Ejemplo n.º 1
0
        internal static List <InflationIndex> GetInflationIndex(ConnectionContextSQLite ctx, long?idIndex)
        {
            List <InflationIndex> list = new List <InflationIndex>();

            var command = SqlHelperSQLite.SelectInflationIndexCommand(ctx, idIndex);

            using (var reader = command.ExecuteReader())
            {
                //Repository.BondDic.Clear();

                while (reader.Read())
                {
                    InflationIndex b = new InflationIndex
                    {
                        Id             = reader.GetInt32(reader.GetOrdinal("Id")),
                        Name           = reader.IsDBNull(reader.GetOrdinal("Name")) ? null : reader.GetString(reader.GetOrdinal("Name")),
                        ClassName      = reader.IsDBNull(reader.GetOrdinal("ClassName")) ? null : reader.GetString(reader.GetOrdinal("ClassName")),
                        Type           = reader.GetString(reader.GetOrdinal("Type")),
                        DataProviderId = reader.IsDBNull(reader.GetOrdinal("DataProviderId")) ? 0 : reader.GetInt32(reader.GetOrdinal("DataProviderId")),
                        DataReference  = reader.IsDBNull(reader.GetOrdinal("DataReference")) ? null : reader.GetString(reader.GetOrdinal("DataReference")),
                        IdCcy          = reader.IsDBNull(reader.GetOrdinal("CurrencyId")) ? 0 : reader.GetInt32(reader.GetOrdinal("CurrencyId")),
                    };

                    list.Add(b);
                }
            }

            return(list);
        }
Ejemplo n.º 2
0
        //pair of params can be added later - typy (bond, rate etc) and instrument id
        //note that id is not unique as rate history contains different types of instruments from different tables (ids are unique only within one table)
        internal static List <RateHistory> GetRateHistory(ConnectionContextSQLite ctx, DateTime?settlementDate)
        {
            List <RateHistory> RateHistoryList = new List <RateHistory>();

            var command = SqlHelperSQLite.SelectRateHistoryCommand(ctx, null, settlementDate);

            using (var reader = command.ExecuteReader())
            {
                while (reader.Read())
                {
                    var d = new RateHistory
                    {
                        Id          = reader.GetInt32(reader.GetOrdinal("Id")),
                        Type        = reader.GetString(reader.GetOrdinal("Type")),
                        RateId      = reader.GetInt32(reader.GetOrdinal("RateId")),
                        Date        = reader.GetDateTime(reader.GetOrdinal("Date")),
                        High        = reader.IsDBNull(reader.GetOrdinal("High")) ? -1 : reader.GetDouble(reader.GetOrdinal("High")),
                        Low         = reader.IsDBNull(reader.GetOrdinal("Low")) ? -1 : reader.GetDouble(reader.GetOrdinal("Low")),
                        Open        = reader.IsDBNull(reader.GetOrdinal("Open")) ? -1 : reader.GetDouble(reader.GetOrdinal("Open")),
                        Close       = reader.IsDBNull(reader.GetOrdinal("Close")) ? -1 : reader.GetDouble(reader.GetOrdinal("Close")),
                        Theoretical = reader.IsDBNull(reader.GetOrdinal("Theoretical")) ? -1 : reader.GetDouble(reader.GetOrdinal("Theoretical"))
                    };
                    RateHistoryList.Add(d);
                }
            }

            return(RateHistoryList);
        }
Ejemplo n.º 3
0
        internal static List <ExchangeRate> GetXRates(ConnectionContextSQLite ctx, long?idXRate)
        {
            List <ExchangeRate> list = new List <ExchangeRate>();

            var command = SqlHelperSQLite.SelectXRatesCommand(ctx, idXRate);

            using (var reader = command.ExecuteReader())
            {
                //Repository.XRateDic.Clear();
                while (reader.Read())
                {
                    ExchangeRate tmp = new ExchangeRate
                    {
                        Id                  = reader.GetInt32(reader.GetOrdinal("Id")),
                        Name                = reader.IsDBNull(reader.GetOrdinal("Name")) ? null : reader.GetString(reader.GetOrdinal("Name")),
                        ClassName           = reader.IsDBNull(reader.GetOrdinal("ClassName")) ? null : reader.GetString(reader.GetOrdinal("ClassName")),
                        DataProviderId      = reader.IsDBNull(reader.GetOrdinal("DataProviderId")) ? 0 : reader.GetInt32(reader.GetOrdinal("DataProviderId")),
                        DataReference       = reader.IsDBNull(reader.GetOrdinal("DataReference")) ? null : reader.GetString(reader.GetOrdinal("DataReference")),
                        SettlementDays      = reader.IsDBNull(reader.GetOrdinal("SettlementDays")) ? 0 : reader.GetInt32(reader.GetOrdinal("SettlementDays")),
                        FixingPlace         = reader.IsDBNull(reader.GetOrdinal("FixingPlace")) ? null : reader.GetString(reader.GetOrdinal("FixingPlace")),                 //??? temporary solution. fixing place in database is id whereas here we are looking for quantlibclassname of calendar
                        PrimaryCurrencyId   = reader.IsDBNull(reader.GetOrdinal("PrimaryCurrencyCode")) ? 0 : reader.GetInt32(reader.GetOrdinal("PrimaryCurrencyCode")),
                        SecondaryCurrencyId = reader.IsDBNull(reader.GetOrdinal("SecondaryCurrencyCode")) ? 0 : reader.GetInt32(reader.GetOrdinal("SecondaryCurrencyCode"))
                    };

