internal static void AddCurves(ScenarioGeneratorModel context)
{
DateTime now = context.AsOfDate;
var curve1 = new Curve() { StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now, CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
var curveDetail1 = new CurveDetail() { Name = "SWAPSOIS", StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now, CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
curve1.CurveDetails.Add(curveDetail1);
var curve2 = new Curve() { StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now, CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
var curveDetail2 = new CurveDetail() { Name = "SWAPSOISRISK", StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now, CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
curve2.CurveDetails.Add(curveDetail2);
CurveFamily item = context.CurveFamilies.Where(x => x.Name == "SWAPS").First();
curveDetail1.CurveFamily = item;
curveDetail2.CurveFamily = item;
TargetSystem system = context.TargetSystems.Where(x => x.Name == "Simra").First();
curveDetail1.TargetSystem = system;
curveDetail2.TargetSystem = system;
context.Curves.Add(curve1);
context.Curves.Add(curve2);
context.SaveChanges();
}
internal static void AddConstituents(ScenarioGeneratorModel context)
{
DateTime now = context.AsOfDate;
var curveDetail = context.CurveDetails.Where(x => x.Name == "SWAPSOIS").First();
var curve = curveDetail.Curve;
var riskFactorDimType = context.RiskFactorDimTypes.Include("RiskFactorDimensionDetails").Where(x => x.Name == "Tenor").First();
var riskDimension = riskFactorDimType.RiskFactorDimensionDetails.First().RiskFactorDimension;
var curveDimension = new CurveDimension() { RiskFactorDimension = riskDimension, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-100), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
curve.CurveDimensions.Add(curveDimension);
RiskFactorDimItemDetail dimItemDetail = context.RiskFactorDimItemDetails.Where(x => x.Name == "1D").First();
curveDimension.CurveConstituents.Add(new CurveConstituent() { CurveDimension = curveDimension, RiskFactorDimItem = dimItemDetail.RiskFactorDimItem, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-100), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true });
dimItemDetail = context.RiskFactorDimItemDetails.Where(x => x.Name == "2D").First();
curveDimension.CurveConstituents.Add(new CurveConstituent() { CurveDimension = curveDimension, RiskFactorDimItem = dimItemDetail.RiskFactorDimItem, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-100), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true });
dimItemDetail = context.RiskFactorDimItemDetails.Where(x => x.Name == "3D").First();
curveDimension.CurveConstituents.Add(new CurveConstituent() { CurveDimension = curveDimension, RiskFactorDimItem = dimItemDetail.RiskFactorDimItem, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-100), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true });
dimItemDetail = context.RiskFactorDimItemDetails.Where(x => x.Name == "4D").First();
curveDimension.CurveConstituents.Add(new CurveConstituent() { CurveDimension = curveDimension, RiskFactorDimItem = dimItemDetail.RiskFactorDimItem, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-100), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true });
dimItemDetail = context.RiskFactorDimItemDetails.Where(x => x.Name == "5D").First();
curveDimension.CurveConstituents.Add(new CurveConstituent() { CurveDimension = curveDimension, RiskFactorDimItem = dimItemDetail.RiskFactorDimItem, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-100), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true });
context.SaveChanges();
}
private static void AddScenarioLocuses1(ScenarioGeneratorModel context)
{
DateTime now = context.AsOfDate;
ScenarioDetail scenario = context.ScenarioDetails.Where(x => x.Name == "Scenario IR Rate").First();
ScenarioLocus locus;
RiskFactorDimItemDetail dimItem;
ScenarioLocusDimItem locusDimItem;
RiskFactorDimension dimension = scenario.RiskFactorType.RiskFactorTypeDimensions.Where(d => d.RiskFactorDimension.RiskFactorDimensionDetail.Name == "Currency").First().RiskFactorDimension;
locus = new ScenarioLocus() { ScenarioDetailID = scenario.ScenarioDetailID, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
locus.RiskFactorDimension = dimension;
scenario.ScenarioLocuses.Add(locus);
dimItem = context.RiskFactorDimItemDetails.Where(i => i.Name == "USD" && i.RiskFactorDimItem.RiskFactorDimTypeID == dimension.RiskFactorDimensionDetail.RiskFactorDimTypeID).First();
locusDimItem = new ScenarioLocusDimItem() { RiskFactorDimItem = dimItem.RiskFactorDimItem, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
locus.ScenarioLocusDimItems.Add(locusDimItem);
dimItem = context.RiskFactorDimItemDetails.Where(i => i.Name == "PLN" && i.RiskFactorDimItem.RiskFactorDimTypeID == dimension.RiskFactorDimensionDetail.RiskFactorDimTypeID).First();
locusDimItem = new ScenarioLocusDimItem() { RiskFactorDimItem = dimItem.RiskFactorDimItem, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
locus.ScenarioLocusDimItems.Add(locusDimItem);
dimItem = context.RiskFactorDimItemDetails.Where(i => i.Name == "EUR" && i.RiskFactorDimItem.RiskFactorDimTypeID == dimension.RiskFactorDimensionDetail.RiskFactorDimTypeID).First();
locusDimItem = new ScenarioLocusDimItem() { RiskFactorDimItem = dimItem.RiskFactorDimItem, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
locus.ScenarioLocusDimItems.Add(locusDimItem);
}
internal static void AddScenarioPointsAndUnits(ScenarioGeneratorModel context)
{
AddScenarioPoints1(context);
AddScenarioPoints2(context);
AddScenarioPoints3(context);
context.SaveChanges();
}
internal static void AddScenarioLocuses(ScenarioGeneratorModel context)
{
AddScenarioLocuses1(context);
AddScenarioLocuses2(context);
AddScenarioLocuses3(context);
context.SaveChanges();
}
internal static void AddScenarioGroups(ScenarioGeneratorModel context)
{
DateTime now = context.AsOfDate;
ScenarioGroup sg = new ScenarioGroup() { StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now, CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
context.ScenarioGroups.Add(sg);
ScenarioGroupDetail sgd;
sgd = new ScenarioGroupDetail() { Name = "Macro (v1)", StartTime = now.AddDays(-100), EndTime = now.AddDays(-50), CreatedAt = now.AddDays(-120), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", ModifiedAt = now.AddDays(-110), ModifiedBy = "C", Latest = false };
sg.ScenarioGroupDetails.Add(sgd);
sgd = new ScenarioGroupDetail() { Name = "Macro (v2)", StartTime = now.AddDays(-50), EndTime = now.AddDays(-20), CreatedAt = now.AddDays(-75), CreatedBy = "A", ApprovedAt = now.AddDays(-50), ApprovedBy = "B", ModifiedAt = now.AddDays(-60), ModifiedBy = "C", Latest = false };
sg.ScenarioGroupDetails.Add(sgd);
sgd = new ScenarioGroupDetail() { Name = "Macro (v3)", StartTime = now.AddDays(-20), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-30), CreatedBy = "A", ApprovedAt = now.AddDays(-20), ApprovedBy = "B", ModifiedAt = now.AddDays(-35), ModifiedBy = "C", Latest = false };
sg.ScenarioGroupDetails.Add(sgd);
sgd = new ScenarioGroupDetail() { Name = "Macro", StartTime = DateTime.MinValue, EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-10), CreatedBy = "A", ModifiedAt = now.AddDays(-5), ModifiedBy = "C", Latest = true };
sg.ScenarioGroupDetails.Add(sgd);
ScenarioGroup sgc = new ScenarioGroup() { StartTime = now.AddDays(-80), EndTime = DateTime.MaxValue, CreatedAt = now, CreatedBy = "A", ApprovedAt = now.AddDays(-80), ApprovedBy = "B", Latest = true };
context.ScenarioGroups.Add(sgc);
