private VolatilitySourceData GetVolatility_Bloomberg(int SecurityID, DateTime ValuationDate)
{
SqlCommand sqlCom = new SqlCommand("spOTCOptionPrice_GetVolatility_Bloomberg");
sqlCom.CommandType = CommandType.StoredProcedure;
sqlCom.Parameters.Add(new SqlParameter("@SecurityID", SecurityID));
sqlCom.Parameters.Add(new SqlParameter("@PriceDate", ValuationDate));
DataSet ds = db.FetchData(sqlCom);
VolatilitySourceData vsd = new VolatilitySourceData();
if (ds.Tables[0].Rows.Count != 0)
{
DataRow dr = ds.Tables[0].Rows[0];
try {
vsd.Source = InputSourceData.InputSource.Bloomberg;
vsd.Volatility = double.Parse(dr["Volatility"].ToString());
vsd.CaptureTime = DateTime.ParseExact(dr["CaptureTime"].ToString(), "dd/MM/yyyy HH:mm:ss", null);
vsd.BBData = new BBData()
{
Ticker = dr["BBGTicker"].ToString(), Field = dr["BBField"].ToString(), Value = double.Parse(dr["Volatility"].ToString())
};
} catch {
// Problem with data so don't return half a class, return as if nothing was obtained from db
vsd = new VolatilitySourceData();
}
}
return(vsd);
}
private VolatilitySourceData GetVolatility_ManualOverride(int SecurityID, DateTime ValuationDate)
{
SqlCommand sqlCom = new SqlCommand("spOTCOptionPrice_GetVolatility_Default");
sqlCom.CommandType = CommandType.StoredProcedure;
sqlCom.Parameters.Add(new SqlParameter("@SecurityID", SecurityID));
DataSet ds = db.FetchData(sqlCom);
VolatilitySourceData vsd = new VolatilitySourceData();
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["DefaultUnderlyingVolatility"] != DBNull.Value)
{
vsd.Source = InputSourceData.InputSource.Override;
vsd.CaptureTime = DateTime.ParseExact(dr["CaptureTime"].ToString(), "dd/MM/yyyy HH:mm:ss", null);
vsd.Volatility = double.Parse(dr["DefaultUnderlyingVolatility"].ToString());
}
}
return(vsd);
}