internal static List <InflationIndex> GetInflationIndex(ConnectionContextSQLite ctx, long?idIndex)
{
List <InflationIndex> list = new List <InflationIndex>();
var command = SqlHelperSQLite.SelectInflationIndexCommand(ctx, idIndex);
using (var reader = command.ExecuteReader())
{
//Repository.BondDic.Clear();
while (reader.Read())
{
InflationIndex b = new InflationIndex
{
Id = reader.GetInt32(reader.GetOrdinal("Id")),
Name = reader.IsDBNull(reader.GetOrdinal("Name")) ? null : reader.GetString(reader.GetOrdinal("Name")),
ClassName = reader.IsDBNull(reader.GetOrdinal("ClassName")) ? null : reader.GetString(reader.GetOrdinal("ClassName")),
Type = reader.GetString(reader.GetOrdinal("Type")),
DataProviderId = reader.IsDBNull(reader.GetOrdinal("DataProviderId")) ? 0 : reader.GetInt32(reader.GetOrdinal("DataProviderId")),
DataReference = reader.IsDBNull(reader.GetOrdinal("DataReference")) ? null : reader.GetString(reader.GetOrdinal("DataReference")),
IdCcy = reader.IsDBNull(reader.GetOrdinal("CurrencyId")) ? 0 : reader.GetInt32(reader.GetOrdinal("CurrencyId")),
};
list.Add(b);
}
}
return(list);
}
//pair of params can be added later - typy (bond, rate etc) and instrument id
//note that id is not unique as rate history contains different types of instruments from different tables (ids are unique only within one table)
internal static List <RateHistory> GetRateHistory(ConnectionContextSQLite ctx, DateTime?settlementDate)
{
List <RateHistory> RateHistoryList = new List <RateHistory>();
var command = SqlHelperSQLite.SelectRateHistoryCommand(ctx, null, settlementDate);
using (var reader = command.ExecuteReader())
{
while (reader.Read())
{
var d = new RateHistory
{
Id = reader.GetInt32(reader.GetOrdinal("Id")),
Type = reader.GetString(reader.GetOrdinal("Type")),
RateId = reader.GetInt32(reader.GetOrdinal("RateId")),
Date = reader.GetDateTime(reader.GetOrdinal("Date")),
High = reader.IsDBNull(reader.GetOrdinal("High")) ? -1 : reader.GetDouble(reader.GetOrdinal("High")),
Low = reader.IsDBNull(reader.GetOrdinal("Low")) ? -1 : reader.GetDouble(reader.GetOrdinal("Low")),
Open = reader.IsDBNull(reader.GetOrdinal("Open")) ? -1 : reader.GetDouble(reader.GetOrdinal("Open")),
Close = reader.IsDBNull(reader.GetOrdinal("Close")) ? -1 : reader.GetDouble(reader.GetOrdinal("Close")),
Theoretical = reader.IsDBNull(reader.GetOrdinal("Theoretical")) ? -1 : reader.GetDouble(reader.GetOrdinal("Theoretical"))
};
RateHistoryList.Add(d);
}
}
return(RateHistoryList);
}
internal static List <ExchangeRate> GetXRates(ConnectionContextSQLite ctx, long?idXRate)
{
List <ExchangeRate> list = new List <ExchangeRate>();
var command = SqlHelperSQLite.SelectXRatesCommand(ctx, idXRate);
using (var reader = command.ExecuteReader())
{
//Repository.XRateDic.Clear();
while (reader.Read())
{
ExchangeRate tmp = new ExchangeRate
{
Id = reader.GetInt32(reader.GetOrdinal("Id")),
Name = reader.IsDBNull(reader.GetOrdinal("Name")) ? null : reader.GetString(reader.GetOrdinal("Name")),
ClassName = reader.IsDBNull(reader.GetOrdinal("ClassName")) ? null : reader.GetString(reader.GetOrdinal("ClassName")),
