Entries by lessCode (33)


Never Underestimate the Awesomeness of .NET Reflector

I'm sure that anyone who's spent a significant amount of time developing .NET applications is well aware of .NET Reflector - a static analysis tool originally developed by Lutz Roeder, but now owned by Red Gate Software. I think that by now Reflector is so widely used and so fundamentally useful that we tend to take it for granted. A recent "Subversion malfunction", however, has renewed my appreciation for Reflector.

About six months ago I had thrown together a Visual Studio debugger visualizer for one of our more complicated domain objects. Not a great deal of code; about seven or eight classes, with a WPF (ElementHost-ed) view, view model and some serialization plumbing. I guess I had got it working, used it a couple of times for a specific debugging session, and then promptly forgot all about it and moved back onto deliverable features.

At some point since then, I think I may have been overly-aggressive in the use of my hand-rolled Powershell Cmdlet "Remove-SvnUncontrolled" on that working copy, because this week I found a need for that debugger visualizer again, and could not find the source code anywhere on my hard drive. However, I did have the old compiled assembly of the visualizer in my C:\Program Files (x86)\Microsoft Visual Studio 9.0\Common7\Packages\Debugger\Visualizers folder, and opened it up in Reflector.

I had thought that maybe, at best, Reflector would be able to give me the gist of the code, and I could re-write the thing in about half a day's work. In fact, I was able to literally copy-paste entire classes from Reflector into a new project, add a couple of missing metadata attributes, add assembly references, and get the visualizer compiling again. The only things missing were the icons and the XAML markup of the view (which is, of course, the entire view if you’re doing MVVM properly). I figured I’d just have to craft that again from first principles.

Then, I remembered that Reflector can give you the resources from the compiled assembly, too, and that the XAML is just compiled to BAML and stored as an embedded resource.

Then, I found this cool Reflector addin, which decompiles the BAML resource back to usable XAML.

All in all, I resurrected my lost visualizer project in under thirty minutes.


Silverlight Downfall

The "Hitler Reacts..." meme has been making the rounds for a while now, but this one I can really identify with:



Discount/Zero Curve Construction in F# – Update

For convenience of copy-paste and experimentation, I’ve posted a full working snippet (if that’s the right word – it’s over 400 lines!) of the discount curve bootstrapper to the excellent fssnip.net site.

open System.Text.RegularExpressions

type Date = System.DateTime
let date d = System.DateTime.Parse(d)

type Period = { startDate:Date; endDate:Date }
type Calendar = { weekendDays:System.DayOfWeek Set; holidays:Date Set }
type Tenor = { years:int; months:int; days:int }

let tenor t =
    let regex s = new Regex(s)
    let pattern = regex ("(?<weeks>[0-9]+)W" + 
                            "|(?<years>[0-9]+)Y(?<months>[0-9]+)M(?<days>[0-9]+)D" +
                            "|(?<years>[0-9]+)Y(?<months>[0-9]+)M" + 
                            "|(?<months>[0-9]+)M(?<days>[0-9]+)D" +
                            "|(?<years>[0-9]+)Y" +
                            "|(?<months>[0-9]+)M" +
    let m = pattern.Match(t)
    if m.Success then
            { new Tenor with 
                years = (if m.Groups.["years"].Success 
                         then int m.Groups.["years"].Value 
                         else 0)
                and months = (if m.Groups.["months"].Success 
                              then int m.Groups.["months"].Value 
                              else 0) 
                and days = (if m.Groups.["days"].Success 
                            then int m.Groups.["days"].Value 
                            else if m.Groups.["weeks"].Success 
                                 then int m.Groups.["weeks"].Value * 7 
                                 else 0) }
        failwith "Invalid tenor format. Valid formats include 1Y 3M 7D 2W 1Y6M, etc"

let offset tenor (date:Date) = 
    date.AddDays(float tenor.days)

let findNthWeekDay n weekDay (date:Date) =
    let mutable d = new Date(date.Year, date.Month, 1)
    while d.DayOfWeek <> weekDay do d <- d.AddDays(1.0)
    for i = 1 to n - 1 do d <- d.AddDays(7.0)
    if d.Month = date.Month then
        failwith "No such day"

