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Calculating U.S. Treasury Notes Pricing

01/28/2024

A few years ago, I worked on a type that could process double values received as real-time market data updates and helped to convert them to be displayed for humans on a UI.

The type was used to process market data updates of U.S. Treasury Notes. The pricing of U.S. Treasury Notes is detailed on the cmegroup site. In this post I will focus on the pricing of bond and note products while keeping futures aside.

The prices of these products are displayed in fractions. The price of such a product may look as 99-032. This means it is 99 full points plus 3/32s of a point plus 2/8 of 1/32s of a point. The last digit of the price can take up values of 0 2, + and 6, where plus denotes 4/8 or 1/2.Hence 99-032 equals 99 + 3/32 + 2/256 = 99.1015625. Note, that the last digit is always a multiple of 1/4th of a 1/32nd. Another example may be 100-23+ which equals 100.734375. However, this post will focus on displaying such data, converting it from a double such as 100.734375 to 100-23+.

A few years back .NET was less performant. In this post, I will revisit the original implementation as well as review 3 implementations I would consider building today to take advantage of the performance benefits of the modern .NET. Even the original implementation is significantly faster when run on .NET 8 due to the number of optimizations that have been built into the BCL and the JIT.

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Using NDepend to improve my Application Code

01/18/2024

NDepend is a .NET code quality tool that performs static code analysis. It can help to detect code smells and dependency issues. In this post I will take a quick look at using the Dependency Graph feature to clean up one of my open-source applications. NDepend has a desktop application (as well as Visual Studio extension) that can be used by developers in a tight development cycle to address dependency and code quality issues during development:

• change code

• build application

• run analysis (or configure automatic analysis in NDepend for every build)

The tool also comes with a handy console application that can be leveraged for enforce quality rules on CI/CD agents. Later in this post I look at generating reports with the NDepend Console on build agents.

Dependency Graph

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Exploring Inline Arrays

01/06/2024

Inline arrays have been introduced as new feature in C# 12. As the feature is preview at the time of writing, it may change before the .NET team releases the final version of C#.

A type attributed with inline array can be used to represent a fixed-size, contiguous sequence of primitives. The runtime and language provide type and overrun safe indexing operations to the underlying primitives.

At the time of writing one can define an inline array by applying the [InlineArray] attribute on a struct, that has a single field.

[System.Runtime.CompilerServices.InlineArray(8)]
struct Octet
{
    private int _element0;
}

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IDE0005 as Build Error

12/21/2023

I recently set up the IDE0005 .editorconfig file rule to break the CLI build. This is an IDE rule, that normally is not emitted as warnings / errors in the CLI build.

IDE0005 rule flags unnecessary using directives. It wraps CS8019 that also does the same.

Setup

Add an .editorconfig file containing the rule and set the severity as a warning. It may be also set as an error if one prefers to get a build error without setting warnings to break builds.

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An approach to pseudo-Median with SIMD

12/10/2023

In a previous posts I looked into using Single instruction, multiple data, SIMD to find the Median value in a sample of integer values as well as I looked into generating pairwise averages.

The definition of median in case of

• an odd sample size, find 'middle' element of the ordered samples.

• an even sample size, find the 2 elements in the middle of an ordered sample size, and calculate the average of those.

I have recently came across a blog post from Andrey Akinshin proposing to benefits of using Hodges-Lehmann location estimator to calculate a pseudo-median value.

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