public T GetData <T>(string key) where T : GuidObject
{
DependentObject dobj = null;
//_dispatcher.Invoke(new Action(() =>
//{
// try
// {
// _doManager.GetObject(key, out dobj);
// }
// catch (Exception ex)
// {
// Logger.Error(string.Format("Error when building dependency tree {0}", ex.GetDetail()));
// }
//}), DataGetPriority);
try
{
_doManager.GetObject(key, out dobj);
}
catch (Exception ex)
{
Logger.Error(string.Format("Error when building dependency tree {0}", ex.GetDetail()));
}
if (dobj == null)
{
throw new PricingBaseException(string.Format("Cannot find market object {0}", key));
}
return(dobj.Value as T);
}
public void Save()
{
DependentObject savedObject = new DependentObject {
SifObjectName = "StudentAttendance", ObjectKeyValue = "key3"
};
(new DependentObjectDao()).Save(savedObject);
if (log.IsDebugEnabled)
{
log.Debug("Saved object: " + savedObject);
}
Console.WriteLine("Saved object: " + savedObject);
using (ISession session = sessionFactory.OpenSession())
{
DependentObject comparisonObject = session.Get <DependentObject>(savedObject.Id);
if (log.IsDebugEnabled)
{
log.Debug("Comparison object: " + comparisonObject);
}
Console.WriteLine("Comparison object: " + comparisonObject);
Assert.IsNotNull(comparisonObject);
Assert.AreNotSame(savedObject, comparisonObject);
Assert.AreEqual(savedObject.SifObjectName, comparisonObject.SifObjectName);
Assert.AreEqual(savedObject.ObjectKeyValue, comparisonObject.ObjectKeyValue);
}
}
public void RetrieveFail()
{
using (ISession session = sessionFactory.OpenSession())
{
DependentObject addedObject = new DependentObject {
SifObjectName = "StudentPersonal", ObjectKeyValue = "st1", ApplicationId = "app1", ZoneId = "zone1"
};
session.Save(addedObject);
}
DependentObject retrievedObject = (new DependentObjectDao()).Retrieve("StudentPersonal", "st1", "app1", "zone1");
}
public void Retrieve()
{
DependentObject retrievedObject = (new DependentObjectDao()).Retrieve("StudentPersonal", "st1", "app1", "zone1");
if (log.IsDebugEnabled)
{
log.Debug("Retrieved object: " + retrievedObject);
}
Console.WriteLine("Retrieved object: " + retrievedObject);
Assert.AreEqual("StudentPersonal", retrievedObject.SifObjectName);
Assert.AreEqual("st1", retrievedObject.ObjectKeyValue);
Assert.AreEqual("app1", retrievedObject.ApplicationId);
Assert.AreEqual("zone1", retrievedObject.ZoneId);
}
public void RetrieveDependentObject()
{
DependentObject retrievedObject = (new DependentObjectCacheService()).RetrieveDependentObject("StudentPersonal", "@RefId=7C834EA9EDA12090347F83297E1C290C", "SbpDemo", "SIFDemo");
if (log.IsDebugEnabled)
{
log.Debug("Retrieved object: " + retrievedObject);
}
Console.WriteLine("Retrieved object: " + retrievedObject);
Assert.AreEqual("StudentPersonal", retrievedObject.SifObjectName);
Assert.AreEqual("@RefId=7C834EA9EDA12090347F83297E1C290C", retrievedObject.ObjectKeyValue);
Assert.AreEqual("SbpDemo", retrievedObject.ApplicationId);
Assert.AreEqual("SIFDemo", retrievedObject.ZoneId);
}
public void Delete()
{
DependentObject deletedObject = dependentObjects[0];
(new DependentObjectDao()).Delete(deletedObject);
if (log.IsDebugEnabled)
{
log.Debug("Deleted object: " + deletedObject);
}
Console.WriteLine("Deleted object: " + deletedObject);
using (ISession session = sessionFactory.OpenSession())
{
ICollection <DependentObject> objs = session.CreateCriteria(typeof(DependentObject)).List <DependentObject>();
Assert.AreEqual(dependentObjects.Length - 1, objs.Count);
}
}
/// <see cref="Systemic.Sif.Sbp.Framework.Service.IDependentObjectCacheService.MarkAsRequested(DependentObject, string, string)">MarkAsRequested</see>
public void MarkAsRequested(DependentObject dependentObject, string agentId, string zoneId)
{
if (dependentObject == null)
{
throw new ArgumentNullException("cachedObject");
}
if (String.IsNullOrEmpty(agentId) || String.IsNullOrEmpty(zoneId))
{
throw new ArgumentException("agentId and/or zoneId parameter is null or empty.");
}
dependentObject.AgentId = agentId;
dependentObject.ZoneId = zoneId;
dependentObject.RequestedDate = DateTime.Now;
dependentObject.Requested = true;
dependentObjectDao.Save(dependentObject);
}
/// <summary>
/// This method will check whether the specified sifDataObject exists as a dependent object in the cache. If
/// it does, it is no longer required and can be removed.