// Assume ACT/360 day count convention
let Actual360 period = double (period.endDate - period.startDate).Days / 360.0

let rec schedule frequency period =
    seq {
        yield period.startDate
        let next = frequency period.startDate
        if (next <= period.endDate) then
            yield! schedule frequency { startDate = next; endDate = period.endDate }
let semiAnnual (from:Date) = from.AddMonths(6)

let isBusinessDay (date:Date) calendar = 
    not (calendar.weekendDays.Contains date.DayOfWeek || calendar.holidays.Contains date)

type RollRule =
    | Actual = 0
    | Following = 1
    | Previous = 2
    | ModifiedFollowing = 3
    | ModifiedPrevious = 4

let dayAfter (date:Date) = date.AddDays(1.0)
let dayBefore (date:Date) = date.AddDays(-1.0)

let deriv f x =
    let dx = (x + max (1e-6 * x) 1e-12)
    let fv = f x
    let dfv = f dx
    if (dx <= x) then
        (dfv - fv) / 1e-12
        (dfv - fv) / (dx - x)

// Newton's method with separate functions for f and df
let newton f (guess:double) = 
    guess - f guess / deriv f guess

// Simple recursive solver for Newton's method with separate functions for f and df, to a given accuracy
let rec solveNewton f accuracy guess =
    let root = (newton f guess)
    if abs(root - guess) < accuracy then root else solveNewton f accuracy root

// Assume Log-Linear interpolation
let logarithmic (sampleDate:Date) highDp lowDp = 
    let (lowDate:Date), lowFactor = lowDp
    let (highDate:Date), highFactor = highDp
    lowFactor * 
        ((highFactor / lowFactor) ** 
            (double (sampleDate - lowDate).Days / double (highDate - lowDate).Days))

let rec roll rule calendar date =
    if isBusinessDay date calendar then
        match rule with
        | RollRule.Actual -> date
        | RollRule.Following -> dayAfter date |> roll rule calendar
        | RollRule.Previous -> dayBefore date |> roll rule calendar
        | RollRule.ModifiedFollowing ->
            let next = roll RollRule.Following calendar date
            if next.Month <> date.Month then
                roll RollRule.Previous calendar date
        | RollRule.ModifiedPrevious ->
            let prev = roll RollRule.Previous calendar date
            if prev.Month <> date.Month then
                roll RollRule.Following calendar date
        | _ -> failwith "Invalid RollRule"

let rec rollBy n rule calendar (date:Date) =
    match n with
    | 0 -> date
    | x -> 
        match rule with
        | RollRule.Actual -> date.AddDays(float x)

        | RollRule.Following -> dayAfter date
                                |> roll rule calendar
                                |> rollBy (x - 1) rule calendar

        | RollRule.Previous -> roll rule calendar date
                                |> dayBefore
                                |> roll rule calendar
                                |> rollBy (x - 1) rule calendar

        | RollRule.ModifiedFollowing -> 
            // Roll n-1 days Following
            let next = rollBy (x - 1) RollRule.Following calendar date
            // Roll the last day ModifiedFollowing
            let final = roll RollRule.Following calendar (dayAfter next)
            if final.Month <> next.Month then
                roll RollRule.Previous calendar next

        | RollRule.ModifiedPrevious -> 
            // Roll n-1 days Previous
            let next = rollBy (x - 1) RollRule.Previous calendar date
            // Roll the last day ModifiedPrevious
            let final = roll RollRule.Previous calendar (dayAfter next)
            if final.Month <> next.Month then
                roll RollRule.Following calendar next

        | _ -> failwith "Invalid RollRule"

let rec findDf interpolate sampleDate =
        // exact match
        (dpDate:Date, dpFactor:double) :: tail when dpDate = sampleDate
        -> dpFactor
        // falls between two points - interpolate    
        | (highDate:Date, highFactor:double) :: (lowDate:Date, lowFactor:double) :: tail 
            when lowDate < sampleDate && sampleDate < highDate
        -> interpolate sampleDate (highDate, highFactor) (lowDate, lowFactor)
        // recurse      
        | head :: tail -> findDf interpolate sampleDate tail
        // falls outside the curve
        | [] -> failwith "Outside the bounds of the discount curve"

let findPeriodDf period discountCurve = 
    let payDf = findDf logarithmic period.endDate discountCurve
    let valueDf = findDf logarithmic period.startDate discountCurve
    payDf / valueDf

let computeDf dayCount fromDf toQuote =
    let dpDate, dpFactor = fromDf
    let qDate, qValue = toQuote
    (qDate, dpFactor * (1.0 / 
                        (1.0 + qValue * dayCount { startDate = dpDate; 
                                                    endDate = qDate })))