sgd = new ScenarioGroupDetail() { Name = "Cyprus Contagion (v1)", StartTime = now.AddDays(-80), EndTime = now.AddDays(-40), CreatedAt = now.AddDays(-80), CreatedBy = "A", ApprovedAt = now.AddDays(-80), ApprovedBy = "B", ModifiedAt = now.AddDays(-80), ModifiedBy = "C", Latest = false };
sgc.ScenarioGroupDetails.Add(sgd);
sgd.ScenarioGroupParent = sg;
sgd = new ScenarioGroupDetail() { Name = "Cyprus Contagion (v2)", StartTime = now.AddDays(-40), EndTime = now.AddDays(-10), CreatedAt = now.AddDays(-50), CreatedBy = "A", ApprovedAt = now.AddDays(-40), ApprovedBy = "B", ModifiedAt = now.AddDays(-45), ModifiedBy = "C", Latest = false };
sgc.ScenarioGroupDetails.Add(sgd);
sgd.ScenarioGroupParent = sg;
sgd = new ScenarioGroupDetail() { Name = "Cyprus Contagion (v3)", StartTime = now.AddDays(-10), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-20), CreatedBy = "A", ApprovedAt = now.AddDays(-10), ApprovedBy = "B", ModifiedAt = now.AddDays(-12), ModifiedBy = "C", Latest = false };
sgc.ScenarioGroupDetails.Add(sgd);
sgd.ScenarioGroupParent = sg;
sgd = new ScenarioGroupDetail() { Name = "Cyprus Contagion", StartTime = DateTime.MinValue, EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-5), CreatedBy = "A", ModifiedAt = now.AddDays(-3), ModifiedBy = "C", Latest = true };
sgc.ScenarioGroupDetails.Add(sgd);
sgd.ScenarioGroupParent = sg;
sgc = new ScenarioGroup() { StartTime = now.AddDays(-55), EndTime = DateTime.MaxValue, CreatedAt = now, CreatedBy = "A", ApprovedAt = now.AddDays(-55), ApprovedBy = "B", Latest = true };
context.ScenarioGroups.Add(sgc);
sgd = new ScenarioGroupDetail() { Name = "Double Dip Recession (v1)", StartTime = now.AddDays(-55), EndTime = now.AddDays(-17), CreatedAt = now.AddDays(-80), CreatedBy = "A", ApprovedAt = now.AddDays(-55), ApprovedBy = "B", ModifiedAt = now.AddDays(-80), ModifiedBy = "C", ScenarioGroupParent = sg, Latest = false };
sgc.ScenarioGroupDetails.Add(sgd);
sgd.ScenarioGroupParent = sg;
sgd = new ScenarioGroupDetail() { Name = "Double Dip Recession", StartTime = now.AddDays(-17), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-50), CreatedBy = "A", ApprovedAt = now.AddDays(-17), ApprovedBy = "B", ModifiedAt = now.AddDays(-18), ModifiedBy = "C", ScenarioGroupParent = sg, Latest = true };
sgc.ScenarioGroupDetails.Add(sgd);
sgd.ScenarioGroupParent = sg;
sgc = new ScenarioGroup() { StartTime = now.AddDays(-25), EndTime = DateTime.MaxValue, CreatedAt = now, CreatedBy = "A", ApprovedAt = now.AddDays(-55), ApprovedBy = "B", Latest = true };
context.ScenarioGroups.Add(sgc);
sgd = new ScenarioGroupDetail() { Name = "Euro Breaks Up", StartTime = now.AddDays(-25), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-80), CreatedBy = "A", ModifiedAt = now.AddDays(-18), ModifiedBy = "C", Latest = true };
sgc.ScenarioGroupDetails.Add(sgd);
sgd.ScenarioGroupParent = sg;
sgc = new ScenarioGroup() { StartTime = DateTime.MinValue, EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-80), CreatedBy = "A", Latest = true };
context.ScenarioGroups.Add(sgc);
sgd = new ScenarioGroupDetail() { Name = "Eurozone Crisis", StartTime = DateTime.MinValue, EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-80), CreatedBy = "A", Latest = true };
sgc.ScenarioGroupDetails.Add(sgd);
context.SaveChanges();
}
internal static void AddScenarios(ScenarioGeneratorModel context)
{
DateTime now = context.AsOfDate;
ScenarioGroup sg1 = context.ScenarioGroupDetails.Where(x => x.Name == "Cyprus Contagion").First().ScenarioGroup;
ScenarioGroup sg2 = context.ScenarioGroupDetails.Where(x => x.Name == "Double Dip Recession").First().ScenarioGroup;
ScenarioGroup sg3 = context.ScenarioGroupDetails.Where(x => x.Name == "Eurozone Crisis").First().ScenarioGroup;
RiskFactorType rft1 = context.RiskFactorTypeDetails.Where(x => x.Name == "IR Volatility").First().RiskFactorType;
RiskFactorType rft2 = context.RiskFactorTypeDetails.Where(x => x.Name == "FX Rate").First().RiskFactorType;
RiskFactorType rft3 = context.RiskFactorTypeDetails.Where(x => x.Name == "FX Volatility").First().RiskFactorType;
ScenarioDetail scd;
Scenario sc = new Scenario() { StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now, CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B" };
context.Scenarios.Add(sc);
scd = new ScenarioDetail() { Name = "Scenario IR Rate (v1)", StartTime = now.AddDays(-80), EndTime = now.AddDays(-50), CreatedAt = now.AddDays(-120), CreatedBy = "A", ApprovedAt = now.AddDays(-80), ApprovedBy = "B", ModifiedAt = now.AddDays(-110), ModifiedBy = "C", ScenarioGroup = sg1, RiskFactorType = rft2, Latest = false };
sc.ScenarioDetails.Add(scd);
scd = new ScenarioDetail() { Name = "Scenario IR Rate (v2)", StartTime = now.AddDays(-50), EndTime = now.AddDays(-20), CreatedAt = now.AddDays(-75), CreatedBy = "A", ApprovedAt = now.AddDays(-50), ApprovedBy = "B", ModifiedAt = now.AddDays(-60), ModifiedBy = "C", ScenarioGroup = sg1, RiskFactorType = rft2, Latest = false };
sc.ScenarioDetails.Add(scd);
scd = new ScenarioDetail() { Name = "Scenario IR Rate (v3)", StartTime = now.AddDays(-20), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-30), CreatedBy = "A", ApprovedAt = now.AddDays(-20), ApprovedBy = "B", ModifiedAt = now.AddDays(-35), ModifiedBy = "C", ScenarioGroup = sg1, RiskFactorType = rft2, Latest = false };
sc.ScenarioDetails.Add(scd);
scd = new ScenarioDetail() { Name = "Scenario IR Rate", StartTime = DateTime.MinValue, EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-10), CreatedBy = "A", ModifiedAt = now.AddDays(-5), ModifiedBy = "C", ScenarioGroup = sg1, RiskFactorType = rft2, Latest = true };
sc.ScenarioDetails.Add(scd);
Scenario sc2 = new Scenario() { StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now, CreatedBy = "A", ApprovedAt = now.AddDays(-50), ApprovedBy = "B", BaseScenario = sc };
context.Scenarios.Add(sc2);
scd = new ScenarioDetail() { Name = "Scenario IR Volatility (v1)", StartTime = now.AddDays(-50), EndTime = now.AddDays(-25), CreatedAt = now.AddDays(-30), CreatedBy = "A", ApprovedAt = now.AddDays(-50), ApprovedBy = "B", ModifiedAt = now.AddDays(-550), ModifiedBy = "C", ScenarioGroup = sg2, RiskFactorType = rft1, Latest = false };
sc2.ScenarioDetails.Add(scd);
scd = new ScenarioDetail() { Name = "Scenario IR Volatility (v2)", StartTime = now.AddDays(-25), EndTime = now.AddDays(-10), CreatedAt = now.AddDays(-38), CreatedBy = "A", ApprovedAt = now.AddDays(-25), ApprovedBy = "B", ModifiedAt = now.AddDays(-30), ModifiedBy = "C", ScenarioGroup = sg2, RiskFactorType = rft1, Latest = false };
sc2.ScenarioDetails.Add(scd);
scd = new ScenarioDetail() { Name = "Scenario IR Volatility (v3)", StartTime = now.AddDays(-10), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-15), CreatedBy = "A", ApprovedAt = now.AddDays(-10), ApprovedBy = "B", ModifiedAt = now.AddDays(-17), ModifiedBy = "C", ScenarioGroup = sg2, RiskFactorType = rft1, Latest = false };
sc2.ScenarioDetails.Add(scd);
scd = new ScenarioDetail() { Name = "Scenario IR Volatility", StartTime = DateTime.MinValue, EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-5), CreatedBy = "A", ModifiedAt = now.AddDays(-3), ModifiedBy = "C", ScenarioGroup = sg3, RiskFactorType = rft1, Latest = true };
sc2.ScenarioDetails.Add(scd);
Scenario sc3 = new Scenario() { StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-80), CreatedBy = "A", ApprovedAt = now.AddDays(-50), ApprovedBy = "B"};
context.Scenarios.Add(sc3);
scd = new ScenarioDetail() { Name = "IR Bond Swap Spread", StartTime = now.AddDays(-50), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-80), CreatedBy = "A", ApprovedAt = now.AddDays(-50), ApprovedBy = "B", ScenarioGroup = sg3, RiskFactorType = rft1, Latest = true };