/// </summary>
/// <param name="sifDataObject">SIF Data Object to check against the cache.</param>
/// <param name="zone">Zone the SIF Data Object was received from.</param>
/// <returns>This method will always return true.</returns>
/// <exception cref="System.ArgumentException">sifDataObject or zone parameter is null.</exception>
private bool PreProcessSifDataObject(T sifDataObject, IZone zone)
{
if (sifDataObject == null)
{
throw new ArgumentNullException("sifDataObject");
}
if (zone == null)
{
throw new ArgumentNullException("zone");
}
SifDataObjectMetadata <T> metadata = MetadataInstance(sifDataObject);
if (log.IsDebugEnabled)
{
log.Debug(this.GetType().Name + " preprocessing " + metadata.ObjectName + " (" + metadata.SifUniqueId + ") for application " + ApplicationId + " in zone " + zone.ZoneId + ".");
}
DependentObject dependentObject = cacheService.RetrieveDependentObject(metadata.ObjectName, metadata.SifUniqueId, ApplicationId, zone.ZoneId);
// If this object exists as a dependent object in the cache, it is now no longer required and can be
// removed.
if (dependentObject != null)
{
if (log.IsInfoEnabled)
{
log.Info(metadata.ObjectName + " (" + metadata.SifUniqueId + ") removed from the cache as it has now been received.");
}
cacheService.DeleteDependentObject(dependentObject);
}
else
{
if (log.IsDebugEnabled)
{
log.Debug(metadata.ObjectName + " (" + metadata.SifUniqueId + ") did not exist in the cache.");
}
}
return(true);
}
public void RetrieveById()
{
DependentObject retrievedObject = (new DependentObjectDao()).RetrieveById((long)1);
if (log.IsDebugEnabled)
{
log.Debug("Retrieved object: " + retrievedObject);
}
Console.WriteLine("Retrieved object: " + retrievedObject);
using (ISession session = sessionFactory.OpenSession())
{
DependentObject comparisonObject = session.Get <DependentObject>((long)1);
if (log.IsDebugEnabled)
{
log.Debug("Comparison object: " + comparisonObject);
}
Console.WriteLine("Comparison object: " + comparisonObject);
Assert.IsNotNull(comparisonObject);
Assert.AreNotSame(retrievedObject, comparisonObject);
Assert.AreEqual(retrievedObject.SifObjectName, comparisonObject.SifObjectName);
Assert.AreEqual(retrievedObject.ObjectKeyValue, comparisonObject.ObjectKeyValue);
}
}
public void RetrieveNull()
{
DependentObject retrievedObject = (new DependentObjectDao()).Retrieve("FakeSifObject", "key0", "app0", "zone0");
Assert.IsNull(retrievedObject);
}
/// <see cref="Systemic.Sif.Sbp.Framework.Service.IDependentObjectCacheService.DeleteDependentObject(DependentObject)">DeleteDependentObject</see>
public void DeleteDependentObject(DependentObject dependentObject)
{
dependentObjectDao.Delete(dependentObject);
}
private void CreateInitialData()
{
DependentObject dependentObject1 = new DependentObject {
SifObjectName = "StudentPersonal", ObjectKeyValue = "st1"
};
DependentObject dependentObject2 = new DependentObject {
SifObjectName = "StudentPersonal", ObjectKeyValue = "st2"
};
cachedObjects = new[]
{
new CachedObject
{
SifObjectName = "TeachingGroup", ObjectKeyValue = "tg1", ApplicationId = "app1", ZoneId = "zone1", DependentObjects = new Collection <DependentObject>
{
dependentObject1,
