to add a reference to System.Xml in the Editor's Reference dialog.

Eugene

#7

3/4/2009 3:59 AM

In addition, notice that in both examples the received data is packed right into a Bars object - and not DataSeries - despite that it might seem logical at first because all we have is just a single data series. However, WL5 has a couple of helpful methods Bars.SaveToFile and Bars.LoadFromFile (QuickRef for more details and examples) which can be used to store the data physically instead of having to deal with global memory each time.

gregg

#8

3/6/2009 9:01 AM

Interesting stuff about the Bars.SaveToFile and Bars.LoadFromFile methods...

BTW great job with WL5...Switching to C# made WL vastly more powerful.

sprimo

#9

8/27/2009 8:05 AM

I know this is way after this was posted, but how would you run this. I have it loaded in my editor but would you put anything in the symbol to run it? is it handled like a strategy? if anyone is using this let me know. thanks

Eugene

#10

8/27/2009 8:54 AM

Take a look at "How to Run Example Code" in the WealthScript Programming Guide.

sprimo

#11

8/28/2009 7:52 AM

I was able to get the code loaded into the editor as the "how to run example code" states. I just cant get it to display or do anything. I was hoping to see a rate graph plotted out showing libor rates. the question I had was how do you run it. without a symbol to put in there is nothing to "run the strategy" with unless I am completely looking at how to use this incorrectly which is probably the case.

Eugene

#12

8/28/2009 8:07 AM

Step in on any symbol for which you have the data, then click 'Run the strategy' in the Editor.

sprimo

#13

8/28/2009 8:53 AM

Eugene,

I get a runtime error when I try to run it. heres the error list. had to hand copy it into notepad. think I got it all correct. Thanks

Runtime error: index was out of range. must be non-negative and less than the size of the collection
at WealthLab.Strategies.MyStrategy.Execute()
at WealthLab.WealthScript.Synchronize(Bars source)
at WealthLab.BarscaleConverter.Synchronize(Bars source, Bars bars)
at System.Collections.ObjectModel.ReadOnlyCollection`1.System.Collections.Generic.IList<T>.get_Item(Int32 index)
at System.Collections.Generic.List`1.get_item(int32 index)
at System.ThrowHelper.ThrowArgumentOutOfRangeException()
at System.ThrowHelper.ThrowArgumentOutOfRangeException(ExceptionArgument argument,ExceptionResource resource)

Eugene

#14

8/28/2009 9:13 AM

Thank you. I'm afraid that Xignite - the site queried by the code above - turned into a paid subscription solution.

When I tried to visit the URI above, this was the server's response:

CODE:
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sprimo

#15

8/28/2009 9:33 AM

oh well thanks for the time checking into it. its encouraging to see the level of expertise yourself and cone have on this forum. gives some hope to us floundering newbies that a certain level of knowledge can be achieved. thanks again.