sc3.ScenarioDetails.Add(scd);
scd.Scenario = sc3;
Scenario sc4 = new Scenario() { StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-80), CreatedBy = "A", ApprovedAt = now.AddDays(-50), ApprovedBy = "B" };
context.Scenarios.Add(sc4);
scd = new ScenarioDetail() { Name = "FX Volatility", StartTime = now.AddDays(-50), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-80), CreatedBy = "A", ApprovedAt = now.AddDays(-50), ApprovedBy = "B", ScenarioGroup = sg3, RiskFactorType = rft3, Latest = true };
sc4.ScenarioDetails.Add(scd);
scd.Scenario = sc4;
context.SaveChanges();
}
internal static void AddFamilies(ScenarioGeneratorModel context)
{
DateTime now = context.AsOfDate;
var parent = new CurveFamily() { Name = "LBG", StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now, CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
context.CurveFamilies.Add(parent);
var child = new CurveFamily() { Name = "SWAPS", StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now, CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
child.CurveFamilyParent = parent;
context.CurveFamilies.Add(child);
context.SaveChanges();
}
internal static void Read(ScenarioGeneratorModel context)
{
context.Database.Log = s => System.Diagnostics.Debug.WriteLine(s);
var list = context.ScenarioLocuses;
Console.WriteLine("\n\n*****Locus List*****");
foreach (ScenarioLocus locus in list)
{
Console.WriteLine(locus.Representation);
Console.WriteLine(" --- Dim Items --- ");
foreach (ScenarioLocusDimItem item in locus.ScenarioLocusDimItems)
{
Console.WriteLine(" " + item.Representation);
}
Console.WriteLine(" --- Dim Groups --- ");
foreach (ScenarioLocusDimGroup group in locus.ScenarioLocusDimGroups)
{
Console.WriteLine(" " + group.Representation);
}
}
var list2 = context.ScenarioPoints;
Console.WriteLine("\n\n*****Points List*****");
foreach (ScenarioPoint point in list2)
{
Console.WriteLine(point.Representation);
Console.WriteLine(" --- Coordinates --- ");
foreach (ScenarioPointCoordinate coordinate in point.ScenarioPointCoordinates)
{
Console.WriteLine(" " + coordinate.Representation);
}
}
var list3 = context.ScenarioUnits;
Console.WriteLine("\n\n*****Unit List*****");
foreach (ScenarioUnit unit in list3)
{
Console.WriteLine(unit.Representation);
Console.WriteLine(" --- Points --- ");
foreach (ScenarioUnitPoint unitPoint in unit.ScenarioUnitPoints)
{
Console.WriteLine(" " + unitPoint.Representation);
}
}
}
public void TestSaveNewScenarioGroup()
{
string name = "New Scenario Group";
ScenarioGroup main;
ScenarioGroupDetail detail;
using (var context = new ScenarioGeneratorModel(UserName, Connection))
{
main = new ScenarioGroup();
main.Default(UserName);
context.ScenarioGroups.Add(main);
detail = new ScenarioGroupDetail();
detail.Default(UserName);
detail.Name = name;
main.ScenarioGroupDetails.Add(detail);
context.SaveChanges();
}
using (var context = new ScenarioGeneratorModel(UserName, Connection))
{
context.Database.Log = s => System.Diagnostics.Debug.WriteLine(s);
Assert.AreEqual(1, context.ScenarioGroupDetails.Where(x => x.Name == name).Count());
detail = context.ScenarioGroupDetails.Where(x => x.Name == name).FirstOrDefault();
main = detail.ScenarioGroup;
Assert.AreEqual(name, detail.Name);
Assert.AreEqual(true, detail.Latest);
Assert.AreEqual(DateTime.MinValue, detail.StartTime);
Assert.AreEqual(DateTime.MaxValue, detail.EndTime);
Assert.AreEqual(EntityStatus.Unapproved, detail.Status);
Assert.AreEqual(true, main.Latest);
Assert.AreEqual(DateTime.MinValue, main.StartTime);
Assert.AreEqual(DateTime.MaxValue, main.EndTime);
Assert.AreEqual(DateTime.MaxValue, main.EndTime);
Assert.AreEqual(EntityStatus.Unapproved, main.Status);
}
}
internal static void Read(ScenarioGeneratorModel context)
{
context.Database.Log = s => System.Diagnostics.Debug.WriteLine(s);
var families = context.CurveFamilies;
Console.WriteLine("\n\n*****Curve Families*****");
foreach (CurveFamily familiy in families)
{
Console.WriteLine(" " + familiy.Representation);
Console.WriteLine(" --- members --- ");
var curveDetails = familiy.CurveDetails;
foreach (CurveDetail curveDetail in curveDetails)
{
Console.WriteLine(" " + curveDetail.Representation);
}
}
Console.WriteLine("\n\n*****Curves*****");
var curves = context.Curves;
foreach (Curve curve in curves)
{
Console.WriteLine(" " + curve.Representation);
Console.WriteLine(" --- dimensions --- ");
var dimensions = curve.CurveDimensions;
foreach (CurveDimension dimension in dimensions)
{
Console.WriteLine(" " + dimension.Representation);
Console.WriteLine(" --- constituents --- ");
var constituents = dimension.CurveConstituents;
foreach (CurveConstituent constituent in constituents)
{
Console.WriteLine(" " + constituent.Representation);
}
}
}
}
internal static void AddTypeDimensions(ScenarioGeneratorModel context)
{
RiskFactorTypeDetail rft;
RiskFactorDimensionDetail rfd;
RiskFactorTypeDimension rftd;
rft = context.RiskFactorTypeDetails.Where(d => (d.Name == "FX Rate" && d.Latest==true)).First();
rfd = context.RiskFactorDimensionDetails.Where(d => (d.Name == "Currency" && d.Latest == true)).First();
rftd = new RiskFactorTypeDimension() { RiskFactorDimensionID = rfd.RiskFactorDimensionID, RiskFactorTypeID = rft.RiskFactorTypeID } ;
rftd.Default(context.UserName);
context.RiskFactorTypeDimensions.Add(rftd);
rfd = context.RiskFactorDimensionDetails.Where(d => (d.Name == "Instrument Tenor" && d.Latest == true)).First();
rftd = new RiskFactorTypeDimension() { RiskFactorDimensionID = rfd.RiskFactorDimensionID, RiskFactorTypeID = rft.RiskFactorTypeID };
rftd.Default(context.UserName);
context.RiskFactorTypeDimensions.Add(rftd);
rft = context.RiskFactorTypeDetails.Where(d => (d.Name == "FX Volatility" && d.Latest == true)).First();
rfd = context.RiskFactorDimensionDetails.Where(d => (d.Name == "Currency" && d.Latest == true)).First();
rftd = new RiskFactorTypeDimension() { RiskFactorDimensionID = rfd.RiskFactorDimensionID, RiskFactorTypeID = rft.RiskFactorTypeID };
rftd.Default(context.UserName);
context.RiskFactorTypeDimensions.Add(rftd);
rfd = context.RiskFactorDimensionDetails.Where(d => (d.Name == "Instrument Tenor" && d.Latest == true)).First();
rftd = new RiskFactorTypeDimension() { RiskFactorDimensionID = rfd.RiskFactorDimensionID, RiskFactorTypeID = rft.RiskFactorTypeID };
rftd.Default(context.UserName);
context.RiskFactorTypeDimensions.Add(rftd);
rfd = context.RiskFactorDimensionDetails.Where(d => (d.Name == "Country of Origin" && d.Latest == true)).First();
rftd = new RiskFactorTypeDimension() { RiskFactorDimensionID = rfd.RiskFactorDimensionID, RiskFactorTypeID = rft.RiskFactorTypeID };
rftd.Default(context.UserName);
context.RiskFactorTypeDimensions.Add(rftd);
rft = context.RiskFactorTypeDetails.Where(d => (d.Name == "Credit Asset Swap Spread" && d.Latest == true)).First();
rfd = context.RiskFactorDimensionDetails.Where(d => (d.Name == "Instrument Sector" && d.Latest == true)).First();
rftd = new RiskFactorTypeDimension() { RiskFactorDimensionID = rfd.RiskFactorDimensionID, RiskFactorTypeID = rft.RiskFactorTypeID };
rftd.Default(context.UserName);
context.RiskFactorTypeDimensions.Add(rftd);
rfd = context.RiskFactorDimensionDetails.Where(d => (d.Name == "Obligor Rating" && d.Latest == true)).First();
rftd = new RiskFactorTypeDimension() { RiskFactorDimensionID = rfd.RiskFactorDimensionID, RiskFactorTypeID = rft.RiskFactorTypeID };
rftd.Default(context.UserName);
context.RiskFactorTypeDimensions.Add(rftd);
rft = context.RiskFactorTypeDetails.Where(d => (d.Name == "IR Volatility" && d.Latest == true)).First();