DataProviderId = reader.IsDBNull(reader.GetOrdinal("DataProviderId")) ? 0 : reader.GetInt32(reader.GetOrdinal("DataProviderId")),
DataReference = reader.IsDBNull(reader.GetOrdinal("DataReference")) ? null : reader.GetString(reader.GetOrdinal("DataReference")),
SettlementDays = reader.IsDBNull(reader.GetOrdinal("SettlementDays")) ? 0 : reader.GetInt32(reader.GetOrdinal("SettlementDays")),
FixingPlace = reader.IsDBNull(reader.GetOrdinal("FixingPlace")) ? null : reader.GetString(reader.GetOrdinal("FixingPlace")), //??? temporary solution. fixing place in database is id whereas here we are looking for quantlibclassname of calendar
PrimaryCurrencyId = reader.IsDBNull(reader.GetOrdinal("PrimaryCurrencyCode")) ? 0 : reader.GetInt32(reader.GetOrdinal("PrimaryCurrencyCode")),
SecondaryCurrencyId = reader.IsDBNull(reader.GetOrdinal("SecondaryCurrencyCode")) ? 0 : reader.GetInt32(reader.GetOrdinal("SecondaryCurrencyCode"))
};
list.Add(tmp);
//Repository.XRateDic[tmp.Id] = tmp;
}
}
return(list);
}
internal static List <Currency> GetCurrency(ConnectionContextSQLite ctx, long?idCurrency)
{
List <Currency> list = new List <Currency>();
var command = SqlHelperSQLite.SelectCurrencyCommand(ctx, idCurrency);
using (var reader = command.ExecuteReader())
{
//Repository.CurrencyDic.Clear();
while (reader.Read())
{
var r = new Currency
{
Id = reader.GetInt32(reader.GetOrdinal("Id")),
ClassName = reader.IsDBNull(reader.GetOrdinal("ClassName")) ? null : reader.GetString(reader.GetOrdinal("ClassName")),
Name = reader.IsDBNull(reader.GetOrdinal("Name")) ? null : reader.GetString(reader.GetOrdinal("Name")),
Code = reader.IsDBNull(reader.GetOrdinal("Code")) ? null : reader.GetString(reader.GetOrdinal("Code")),
NumericCode = reader.IsDBNull(reader.GetOrdinal("NumericCode")) ? 0 : reader.GetInt32(reader.GetOrdinal("NumericCode")),
FractionsPerUnit = reader.IsDBNull(reader.GetOrdinal("FractionsPerUnit")) ? 0 : reader.GetInt32(reader.GetOrdinal("FractionsPerUnit")),
FractionSymbol = reader.IsDBNull(reader.GetOrdinal("FractionSymbol")) ? null : reader.GetString(reader.GetOrdinal("FractionSymbol")),
Symbol = reader.IsDBNull(reader.GetOrdinal("Symbol")) ? null : reader.GetString(reader.GetOrdinal("Symbol"))
};
list.Add(r);
//Repository.CurrencyDic[r.Id] = r;
}
}
return(list);
}
internal static List <DayCounter> GetDayCounter(ConnectionContextSQLite ctx, long?idDC, string className)
{
List <DayCounter> list = new List <DayCounter>();
var command = SqlHelperSQLite.SelectDayCounterCommand(ctx, idDC, className);
using (var reader = command.ExecuteReader())
{
//Repository.DayCounterDic.Clear();
while (reader.Read())
{
var r = new DayCounter
{
Id = reader.GetInt32(reader.GetOrdinal("Id")),
Name = reader.IsDBNull(reader.GetOrdinal("Name")) ? null : reader.GetString(reader.GetOrdinal("Name")),
ClassName = reader.IsDBNull(reader.GetOrdinal("ClassName")) ? null : reader.GetString(reader.GetOrdinal("ClassName"))
};
string param = reader.IsDBNull(reader.GetOrdinal("ClassNameParam")) ? null : reader.GetString(reader.GetOrdinal("ClassNameParam"));