                    list.Add(tmp);
                    //Repository.XRateDic[tmp.Id] = tmp;
                }
            }

            return(list);
        }
Ejemplo n.º 4
0
        internal static List <Currency> GetCurrency(ConnectionContextSQLite ctx, long?idCurrency)
        {
            List <Currency> list = new List <Currency>();

            var command = SqlHelperSQLite.SelectCurrencyCommand(ctx, idCurrency);

            using (var reader = command.ExecuteReader())
            {
                //Repository.CurrencyDic.Clear();

                while (reader.Read())
                {
                    var r = new Currency
                    {
                        Id               = reader.GetInt32(reader.GetOrdinal("Id")),
                        ClassName        = reader.IsDBNull(reader.GetOrdinal("ClassName")) ? null : reader.GetString(reader.GetOrdinal("ClassName")),
                        Name             = reader.IsDBNull(reader.GetOrdinal("Name")) ? null : reader.GetString(reader.GetOrdinal("Name")),
                        Code             = reader.IsDBNull(reader.GetOrdinal("Code")) ? null : reader.GetString(reader.GetOrdinal("Code")),
                        NumericCode      = reader.IsDBNull(reader.GetOrdinal("NumericCode")) ? 0 : reader.GetInt32(reader.GetOrdinal("NumericCode")),
                        FractionsPerUnit = reader.IsDBNull(reader.GetOrdinal("FractionsPerUnit")) ? 0 : reader.GetInt32(reader.GetOrdinal("FractionsPerUnit")),
                        FractionSymbol   = reader.IsDBNull(reader.GetOrdinal("FractionSymbol")) ? null : reader.GetString(reader.GetOrdinal("FractionSymbol")),
                        Symbol           = reader.IsDBNull(reader.GetOrdinal("Symbol")) ? null : reader.GetString(reader.GetOrdinal("Symbol"))
                    };

                    list.Add(r);
                    //Repository.CurrencyDic[r.Id] = r;
                }
            }
            return(list);
        }
Ejemplo n.º 5
0
        internal static List <DayCounter> GetDayCounter(ConnectionContextSQLite ctx, long?idDC, string className)
        {
            List <DayCounter> list = new List <DayCounter>();

            var command = SqlHelperSQLite.SelectDayCounterCommand(ctx, idDC, className);

            using (var reader = command.ExecuteReader())
            {
                //Repository.DayCounterDic.Clear();
                while (reader.Read())
                {
                    var r = new DayCounter
                    {
                        Id        = reader.GetInt32(reader.GetOrdinal("Id")),
                        Name      = reader.IsDBNull(reader.GetOrdinal("Name")) ? null : reader.GetString(reader.GetOrdinal("Name")),
                        ClassName = reader.IsDBNull(reader.GetOrdinal("ClassName")) ? null : reader.GetString(reader.GetOrdinal("ClassName"))
                    };

                    string param = reader.IsDBNull(reader.GetOrdinal("ClassNameParam")) ? null : reader.GetString(reader.GetOrdinal("ClassNameParam"));
                    if (!string.IsNullOrEmpty(param))
                    {
                        r.ClassName += ("::" + param);
                    }

                    list.Add(r);
                    //Repository.DayCounterDic[r.Id] = r;
                }
            }

            return(list);
        }
Ejemplo n.º 6
0
        // instruments used for callibration and valid start date and valid end date
        internal static List <InflationCurveEntryData> GetInflationCurveEntryData(ConnectionContextSQLite ctx, long?idIc, DateTime?settlementDate)
        {
            List <InflationCurveEntryData> EntryDataList = new List <InflationCurveEntryData>();

            var command = SqlHelperSQLite.SelectInflationCurveEntryDataCommand(ctx, idIc, settlementDate);

            using (var reader = command.ExecuteReader())
            {
                // Dictionary<long, ValuePair> entryPointDic = new Dictionary<long, ValuePair>();