rfd = context.RiskFactorDimensionDetails.Where(d => (d.Name == "Currency" && d.Latest == true)).First();
rftd = new RiskFactorTypeDimension() { RiskFactorDimensionID = rfd.RiskFactorDimensionID, RiskFactorTypeID = rft.RiskFactorTypeID };
rftd.Default(context.UserName);
context.RiskFactorTypeDimensions.Add(rftd);
rfd = context.RiskFactorDimensionDetails.Where(d => (d.Name == "Instrument Tenor" && d.Latest == true)).First();
rftd = new RiskFactorTypeDimension() { RiskFactorDimensionID = rfd.RiskFactorDimensionID, RiskFactorTypeID = rft.RiskFactorTypeID };
rftd.Default(context.UserName);
context.RiskFactorTypeDimensions.Add(rftd);
rfd = context.RiskFactorDimensionDetails.Where(d => (d.Name == "Underlying Tenor" && d.Latest == true)).First();
rftd = new RiskFactorTypeDimension() { RiskFactorDimensionID = rfd.RiskFactorDimensionID, RiskFactorTypeID = rft.RiskFactorTypeID };
rftd.Default(context.UserName);
context.RiskFactorTypeDimensions.Add(rftd);
context.SaveChanges();
}
public void TestScenarioGroupsLive()
{
using (var context = new ScenarioGeneratorModel(UserName, Connection))
{
context.Database.Log = s => System.Diagnostics.Debug.WriteLine(s);
Assert.AreEqual(3, context.ScenarioGroups.ToList().Count());
ScenarioGroup sg = context.ScenarioGroups.Find(1);
Assert.AreEqual(2, sg.ScenarioGroupDetails.Count());
sg = context.ScenarioGroups.Find(2);
Assert.AreEqual(2, sg.ScenarioGroupDetails.Count());
sg = context.ScenarioGroups.Find(3);
Assert.AreEqual(1, sg.ScenarioGroupDetails.Count());
}
}
public Repository(ScenarioGeneratorModel context)
{
this.context = context;
}
internal static void Read(ScenarioGeneratorModel context)
{
context.Database.Log = s => System.Diagnostics.Debug.WriteLine(s);
var list = context.ScenarioGroups.Where(sg => sg.ScenarioGroupDetails.OrderBy(c => c.StartTime).FirstOrDefault().ScenarioGroupParentID == null);
Console.WriteLine("\n\n*****Scenario Group List using Lazy Loading*****");
foreach (ScenarioGroup group in list)
{
Console.WriteLine(group.Representation);
Console.WriteLine(" --- Children --- ");
foreach (ScenarioGroupDetail detail in group.ScenarioGroupChildrenDetails)
{
Console.WriteLine(" " + detail.Representation);
}
}
var list2 = context.ScenarioDetails;
Console.WriteLine("\n\n*****Scenario List*****");
foreach (ScenarioDetail scenario in list2)
{
Console.WriteLine(scenario.Representation);
Console.WriteLine(" --- Points --- ");
foreach (ScenarioPoint point in scenario.ScenarioPoints)
{
Console.WriteLine(" " + point.Representation);
}
Console.WriteLine(" --- Units --- ");
foreach (ScenarioUnit unit in scenario.ScenarioUnits)
{
Console.WriteLine(" " + unit.Representation);
}
Console.WriteLine(" --- Locuses --- ");
foreach (ScenarioLocus locus in scenario.ScenarioLocuses)
{
Console.WriteLine(" " + locus.Representation);
}
}
}
internal static void ReadWithInclude(ScenarioGeneratorModel context)
{
context.Database.Log = s => System.Diagnostics.Debug.WriteLine(s);
var list = context.ScenarioGroups.Include("ScenarioGroupDetails");
Console.WriteLine("\n\n*****Scenario Group Testing Include*****");
foreach (ScenarioGroup group in list)
{
Console.Write(group.Representation);
Console.WriteLine(" --- details --- ");
foreach (ScenarioGroupDetail detail in group.ScenarioGroupDetails)
{
Console.WriteLine(detail.Representation);
}
Console.WriteLine(" --- children --- ");
foreach (ScenarioGroupDetail detail in group.ScenarioGroupChildrenDetails)
{
Console.WriteLine(" " + detail.Representation);
}
}
}
private static void AddScenarioPoints3(ScenarioGeneratorModel context)
{
DateTime now = context.AsOfDate;
ScenarioDetail scenario = context.ScenarioDetails.Where(x => x.Name == "Scenario IR Volatility").First();
ScenarioPoint point11 = new ScenarioPoint() { StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
point11.ShockValue = 1.5;
point11.ScenarioShockType = ScenarioShockType.ABS;
scenario.ScenarioPoints.Add(point11);
ScenarioPoint point12 = new ScenarioPoint() { StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
point12.ShockValue = 0.7;
point12.ScenarioShockType = ScenarioShockType.ABS;
scenario.ScenarioPoints.Add(point12);
ScenarioPoint point13 = new ScenarioPoint() { StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
point13.ShockValue = 0.65;
point13.ScenarioShockType = ScenarioShockType.ABS;
scenario.ScenarioPoints.Add(point13);
ScenarioPoint point14 = new ScenarioPoint() { StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
point14.ShockValue = 0.33;
point14.ScenarioShockType = ScenarioShockType.ABS;
scenario.ScenarioPoints.Add(point14);
ScenarioPoint point21 = new ScenarioPoint() { StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
point21.ShockValue = 0.3;
point21.ScenarioShockType = ScenarioShockType.ABS;
scenario.ScenarioPoints.Add(point21);
ScenarioPoint point22 = new ScenarioPoint() { StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
point22.ShockValue = 0.3;
point22.ScenarioShockType = ScenarioShockType.ABS;
scenario.ScenarioPoints.Add(point22);
ScenarioPoint point23 = new ScenarioPoint() { StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
point23.ShockValue = 0.85;
point23.ScenarioShockType = ScenarioShockType.ABS;
scenario.ScenarioPoints.Add(point23);
ScenarioPoint point24 = new ScenarioPoint() { StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
point24.ShockValue = 1.15;
point24.ScenarioShockType = ScenarioShockType.ABS;
scenario.ScenarioPoints.Add(point24);
ScenarioPoint point31 = new ScenarioPoint() { StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
point31.ShockValue = 0.8;
point31.ScenarioShockType = ScenarioShockType.ABS;
scenario.ScenarioPoints.Add(point31);
ScenarioPoint point32 = new ScenarioPoint() { StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
point32.ShockValue = 1.3;
point32.ScenarioShockType = ScenarioShockType.ABS;
scenario.ScenarioPoints.Add(point32);
ScenarioPoint point33 = new ScenarioPoint() { StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
point33.ShockValue = 0.95;
point33.ScenarioShockType = ScenarioShockType.ABS;
scenario.ScenarioPoints.Add(point33);
ScenarioPoint point34 = new ScenarioPoint() { StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
point34.ShockValue = 1.35;
point34.ScenarioShockType = ScenarioShockType.ABS;
scenario.ScenarioPoints.Add(point34);
ScenarioUnit unit11 = new ScenarioUnit() { StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true }; ;
unit11.ScenarioUnitType = ScenarioUnitType.LineCubic;
scenario.ScenarioUnits.Add(unit11);
ScenarioUnit unit12 = new ScenarioUnit() { StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true }; ;
unit12.ScenarioUnitType = ScenarioUnitType.LineCubic;
scenario.ScenarioUnits.Add(unit12);
ScenarioUnit unit13 = new ScenarioUnit() { StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true }; ;
unit13.ScenarioUnitType = ScenarioUnitType.LineCubic;
scenario.ScenarioUnits.Add(unit13);
ScenarioUnit unit21 = new ScenarioUnit() { StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true }; ;
unit21.ScenarioUnitType = ScenarioUnitType.LineCubic;
scenario.ScenarioUnits.Add(unit21);
ScenarioUnit unit22 = new ScenarioUnit() { StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true }; ;
unit22.ScenarioUnitType = ScenarioUnitType.LineCubic;
scenario.ScenarioUnits.Add(unit22);
ScenarioUnit unit23 = new ScenarioUnit() { StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true }; ;
unit23.ScenarioUnitType = ScenarioUnitType.LineCubic;
scenario.ScenarioUnits.Add(unit23);
ScenarioUnit unit4 = new ScenarioUnit() { StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true }; ;
unit22.ScenarioUnitType = ScenarioUnitType.LineCubic;
