private RateSourceData GetRate_Bloomberg(int SecurityID, DateTime ValuationDate)
{
SqlCommand sqlCom = new SqlCommand("spOTCOptionPrice_GetRiskFreeRate_Bloomberg");
sqlCom.CommandType = CommandType.StoredProcedure;
sqlCom.Parameters.Add(new SqlParameter("@SecurityID", SecurityID));
sqlCom.Parameters.Add(new SqlParameter("@PriceDate", ValuationDate));
DataSet ds = db.FetchData(sqlCom);
RateSourceData rsd = new RateSourceData();
if (ds.Tables[0].Rows.Count != 0)
{
DataRow dr = ds.Tables[0].Rows[0];
try {
rsd.Source = InputSourceData.InputSource.Bloomberg;
rsd.Rate = double.Parse(dr["MaturityRate"].ToString());
rsd.CaptureTime = DateTime.ParseExact(dr["CaptureTime"].ToString(), "dd/MM/yyyy HH:mm:ss", null);
rsd.BBData_PreviousTerm = new BBData()
{
Ticker = dr["PreviousTicker"].ToString(), Field = "PX_YEST_CLOSE", Value = double.Parse(dr["PreviousRate"].ToString())
};
rsd.BBData_NextTerm = new BBData()
{
Ticker = dr["NextTicker"].ToString(), Field = "PX_YEST_CLOSE", Value = double.Parse(dr["NextRate"].ToString())
};
} catch {
// Problem with data so don't return half a class, return as if nothing was obtained from db
rsd = new RateSourceData();
}
}
return(rsd);
}
public void Parse_ThrowsRatesWereNotParsed_OnNullRateDetail_Test()
{
// Arrange
var rateSourceData = new RateSourceData();
// Assert
Assert.Throws<RatesWereNotParsedException>(() => rateSourceData.Parse(Currency.RUB));
}
public void Parse_UnixTime_Test()
{
// Arrange
var rateSourceData = new RateSourceData
{
Stamp = 0,
RatesValues = new RateValuesData()
};
// Act
var rate = rateSourceData.Parse(Currency.RUB);
// Assert
Assert.AreEqual(rate.Stamp.Date, new DateTime(1970, 1, 1, 0, 0, 0));
}
public double Parse_Currency_Test(Currency currency)
{
// Arrange
var rateSourceData = new RateSourceData
{
RatesValues = new RateValuesData
{
EUR = 1,
GBP = 2,
JPY = 3,
RUB = 4,
USD = 5,
}
};
// Act
var rate = rateSourceData.Parse(currency);
// Assert
return rate.Value;
}
private RateSourceData GetRate_ManualOverride(int SecurityID, DateTime ValuationDate)
{
SqlCommand sqlCom = new SqlCommand("spOTCOptionPrice_GetRiskFreeRate_Default");
sqlCom.CommandType = CommandType.StoredProcedure;
sqlCom.Parameters.Add(new SqlParameter("@SecurityID", SecurityID));
DataSet ds = db.FetchData(sqlCom);
RateSourceData rsd = new RateSourceData();
if (ds.Tables[0].Rows.Count != 0)
{
DataRow dr = ds.Tables[0].Rows[0];
//if the value is null ignore (i.e. is missing)
if (dr["DefaultRiskFreeRate"] != DBNull.Value)
{
rsd.Source = InputSourceData.InputSource.Override;
rsd.Rate = double.Parse(dr["DefaultRiskFreeRate"].ToString());
rsd.CaptureTime = DateTime.ParseExact(dr["CaptureTime"].ToString(), "dd/MM/yyyy HH:mm:ss", null);
}
}
return(rsd);
}
