public static IReadOnlyDictionary<DateTime, DiscountCurve> BulkGetHistoricEodDiscountCurvesFromCarbon(ICarbonClient client,
List<DateTime> settleDates, string ccy, bool bOis)
{
var inputDateKind = settleDates.FirstOrDefault().Kind;
var dict = new ConcurrentDictionary<DateTime, DiscountCurve>();
var dates = new List<DateTime>();
foreach (var settleDate in settleDates)
{
DiscountCurve data;
var key = GetKeyForDiscountCurveCache(settleDate, ccy, bOis);
if (DicountCurveDataCache.TryGetValue(key, out data))
{
dict[settleDate] = data;
}
else if (settleDate <= DateTime.Today)
{
dates.Add(settleDate);
}
}
if (dates.Count == 0) return dict.ToDictionary(kvp => kvp.Key, kvp => kvp.Value);
var curveName = GetCurveName(ccy, bOis);
if (string.IsNullOrEmpty(curveName)) return new Dictionary<DateTime, DiscountCurve>();
try
{
var start = dates.Min();
var end = dates.Max();
if (dates.Count > 16)
{
start = new DateTime(start.Year, start.Month, start.Day, 0, 0, 0, DateTimeKind.Utc);
end = new DateTime(end.Year, end.Month, end.Day, 0, 0, 0, DateTimeKind.Utc);
var datas = client.GetTimeSeriesData(curveName.ToUpperInvariant(), "interestcurves-ot", start, end, "dfs");
if (datas != null)
{
Parallel.ForEach(datas, messagePackObject =>
{
try
{
var curve = messagePackObject.Value.ConvertMessagePackObjectToDiscountFactors();
if (curve == null) return;
var dicountCurve = new DiscountCurve(new FinCADTable(curve, false));
var date = new DateTime(messagePackObject.Key.Year, messagePackObject.Key.Month, messagePackObject.Key.Day, 0, 0, 0, inputDateKind);
dict.TryAdd(date, dicountCurve);
var key = GetKeyForDiscountCurveCache(messagePackObject.Key, ccy, bOis);
DicountCurveDataCache.TryAdd(key, dicountCurve);
}
catch (Exception ex)
{
Log.ErrorFormat("Failed to convert curve {0} : {1}", curveName, ex);
}
});
}
}
else
{
Parallel.ForEach(dates, date =>
{
try
{
var curve = GetHistoricEodDiscountCurveFromCarbon(client, date, ccy, bOis);
if (curve == null) return;
dict.TryAdd(date, curve);
var key = GetKeyForDiscountCurveCache(date, ccy, bOis);
DicountCurveDataCache.TryAdd(key, curve);
}
catch (Exception ex)
{
SLog.log.ErrorFormat("Failed to get curve {0} : {1}", curveName, ex);
}
});
}
}
catch (Exception ex)
{
SLog.log.ErrorFormat("Failed to get curve {0} : {1}", curveName, ex);
}
return dict.ToDictionary(kvp => kvp.Key, kvp => kvp.Value);
}
private static IReadOnlyDictionary<string, IReadOnlyDictionary<DateTime, double>> BulkGetHistoricPricesFromCarbonOneBond(ICarbonClient client,
AnalyticsBondStaticData bondData,
List<DateTime> dateSeries)
{
var dict = new Dictionary<DateTime, double>();
var dates = new List<DateTime>();
if (bondData != null)
{
foreach (var date in dateSeries)
{
var d = GetBondPricesFromCache(bondData.Id, date);
if (d.HasValue)
{
dict[date] = d.Value;
}
else if (date <= DateTime.Today)
{
dates.Add(date);
}
}
if (dates.Count > 0)
{
var inputDateKind = dateSeries.FirstOrDefault().Kind;
var snapSource = GetBondPriceSnapSource(bondData);
var end = dates.Max();
var start = dates.Min();
SLog.log.InfoFormat("Request bond price for {0} days", dates.Count);