scenario.ScenarioUnits.Add(unit22);
ScenarioUnitPoint unitPoint;
unitPoint = new ScenarioUnitPoint() { ScenarioPoint = point11, ScenarioUnit = unit11, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
context.ScenarioUnitPoints.Add(unitPoint);
unitPoint = new ScenarioUnitPoint() { ScenarioPoint = point21, ScenarioUnit = unit11, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
context.ScenarioUnitPoints.Add(unitPoint);
unitPoint = new ScenarioUnitPoint() { ScenarioPoint = point22, ScenarioUnit = unit11, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
context.ScenarioUnitPoints.Add(unitPoint);
unitPoint = new ScenarioUnitPoint() { ScenarioPoint = point12, ScenarioUnit = unit11, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
context.ScenarioUnitPoints.Add(unitPoint);
unitPoint = new ScenarioUnitPoint() { ScenarioPoint = point12, ScenarioUnit = unit12, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
context.ScenarioUnitPoints.Add(unitPoint);
unitPoint = new ScenarioUnitPoint() { ScenarioPoint = point22, ScenarioUnit = unit12, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
context.ScenarioUnitPoints.Add(unitPoint);
unitPoint = new ScenarioUnitPoint() { ScenarioPoint = point23, ScenarioUnit = unit12, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
context.ScenarioUnitPoints.Add(unitPoint);
unitPoint = new ScenarioUnitPoint() { ScenarioPoint = point13, ScenarioUnit = unit12, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
context.ScenarioUnitPoints.Add(unitPoint);
unitPoint = new ScenarioUnitPoint() { ScenarioPoint = point13, ScenarioUnit = unit13, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
context.ScenarioUnitPoints.Add(unitPoint);
unitPoint = new ScenarioUnitPoint() { ScenarioPoint = point23, ScenarioUnit = unit13, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
context.ScenarioUnitPoints.Add(unitPoint);
unitPoint = new ScenarioUnitPoint() { ScenarioPoint = point24, ScenarioUnit = unit13, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
context.ScenarioUnitPoints.Add(unitPoint);
unitPoint = new ScenarioUnitPoint() { ScenarioPoint = point14, ScenarioUnit = unit13, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
context.ScenarioUnitPoints.Add(unitPoint);
unitPoint = new ScenarioUnitPoint() { ScenarioPoint = point21, ScenarioUnit = unit21, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
context.ScenarioUnitPoints.Add(unitPoint);
unitPoint = new ScenarioUnitPoint() { ScenarioPoint = point31, ScenarioUnit = unit21, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
context.ScenarioUnitPoints.Add(unitPoint);
unitPoint = new ScenarioUnitPoint() { ScenarioPoint = point32, ScenarioUnit = unit21, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
context.ScenarioUnitPoints.Add(unitPoint);
unitPoint = new ScenarioUnitPoint() { ScenarioPoint = point22, ScenarioUnit = unit21, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
context.ScenarioUnitPoints.Add(unitPoint);
unitPoint = new ScenarioUnitPoint() { ScenarioPoint = point22, ScenarioUnit = unit22, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
context.ScenarioUnitPoints.Add(unitPoint);
unitPoint = new ScenarioUnitPoint() { ScenarioPoint = point32, ScenarioUnit = unit22, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
context.ScenarioUnitPoints.Add(unitPoint);
unitPoint = new ScenarioUnitPoint() { ScenarioPoint = point33, ScenarioUnit = unit22, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
context.ScenarioUnitPoints.Add(unitPoint);
unitPoint = new ScenarioUnitPoint() { ScenarioPoint = point23, ScenarioUnit = unit22, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
context.ScenarioUnitPoints.Add(unitPoint);
unitPoint = new ScenarioUnitPoint() { ScenarioPoint = point23, ScenarioUnit = unit23, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
context.ScenarioUnitPoints.Add(unitPoint);
unitPoint = new ScenarioUnitPoint() { ScenarioPoint = point33, ScenarioUnit = unit23, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
context.ScenarioUnitPoints.Add(unitPoint);
unitPoint = new ScenarioUnitPoint() { ScenarioPoint = point34, ScenarioUnit = unit23, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
context.ScenarioUnitPoints.Add(unitPoint);
unitPoint = new ScenarioUnitPoint() { ScenarioPoint = point24, ScenarioUnit = unit23, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
context.ScenarioUnitPoints.Add(unitPoint);
ScenarioPointCoordinate coordinate;
RiskFactorDimItemDetail dimItem;
RiskFactorDimension dimension = scenario.RiskFactorType.RiskFactorTypeDimensions.Where(d => d.RiskFactorDimension.RiskFactorDimensionDetail.Name == "Instrument Tenor").First().RiskFactorDimension;
coordinate = new ScenarioPointCoordinate() { RiskFactorDimension = dimension, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
dimItem = context.RiskFactorDimItemDetails.Where(i => i.Name == "1D" && i.RiskFactorDimItem.RiskFactorDimTypeID == dimension.RiskFactorDimensionDetail.RiskFactorDimTypeID).First();
coordinate.RiskFactorDimItem = dimItem.RiskFactorDimItem;
point11.ScenarioPointCoordinates.Add(coordinate);
coordinate = new ScenarioPointCoordinate() { RiskFactorDimension = dimension, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
dimItem = context.RiskFactorDimItemDetails.Where(i => i.Name == "3D" && i.RiskFactorDimItem.RiskFactorDimTypeID == dimension.RiskFactorDimensionDetail.RiskFactorDimTypeID).First();
coordinate.RiskFactorDimItem = dimItem.RiskFactorDimItem;
point21.ScenarioPointCoordinates.Add(coordinate);
coordinate = new ScenarioPointCoordinate() { RiskFactorDimension = dimension, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
dimItem = context.RiskFactorDimItemDetails.Where(i => i.Name == "5D" && i.RiskFactorDimItem.RiskFactorDimTypeID == dimension.RiskFactorDimensionDetail.RiskFactorDimTypeID).First();
coordinate.RiskFactorDimItem = dimItem.RiskFactorDimItem;
point31.ScenarioPointCoordinates.Add(coordinate);
coordinate = new ScenarioPointCoordinate() { RiskFactorDimension = dimension, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
dimItem = context.RiskFactorDimItemDetails.Where(i => i.Name == "1D" && i.RiskFactorDimItem.RiskFactorDimTypeID == dimension.RiskFactorDimensionDetail.RiskFactorDimTypeID).First();
coordinate.RiskFactorDimItem = dimItem.RiskFactorDimItem;
point12.ScenarioPointCoordinates.Add(coordinate);
coordinate = new ScenarioPointCoordinate() { RiskFactorDimension = dimension, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
dimItem = context.RiskFactorDimItemDetails.Where(i => i.Name == "3D" && i.RiskFactorDimItem.RiskFactorDimTypeID == dimension.RiskFactorDimensionDetail.RiskFactorDimTypeID).First();
coordinate.RiskFactorDimItem = dimItem.RiskFactorDimItem;
point22.ScenarioPointCoordinates.Add(coordinate);
coordinate = new ScenarioPointCoordinate() { RiskFactorDimension = dimension, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
dimItem = context.RiskFactorDimItemDetails.Where(i => i.Name == "5D" && i.RiskFactorDimItem.RiskFactorDimTypeID == dimension.RiskFactorDimensionDetail.RiskFactorDimTypeID).First();
coordinate.RiskFactorDimItem = dimItem.RiskFactorDimItem;
point32.ScenarioPointCoordinates.Add(coordinate);
coordinate = new ScenarioPointCoordinate() { RiskFactorDimension = dimension, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
dimItem = context.RiskFactorDimItemDetails.Where(i => i.Name == "1D" && i.RiskFactorDimItem.RiskFactorDimTypeID == dimension.RiskFactorDimensionDetail.RiskFactorDimTypeID).First();
coordinate.RiskFactorDimItem = dimItem.RiskFactorDimItem;