                while (reader.Read())
                {
                    var d = new InflationCurveEntryData
                    {
                        InflationCurveId = reader.GetInt32(reader.GetOrdinal("InflationCurveId")),
                        Id             = reader.GetInt32(reader.GetOrdinal("Id")),
                        Type           = reader.GetString(reader.GetOrdinal("Type")),
                        Enabled        = true,                  // default
                        ValidDateBegin = reader.GetDateTime(reader.GetOrdinal("ValidDateStart")),
                        ValidDateEnd   = reader.GetDateTime(reader.GetOrdinal("ValidDateEnd")),
                    };

                    if (d.Type.ToLower() == "inflationbond")
                    {
                        d.Instrument = (InflationBond)GetInflationBond(reader.GetInt32(reader.GetOrdinal("RateId")));
                    }
                    else if (d.Type.ToLower() == "swap")
                    {
                        d.Instrument = (InflationRate)GetInflationRate(reader.GetInt32(reader.GetOrdinal("RateId")));
                    }

                    /*    else if (d.Type.ToLower() == "bond")
                     *      {
                     *              d.Instrument = (Instrument)GetBond(reader.GetInt32(reader.GetOrdinal("RateId")));
                     *      }
                     *      else
                     *      {
                     *              d.Instrument = (Instrument)GetRate(reader.GetInt32(reader.GetOrdinal("RateId")));
                     *      } */


                    //    if (((d.Type == "inflationbond") || (d.Type == "bond")) && (d.Instrument as Bond).MaturityDate <= settlementDate)
                    //         continue;		// skip if bond and maturity date is not in future

                    if ((d.Type == "inflationbond") && (d.Instrument as InflationBond).MaturityDate <= settlementDate)
                    {
                        //     if ((d.Type == "inflationbond") && (d.Instrument as Bond).MaturityDate <= settlementDate)
                        continue;                                       // skip if bond and maturity date is not in future
                    }
                    EntryDataList.Add(d);
                }
            }

            EntryDataList.Sort(new InflationCurveEntryDataCompare());
            return(EntryDataList);
        }
Ejemplo n.º 7
0
        /// <summary>
        /// Retrieves the list of yield curve data
        /// </summary>
        /// <param name="ctx">
        /// The connection context
        /// </param>
        /// <param name="idYc">
        /// The yield curve id
        /// </param>
        /// <param name="idYc">
        /// The date
        /// </param>
        /// <returns>
        /// List of yield curve data
        /// </returns>
        ///
        // ??? obsolete method

        internal static List <YieldCurveData> GetYieldCurveData(ConnectionContextSQLite ctx,
                                                                long?idYc)
        {
            List <YieldCurveData> ycDesc = new List <YieldCurveData>();

            var command = SqlHelperSQLite.SelectYieldCurveDataCommand(ctx, idYc);

            using (var reader = command.ExecuteReader())
            {
                while (reader.Read())
                {
                    var ycs = new YieldCurveSetting
                    {
                        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;

                    ycDesc.Add(new YieldCurveData
                    {
                        Id                = reader.GetInt32(reader.GetOrdinal("Id")),
                        Name              = reader.GetString(reader.GetOrdinal("Name")),
                        Family            = reader.GetString(reader.GetOrdinal("Family")),
                        CurrencyId        = reader.IsDBNull(reader.GetOrdinal("CurrencyId")) ? -1 : reader.GetInt32(reader.GetOrdinal("CurrencyId")),
                        settings          = ycs,
                        entryPointList    = null,
                        discountPointList = null
                    });
                }
            }

            return(ycDesc);
        }
Ejemplo n.º 8
0
        internal static List <Rate> GetRates(ConnectionContextSQLite ctx, long?idRate)
        {
            List <Rate> list = new List <Rate>();

            var command = SqlHelperSQLite.SelectRatesCommand(ctx, idRate);

            using (var reader = command.ExecuteReader())
            {
                //Repository.RateDic.Clear();