dependentObject2
}
},
new CachedObject
{
SifObjectName = "StudentSchoolEnrolment", ObjectKeyValue = "se1", DependentObjects = new Collection <DependentObject>
{
dependentObject1
}
},
new CachedObject
{
SifObjectName = "StudentPersonal", ObjectKeyValue = "sp1", AgentId = "agent", ApplicationId = "app", ExpiryDate = DateTime.Now.Subtract(TimeSpan.FromDays(1)), DependentObjects = new Collection <DependentObject>
{
new DependentObject {
SifObjectName = "DummyObject1", ObjectKeyValue = "do1"
}
}
},
new CachedObject
{
SifObjectName = "StudentPersonal", ObjectKeyValue = "sp2", AgentId = "agent", ApplicationId = "app", ExpiryDate = DateTime.Now.AddDays(1), DependentObjects = new Collection <DependentObject>
{
new DependentObject {
SifObjectName = "DummyObject2", ObjectKeyValue = "do2"
}
}
},
new CachedObject {
SifObjectName = "StudentPersonal", ObjectKeyValue = "sp3", AgentId = "agent", ApplicationId = "app"
}
};
using (ISession session = sessionFactory.OpenSession())
{
using (ITransaction transaction = session.BeginTransaction())
{
foreach (CachedObject cachedObject in cachedObjects)
{
session.Save(cachedObject);
}
transaction.Commit();
}
}
}
public ParentObject(DependentObject dependent)
{
_dependent = dependent;
}
private GuidObject CurveBuiltFromDependents(DependentObject fatherNode, DependentObject[] childrenNodes)
{
IMarketCondition baseMarket;
if (childrenNodes.Any(x => x is InstrumentCurveObject))
{
var baseCurve = (CurveData)childrenNodes.First().Value;
baseMarket = new MarketCondition(x => x.ValuationDate.Value = Market.ReferenceDate,
x => x.HistoricalIndexRates.Value = Market.HistoricalIndexRates,
x => x.DiscountCurve.Value = baseCurve.YieldCurve,
x => x.FixingCurve.Value = baseCurve.YieldCurve,
x => x.FgnDiscountCurve.Value = baseCurve.YieldCurve);
}
else
{
baseMarket = new MarketCondition(x => x.ValuationDate.Value = Market.ReferenceDate,
x => x.HistoricalIndexRates.Value = Market.HistoricalIndexRates);
}
var rateDefinitions = childrenNodes.Where(x => x.Value is RateMktData).Select(x => (RateMktData)x.Value).ToArray();
var fxSpotDefinition = rateDefinitions.Where(x => x.InstrumentType.ToInstrumentType() == InstrumentType.FxSpot).ToArray();
if (fxSpotDefinition.Count() > 1)
{
throw new PricingBaseException("A yield curve cannot have more than 2 fx rates against its base curve's currency");
}
if (fxSpotDefinition.Any())
{
baseMarket = baseMarket.UpdateCondition(
new UpdateMktConditionPack <FxSpot[]>(x => x.FxSpots, new[] { CreateFxSpot(fxSpotDefinition[0]) }));
}
var curveConvention = childrenNodes.Last().Value as CurveConvention;
if (curveConvention == null)
{
Logger.ErrorFormat("Curve conventions are missing!");
return(null);
}
var isRegridded = rateDefinitions.All(x => x.IndexType != null && x.IndexType.ToIndexType() == IndexType.Regridded);
if (isRegridded)
{
var yieldCurve = baseMarket.DiscountCurve.Value;
var tempRateDefinitions = new List <RateMktData>();
foreach (var tenor in Definition.RegriddedTenors)
{
var date = new Term(tenor).Next(yieldCurve.ReferenceDate);
if (date > yieldCurve.KeyPoints.Last().Item1)
{
date = yieldCurve.KeyPoints.Last().Item1;
}