if (!string.IsNullOrEmpty(param))
{
r.ClassName += ("::" + param);
}
list.Add(r);
//Repository.DayCounterDic[r.Id] = r;
}
}
return(list);
}
// instruments used for callibration and valid start date and valid end date
internal static List <InflationCurveEntryData> GetInflationCurveEntryData(ConnectionContextSQLite ctx, long?idIc, DateTime?settlementDate)
{
List <InflationCurveEntryData> EntryDataList = new List <InflationCurveEntryData>();
var command = SqlHelperSQLite.SelectInflationCurveEntryDataCommand(ctx, idIc, settlementDate);
using (var reader = command.ExecuteReader())
{
// Dictionary<long, ValuePair> entryPointDic = new Dictionary<long, ValuePair>();
while (reader.Read())
{
var d = new InflationCurveEntryData
{
InflationCurveId = reader.GetInt32(reader.GetOrdinal("InflationCurveId")),
Id = reader.GetInt32(reader.GetOrdinal("Id")),
Type = reader.GetString(reader.GetOrdinal("Type")),
Enabled = true, // default
ValidDateBegin = reader.GetDateTime(reader.GetOrdinal("ValidDateStart")),
ValidDateEnd = reader.GetDateTime(reader.GetOrdinal("ValidDateEnd")),
};
if (d.Type.ToLower() == "inflationbond")
{
d.Instrument = (InflationBond)GetInflationBond(reader.GetInt32(reader.GetOrdinal("RateId")));
}
else if (d.Type.ToLower() == "swap")
{
d.Instrument = (InflationRate)GetInflationRate(reader.GetInt32(reader.GetOrdinal("RateId")));
}
/* else if (d.Type.ToLower() == "bond")
* {
* d.Instrument = (Instrument)GetBond(reader.GetInt32(reader.GetOrdinal("RateId")));
* }
* else
* {
* d.Instrument = (Instrument)GetRate(reader.GetInt32(reader.GetOrdinal("RateId")));
* } */
// if (((d.Type == "inflationbond") || (d.Type == "bond")) && (d.Instrument as Bond).MaturityDate <= settlementDate)
// continue; // skip if bond and maturity date is not in future
if ((d.Type == "inflationbond") && (d.Instrument as InflationBond).MaturityDate <= settlementDate)
{
// if ((d.Type == "inflationbond") && (d.Instrument as Bond).MaturityDate <= settlementDate)
continue; // skip if bond and maturity date is not in future
}
EntryDataList.Add(d);
}
}
EntryDataList.Sort(new InflationCurveEntryDataCompare());
return(EntryDataList);
}
/// <summary>
/// Retrieves the list of yield curve data
/// </summary>
/// <param name="ctx">
/// The connection context
/// </param>
/// <param name="idYc">
/// The yield curve id
/// </param>
/// <param name="idYc">
/// The date
/// </param>
/// <returns>
/// List of yield curve data
/// </returns>
///
// ??? obsolete method
internal static List <YieldCurveData> GetYieldCurveData(ConnectionContextSQLite ctx,
long?idYc)
{
List <YieldCurveData> ycDesc = new List <YieldCurveData>();
var command = SqlHelperSQLite.SelectYieldCurveDataCommand(ctx, idYc);
using (var reader = command.ExecuteReader())
{
while (reader.Read())
{
var ycs = new YieldCurveSetting
{
ZcBasisId = reader.GetInt32(reader.GetOrdinal("ZcBasisId")),
ZcCompounding = reader.GetString(reader.GetOrdinal("ZcCompounding")),
ZcFrequency = reader.GetString(reader.GetOrdinal("ZcFrequency")),