point13.ScenarioPointCoordinates.Add(coordinate);
coordinate = new ScenarioPointCoordinate() { RiskFactorDimension = dimension, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
dimItem = context.RiskFactorDimItemDetails.Where(i => i.Name == "3D" && i.RiskFactorDimItem.RiskFactorDimTypeID == dimension.RiskFactorDimensionDetail.RiskFactorDimTypeID).First();
coordinate.RiskFactorDimItem = dimItem.RiskFactorDimItem;
point23.ScenarioPointCoordinates.Add(coordinate);
coordinate = new ScenarioPointCoordinate() { RiskFactorDimension = dimension, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
dimItem = context.RiskFactorDimItemDetails.Where(i => i.Name == "5D" && i.RiskFactorDimItem.RiskFactorDimTypeID == dimension.RiskFactorDimensionDetail.RiskFactorDimTypeID).First();
coordinate.RiskFactorDimItem = dimItem.RiskFactorDimItem;
point33.ScenarioPointCoordinates.Add(coordinate);
coordinate = new ScenarioPointCoordinate() { RiskFactorDimension = dimension, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
dimItem = context.RiskFactorDimItemDetails.Where(i => i.Name == "1D" && i.RiskFactorDimItem.RiskFactorDimTypeID == dimension.RiskFactorDimensionDetail.RiskFactorDimTypeID).First();
coordinate.RiskFactorDimItem = dimItem.RiskFactorDimItem;
point14.ScenarioPointCoordinates.Add(coordinate);
coordinate = new ScenarioPointCoordinate() { RiskFactorDimension = dimension, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
dimItem = context.RiskFactorDimItemDetails.Where(i => i.Name == "3D" && i.RiskFactorDimItem.RiskFactorDimTypeID == dimension.RiskFactorDimensionDetail.RiskFactorDimTypeID).First();
coordinate.RiskFactorDimItem = dimItem.RiskFactorDimItem;
point24.ScenarioPointCoordinates.Add(coordinate);
coordinate = new ScenarioPointCoordinate() { RiskFactorDimension = dimension, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
dimItem = context.RiskFactorDimItemDetails.Where(i => i.Name == "5D" && i.RiskFactorDimItem.RiskFactorDimTypeID == dimension.RiskFactorDimensionDetail.RiskFactorDimTypeID).First();
coordinate.RiskFactorDimItem = dimItem.RiskFactorDimItem;
point34.ScenarioPointCoordinates.Add(coordinate);
dimension = scenario.RiskFactorType.RiskFactorTypeDimensions.Where(d => d.RiskFactorDimension.RiskFactorDimensionDetail.Name == "Underlying Tenor").First().RiskFactorDimension;
coordinate = new ScenarioPointCoordinate() { RiskFactorDimension = dimension, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
dimItem = context.RiskFactorDimItemDetails.Where(i => i.Name == "1D" && i.RiskFactorDimItem.RiskFactorDimTypeID == dimension.RiskFactorDimensionDetail.RiskFactorDimTypeID).First();
coordinate.RiskFactorDimItem = dimItem.RiskFactorDimItem;
point11.ScenarioPointCoordinates.Add(coordinate);
coordinate = new ScenarioPointCoordinate() { RiskFactorDimension = dimension, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
dimItem = context.RiskFactorDimItemDetails.Where(i => i.Name == "1D" && i.RiskFactorDimItem.RiskFactorDimTypeID == dimension.RiskFactorDimensionDetail.RiskFactorDimTypeID).First();
coordinate.RiskFactorDimItem = dimItem.RiskFactorDimItem;
point21.ScenarioPointCoordinates.Add(coordinate);
coordinate = new ScenarioPointCoordinate() { RiskFactorDimension = dimension, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
dimItem = context.RiskFactorDimItemDetails.Where(i => i.Name == "1D" && i.RiskFactorDimItem.RiskFactorDimTypeID == dimension.RiskFactorDimensionDetail.RiskFactorDimTypeID).First();
coordinate.RiskFactorDimItem = dimItem.RiskFactorDimItem;
point31.ScenarioPointCoordinates.Add(coordinate);
coordinate = new ScenarioPointCoordinate() { RiskFactorDimension = dimension, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
dimItem = context.RiskFactorDimItemDetails.Where(i => i.Name == "2D" && i.RiskFactorDimItem.RiskFactorDimTypeID == dimension.RiskFactorDimensionDetail.RiskFactorDimTypeID).First();
coordinate.RiskFactorDimItem = dimItem.RiskFactorDimItem;
point12.ScenarioPointCoordinates.Add(coordinate);
coordinate = new ScenarioPointCoordinate() { RiskFactorDimension = dimension, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
dimItem = context.RiskFactorDimItemDetails.Where(i => i.Name == "2D" && i.RiskFactorDimItem.RiskFactorDimTypeID == dimension.RiskFactorDimensionDetail.RiskFactorDimTypeID).First();
coordinate.RiskFactorDimItem = dimItem.RiskFactorDimItem;
point22.ScenarioPointCoordinates.Add(coordinate);
coordinate = new ScenarioPointCoordinate() { RiskFactorDimension = dimension, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
dimItem = context.RiskFactorDimItemDetails.Where(i => i.Name == "2D" && i.RiskFactorDimItem.RiskFactorDimTypeID == dimension.RiskFactorDimensionDetail.RiskFactorDimTypeID).First();
coordinate.RiskFactorDimItem = dimItem.RiskFactorDimItem;
point32.ScenarioPointCoordinates.Add(coordinate);
coordinate = new ScenarioPointCoordinate() { RiskFactorDimension = dimension, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
dimItem = context.RiskFactorDimItemDetails.Where(i => i.Name == "3D" && i.RiskFactorDimItem.RiskFactorDimTypeID == dimension.RiskFactorDimensionDetail.RiskFactorDimTypeID).First();
coordinate.RiskFactorDimItem = dimItem.RiskFactorDimItem;
point13.ScenarioPointCoordinates.Add(coordinate);
coordinate = new ScenarioPointCoordinate() { RiskFactorDimension = dimension, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
dimItem = context.RiskFactorDimItemDetails.Where(i => i.Name == "3D" && i.RiskFactorDimItem.RiskFactorDimTypeID == dimension.RiskFactorDimensionDetail.RiskFactorDimTypeID).First();
coordinate.RiskFactorDimItem = dimItem.RiskFactorDimItem;
point23.ScenarioPointCoordinates.Add(coordinate);
coordinate = new ScenarioPointCoordinate() { RiskFactorDimension = dimension, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
dimItem = context.RiskFactorDimItemDetails.Where(i => i.Name == "3D" && i.RiskFactorDimItem.RiskFactorDimTypeID == dimension.RiskFactorDimensionDetail.RiskFactorDimTypeID).First();
coordinate.RiskFactorDimItem = dimItem.RiskFactorDimItem;
point33.ScenarioPointCoordinates.Add(coordinate);
coordinate = new ScenarioPointCoordinate() { RiskFactorDimension = dimension, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
dimItem = context.RiskFactorDimItemDetails.Where(i => i.Name == "5D" && i.RiskFactorDimItem.RiskFactorDimTypeID == dimension.RiskFactorDimensionDetail.RiskFactorDimTypeID).First();
coordinate.RiskFactorDimItem = dimItem.RiskFactorDimItem;
point14.ScenarioPointCoordinates.Add(coordinate);
coordinate = new ScenarioPointCoordinate() { RiskFactorDimension = dimension, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
dimItem = context.RiskFactorDimItemDetails.Where(i => i.Name == "5D" && i.RiskFactorDimItem.RiskFactorDimTypeID == dimension.RiskFactorDimensionDetail.RiskFactorDimTypeID).First();
coordinate.RiskFactorDimItem = dimItem.RiskFactorDimItem;
point24.ScenarioPointCoordinates.Add(coordinate);
coordinate = new ScenarioPointCoordinate() { RiskFactorDimension = dimension, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
dimItem = context.RiskFactorDimItemDetails.Where(i => i.Name == "5D" && i.RiskFactorDimItem.RiskFactorDimTypeID == dimension.RiskFactorDimensionDetail.RiskFactorDimTypeID).First();
coordinate.RiskFactorDimItem = dimItem.RiskFactorDimItem;
point34.ScenarioPointCoordinates.Add(coordinate);
}
public ScenarioWorkspaceRepository(ScenarioGeneratorModel context)
: base(context)
{
}
public RiskFactorTypeGroupRepository(ScenarioGeneratorModel context)
: base(context)
{
}
public void TestScenarioGroupsHistoric()
{
using (var context = new ScenarioGeneratorModel(UserName, Connection, DateTime.UtcNow.AddDays(-20)))