                while (reader.Read())
                {
                    Rate tmp = new Rate
                    {
                        Id             = reader.GetInt32(reader.GetOrdinal("Id")),
                        Name           = reader.IsDBNull(reader.GetOrdinal("Name")) ? null : reader.GetString(reader.GetOrdinal("Name")),
                        ClassName      = reader.GetString(reader.GetOrdinal("ClassName")),
                        Type           = reader.GetString(reader.GetOrdinal("Type")),
                        DataProviderId = reader.IsDBNull(reader.GetOrdinal("DataProviderId")) ? 0 : reader.GetInt32(reader.GetOrdinal("DataProviderId")),
                        DataReference  = reader.IsDBNull(reader.GetOrdinal("DataReference")) ? null : reader.GetString(reader.GetOrdinal("DataReference")),
                        IdCcy          = reader.IsDBNull(reader.GetOrdinal("CurrencyId")) ? 0 : reader.GetInt32(reader.GetOrdinal("CurrencyId")),
                        Duration       = reader.IsDBNull(reader.GetOrdinal("Length")) ? 0 : reader.GetInt32(reader.GetOrdinal("Length")),
                        TimeUnit       = reader.IsDBNull(reader.GetOrdinal("TimeUnit")) ? null : reader.GetString(reader.GetOrdinal("TimeUnit")),
                        Accuracy       = reader.IsDBNull(reader.GetOrdinal("Accuracy")) ? 0 : reader.GetInt32(reader.GetOrdinal("Accuracy")),
                        Spread         = reader.IsDBNull(reader.GetOrdinal("Spread")) ? 0 : reader.GetDouble(reader.GetOrdinal("Spread")),
                        SettlementDays = reader.IsDBNull(reader.GetOrdinal("SettlementDays")) ? 0 : reader.GetInt32(reader.GetOrdinal("SettlementDays")),
                        FixingPlace    = reader.IsDBNull(reader.GetOrdinal("FixingPlace")) ? null : reader.GetString(reader.GetOrdinal("FixingPlace")),                      //??? temporary solution. fixing place in database is id whereas here we are looking for quantlibclassname of calendar
                        IdIndex        = reader.IsDBNull(reader.GetOrdinal("IndexId")) ? 0 : reader.GetInt32(reader.GetOrdinal("IndexId")),

                        BasisId        = reader.IsDBNull(reader.GetOrdinal("BasisId")) ? -1 : reader.GetInt32(reader.GetOrdinal("BasisId")),
                        Frequency      = reader.IsDBNull(reader.GetOrdinal("Frequency")) ? null : reader.GetString(reader.GetOrdinal("Frequency")),
                        Compounding    = reader.IsDBNull(reader.GetOrdinal("Compounding")) ? null : reader.GetString(reader.GetOrdinal("Compounding")),
                        IndexDuration  = reader.IsDBNull(reader.GetOrdinal("IndexLength")) ? 0 : reader.GetInt32(reader.GetOrdinal("IndexLength")),
                        IndexTimeUnit  = reader.IsDBNull(reader.GetOrdinal("IndexTimeUnit")) ? null : reader.GetString(reader.GetOrdinal("IndexTimeUnit")),
                        IndexName      = reader.IsDBNull(reader.GetOrdinal("IndexName")) ? null : reader.GetString(reader.GetOrdinal("IndexName")),
                        ClassNameIndex = reader.IsDBNull(reader.GetOrdinal("IndexClassName")) ? null : reader.GetString(reader.GetOrdinal("IndexClassName")),

                        BasisIndexId     = reader.IsDBNull(reader.GetOrdinal("IndexBasisId")) ? -1 : reader.GetInt32(reader.GetOrdinal("IndexBasisId")),
                        FrequencyIndex   = reader.IsDBNull(reader.GetOrdinal("IndexFrequency")) ? null : reader.GetString(reader.GetOrdinal("IndexFrequency")),
                        CompoundingIndex = reader.IsDBNull(reader.GetOrdinal("IndexCompounding")) ? null : reader.GetString(reader.GetOrdinal("IndexCompounding")),
                    };

                    list.Add(tmp);
                    //Repository.RateDic[tmp.Id] = tmp;
                }
            }

            return(list);
        }
Ejemplo n.º 9
0
        internal static List <InflationRate> GetInflationRates(ConnectionContextSQLite ctx, long?idRate)
        {
            List <InflationRate> list = new List <InflationRate>();

            var command = SqlHelperSQLite.SelectInflationRatesCommand(ctx, idRate);

            using (var reader = command.ExecuteReader())
            {
                //Repository.RateDic.Clear();

                while (reader.Read())
                {
                    InflationRate tmp = new InflationRate
                    {
                        Id        = reader.GetInt32(reader.GetOrdinal("Id")),
                        Name      = reader.IsDBNull(reader.GetOrdinal("Name")) ? null : reader.GetString(reader.GetOrdinal("Name")),
                        ClassName =
                            reader.IsDBNull(reader.GetOrdinal("ClassName")) ? null : reader.GetString(reader.GetOrdinal("ClassName")),
                        Type             = reader.GetString(reader.GetOrdinal("Type")),
                        DataProviderId   = reader.IsDBNull(reader.GetOrdinal("DataProviderId")) ? 0 : reader.GetInt32(reader.GetOrdinal("DataProviderId")),
                        DataReference    = reader.IsDBNull(reader.GetOrdinal("DataReference")) ? null : reader.GetString(reader.GetOrdinal("DataReference")),
                        IdCcy            = reader.IsDBNull(reader.GetOrdinal("CurrencyId")) ? 0 : reader.GetInt32(reader.GetOrdinal("CurrencyId")),
                        InflationCurveId = reader.IsDBNull(reader.GetOrdinal("InflationCurveId")) ? 0 : reader.GetInt32(reader.GetOrdinal("InflationCurveId")),