// Just to compute f(guess)
let computeSwapDf dayCount spotDate swapQuote discountCurve swapSchedule (guessDf:double) =
    let qDate, qQuote = swapQuote
    let guessDiscountCurve = (qDate, guessDf) :: discountCurve 
    let spotDf = findDf logarithmic spotDate discountCurve
    let swapDf = findPeriodDf { startDate = spotDate; endDate = qDate } guessDiscountCurve
    let swapVal =
        let rec _computeSwapDf a spotDate qQuote guessDiscountCurve =
                swapPeriod :: tail ->
                let couponDf = findPeriodDf { startDate = spotDate; 
                                              endDate = swapPeriod.endDate } guessDiscountCurve
                _computeSwapDf (couponDf * (dayCount swapPeriod) * qQuote + a) 
                    spotDate qQuote guessDiscountCurve tail

                | [] -> a
        _computeSwapDf -1.0 spotDate qQuote guessDiscountCurve swapSchedule
    spotDf * (swapVal + swapDf)

[<Measure>] type bp
[<Measure>] type percent
[<Measure>] type price
let convertPercentToRate (x:float<percent>) = x / 100.0<percent>
let convertPriceToRate (x:float<price>) = (100.0<price> - x) / 100.0<price>
type InterestRateQuote =
    | Rate of float
    | Percent of float<percent>
    | BasisPoints of float<bp>
        member x.ToRate() =
            match x with
            | Rate r -> r
            | Percent p -> p / 100.0<percent>
            | BasisPoints bp -> bp / 10000.0<bp>
        member x.ToPercentage() =
            match x with
            | Rate r -> r * 100.0<percent>
            | Percent p -> p
            | BasisPoints bp -> bp / 100.0<bp/percent>
        member x.ToBasisPoints() =
            match x with
            | Rate r -> r * 10000.0<bp>
            | Percent p -> p * 100.0<bp/percent>
            | BasisPoints bp -> bp
type FuturesContract = Date
let contract d = date d

type QuoteType =
| Overnight                     // the overnight rate (one day period)
| TomorrowNext                  // the one day period starting "tomorrow"
| TomorrowTomorrowNext          // the one day period starting the day after "tomorrow"
| Cash of Tenor                 // cash deposit period in days, weeks, months
| Futures of FuturesContract    // year and month of futures contract expiry
| Swap of Tenor                 // swap period in years

// Bootstrap the next discount factor from the previous one
let rec bootstrap dayCount quotes discountCurve =
    match quotes with
        quote :: tail -> 
        let newDf = computeDf dayCount (List.head discountCurve) quote
        bootstrap dayCount tail (newDf :: discountCurve)
        | [] -> discountCurve

// Generate the next discount factor from a fixed point on the curve 
// (cash points are wrt to spot, not the previous df)
let rec bootstrapCash dayCount spotDate quotes discountCurve =
    match quotes with
        quote :: tail -> 
        let spotDf = (spotDate, findDf logarithmic spotDate discountCurve)
        let newDf = computeDf dayCount spotDf quote
        bootstrapCash dayCount spotDate tail (newDf :: discountCurve)
        | [] -> discountCurve

let bootstrapFutures dayCount futuresStartDate quotes discountCurve =
    match futuresStartDate with
    | Some d ->
        bootstrap dayCount
                    (Seq.toList quotes) 
                    ((d, findDf logarithmic d discountCurve) :: discountCurve)
    | None -> discountCurve

// Swaps are computed from a schedule generated from spot and priced 
// according to the curve built thusfar
let rec bootstrapSwaps dayCount spotDate calendar swapQuotes discountCurve =
    match swapQuotes with
        (qDate, qQuote) :: tail ->
        // build the schedule for this swap                
        let swapDates = schedule semiAnnual { startDate = spotDate; endDate = qDate }
        let rolledSwapDates = Seq.map (fun (d:Date) -> roll RollRule.Following calendar d) 
        let swapPeriods = Seq.toList (Seq.map (fun (s, e) -> 
                                                { startDate = s; 
                                                  endDate = e }) (Seq.pairwise rolledSwapDates))
        // solve
        let accuracy = 1e-12
        let spotFactor = findDf logarithmic spotDate discountCurve
        let f = computeSwapDf dayCount spotDate (qDate, qQuote) discountCurve swapPeriods
        let newDf = solveNewton f accuracy spotFactor