{
context.Database.Log = s => System.Diagnostics.Debug.WriteLine(s);
Assert.AreEqual(3, context.ScenarioGroups.ToList().Count());
ScenarioGroup sg = context.ScenarioGroups.Find(1);
Assert.AreEqual(1, sg.ScenarioGroupDetails.Count());
sg = context.ScenarioGroups.Find(1);
Assert.AreEqual(1, sg.ScenarioGroupDetails.Count());
sg = context.ScenarioGroups.Find(1);
Assert.AreEqual(1, sg.ScenarioGroupDetails.Count());
}
}
public CurveFamillyRepository(ScenarioGeneratorModel context)
: base(context)
{
}
public ScenarioNavigationRepository(ScenarioGeneratorModel context)
: base(context)
{
}
public ScenarioGroupRepository(ScenarioGeneratorModel context)
: base(context)
{
}
internal static void AddTypeGroups(ScenarioGeneratorModel context)
{
DateTime now = context.AsOfDate;
RiskFactorTypeGroup ftg = new RiskFactorTypeGroup();
ftg.Default(context.UserName);
ftg.Name = "Credit";
context.RiskFactorTypeGroups.Add(ftg);
RiskFactorTypeGroup ftgc = new RiskFactorTypeGroup();
ftgc.Default(context.UserName);
ftgc.Name = "Spread";
ftg.RiskFactorTypeGroupChildren.Add(ftgc);
ftg = new RiskFactorTypeGroup();
ftg.Default(context.UserName);
ftg.Name = "FX";
context.RiskFactorTypeGroups.Add(ftg);
ftgc = new RiskFactorTypeGroup();
ftgc.Default(context.UserName);
ftgc.Name = "Rate";
ftg.RiskFactorTypeGroupChildren.Add(ftgc);
ftgc = new RiskFactorTypeGroup();
ftgc.Default(context.UserName);
ftgc.Name = "Volatility";
ftg.RiskFactorTypeGroupChildren.Add(ftgc);
ftg = new RiskFactorTypeGroup();
ftg.Default(context.UserName);
ftg.Name = "IL";
context.RiskFactorTypeGroups.Add(ftg);
ftgc = new RiskFactorTypeGroup();
ftgc.Default(context.UserName);
ftgc.Name = "Rate";
ftg.RiskFactorTypeGroupChildren.Add(ftgc);
ftgc = new RiskFactorTypeGroup();
ftgc.Default(context.UserName);
ftgc.Name = "Volatility";
ftg.RiskFactorTypeGroupChildren.Add(ftgc);
ftg = new RiskFactorTypeGroup();
ftg.Default(context.UserName);
ftg.Name = "IR";
context.RiskFactorTypeGroups.Add(ftg);
ftgc = new RiskFactorTypeGroup();
ftgc.Default(context.UserName);
ftgc.Name = "Spread";
ftg.RiskFactorTypeGroupChildren.Add(ftgc);
ftgc = new RiskFactorTypeGroup();
ftgc.Default(context.UserName);
ftgc.Name = "Rate";
ftg.RiskFactorTypeGroupChildren.Add(ftgc);
ftgc = new RiskFactorTypeGroup();
ftgc.Default(context.UserName);
ftgc.Name = "Volatility";
ftg.RiskFactorTypeGroupChildren.Add(ftgc);
context.SaveChanges();
}
internal static void AddTypes(ScenarioGeneratorModel context)
{
DateTime now = context.AsOfDate;
RiskFactorType rft;
RiskFactorTypeDetail rftd;
rft = new RiskFactorType() { StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-80), ApprovedBy = "B", Latest = true };
context.RiskFactorTypes.Add(rft);
rftd = new RiskFactorTypeDetail() { Name = "Credit Asset Swap Spread", StartTime = now.AddDays(-20), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-25), CreatedBy = "A", ApprovedAt = now.AddDays(-20), ApprovedBy = "B", Latest = true };
rft.RiskFactorTypeDetails.Add(rftd);
rftd.RiskFactorTypeGroup = context.RiskFactorTypeGroups.Where(x => x.Name == "Spread").Where(x =>x.RiskFactorTypeGroupParent.Name == "Credit").First();
rft = new RiskFactorType() { StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-80), ApprovedBy = "B", Latest = true };
context.RiskFactorTypes.Add(rft);
rftd = new RiskFactorTypeDetail() { Name = "Credit CDS Composites Spread", StartTime = now.AddDays(-20), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-25), CreatedBy = "A", ApprovedAt = now.AddDays(-20), ApprovedBy = "B", Latest = true };
rft.RiskFactorTypeDetails.Add(rftd);
rftd.RiskFactorTypeGroup = context.RiskFactorTypeGroups.Where(x => x.Name == "Spread").Where(x => x.RiskFactorTypeGroupParent.Name == "Credit").First();
rft = new RiskFactorType() { StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-80), ApprovedBy = "B", Latest = true };
context.RiskFactorTypes.Add(rft);
rftd = new RiskFactorTypeDetail() { Name = "Credit CDS Index Spread", StartTime = now.AddDays(-20), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-25), CreatedBy = "A", ApprovedAt = now.AddDays(-20), ApprovedBy = "B", Latest = true };
rft.RiskFactorTypeDetails.Add(rftd);
rftd.RiskFactorTypeGroup = context.RiskFactorTypeGroups.Where(x => x.Name == "Spread").Where(x => x.RiskFactorTypeGroupParent.Name == "Credit").First();
rft = new RiskFactorType() { StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-80), ApprovedBy = "B", Latest = true };
context.RiskFactorTypes.Add(rft);
rftd = new RiskFactorTypeDetail() { Name = "FX Rate", StartTime = DateTime.MinValue, EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-40), CreatedBy = "A", Latest = true };
rft.RiskFactorTypeDetails.Add(rftd);
rftd.RiskFactorTypeGroup = context.RiskFactorTypeGroups.Where(x => x.Name == "Rate").Where(x => x.RiskFactorTypeGroupParent.Name == "FX").First();
rft = new RiskFactorType() { StartTime = now.AddDays(-50), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-50), ApprovedBy = "B", Latest = true };
context.RiskFactorTypes.Add(rft);
rftd = new RiskFactorTypeDetail() { Name = "FX Volatility", StartTime = DateTime.MinValue, EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-40), CreatedBy = "A", Latest = true };
rft.RiskFactorTypeDetails.Add(rftd);
rftd.RiskFactorTypeGroup = context.RiskFactorTypeGroups.Where(x => x.Name == "Volatility").Where(x => x.RiskFactorTypeGroupParent.Name == "FX").First();
rft = new RiskFactorType() { StartTime = DateTime.MinValue, EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-40), CreatedBy = "A", Latest = true };
context.RiskFactorTypes.Add(rft);
rftd = new RiskFactorTypeDetail() { Name = "IL Rate", StartTime = DateTime.MinValue, EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-150), CreatedBy = "A", Latest = true };
rft.RiskFactorTypeDetails.Add(rftd);
rftd.RiskFactorTypeGroup = context.RiskFactorTypeGroups.Where(x => x.Name == "Rate").Where(x => x.RiskFactorTypeGroupParent.Name == "IL").First();
rft = new RiskFactorType() { StartTime = DateTime.MinValue, EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-40), CreatedBy = "A", Latest = true };
context.RiskFactorTypes.Add(rft);
rftd = new RiskFactorTypeDetail() { Name = "IL Volatility", StartTime = DateTime.MinValue, EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-150), CreatedBy = "A", Latest = true };
rft.RiskFactorTypeDetails.Add(rftd);
rftd.RiskFactorTypeGroup = context.RiskFactorTypeGroups.Where(x => x.Name == "Volatility").Where(x => x.RiskFactorTypeGroupParent.Name == "IL").First();
rft = new RiskFactorType() { StartTime = DateTime.MinValue, EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-40), CreatedBy = "A", Latest = true };
context.RiskFactorTypes.Add(rft);
rftd = new RiskFactorTypeDetail() { Name = "IR Volatility", StartTime = DateTime.MinValue, EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-150), CreatedBy = "A", Latest = true };
rft.RiskFactorTypeDetails.Add(rftd);
rftd.RiskFactorTypeGroup = context.RiskFactorTypeGroups.Where(x => x.Name == "Volatility").Where(x => x.RiskFactorTypeGroupParent.Name == "IR").First();
rft = new RiskFactorType() { StartTime = now.AddDays(-80), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
context.RiskFactorTypes.Add(rft);
rftd = new RiskFactorTypeDetail() { Name = "IR LIBOR Spread (v1)", StartTime = now.AddDays(-100), EndTime = now.AddDays(-50), CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = false };
rft.RiskFactorTypeDetails.Add(rftd);
rftd.RiskFactorTypeGroup = context.RiskFactorTypeGroups.Where(x => x.Name == "Spread").Where(x => x.RiskFactorTypeGroupParent.Name == "IR").First();