                        Duration       = reader.IsDBNull(reader.GetOrdinal("Length")) ? 0 : reader.GetInt32(reader.GetOrdinal("Length")),
                        TimeUnit       = reader.IsDBNull(reader.GetOrdinal("TimeUnit")) ? null : reader.GetString(reader.GetOrdinal("TimeUnit")),
                        Accuracy       = reader.IsDBNull(reader.GetOrdinal("Accuracy")) ? 0 : reader.GetInt32(reader.GetOrdinal("Accuracy")),
                        SettlementDays = reader.IsDBNull(reader.GetOrdinal("SettlementDays")) ? 0 : reader.GetInt32(reader.GetOrdinal("SettlementDays")),

                        InflationIndexId     = reader.IsDBNull(reader.GetOrdinal("InflationIndexId")) ? 0 : reader.GetInt32(reader.GetOrdinal("InflationIndexId")),
                        InflationLag         = reader.IsDBNull(reader.GetOrdinal("InflationLag")) ? 0 : reader.GetInt32(reader.GetOrdinal("InflationLag")),
                        InflationLagTimeUnit = reader.IsDBNull(reader.GetOrdinal("InflationLagTimeUnit")) ? null : reader.GetString(reader.GetOrdinal("InflationLagTimeUnit")),

                        BasisId       = reader.IsDBNull(reader.GetOrdinal("BasisId")) ? -1 : reader.GetInt32(reader.GetOrdinal("BasisId")),
                        FrequencyId   = reader.IsDBNull(reader.GetOrdinal("FrequencyId")) ? -1 : reader.GetInt32(reader.GetOrdinal("FrequencyId")),
                        Frequency     = reader.IsDBNull(reader.GetOrdinal("Frequency")) ? null : reader.GetString(reader.GetOrdinal("Frequency")),
                        CompoundingId = reader.IsDBNull(reader.GetOrdinal("CompoundingId")) ? -1 : reader.GetInt32(reader.GetOrdinal("CompoundingId")),
                        Compounding   = reader.IsDBNull(reader.GetOrdinal("Compounding")) ? null : reader.GetString(reader.GetOrdinal("Compounding")),
                        Spread        = reader.IsDBNull(reader.GetOrdinal("Spread")) ? 0 : reader.GetDouble(reader.GetOrdinal("Spread")),
                    };

                    list.Add(tmp);
                }
            }

            return(list);
        }
Ejemplo n.º 10
0
        // settings and name
        internal static List <InflationCurveData> GetInflationCurveData(ConnectionContextSQLite ctx, long?idIC)
        {
            List <InflationCurveData> ic = new List <InflationCurveData>();

            var command = SqlHelperSQLite.SelectInflationCurveDataCommand(ctx, idIC);

            using (var reader = command.ExecuteReader())
            {
                while (reader.Read())
                {
                    var ics = new InflationCurveSetting
                    {
                        ZcBasisId     = reader.GetInt32(reader.GetOrdinal("ZcBasisId")),
                        ZcCompounding = reader.GetString(reader.GetOrdinal("ZcCompounding")),
                        ZcFrequency   = reader.GetString(reader.GetOrdinal("ZcFrequency")),
                        ifZc          = reader.GetBoolean(reader.GetOrdinal("ifZC")),
                        ZCColor       = reader.IsDBNull(reader.GetOrdinal("ZCColor")) ? "" : reader.GetString(reader.GetOrdinal("ZCColor")),
                        ifIndex       = reader.GetBoolean(reader.GetOrdinal("ifIndex")),
                        IndexColor    = reader.IsDBNull(reader.GetOrdinal("IndexColor")) ? "" : reader.GetString(reader.GetOrdinal("IndexColor"))
                    };

                    //   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;

                    ic.Add(new InflationCurveData
                    {
                        Id     = reader.GetInt32(reader.GetOrdinal("Id")),
                        Name   = reader.GetString(reader.GetOrdinal("Name")),
                        Family = reader.GetString(reader.GetOrdinal("Family")),
                        //CurrencyId = reader.IsDBNull(reader.GetOrdinal("CurrencyId")) ? -1 : reader.GetInt32(reader.GetOrdinal("CurrencyId")),
                        //InflationIndexId = reader.IsDBNull(reader.GetOrdinal("InflationIndex")) ? -1 : reader.GetInt32(reader.GetOrdinal("InflationIndex")),
                        CurrencyId       = reader.GetInt32(reader.GetOrdinal("CurrencyId")),
                        InflationIndexId = reader.GetInt32(reader.GetOrdinal("InflationIndex")),