start = new DateTime(start.Year, start.Month, start.Day, 0, 0, 0, DateTimeKind.Utc);
end = new DateTime(end.Year, end.Month, end.Day, 0, 0, 0, DateTimeKind.Utc);
var datas = client.GetTimeSeriesData(bondData.Id, snapSource, start, end, "close");
if (datas != null)
{
foreach (var data in datas)
{
try
{
var close = data.Value.AsDouble();
var date = new DateTime(data.Key.Year, data.Key.Month, data.Key.Day, 0, 0, 0, inputDateKind);
dict[date] = close;
AddBondPricesToCache(bondData.Id, date, close);
}
catch (Exception ex)
{
SLog.log.ErrorFormat("Failed to convert close price for {0} : {1}", bondData.Id, ex);
}
}
}
}
}
return new Dictionary<string, IReadOnlyDictionary<DateTime, double>> { { bondData.Id, dict } };
}
private static IReadOnlyDictionary<DateTime, double> GetGcRates(ICarbonClient client, BondAnalytics.Country country, List<DateTime> dates)
{
var result = new Dictionary<DateTime, double>();
var inputDateKind = dates.FirstOrDefault().Kind;
switch (country)
{
case BondAnalytics.Country.US:
var datesToRequest = new List<DateTime>();
foreach (var date in dates)
{
var d = GetGcRateFromCache(country, date);
if (d.HasValue)
{
result[date] = d.Value;
}
else if (date <= DateTime.Today)
{
datesToRequest.Add(date);
}
}
if (datesToRequest.Count == 0) return result;
var nomgcRateDates = datesToRequest.Where(d => d < new DateTime(2016, 6, 25)).ToList();
var usgcRateDates = datesToRequest.Where(d => d >= new DateTime(2016, 6, 25)).ToList();
if (nomgcRateDates.Count > 0)
{
var end = nomgcRateDates.Max();
var start = nomgcRateDates.Min();
SLog.log.InfoFormat("Request gc rates for {0} days", nomgcRateDates.Count);
start = new DateTime(start.Year, start.Month, start.Day, 0, 0, 0, DateTimeKind.Utc);
end = new DateTime(end.Year, end.Month, end.Day, 0, 0, 0, DateTimeKind.Utc);
var datas = client.GetTimeSeriesData("NomuraGCRate", "eod", start, end, "gcRate");
if (datas != null)
{
foreach (var data in datas)
{
try
{
var gcRate = data.Value.AsDouble();
var date = new DateTime(data.Key.Year, data.Key.Month, data.Key.Day, 0, 0, 0, inputDateKind);
result[date] = gcRate;
AddGcRateToCache(country, date, gcRate);
}
catch (Exception ex)
{
// ignored
}
}
}
}
if (usgcRateDates.Count > 0)
{
var end = usgcRateDates.Max();
var start = usgcRateDates.Min();
SLog.log.InfoFormat("Request gc rates for {0} days", usgcRateDates.Count);
start = new DateTime(start.Year, start.Month, start.Day, 0, 0, 0, DateTimeKind.Utc);
end = new DateTime(end.Year, end.Month, end.Day, 0, 0, 0, DateTimeKind.Utc);
var datas = client.GetTimeSeriesData("USGCRate", "eod", start, end, "gcRate");
if (datas != null)
{
foreach (var data in datas)
{
try
{
var gcRate = data.Value.AsDouble();
var date = new DateTime(data.Key.Year, data.Key.Month, data.Key.Day, 0, 0, 0, inputDateKind);
result[date] = gcRate;
AddGcRateToCache(country, date, gcRate);
}
catch (Exception ex)
{
// ignored
}
}
}
}
break;
case BondAnalytics.Country.DE:
break;
case BondAnalytics.Country.FR:
break;
case BondAnalytics.Country.IT:
break;
case BondAnalytics.Country.ES:
break;
case BondAnalytics.Country.UK:
break;
}
return result;
}