rftd = new RiskFactorTypeDetail() { Name = "IR LIBOR Spread (v2)", StartTime = now.AddDays(-50), EndTime = now.AddDays(-10), CreatedAt = now.AddDays(-90), CreatedBy = "A", ApprovedAt = now.AddDays(-50), ApprovedBy = "B", Latest = false };
rft.RiskFactorTypeDetails.Add(rftd);
rftd.RiskFactorTypeGroup = context.RiskFactorTypeGroups.Where(x => x.Name == "Spread").Where(x => x.RiskFactorTypeGroupParent.Name == "IR").First();
rftd = new RiskFactorTypeDetail() { Name = "IR LIBOR Spread (v3)", StartTime = now.AddDays(-10), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-40), CreatedBy = "A", ApprovedAt = now.AddDays(-10), ApprovedBy = "B", Latest = false };
rft.RiskFactorTypeDetails.Add(rftd);
rftd.RiskFactorTypeGroup = context.RiskFactorTypeGroups.Where(x => x.Name == "Rate").Where(x => x.RiskFactorTypeGroupParent.Name == "IR").First();
rftd = new RiskFactorTypeDetail() { Name = "IR LIBOR Spread", StartTime = DateTime.MinValue, EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-30), CreatedBy = "A", Latest = true };
rft.RiskFactorTypeDetails.Add(rftd);
rftd.RiskFactorTypeGroup = context.RiskFactorTypeGroups.Where(x => x.Name == "Spread").Where(x => x.RiskFactorTypeGroupParent.Name == "IR").First();
context.SaveChanges();
}
private static void AddScenarioLocuses3(ScenarioGeneratorModel context)
{
DateTime now = context.AsOfDate;
ScenarioDetail scenario = context.ScenarioDetails.Where(x => x.Name == "FX Volatility").First();
ScenarioLocus locus;
RiskFactorDimItemDetail dimItem;
ScenarioLocusDimItem locusDimItem;
ScenarioLocusDimGroup locusDimGroup;
RiskFactorDimension dimension = scenario.RiskFactorType.RiskFactorTypeDimensions.Where(d => d.RiskFactorDimension.RiskFactorDimensionDetail.Name == "Currency").First().RiskFactorDimension;
locus = new ScenarioLocus() { ScenarioDetailID = scenario.ScenarioDetailID, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
locus.RiskFactorDimension = dimension;
scenario.ScenarioLocuses.Add(locus);
dimItem = context.RiskFactorDimItemDetails.Where(i => i.Name == "EUR" && i.RiskFactorDimItem.RiskFactorDimTypeID == dimension.RiskFactorDimensionDetail.RiskFactorDimTypeID).First();
locusDimItem = new ScenarioLocusDimItem() { RiskFactorDimItem = dimItem.RiskFactorDimItem, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
locus.ScenarioLocusDimItems.Add(locusDimItem);
dimension = scenario.RiskFactorType.RiskFactorTypeDimensions.Where(d => d.RiskFactorDimension.RiskFactorDimensionDetail.Name == "Country of Origin").First().RiskFactorDimension;
locus = new ScenarioLocus() { ScenarioDetailID = scenario.ScenarioDetailID, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
locus.RiskFactorDimension = dimension;
scenario.ScenarioLocuses.Add(locus);
RiskFactorDimItemGroup dimGroup = context.RiskFactorDimItemGroups.Where(g => g.Name == "European Countries").First();
locusDimGroup = new ScenarioLocusDimGroup() { RiskFactorDimGroup = dimGroup, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
locus.ScenarioLocusDimGroups.Add(locusDimGroup);
}
internal static void Read(ScenarioGeneratorModel context)
{
context.Database.Log = s => System.Diagnostics.Debug.WriteLine(s);
var list = context.RiskFactorTypeGroups.Where(rftg => rftg.RiskFactorTypeGroupParentID == null);
Console.WriteLine("\n\n*****Risk Factor Group List*****");
foreach (RiskFactorTypeGroup group in list)
{
Console.WriteLine(group.Representation);
Console.WriteLine("--- Children ---");
foreach (RiskFactorTypeGroup child in group.RiskFactorTypeGroupChildren)
{
Console.WriteLine(" " + child.Representation);
Console.WriteLine(" --- members --- ");
foreach (RiskFactorTypeDetail rft in child.RiskFactorTypeDetails)
{
Console.WriteLine(" " + rft.Representation);
}
}
}
}
private static void AddScenarioPoints2(ScenarioGeneratorModel context)
{
DateTime now = context.AsOfDate;
ScenarioDetail scenario = context.ScenarioDetails.Where(x => x.Name == "FX Volatility").First();
ScenarioPoint point1 = new ScenarioPoint() { StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
point1.ShockValue = -0.5;
point1.ScenarioShockType = ScenarioShockType.REL;
scenario.ScenarioPoints.Add(point1);
ScenarioPoint point2 = new ScenarioPoint() { StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
point2.ShockValue = 0.7;
point2.ScenarioShockType = ScenarioShockType.REL;
scenario.ScenarioPoints.Add(point2);
ScenarioPoint point3 = new ScenarioPoint() { StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
point3.ShockValue = 0.3;
point3.ScenarioShockType = ScenarioShockType.REL;
scenario.ScenarioPoints.Add(point3);
ScenarioUnit unit1 = new ScenarioUnit() { StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true }; ;
unit1.ScenarioUnitType = ScenarioUnitType.LineCubic;
scenario.ScenarioUnits.Add(unit1);
ScenarioUnit unit2 = new ScenarioUnit() { StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true }; ;
unit2.ScenarioUnitType = ScenarioUnitType.LineCubic;
scenario.ScenarioUnits.Add(unit2);
ScenarioUnitPoint unitPoint;
unitPoint = new ScenarioUnitPoint() { StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
unitPoint.ScenarioPoint = point1;
unit1.ScenarioUnitPoints.Add(unitPoint);
unitPoint = new ScenarioUnitPoint() { StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
unitPoint.ScenarioPoint = point2;
unit1.ScenarioUnitPoints.Add(unitPoint);
unitPoint = new ScenarioUnitPoint() { StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
unitPoint.ScenarioPoint = point2;
unit2.ScenarioUnitPoints.Add(unitPoint);
unitPoint = new ScenarioUnitPoint() { StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
unitPoint.ScenarioPoint = point3;
unit2.ScenarioUnitPoints.Add(unitPoint);
RiskFactorDimension dimension = scenario.RiskFactorType.RiskFactorTypeDimensions.Where(d => d.RiskFactorDimension.RiskFactorDimensionDetail.Name == "Instrument Tenor").First().RiskFactorDimension;
ScenarioDimEdgePolicy policy = new ScenarioDimEdgePolicy() { ScenarioDetailID = scenario.ScenarioDetailID, RiskFactorDimensionID = dimension.RiskFactorDimensionID, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
scenario.ScenarioDimEdgePolicies.Add(policy);
ScenarioPointCoordinate coordinate;
RiskFactorDimItemDetail dimItem;
coordinate = new ScenarioPointCoordinate() { RiskFactorDimension = dimension, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
dimItem = context.RiskFactorDimItemDetails.Where(i => i.Name == "1D" && i.RiskFactorDimItem.RiskFactorDimTypeID == dimension.RiskFactorDimensionDetail.RiskFactorDimTypeID).First();
coordinate.RiskFactorDimItem = dimItem.RiskFactorDimItem;
point1.ScenarioPointCoordinates.Add(coordinate);
coordinate = new ScenarioPointCoordinate() { RiskFactorDimension = dimension, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
dimItem = context.RiskFactorDimItemDetails.Where(i => i.Name == "3D" && i.RiskFactorDimItem.RiskFactorDimTypeID == dimension.RiskFactorDimensionDetail.RiskFactorDimTypeID).First();
coordinate.RiskFactorDimItem = dimItem.RiskFactorDimItem;
point2.ScenarioPointCoordinates.Add(coordinate);
coordinate = new ScenarioPointCoordinate() { RiskFactorDimension = dimension, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
dimItem = context.RiskFactorDimItemDetails.Where(i => i.Name == "5D" && i.RiskFactorDimItem.RiskFactorDimTypeID == dimension.RiskFactorDimensionDetail.RiskFactorDimTypeID).First();
coordinate.RiskFactorDimItem = dimItem.RiskFactorDimItem;
point3.ScenarioPointCoordinates.Add(coordinate);
}
public RiskFactorDimItemRepository(ScenarioGeneratorModel context)
: base(context)
{
}
public TargetSystemRepository(ScenarioGeneratorModel context)
: base(context)
{
}