                        settings = ics
                    });
                }
            }

            return(ic);
        }
Ejemplo n.º 11
0
        internal static List <EntryPointHistory> GetExchangeRateHistory(ConnectionContextSQLite ctx,
                                                                        long?RateId,
                                                                        DateTime?settlementDate)
        {
            List <EntryPointHistory> outExchangeRateHistoryList = new List <EntryPointHistory>();

            var command = SqlHelperSQLite.SelectExchangeRateHistoryCommand(ctx, RateId, null);

            using (var reader = command.ExecuteReader())
            {
                Dictionary <long, HashSet <HistoricValue> > tmpExchangeRateListDic = new Dictionary <long, HashSet <HistoricValue> >();

                while (reader.Read())
                {
                    var d = new EntryPointHistory
                    {
                        Id             = reader.GetInt32(reader.GetOrdinal("Id")),
                        DataProviderId = reader.IsDBNull(reader.GetOrdinal("DataProviderId")) ? 0 : reader.GetInt32(reader.GetOrdinal("DataProviderId")),
                        DataReference  = reader.IsDBNull(reader.GetOrdinal("DataReference")) ? null : reader.GetString(reader.GetOrdinal("DataReference")),

                        epValueHistory = null
                    };

                    if (!tmpExchangeRateListDic.ContainsKey(d.Id))
                    {
                        tmpExchangeRateListDic[d.Id] = new HashSet <HistoricValue>(new HistoricValueComparer());
                        outExchangeRateHistoryList.Add(d);
                    }

                    tmpExchangeRateListDic[d.Id].Add(new HistoricValue
                    {
                        Value = reader.GetDouble(reader.GetOrdinal("Value")),
                        Date  = reader.GetDateTime(reader.GetOrdinal("Date"))
                    });
                }

                foreach (EntryPointHistory y in outExchangeRateHistoryList)
                {
                    y.epValueHistory = tmpExchangeRateListDic[y.Id];
                }

                outExchangeRateHistoryList.Sort(new EntryPointHistoryCompare());
            }

            return(outExchangeRateHistoryList);
        }
Ejemplo n.º 12
0
        internal static List <InflationBond> GetInflationBonds(ConnectionContextSQLite ctx, long?idBond)
        //  internal static List<Bond> GetInflationBonds(ConnectionContext ctx, long? idBond)
        {
            List <InflationBond> list = new List <InflationBond>();
            //  List<Bond> list = new List<Bond>();

            var command = SqlHelperSQLite.SelectInflationBondsCommand(ctx, idBond);

            using (var reader = command.ExecuteReader())
            {
                //Repository.BondDic.Clear();

                while (reader.Read())
                {
                    InflationBond b = new InflationBond
                                      //    Bond b = new Bond
                    {
                        Id = reader.GetInt32(reader.GetOrdinal("Id")),
                        InflationIndexId = reader.IsDBNull(reader.GetOrdinal("InflationIndexId")) ? 0 : reader.GetInt32(reader.GetOrdinal("InflationIndexId")),
                        Name             = reader.IsDBNull(reader.GetOrdinal("Name")) ? null : reader.GetString(reader.GetOrdinal("Name")),
                        Type             = reader.GetString(reader.GetOrdinal("Type")),
                        DataProviderId   = reader.IsDBNull(reader.GetOrdinal("DataProviderId")) ? 0 : reader.GetInt32(reader.GetOrdinal("DataProviderId")),
                        DataReference    = reader.IsDBNull(reader.GetOrdinal("DataReference")) ? null : reader.GetString(reader.GetOrdinal("DataReference")),
                        IdCcy            = reader.IsDBNull(reader.GetOrdinal("CurrencyId")) ? 0 : reader.GetInt32(reader.GetOrdinal("CurrencyId")),
                        IssueDate        = reader.GetDateTime(reader.GetOrdinal("IssueDate")),
                        MaturityDate     = reader.GetDateTime(reader.GetOrdinal("MaturityDate")),
                        DateGeneration   = reader.IsDBNull(reader.GetOrdinal("DateGeneration")) ? null : reader.GetString(reader.GetOrdinal("DateGeneration")),
                        CouponFrequency  = reader.IsDBNull(reader.GetOrdinal("CouponFrequency")) ? null : reader.GetString(reader.GetOrdinal("CouponFrequency")),
                        Coupon           = reader.IsDBNull(reader.GetOrdinal("Coupon")) ? 0 : reader.GetDouble(reader.GetOrdinal("Coupon")),
                        CouponConvention = reader.IsDBNull(reader.GetOrdinal("CouponConvention")) ? null : reader.GetString(reader.GetOrdinal("CouponConvention")),
                        //CouponBasis = reader.IsDBNull(reader.GetOrdinal("CouponBasis")) ? null : reader.GetString(reader.GetOrdinal("CouponBasis")),
                        CouponBasisId  = reader.IsDBNull(reader.GetOrdinal("CouponBasisId")) ? 0 : reader.GetInt32(reader.GetOrdinal("CouponBasisId")),
                        Redemption     = reader.IsDBNull(reader.GetOrdinal("Redemption")) ? 0 : reader.GetDouble(reader.GetOrdinal("Redemption")),
                        Nominal        = reader.IsDBNull(reader.GetOrdinal("Nominal")) ? 0 : reader.GetDouble(reader.GetOrdinal("Nominal")),
                        SettlementDays = reader.IsDBNull(reader.GetOrdinal("SettlementDays")) ? 0 : reader.GetInt32(reader.GetOrdinal("SettlementDays")),
                        //YieldCurveId = reader.IsDBNull(reader.GetOrdinal("YieldCurveId")) ? 0 : reader.GetInt32(reader.GetOrdinal("YieldCurveId")),
                    };

