private void Testbutton_Click(object sender, EventArgs e)
{
try
{
ReportBox.Text = "";
Report("Beginning calc for " + CurrencyCombo.Text);
ReadTestData(CurrencyCombo.Text);
Report("Test data read.");
ReportBox.Refresh();
inputData.Holidays = Functions.GetHolidays(inputData.HolidayCentre);
ZeroCouponCalc calc = new ZeroCouponCalc();
if (inputData.LiborData.Count < 3 || inputData.FutureData.Count < 3 || inputData.SwapData.Count < 3)
{
throw new Exception(string.Format("Not enough rates read in for {0} currency.", CurrencyCombo.Text));
}
string ret = calc.Calc(inputData);
if (ret.Length > 0)
{
Report("Error. Calc method returned:");
Report(ret);
}
else
{
Report("Calc completed successfully");
Report("===========================");
foreach (OutputPoint rate in calc.Output)
{
Report(rate.Date.ToString("dd MMM yy") + "\t" + rate.Term + "\t" + rate.Rate);
}
}
}
catch (Exception ex)
{
Report("Error:");
Report(ex.Message);
}
}
public void Action(int runID = 0)
{
Utils.Log("In Action");
Database db = new Database();
try
{
if (runID == 0)
{
db.GetTickerRecordSet();
}
Utils.Log("Getting list of currencies ... ");
List <string> currencies = db.GetCurrency(runID);
foreach (string currency in currencies)
{
try {
Utils.Log(string.Format("Processing currency: {0}", currency));
Utils.Log(string.Format("Getting curve data: {0}", currency));
InputData input = db.GetCurveData(currency, runID);
Utils.Log(string.Format("Getting conventions: {0}", currency));
Dictionary <string, string> conventions = db.GetConvention(currency);
input.DayCountConvention = ZeroCouponGenerator.eNumConvert.GetDayCountEnum(conventions["DayCountConvention"]);
input.NextWorkingDay = ZeroCouponGenerator.eNumConvert.GetNextWorkingDayEnum(conventions["NextWorkingDay"]);
input.HolidayCentre = conventions["HolidayCentre"];
input.MaxFutureTermDays = int.Parse(conventions["MaxFutureTermInDays"]);
input.SettleDaysForFutures = int.Parse(conventions["SettleDaysForFutures"]);
input.SettleDaysForSwaps = int.Parse(conventions["SettleDaysForSwaps"]);
input.SettleDaysForLibors = int.Parse(conventions["SettleDaysForLibor"]);
input.LiborDayCountConvention = ZeroCouponGenerator.eNumConvert.GetDayCountEnum(conventions["LiborDayCountConvention"]);
input.FutureDayCountConvention = ZeroCouponGenerator.eNumConvert.GetDayCountEnum(conventions["FutureDayCountConvention"]);
input.SwapFixedDayCountConvention = ZeroCouponGenerator.eNumConvert.GetDayCountEnum(conventions["SwapFixedDayCountConvention"]);
input.SwapFloatPaymentFrequency = int.Parse(conventions["SwapFloatPaymentFrequency"]);
input.SwapFixedPaymentFrequency = int.Parse(conventions["SwapFixedPaymentFrequency"]);
Utils.Log(string.Format("Getting holidays: {0}", input.HolidayCentre));
input.Holidays = Functions.GetHolidays(input.HolidayCentre);
Utils.Log(string.Format("Creating curve: {0}", currency));
ZeroCouponCalc calc = new ZeroCouponCalc();
calc.Calc(input);
List <OutputPoint> output = calc.Output;
StringBuilder sbSql = new StringBuilder("INSERT tblRateTerm (Currency, Duration, Type, Forward, Spot, LastUpdated, UpdatedBy, UpdatedFrom, DayCountBasis) \r\n VALUES ");
string eol = ",";
#if DEBUG
eol = ",\r\n";
#endif
bool first = true;
foreach (OutputPoint point in output)
{
if (first)
{
first = false;
}
else
{
sbSql.Append(eol);
}
sbSql.AppendFormat("('{0}', {1}, 'ZR', 0, {2}, GETDATE(),'{3}','{4}',{5})",
currency, point.Term, point.Rate, Environment.UserName, Environment.MachineName, conventions["DayCountConvention"]);
}
Utils.Log(string.Format("Writing curve points - Calling MMA DSN: {0} {1}", Settings.Default.MMADSN, sbSql.ToString()));
db.ExecSql(sbSql.ToString(), "Error inserting bbg data into tblRateTerm", Settings.Default.MMADSN, timeout: 30);
} catch (Exception ex) {
Utils.Log(ex.Message);
Utils.Log(ex.StackTrace);
Utils.Log("Aborting {0}".Args(currency));
string to = "*****@*****.**";
#if DEBUG
to = "*****@*****.**";
#endif
string userMessage = "Please contact IT if rates need to be copied over. Currencies that did not generate an email, did not fail.";
// Limit email to between 15:15 and 15:45
if (DateTime.Now.Hour == 15)
{
if (DateTime.Now.Minute >= 15 && DateTime.Now.Minute < 45)
{
Maple.Notifier.SendEmail(to, "Zero coupon generator error for {0}.".Args(currency),
"{0}\r\nSee IT logs for detail\r\nS:\\dev\\Logs\\ZeroCouponGenerator\r\n\r\n{1}".Args(ex.Message, userMessage));
}
}
}
}
}
catch (Exception ex)
{
Utils.Log(ex.Message);
Utils.Log(ex.StackTrace);
}
}
