private static WorkflowOutput <HandlerResponse> RunStressGenerator(NamedValueSet properties)
{
var wfGenerateStressCurve = new WFGenerateStressedCurve();
IWorkContext context = new WorkContext(Engine.Logger, Engine.Cache, "UnitTest");
wfGenerateStressCurve.Initialise(context);
var request = new StressedCurveGenRequest
{
RequestId = Guid.NewGuid().ToString(),
RequesterId = new UserIdentity
{
Name = Engine.Cache.ClientInfo.Name,
DisplayName = "Unit Test Agent"
},
BaseDate = properties.GetValue <DateTime>("BaseDate", true),
CurveSelector = new[] { new CurveSelection
{
NameSpace = properties.GetString("NameSpace", true),
CurveName = properties.GetString("CurveName", true),
CurveType = properties.GetString("PricingStructureType", true),
MarketName = properties.GetString("MarketName", true)
} }
};
return(wfGenerateStressCurve.Execute(request));
}
private static HandlerResponse ExecuteCurveStressing(IEnumerable <string> marketNames, IEnumerable <string> curveTypes, IEnumerable <string> curveNames)
{
// create list of base curve ids to stress
var curveSelectors = new List <CurveSelection>();
// hack make sure QR_LIVE AUD reference curve is stressed first
{
curveSelectors.Add(new CurveSelection
{
MarketName = CurveConst.QR_LIVE,
CurveType = "RateCurve",
CurveName = "AUD-BBR-BBSW-3M"
});
}
curveSelectors.AddRange(from marketName in marketNames
from curveType in curveTypes
from curveName in curveNames
let baseCurveUniqueId = String.Format(UTE.NameSpace + ".Market.{0}.{1}.{2}", marketName, curveType, curveName)
let curveItem = Engine.Cache.LoadItem <Market>(baseCurveUniqueId)
where curveItem != null
select new CurveSelection
{
MarketName = marketName, CurveType = curveType, CurveName = curveName
});
// create and execute workflow
var request = new StressedCurveGenRequest
{
RequestId = Guid.NewGuid().ToString(),
RequesterId = new UserIdentity
{
Name = Engine.Cache.ClientInfo.Name,
DisplayName = "Unit Test Agent"
},
BaseDate = TestBaseDate,
CurveSelector = curveSelectors.ToArray()
};
// build list of curve unique ids required
var baseCurveUniqueIds = curveSelectors.Select(curveSelector => String.Format(UTE.NameSpace + ".Market.{0}.{1}.{2}", curveSelector.MarketName, curveSelector.CurveType, curveSelector.CurveName)).ToList();
AssertNotModified <Market>(baseCurveUniqueIds);
HandlerResponse result;
IWorkContext context = new WorkContext(UTE.Logger, Engine.Cache, "UnitTest");
using (var workflow = new WFGenerateStressedCurve())
{
workflow.Initialise(context);
WorkflowOutput <HandlerResponse> output = workflow.Execute(request);
WorkflowHelper.ThrowErrors(output.Errors);
result = output.Result;
}
AssertNotModified <Market>(baseCurveUniqueIds);
return(result);
}
private void BaseCurveCallback(ICoreItem baseCurveItem)
{
try
{
// check for server shutdown
if (GetState() != BasicServerState.Running)
{
return;
}
// base curve changed
DateTime dtNow = DateTime.Now;
//Market baseCurve = (Market)baseCurveItem.Data;
var curveType = baseCurveItem.AppProps.GetValue <string>(CurveProp.PricingStructureType, true);
var curveName = baseCurveItem.AppProps.GetValue <string>(CurveProp.CurveName, true);
var marketName = baseCurveItem.AppProps.GetValue <string>(CurveProp.Market, true);
//var marketDate = baseCurveItem.AppProps.GetValue<DateTime?>(CurveProp.MarketDate, null);
var nameSpace = baseCurveItem.AppProps.GetValue <string>(EnvironmentProp.NameSpace, true);
DateTime curveBaseDate = baseCurveItem.AppProps.GetValue(CurveProp.BaseDate, dtNow.Date);
var curveGenRequest = new StressedCurveGenRequest
{
RequestId = Guid.NewGuid().ToString(),
RequesterId = new UserIdentity
{
Name = IntClient.Target.ClientInfo.Name,
DisplayName = "Stress Curve Generation Server"
},
BaseDate = curveBaseDate,
CurveSelector = new[] { new CurveSelection
{
NameSpace = nameSpace,
MarketName = marketName,
MarketDate = null,//marketDate,
CurveType = curveType,
CurveName = curveName
} }
};
IWorkContext context = new WorkContext(Logger, IntClient.Target, "DEV");
using (var workflow = new WFGenerateStressedCurve())
{
workflow.Initialise(context);
WorkflowOutput <HandlerResponse> output = workflow.Execute(curveGenRequest);
WorkflowHelper.ThrowErrors(output.Errors);
}
}
catch (Exception e)
{
Logger.Log(e);
}
}