                    list.Add(b);
                    //Repository.BondDic[b.Id] = b;
                }
            }

            return(list);
        }
Ejemplo n.º 13
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        /// Retrieves the list of yield curve families
        /// </summary>
        /// <param name="ctx">
        /// The connection context
        /// </param>
        /// <param name="idYcFamily">
        /// The id of yield curve family
        /// </param>
        /// <param name="idCcy">
        /// The currency id
        /// </param>
        /// <returns>
        /// List of yield curve families
        /// </returns>

        internal static List <YieldCurveFamily> GetYieldCurveFamily(ConnectionContextSQLite ctx, long?idYcFamily, long?idCcy)
        {
            List <YieldCurveFamily> list = new List <YieldCurveFamily>();

            var command = SqlHelperSQLite.SelectYieldCurveFamilyCommand(ctx, idYcFamily, idCcy);

            using (var reader = command.ExecuteReader())
            {
                while (reader.Read())
                {
                    var r = new YieldCurveFamily
                    {
                        Id         = reader.GetInt32(reader.GetOrdinal("Id")),
                        CurrencyId = reader.GetInt32(reader.GetOrdinal("CurrencyId")),
                        Name       = reader.GetString(reader.GetOrdinal("Name"))
                    };

                    list.Add(r);
                }
            }
            return(list);
        }
Ejemplo n.º 14
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        /// <summary>
        /// Retrieves the list of all markets and their data (only for custom markets, for Quantlib markets -Class names and Market names)
        /// </summary>
        /// <param name="ctx">
        /// The connection context
        /// </param>
        /// </returns>

        internal static List <Calendar> GetCalendars(ConnectionContextSQLite ctx)
        {
            List <Calendar> list = new List <Calendar>();

            var command = SqlHelperSQLite.SelectCalendarsCommand(ctx);

            using (var reader = command.ExecuteReader())
            {
                while (reader.Read())
                {
                    Calendar m = new Calendar
                    {
                        Id         = reader.GetInt32(reader.GetOrdinal("Id")),
                        Name       = reader.IsDBNull(reader.GetOrdinal("Name")) ? null : reader.GetString(reader.GetOrdinal("Name")),
                        ClassName  = reader.GetString(reader.GetOrdinal("ClassName")),
                        MarketName = reader.GetString(reader.GetOrdinal("MarketName")),
                    };

                    list.Add(m);
                }
            }
            return(list);
        }
Ejemplo n.º 15
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        internal static List <EntryPointHistory> GetYieldCurveEntryPointHistory(ConnectionContextSQLite ctx,
                                                                                long?idYc,
                                                                                DateTime?settlementDate)
        {
            List <EntryPointHistory> outEntryPointHistoryList = new List <EntryPointHistory>();

            var command = SqlHelperSQLite.SelectYieldCurveEntryPointHistoryCommand(ctx, idYc, null);

            using (var reader = command.ExecuteReader())
            {
                Dictionary <long, HashSet <HistoricValue> > tmpEntryPointListDic = new Dictionary <long, HashSet <HistoricValue> >();

                while (reader.Read())
                {
                    var d = new EntryPointHistory
                    {
                        YieldCurveId   = reader.GetInt32(reader.GetOrdinal("YieldCurveId")),
                        Id             = reader.GetInt32(reader.GetOrdinal("Id")),
                        Type           = reader.GetString(reader.GetOrdinal("Type")),
                        Length         = reader.IsDBNull(reader.GetOrdinal("Length")) ? 0 : reader.GetInt32(reader.GetOrdinal("Length")),
                        TimeUnit       = reader.IsDBNull(reader.GetOrdinal("TimeUnit")) ? null : reader.GetString(reader.GetOrdinal("TimeUnit")),
                        DataProviderId = reader.GetInt32(reader.GetOrdinal("DataProviderId")),
                        DataReference  = reader.GetString(reader.GetOrdinal("DataReference")),
                        ValidDateBegin = reader.GetDateTime(reader.GetOrdinal("ValidDateBegin")),
                        ValidDateEnd   = reader.GetDateTime(reader.GetOrdinal("ValidDateEnd")),
                        Enabled        = true,
                        epValueHistory = null
                    };

