private static RollResultContractItem GetGenerationResult(RollResults result, CTDValueGeneration generation)
{
switch (generation)
{
case CTDValueGeneration.Current:
return result.CurrentResult;
case CTDValueGeneration.Old:
return result.OResult;
case CTDValueGeneration.OldOld:
return result.OOResult;
case CTDValueGeneration.OOO:
return result.OOOResult;
case CTDValueGeneration.OOOO:
return result.OOOOResult;
default:
throw new ArgumentOutOfRangeException("generation", generation, null);
}
}
private Tuple<DatedDataCollectionGen<Bond>, DatedDataCollectionGen<double>> getItems(ChartComponent cc_, CTDValueGeneration generation_)
{
var dates = m_rawData[cc_.Curve].Select(x => x.MarkDate).ToArray();
var spreadsObject = m_rawData[cc_.Curve].Select(x => x[cc_.Component, generation_]);
var value = spreadsObject.Select(x => x == null ? 0d : x[cc_.SpreadType] * cc_.Multiplier * 10000d).ToArray();
var bonds = m_rawBonds.Select(x => x[cc_.Component, generation_]).ToArray();
// fill in zeroes
for (int i = 1; i < value.Length; ++i)
if (value[i].IsZero())
{
// if bonds haven't changed then can take the previous price
//if (bonds[i].SymmetryCode.Equals(bonds[i - 1].SymmetryCode))
value[i] = value[i - 1];
//else
// value[i] = double.NaN;
}
return new Tuple<DatedDataCollectionGen<Bond>, DatedDataCollectionGen<double>>(
new DatedDataCollectionGen<Bond>(dates, bonds),
new DatedDataCollectionGen<double>(dates, value));
}
