public static async Task Go(ICarbonClient cc_)
{
DFsWorker.DFInstance().ToString();
await DFsCache.Instance().RefreshFromServerIfLocalCacheEmpty();
await TenorDatesCache.Instance().RefreshFromServerIfLocalCacheEmpty();
var defs = new ISwapCurveDefinition[]
{
new USD3mLibor(),
new USDFedfunds(),
new EUR6mEuribor(),
new EUREonia(),
new GBP6mLibor(),
new GBPSonia(),
};
var sets = new[]
{
Tuple.Create(PreDefinedSet.SpotStartOutrights,new[] { "spot","outrights"}),
Tuple.Create(PreDefinedSet.SpotStartCurves,new[] { "spot","curves"}),
Tuple.Create(PreDefinedSet.SpotStartButterflies,new[] { "spot","butterflies"}),
Tuple.Create(PreDefinedSet.FwdOutrights,new[] { "fwd","outrights"}),
Tuple.Create(PreDefinedSet.FwdCurves,new[] { "fwd","curves"}),
Tuple.Create(PreDefinedSet.FwdButterflies,new[] { "fwd","butterflies"}),
};
foreach (var curveDef in defs)
{
foreach (var set in sets)
{
var points = UserListHelper.GetStructuresForSet(set.Item1);
var dataframeMoniker = string.Format("symapp.rates.{0}.{1}.{2}", curveDef.CurveName, set.Item2[0],
set.Item2[1]);
var con = new ConstructGen<double>(points.Length);
con.ColumnHeadings = new string[points.Length];
for (int i = 0; i < points.Length; ++i)
{
InstrumentWithStatsSwap sw = null;
var point = points[i];
switch (point.Length)
{
case 1:
sw = OutrightSwap.Get(curveDef.CurveName, point[0]); break;
case 2:
sw = CurveSwap.Get(curveDef.CurveName, AB_: point[0], CD_: point[1]); break;
case 3:
sw = ButterflySwap.Get(curveDef.CurveName, w1_: point[0], belly_: point[1], w2_: point[2]); break;
}
if (sw != null)
{
con.ColumnHeadings[i] = sw.Description;
con.SetColumnValues(i, sw.A_Prices);
}
}
var deedle = con.ToDeedle();
Logger.Info(string.Format("Writing {0} to carbon dataframes", dataframeMoniker),
typeof (PersistSetsForDeriveddataWorker));
await cc_.SaveFrameAsync(dataframeMoniker, deedle);
}
}
}