                    d.Instrument = (d.Type == "bond"
                                                                        ? (Instrument)GetBond(reader.GetInt32(reader.GetOrdinal("RateId")), ctx)
                                                                        : (Instrument)GetRate(reader.GetInt32(reader.GetOrdinal("RateId")), ctx)
                                    );

                    if (d.Type == "bond" && (d.Instrument as Bond).MaturityDate <= settlementDate)
                    {
                        continue;                                       // skip if bond and maturity date is not in future
                    }
                    // entry point is read 1st time (1st historic entry) => create new entry in output list + create history hashset
                    if (!tmpEntryPointListDic.ContainsKey(d.Id))
                    {
                        tmpEntryPointListDic[d.Id] = new HashSet <HistoricValue>(new HistoricValueComparer());
                        outEntryPointHistoryList.Add(d);
                    }

                    // add new historic value to the hashset
                    tmpEntryPointListDic[d.Id].Add(new HistoricValue
                    {
                        Value = reader.GetDouble(reader.GetOrdinal("Value")),
                        Date  = reader.GetDateTime(reader.GetOrdinal("Date"))
                    });
                }

                // entryPointSet of output entry points is still null - assign historic values from tmp dictionary constructed
                foreach (EntryPointHistory y in outEntryPointHistoryList)
                {
                    y.epValueHistory = tmpEntryPointListDic[y.Id];
                    y.epValue        = y.epValueHistory.LastOrDefault(i => i.Date <= settlementDate);
                }

                // sort by durations
                outEntryPointHistoryList.Sort(new EntryPointHistoryCompare());
            }

            return(outEntryPointHistoryList);
        }
Ejemplo n.º 16
0
        internal static List <EntryPoint> GetYieldCurveEntryPoint(ConnectionContextSQLite ctx, long?idYc, DateTime?settlementDate)
        {
            List <EntryPoint> outEntryPointList = new List <EntryPoint>();

            var command = SqlHelperSQLite.SelectYieldCurveEntryPointCommand(ctx, idYc, settlementDate);

            using (var reader = command.ExecuteReader())
            {
                //Dictionary<long, HistoricValue> tmpEntryPointDic = new Dictionary<long, HistoricValue>();

                while (reader.Read())
                {
                    var d = new EntryPoint
                    {
                        YieldCurveId   = reader.GetInt32(reader.GetOrdinal("YieldCurveId")),
                        Id             = reader.GetInt32(reader.GetOrdinal("Id")),
                        Type           = reader.GetString(reader.GetOrdinal("Type")),
                        Length         = reader.IsDBNull(reader.GetOrdinal("Length")) ? 0 : reader.GetInt32(reader.GetOrdinal("Length")),
                        TimeUnit       = reader.IsDBNull(reader.GetOrdinal("TimeUnit")) ? null : reader.GetString(reader.GetOrdinal("TimeUnit")),
                        DataProviderId = reader.GetInt32(reader.GetOrdinal("DataProviderId")),
                        DataReference  = reader.GetString(reader.GetOrdinal("DataReference")),
                        Enabled        = true,                  // default
                        ValidDateBegin = reader.GetDateTime(reader.GetOrdinal("ValidDateStart")),
                        ValidDateEnd   = reader.GetDateTime(reader.GetOrdinal("ValidDateEnd")),

                        epValue = new HistoricValue
                        {
                            Value = reader.GetDouble(reader.GetOrdinal("Value")),
                            Date  = reader.GetDateTime(reader.GetOrdinal("Date"))
                        }
                    };

                    d.Instrument = (d.Type == "bond"
                                                                        ? (Instrument)GetBond(reader.GetInt32(reader.GetOrdinal("RateId")), ctx)
                                                                        : (Instrument)GetRate(reader.GetInt32(reader.GetOrdinal("RateId")), ctx)
                                    );

                    if (d.Type == "bond" && (d.Instrument as Bond).MaturityDate <= settlementDate)
                    {
                        continue;                                       // skip if bond and maturity date is not in future
                    }

                    /*
                     * // if does not exist yet -> will create new record with values
                     * tmpEntryPointDic[d.Id] = new HistoricValue
                     * {
                     *      Value = reader.GetDouble(reader.GetOrdinal("Value")),
                     *      Date = reader.GetDateTime(reader.GetOrdinal("Date"))
                     * };
                     */
                    outEntryPointList.Add(d);
                }

                /*
                 * // when all data are read - put entry points values into output list
                 * foreach (EntryPoint y in outEntryPointList)
                 * {
                 *      y.epValue = tmpEntryPointDic[y.Id];
                 * }
                 */

                // sort list by durations
                outEntryPointList.Sort(new EntryPointCompare());
            }

            return(outEntryPointList);
        }