protected RateCurveBase(
string name_,
CurveIDs forecastCurve_,
CurveIDs discountCurve_,
string otHolidayCode_,
int daysToSpot_,
int maxTenor_,
long fixedFreq_,
long floatFreq_,
BondAnalytics.DayCountType fixedDC_,
BondAnalytics.DayCountType floatDC_
)
{
CurveName = name_;
OTHolidayCode = otHolidayCode_;
ForecastCurve = forecastCurve_;
DiscountCurve = discountCurve_;
DaysToSpot = daysToSpot_;
MaxTenor = maxTenor_;
FixedFreq = fixedFreq_;
FloatFreq = floatFreq_;
FixedDayCount = fixedDC_;
FloatDayCount = floatDC_;
}
public async Task<DFs> BackFillFromSymmetryTS(string holidayCode_, int spotStart_, CurveIDs curve_)
{
if (string.IsNullOrEmpty(curve_.SymmetryTSName))
{
Logger.Error(string.Format("Cannot backfill {0} as SymmetryTS moniker name not set", curve_.CarbonCurveName),
typeof (DFsWorker));
return null;
}
else
Logger.Info(string.Format("Backfilling {0} using symmetryTS discount curves", curve_.CarbonCurveName),
typeof (DFsWorker));
// first we need to get the list of dates for the given holidaycode
var datesRecord =
TenorDatesCache.Instance()
.InnerList.FirstOrDefault(
x =>
x.SpotStart == spotStart_ &&
string.Compare(holidayCode_, x.HolidayCode, StringComparison.OrdinalIgnoreCase) == 0);
if (datesRecord == null)
{
Logger.Error(
string.Format("cannot update DFs as can't find a calendar object with params [spotStart={0},Calendar={1}]",
spotStart_, holidayCode_), typeof(DFsWorker));
return null;
}
var record = DFsCache.Instance().InnerList.FirstOrDefault(x =>
String.Compare(x.Curvename, curve_.CarbonCurveName, StringComparison.OrdinalIgnoreCase) == 0);
// if we haven't got a current record, then nothing to 'backfill' as such, so just exit
if(record==null)
{
Logger.Info(string.Format("Could not find a document to update for {0}", curve_.CarbonCurveName),
typeof (DFsWorker));
return null;
}
var updated = false;
var firstDateForWhichWeHaveDFs = record.DFValues.FirstDate;
for (int i = 0; i < datesRecord.Dates.Keys.Count && datesRecord.Dates.Keys[i] < DateTime.Today; ++i)
{
var date = datesRecord.Dates.Keys[i];
var df = SObjectManager.Instance().LoadSObject<DiscountCurve>(new Moniker()
{
Close="mlp",
Source="mlp",
Name=curve_.SymmetryTSName.ToLower(),
Type="discountcurve",
Date=date
});
if (df == null)
{
Logger.Error(
string.Format("Cannot get discount curve for {0} for date {1}", curve_.SymmetryTSName,
date.ToString("dd-MMM-yyyy")), typeof(DFsWorker));
continue;
}
else
{
Logger.Info(
string.Format("Pulled DFs for {0} on {1}", curve_.CarbonCurveName, date.ToString("dd-MMM-yyyy")),
typeof (DFsWorker));
}
var dbls = df.AsDoubleArray();
var dates = dbls.SliceColumn(0).Select(x => DateTime.FromOADate(x)).ToList();
var values = dbls.SliceColumn(1).ToList();
// ensure first date is in place with value = 1d
if (dates.Count>0 && dates.First() > date)
{
dates.Insert(0, date);
values.Insert(0, 1d);
}
updated = true;
record.DFValues.SetValueOnDate(date, new DatedDataCollectionGen<double>(dates.ToArray(), values.ToArray()));
}
if (updated)
{
Logger.Info(string.Format("Writing {0} DFs to mongo...", curve_.CarbonCurveName), typeof (DFsWorker));
await DFsCache.Instance().AddOrUpdateDefinition(record);
}
return record;
}
public async Task<DFs> GoAll(string holidayCode_, int spotStart_, CurveIDs curve_, CarbonClient cc_, bool forceReRead_=false)
{
Logger.Info(string.Format("Considering {0} DFs...", curve_.CarbonCurveName), typeof (DFsWorker));
// first we need to get the list of dates for the given holidaycode
var datesRecord =
TenorDatesCache.Instance()
.InnerList.FirstOrDefault(
x =>
x.SpotStart == spotStart_ &&
string.Compare(holidayCode_, x.HolidayCode, StringComparison.OrdinalIgnoreCase) == 0);
if (datesRecord == null)
{
Logger.Error(
string.Format("cannot update DFs as can't find a calendar object with params [spotStart={0},Calendar={1}]",
spotStart_, holidayCode_), typeof (DFsWorker));
return null;
}
var taDFs = DFsCache.Instance().InnerList.FirstOrDefault(x =>
String.Compare(x.Curvename, curve_.CarbonCurveName, StringComparison.OrdinalIgnoreCase) == 0);
if (taDFs == null)
{
taDFs = new DFs()
{
Curvename=curve_.CarbonCurveName,
};
}
var carbonDFs = await CarbonCurveRetriever.Instance().GetDailyCurveDFs(cc_, datesRecord, curve_.CarbonCurveName);
if (carbonDFs == null)
{
Logger.Error(string.Format("Did not successfully retrieve DFs for {0} from carbon", curve_.CarbonCurveName),
typeof (DFsWorker));
return null;
}
bool updated = false;
if (taDFs.DFValues == null || forceReRead_)
{
updated = true;
taDFs.DFValues = carbonDFs;
}
else
{
foreach (var date in carbonDFs.Dates)
{
bool needToSet = !taDFs.DFValues.HasDate(date);
if (!needToSet && date>DateTime.Today.AddMonths(-1))
{
needToSet = true;
var current = taDFs.DFValues.ValueOnExactDate(date);
var carbon = carbonDFs.ValueOnExactDate(date);
if (current!=null && carbon!=null && current.Data!=null && carbon.Data!=null && (current.Data.Sum() - carbon.Data.Sum()).IsZero())
{
needToSet = false;
}
else
Logger.Debug(
string.Format("Going to update dfs for {0} on {1}", curve_.CarbonCurveName, date.ToString("dd-MMM-yyyy")),
typeof(DFsWorker));
}
if (!needToSet) continue;
Logger.Debug(
string.Format("Adding in dfs for {0} on {1}", curve_.CarbonCurveName, date.ToString("dd-MMM-yyyy")),
typeof (DFsWorker));
updated = true;
taDFs.DFValues.SetValueOnDate(date, carbonDFs.ValueOnDate(date));
}
}
// persist the fixings if the curve has details
if (!string.IsNullOrEmpty(curve_.CurveFixingTicker))
{
var pxs = new SymmetryTSInstrument(curve_.CurveFixingTicker).GetPrices();
if (pxs != null)
{
if (taDFs.FixingValues == null ||
(taDFs.FixingValues.LastDate < pxs.LastDate))
{
taDFs.FixingValues = pxs.GetValuesBetweenDates(datesRecord.Dates.Keys[0],DateTime.Today);
updated = true;
}
}
}
if (updated)
{
var result = await DFsCache.Instance().AddOrUpdateDefinition(taDFs);
Logger.Info(string.Format("Updated DFs on server for {0}. Result = {1}", curve_.CarbonCurveName, result),
typeof (DFsWorker));
}
else
Logger.Info(string.Format("Not updating {0} DFs as nothing changed", curve_.CarbonCurveName),
typeof(DFsWorker));
return taDFs;
}