// idYc - each EntryPoint has reference to YieldCurve settings
public ResponseYieldCurveDefinition GetYieldCurveDefinitions()
{
ResponseYieldCurveDefinition result = new ResponseYieldCurveDefinition();
try
{
var ycs = DataLayer.Repository.GetYieldCurveData(null);
foreach (YieldCurveData ycd in ycs)
{
YieldCurveDefinition ycDef = new YieldCurveDefinition();
ycDef = (YieldCurveDefinition)ycd.settings;;
ycDef.Id = ycd.Id;
ycDef.CurrencyId = ycd.CurrencyId;
result.ycDefList.Add(ycDef);
}
}
catch (Exception ex)
{
while (ex.InnerException != null)
{
ex = ex.InnerException;
}
result.Error = new CustomException();
result.Error.Message = ex.Message + ex.StackTrace;
}
return(result);
}
//
// DateFeed
//
internal static List <YieldCurveDefinition> GetYieldCurveDef(ConnectionContextSQLite ctx,
long?idYc)
{
List <YieldCurveDefinition> ycDesc = new List <YieldCurveDefinition>();
var command = SqlHelperSQLite.SelectYieldCurveDefCommand(ctx, idYc);
using (var reader = command.ExecuteReader())
{
while (reader.Read())
{
var ycs = new YieldCurveDefinition
{
ZcBasisId = reader.GetInt32(reader.GetOrdinal("ZcBasisId")),
ZcCompounding = reader.GetString(reader.GetOrdinal("ZcCompounding")),
ZcFrequency = reader.GetString(reader.GetOrdinal("ZcFrequency")),
FrwCompounding = reader.GetString(reader.GetOrdinal("FrwCompounding")),
ifZc = reader.GetBoolean(reader.GetOrdinal("ifZC")),
FrwBasisId = reader.GetInt32(reader.GetOrdinal("FrwBasisId")),
ZCColor = reader.IsDBNull(reader.GetOrdinal("ZCColor")) ? null : reader.GetString(reader.GetOrdinal("ZCColor")),
FrwFrequency = reader.GetString(reader.GetOrdinal("FrwFrequency")),
FrwTermBase = reader.GetString(reader.GetOrdinal("FrwTermBase")),
FrwTerm = reader.IsDBNull(reader.GetOrdinal("FrwTerm")) ? -1 : reader.GetInt32(reader.GetOrdinal("FrwTerm")),
FrwColor = reader.IsDBNull(reader.GetOrdinal("FrwColor")) ? null : reader.GetString(reader.GetOrdinal("FrwColor")),
ifFrw = reader.GetBoolean(reader.GetOrdinal("ifFrw")),
SpreadType = reader.IsDBNull(reader.GetOrdinal("SpreadType")) ? -1 : reader.GetInt32(reader.GetOrdinal("SpreadType")),
SpreadSize = reader.IsDBNull(reader.GetOrdinal("SpreadSize")) ? -1 : reader.GetInt32(reader.GetOrdinal("SpreadSize")),
SpreadFamily = reader.IsDBNull(reader.GetOrdinal("SpreadFamily")) ? -1 : reader.GetInt32(reader.GetOrdinal("SpreadFamily"))
};
Calendar cal = new Calendar
{
Id = reader.IsDBNull(reader.GetOrdinal("calId")) ? -1 : reader.GetInt32(reader.GetOrdinal("calId")),
ClassName = reader.IsDBNull(reader.GetOrdinal("calClassName")) ? null : reader.GetString(reader.GetOrdinal("calClassName")),
MarketName = reader.IsDBNull(reader.GetOrdinal("calMarketName")) ? null : reader.GetString(reader.GetOrdinal("calMarketName"))
};
ycs.Calendar = cal;
ycs.Id = reader.GetInt32(reader.GetOrdinal("Id"));
ycs.Name = reader.GetString(reader.GetOrdinal("Name"));
ycs.FamilyId = reader.GetInt32(reader.GetOrdinal("FamilyId"));
ycs.CurrencyId = reader.IsDBNull(reader.GetOrdinal("CurrencyId")) ? -1 : reader.GetInt32(reader.GetOrdinal("CurrencyId"));
ycDesc.Add(ycs);
}
}
return(ycDesc);
}
public string CalculateDiscountedRatesSimple(string date, string id)
{
long idYc = JsonConvert.DeserializeObject <Int32>(id);
GetYcDefDic();
YieldCurveDefinition ycd = DataFeed.Repository.ycDefDic[idYc];
DateTime settlementDate = Convert.ToDateTime(date);
GetDayCounterDic(); // shell be before Rate and YieldCurveData, cos those are using DayCounter inside
ResponseDiscountedData tmp = CalculateDiscountedData(ycd, settlementDate, null, null);
return(JsonConvert.SerializeObject(tmp));
}
ResponseDiscountedData CalculateDiscountedData(YieldCurveDefinition ycDef,
DateTime settlementDate,
List <EntryPoint> entryPoints,
List <DateTime> discountDates)
{
ResponseDiscountedData result = new ResponseDiscountedData();
try
{
YieldCurveData tmp = new YieldCurveData();
tmp.settlementDate = settlementDate;
tmp.settings = ycDef;
if (entryPoints == null)
{