        bootstrapSwaps dayCount spotDate calendar tail ((qDate, newDf) :: discountCurve)
        | [] -> discountCurve

let USD = { weekendDays = Set [ System.DayOfWeek.Saturday; System.DayOfWeek.Sunday ]; 
            holidays = Set [ date "2009-01-01"; 
                             date "2009-01-19"; 
                             date "2009-02-16"; 
                             date "2009-05-25"; 
                             date "2009-07-03"; 
                             date "2009-09-07"; 
                             date "2009-10-12"; 
                             date "2009-11-11"; 
                             date "2009-11-26"; 
                             date "2009-12-25" ] }
let curveDate = date "2009-05-01"
let spotDate = rollBy 2 RollRule.Following USD curveDate

let quotes = [ (Overnight, 0.045);
               (TomorrowNext, 0.045);
               (Cash (tenor "1W"), 0.0462);
               (Cash (tenor "2W"), 0.0464);
               (Cash (tenor "3W"), 0.0465);
               (Cash (tenor "1M"), 0.0467);
               (Cash (tenor "3M"), 0.0493);
               (Futures (contract "Jun2009"), 95.150);
               (Futures (contract "Sep2009"), 95.595);
               (Futures (contract "Dec2009"), 95.795);
               (Futures (contract "Mar2010"), 95.900);
               (Futures (contract "Jun2010"), 95.910);
               (Swap (tenor "2Y"), 0.04404);
               (Swap (tenor "3Y"), 0.04474);
               (Swap (tenor "4Y"), 0.04580);
               (Swap (tenor "5Y"), 0.04686);
               (Swap (tenor "6Y"), 0.04772);
               (Swap (tenor "7Y"), 0.04857);
               (Swap (tenor "8Y"), 0.04924);
               (Swap (tenor "9Y"), 0.04983);
               (Swap (tenor "10Y"), 0.0504);
               (Swap (tenor "12Y"), 0.05119);
               (Swap (tenor "15Y"), 0.05201);
               (Swap (tenor "20Y"), 0.05276);
               (Swap (tenor "25Y"), 0.05294);
               (Swap (tenor "30Y"), 0.05306) ]

let spotPoints = quotes
                    |> List.choose (fun (t, q) -> 
                        match t with
                        | Overnight _ -> Some (rollBy 1 RollRule.Following USD curveDate, q)
                        | TomorrowNext _ -> Some (rollBy 2 RollRule.Following USD curveDate, q)
                        | TomorrowTomorrowNext _ -> Some (rollBy 3 RollRule.Following USD curveDate, q)
                        | _ -> None)
                    |> List.sortBy (fun (d, _) -> d)

let cashPoints = quotes
                    |> List.choose (fun (t, q) -> 
                        match t with
                        | Cash c -> Some (offset c spotDate |> roll RollRule.Following USD, q)
                        | _ -> None)
                    |> List.sortBy (fun (d, _) -> d)

let futuresQuotes = quotes
                    |> List.choose (fun (t, q) -> 
                        match t with
                        | Futures f -> Some (f, q)
                        | _ -> None)
                    |> List.sortBy (fun (c, _) -> c)
let (sc, _) = List.head futuresQuotes
let (ec, _) = futuresQuotes.[futuresQuotes.Length - 1]   
let futuresStartDate = findNthWeekDay 3 System.DayOfWeek.Wednesday sc 
                        |> roll RollRule.ModifiedFollowing USD
let futuresEndDate = (new Date(ec.Year, ec.Month, 1)).AddMonths(3)

// "invent" an additional contract to capture the end of the futures schedule
let endContract = (futuresEndDate, 0.0)
let futuresPoints = Seq.append futuresQuotes [endContract]
                    |> Seq.pairwise
                    |> Seq.map (fun ((_, q1), (c2, _)) -> 
                        (findNthWeekDay 3 System.DayOfWeek.Wednesday c2 
                            |> roll RollRule.ModifiedFollowing USD, (100.0 - q1) / 100.0))
                    |> Seq.toList            
let swapPoints = quotes
                    |> List.choose (fun (t, q) -> 
                        match t with
                        | Swap s -> Some (offset s spotDate |> roll RollRule.Following USD, q)
                        | _ -> None)
                    |> List.sortBy (fun (d, _) -> d)