tempRateDefinitions.Add(new RateMktData(date.ToString(), GetParRate(date, yieldCurve), "SwapParRate", "InterestRateSwap", Definition.Name));
}
rateDefinitions = tempRateDefinitions.ToArray();
}
YieldCurve instrumentCurve;
//This branch is for bond pnl calculation
if (rateDefinitions.All(
x => x.InstrumentType.ToInstrumentType() == InstrumentType.Dummy || x.InstrumentType.ToInstrumentType() == InstrumentType.None))
{
if (rateDefinitions.All(x => x.IsTerm()))
{
instrumentCurve = new YieldCurve(
Definition.Name,
Market.ReferenceDate,
rateDefinitions.Select(x => Tuple.Create((ITerm) new Term(x.Tenor), x.Rate)).ToArray(),
curveConvention.BusinessDayConvention.ToBda(),
curveConvention.DayCount.ToDayCountImpl(),
curveConvention.Calendar.ToCalendarImpl(),
curveConvention.Currency.ToCurrencyCode(),
curveConvention.Compound.ToCompound(),
curveConvention.Interpolation.ToInterpolation(),
Definition.Trait.ToYieldCurveTrait(),
baseMarket
);
}
else
{
instrumentCurve = new YieldCurve(
Definition.Name,
Market.ReferenceDate,
rateDefinitions.Select(x => Tuple.Create(new Date(DateTime.Parse(x.Tenor)), x.Rate)).ToArray(),
curveConvention.BusinessDayConvention.ToBda(),
curveConvention.DayCount.ToDayCountImpl(),
curveConvention.Calendar.ToCalendarImpl(),
curveConvention.Currency.ToCurrencyCode(),
curveConvention.Compound.ToCompound(),
curveConvention.Interpolation.ToInterpolation(),
Definition.Trait.ToYieldCurveTrait(),
baseMarket
);
}
}
else
{
var mktInstruments = new List <MarketInstrument>();
foreach (var rateDefinition in rateDefinitions)
{
MktInstrumentCalibMethod calibrationMethod;
var instType = rateDefinition.InstrumentType.ToInstrumentType();
switch (instType)
{
case InstrumentType.InterestRateSwap:
var swap = CreateIrsInstrument(rateDefinition, out calibrationMethod);
mktInstruments.Add(new MarketInstrument(swap, rateDefinition.Rate, calibrationMethod));
break;
case InstrumentType.Deposit:
case InstrumentType.Repo:
case InstrumentType.Ibor:
var deposit = CreateDepositInstrument(rateDefinition, out calibrationMethod);
mktInstruments.Add(new MarketInstrument(deposit, rateDefinition.Rate, calibrationMethod));
break;
case InstrumentType.Dummy:
case InstrumentType.None:
var dummy = CreateDummyInstrument(rateDefinition);
mktInstruments.Add(new MarketInstrument(dummy, rateDefinition.Rate, MktInstrumentCalibMethod.Default));
break;
case InstrumentType.CreditDefaultSwap:
var cds = CreateCreditDefaultSwap(rateDefinition);
mktInstruments.Add(new MarketInstrument(cds, rateDefinition.Rate, MktInstrumentCalibMethod.Default));
break;
case InstrumentType.CommodityForward:
mktInstruments.Add(new MarketInstrument(CreateCommodityForward(rateDefinition), rateDefinition.Rate, MktInstrumentCalibMethod.Default));
break;
case InstrumentType.CommoditySpot:
//baseMarket = baseMarket.UpdateCondition(new UpdateMktConditionPack<double>(x => x.SpotPrices, rateDefinition.Rate));
baseMarket = baseMarket.UpdateCondition(new UpdateMktConditionPack <Dictionary <string, double> >(x => x.SpotPrices, new Dictionary <string, double> {
{ "", rateDefinition.Rate }
}));
break;
case InstrumentType.FxSpot:
break;
default:
throw new PricingLibraryException("Unrecognized product type in calibrating curve.");
}