tmp.entryPointList = DataLayer.Repository.GetYieldCurveEntryPoint(ycDef.Id, settlementDate);
}
else
{
tmp.entryPointList = entryPoints;
}
if (discountDates == null) // use entry points dates
{
discountDates = new List <DateTime>();
foreach (var ep in tmp.entryPointList)
{
discountDates.Add(settlementDate.AddDays(ep.Duration));
}
}
QuantLibAdaptor.CalculateDiscountedRate(tmp, discountDates.ToList(), result.discountPoints);
result.entryPoints = tmp.entryPointList;
}
catch (Exception ex)
{
while (ex.InnerException != null)
{
ex = ex.InnerException;
}
result.Error = new CustomException();
result.Error.Message = ex.Message + ex.StackTrace;
}
return(result);
}
public string CalculateDiscountedRates(string date, string id, string epl, string ddl)
{
long idYc = JsonConvert.DeserializeObject <Int32>(id);
GetYcDefDic();
YieldCurveDefinition ycd = DataFeed.Repository.ycDefDic[idYc];
//DateTime settlementDate = JsonConvert.DeserializeObject<DateTime>(date);
DateTime settlementDate = Convert.ToDateTime(date);
List <EntryPoint> entryPoints = JsonConvert.DeserializeObject <List <EntryPoint> >(epl);
List <DateTime> discountDates = JsonConvert.DeserializeObject <List <DateTime> >(ddl);
ResponseDiscountedData tmp = CalculateDiscountedData(ycd, settlementDate, entryPoints, discountDates);
return(JsonConvert.SerializeObject(tmp));
}
private static void AssertRoundTrip(InterpolatedYieldCurveDefinitionMaster interpolatedYieldCurveDefinitionMaster, YieldCurveDefinitionDocument yieldCurveDefinitionDocument)
{
interpolatedYieldCurveDefinitionMaster.Add(yieldCurveDefinitionDocument);
YieldCurveDefinitionDocument roundtrippedDoc = interpolatedYieldCurveDefinitionMaster.Get(yieldCurveDefinitionDocument.UniqueId);
YieldCurveDefinition roundTripped = roundtrippedDoc.YieldCurveDefinition;
var yieldCurveDefinition = yieldCurveDefinitionDocument.YieldCurveDefinition;
Assert.Equal(yieldCurveDefinition.Name, roundTripped.Name);
Assert.Equal(yieldCurveDefinition.InterpolatorName, roundTripped.InterpolatorName);
Assert.Equal(yieldCurveDefinition.Currency, roundTripped.Currency);
Assert.Equal(roundTripped.Region, roundTripped.Region);
Assert.True(roundTripped.Strips.SequenceEqual(roundTripped.Strips));
}
public static YieldCurveDefinitionDocument GenerateDocument()
{
string curveName = TestUtils.GetUniqueName();
var yieldCurveDefinition = new YieldCurveDefinition(Currency.USD, curveName, "Linear")
{
Region = new ExternalId("SOMEWHERE", "Europe")
};
yieldCurveDefinition.AddStrip(new FixedIncomeStrip {
ConventionName = "DEFAULT", CurveNodePointTime = Tenor.Day, InstrumentType = StripInstrumentType.Cash
});
yieldCurveDefinition.AddStrip(new FixedIncomeStrip {
ConventionName = "DEFAULT", CurveNodePointTime = Tenor.TwoYears, InstrumentType = StripInstrumentType.Future, NthFutureFromTenor = 23
});
return(new YieldCurveDefinitionDocument
{
YieldCurveDefinition = yieldCurveDefinition
});
}
// idYc - each EntryPoint has reference to YieldCurve settings
public ResponseEntryPointHistory GetYcHistoricEntryPoints(DateTime settlementDate, YieldCurveDefinition ycDef)
{
ResponseEntryPointHistory result = new ResponseEntryPointHistory();
try
{
UserAccounts.FCUser user = (UserAccounts.FCUser)HttpContext.Current.Session["user"];
if (user == null)
{
result.Error = new CustomException();
result.Error.Message = "Client is not authenticated, will work in Demo read-only mode";
}
result = GetEntryPointHistoryList(settlementDate, ycDef.Id);
}
catch (Exception ex)
{
while (ex.InnerException != null)
{
ex = ex.InnerException;
}
result.Error = new CustomException();
result.Error.Message = ex.Message + ex.StackTrace;
}
return(result);
}
public InterpolatedYieldCurveSpecification BuildCurve(DateTimeOffset curveDate, YieldCurveDefinition curveDefinition)
{
RestTarget target = _rest.Resolve("builder").Resolve(UriEncoding.ToString(curveDate));
return(target.Post <InterpolatedYieldCurveSpecification>(curveDefinition));
}