let discountFactors = [ (curveDate, 1.0) ]
                        |> bootstrap Actual360 spotPoints 
                        |> bootstrapCash Actual360 spotDate cashPoints
                        |> bootstrapFutures Actual360 (Some futuresStartDate) futuresPoints
                        |> bootstrapSwaps Actual360 spotDate USD swapPoints
                        |> Seq.sortBy (fun (qDate, _) -> qDate)

printfn "Discount Factors"
Seq.iter (fun (d:Date, v) -> printfn "\t%s\t%.13F" (d.ToString("yyyy-MM-dd")) v) discountFactors
let zeroCouponRates = discountFactors 
                      |> Seq.map (fun (d, f) 
                                    -> (d, 100.0 * -log(f) * 365.25 / double (d - curveDate).Days))

printfn "Zero-Coupon Rates"
Seq.iter (fun (d:Date, v) -> printfn "\t%s\t%.13F" (d.ToString("yyyy-MM-dd")) v) zeroCouponRates

IE9 “Pin to Taskbar” Feature - Am I Missing Something?

The new “Pin to Taskbar” feature in IE9 seems to be, on the surface, a neat idea. You can drag the “favicon” of a website down to the (Windows 7) taskbar, and then subsequently launch it like an application with a single click.

There’s only one problem. It’s completely useless. I’m sure I must be missing something head-slappingly simple.

The instance of IE that launches to host the “pinned” site doesn’t seem to load any plugins. The most important plugin (for me) is LastPass, which securely and automatically logs me in to sites using a locally cached password. So, usually, I’d access my Hotmail (for instance) via a bookmark, and I’d be logged in and ready to go, but via an IE9 icon pinned to the taskbar, I’m presented with the login page every time. It doesn’t even have my email address pre-populated (even though I have the “Remember Me” box checked), let alone the password.

So it’s actually several orders of magnitude slower to use a pinned icon, than to just do it the old way, by clicking the IE (or Chrome) icon and then a bookmark.


PROCESSOR_ARCHITECTURE and Visual Studio Debugging

For years I’ve labored under the impression that the PROCESSOR_ARCHITECTURE environment variable was an indication of the bitness of the current process. Even after comprehending that in a 64-bit process this variable yields AMD64, even when the machine is fitted with an Intel processor (because AMD invented the 64-bit extensions), I’ve written several components in the past that rely on PROCESSOR_ARCHITECTURE, and never expended too much thought about it. I mean, this has to be the simplest and most reliable way to do it, right?

However, a colleague recently asked me if I had any idea why he couldn’t debug an assembly in Visual Studio. He was getting a BadImageFormatException, a surefire indicator that something was trying to load a 64-bit binary into a 32-bit process (or vice-versa). The code he was trying to debug in this case was an add-in to Excel, so he’d configured the project in Visual Studio to “Start external program”, and pointed to Excel, but Excel wouldn’t start when hitting F5, and the logs revealed the exception. Starting Excel directly with the add-in configured worked just fine.

As it turned out, we were using PROCESSOR_ARCHITECTURE in this assembly to determine which version to load (x86 or x64) of a lower-level native dependency. In production, this would work just fine, but when debugging from Visual Studio, the x64 version of the native component was being loaded, which was not making the x86 Excel process very happy at all.

To simplify the diagnosis, I created a new console application in Visual Studio, set the project to debug into C:\Windows\SYSWOW64\cmd.exe (the 32-bit command prompt), and hit F5. Sure enough, from the resulting shell, echo %PROCESSOR_ARCHITECTURE% was yielding AMD64, in a 32-bit process! Something was clearly not quite right with this picture.

As it transpires, when debugging this way in Visual Studio, the external program starts in an environment that’s configured for the wider of the bitnesses of the startup project’s current build platform and the started executable. In my simple console app, if I set the platform to x86 instead of the default Any CPU, the resulting command prompt now yielded x86 instead of AMD64 for PROCESSOR_ARCHITECTURE. But if I instead debugged into C:\Windows\System32\cmd.exe, PROCESSOR_ARCHITECTURE yielded AMD64 regardless of the project’s current build platform.

Since the code in question here was in a managed assembly, I switched the PROCESSOR_ARCHITECTURE check to instead consider the value of IntPtr.Size (4 indicates x86, 8 indicates x64). Hopefully when we go to .NET 4.0 we’ll be able to take advantage of Environment.Is64BitProcess and Environment.Is64BitOperatingSystem for this kind of thing, at least from managed code.

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