#region legacy code
// if (rateDefinition.InstrumentType.ToInstrumentType() == InstrumentType.InterestRateSwap)
//{
// var swap = CreateIrsInstrument(rateDefinition, out calibrationMethod);
// mktInstruments.Add(new MarketInstrument(swap, rateDefinition.Rate, calibrationMethod));
//}
//else if ( instType == InstrumentType.Deposit
// || rateDefinition.InstrumentType.ToInstrumentType() == InstrumentType.Repo
// || rateDefinition.InstrumentType.ToInstrumentType() == InstrumentType.Ibor)
//{
// var deposit = CreateDepositInstrument(rateDefinition, out calibrationMethod);
// mktInstruments.Add(new MarketInstrument(deposit, rateDefinition.Rate, calibrationMethod));
//}
//else if (rateDefinition.InstrumentType.ToInstrumentType() == InstrumentType.Dummy ||
// rateDefinition.InstrumentType.ToInstrumentType() == InstrumentType.None)
//{
// var dummy = CreateDummyInstrument(rateDefinition);
// mktInstruments.Add(new MarketInstrument(dummy, rateDefinition.Rate, MktInstrumentCalibMethod.Default));
//}
//else if (rateDefinition.InstrumentType.ToInstrumentType() == InstrumentType.CreditDefaultSwap)
//{
// var cds = CreateCreditDefaultSwap(rateDefinition);
// mktInstruments.Add(new MarketInstrument(cds, rateDefinition.Rate, MktInstrumentCalibMethod.Default));
//}
//else if (rateDefinition.InstrumentType.ToInstrumentType() == InstrumentType.CommodityForward)
//{
// mktInstruments.Add(new MarketInstrument(CreateCommodityForward(rateDefinition), rateDefinition.Rate, MktInstrumentCalibMethod.Default));
//}
//else if (rateDefinition.InstrumentType.ToInstrumentType() == InstrumentType.CommoditySpot)
//{
// //baseMarket = baseMarket.UpdateCondition(new UpdateMktConditionPack<double>(x => x.SpotPrices, rateDefinition.Rate));
// baseMarket = baseMarket.UpdateCondition(new UpdateMktConditionPack<Dictionary<string, double>>(x => x.SpotPrices, new Dictionary<string, double> { {"", rateDefinition.Rate } }));
// }
//else if (rateDefinition.InstrumentType.ToInstrumentType() == InstrumentType.FxSpot)
//{
//}
//else
//{
// throw new PricingLibraryException("Unrecognized product type in calibrating curve.");
//}
#endregion legacy code
}
var isSpcCurve = rateDefinitions.All(x => x.IndexType != null && x.IndexType.ToIndexType() == IndexType.Spc);
var isConvenicenYield = rateDefinitions.All(x => x.IndexType != null && x.IndexType.ToIndexType() == IndexType.ConvenienceYield);
Expression <Func <IMarketCondition, object> >[] expression = null;
if (isSpcCurve)
{
expression = new Expression <Func <IMarketCondition, object> >[] { x => x.SurvivalProbabilityCurve }
}
;
if (isConvenicenYield)
{
expression = new Expression <Func <IMarketCondition, object> >[] { x => x.DividendCurves }
}
;
instrumentCurve = new YieldCurve(
Definition.Name,
Market.ReferenceDate,
mktInstruments.ToArray(),
curveConvention.BusinessDayConvention.ToBda(),
curveConvention.DayCount.ToDayCountImpl(),
curveConvention.Calendar.ToCalendarImpl(),
curveConvention.Currency.ToCurrencyCode(),
curveConvention.Compound.ToCompound(),
curveConvention.Interpolation.ToInterpolation(),
Definition.Trait.ToYieldCurveTrait(),
baseMarket,
expression,
null
);
}
return(new CurveData(instrumentCurve));
}