FrwCompounding = reader.GetString(reader.GetOrdinal("FrwCompounding")),
ifZc = reader.GetBoolean(reader.GetOrdinal("ifZC")),
FrwBasisId = reader.GetInt32(reader.GetOrdinal("FrwBasisId")),
ZCColor = reader.IsDBNull(reader.GetOrdinal("ZCColor")) ? null : reader.GetString(reader.GetOrdinal("ZCColor")),
FrwFrequency = reader.GetString(reader.GetOrdinal("FrwFrequency")),
FrwTermBase = reader.GetString(reader.GetOrdinal("FrwTermBase")),
FrwTerm = reader.IsDBNull(reader.GetOrdinal("FrwTerm")) ? -1 : reader.GetInt32(reader.GetOrdinal("FrwTerm")),
FrwColor = reader.IsDBNull(reader.GetOrdinal("FrwColor")) ? null : reader.GetString(reader.GetOrdinal("FrwColor")),
ifFrw = reader.GetBoolean(reader.GetOrdinal("ifFrw")),
SpreadType = reader.IsDBNull(reader.GetOrdinal("SpreadType")) ? -1 : reader.GetInt32(reader.GetOrdinal("SpreadType")),
SpreadSize = reader.IsDBNull(reader.GetOrdinal("SpreadSize")) ? -1 : reader.GetInt32(reader.GetOrdinal("SpreadSize")),
SpreadFamily = reader.IsDBNull(reader.GetOrdinal("SpreadFamily")) ? -1 : reader.GetInt32(reader.GetOrdinal("SpreadFamily"))
};
Calendar cal = new Calendar
{
Id = reader.IsDBNull(reader.GetOrdinal("calId")) ? -1 : reader.GetInt32(reader.GetOrdinal("calId")),
ClassName = reader.IsDBNull(reader.GetOrdinal("calClassName")) ? null : reader.GetString(reader.GetOrdinal("calClassName")),
MarketName = reader.IsDBNull(reader.GetOrdinal("calMarketName")) ? null : reader.GetString(reader.GetOrdinal("calMarketName"))
};
ycs.Calendar = cal;
ycDesc.Add(new YieldCurveData
{
Id = reader.GetInt32(reader.GetOrdinal("Id")),
Name = reader.GetString(reader.GetOrdinal("Name")),
Family = reader.GetString(reader.GetOrdinal("Family")),
CurrencyId = reader.IsDBNull(reader.GetOrdinal("CurrencyId")) ? -1 : reader.GetInt32(reader.GetOrdinal("CurrencyId")),
settings = ycs,
entryPointList = null,
discountPointList = null
});
}
}
return(ycDesc);
}
internal static List <Rate> GetRates(ConnectionContextSQLite ctx, long?idRate)
{
List <Rate> list = new List <Rate>();
var command = SqlHelperSQLite.SelectRatesCommand(ctx, idRate);
using (var reader = command.ExecuteReader())
{
//Repository.RateDic.Clear();
while (reader.Read())
{
Rate tmp = new Rate
{
Id = reader.GetInt32(reader.GetOrdinal("Id")),
Name = reader.IsDBNull(reader.GetOrdinal("Name")) ? null : reader.GetString(reader.GetOrdinal("Name")),
ClassName = reader.GetString(reader.GetOrdinal("ClassName")),
Type = reader.GetString(reader.GetOrdinal("Type")),
DataProviderId = reader.IsDBNull(reader.GetOrdinal("DataProviderId")) ? 0 : reader.GetInt32(reader.GetOrdinal("DataProviderId")),
DataReference = reader.IsDBNull(reader.GetOrdinal("DataReference")) ? null : reader.GetString(reader.GetOrdinal("DataReference")),
IdCcy = reader.IsDBNull(reader.GetOrdinal("CurrencyId")) ? 0 : reader.GetInt32(reader.GetOrdinal("CurrencyId")),
Duration = reader.IsDBNull(reader.GetOrdinal("Length")) ? 0 : reader.GetInt32(reader.GetOrdinal("Length")),
TimeUnit = reader.IsDBNull(reader.GetOrdinal("TimeUnit")) ? null : reader.GetString(reader.GetOrdinal("TimeUnit")),
Accuracy = reader.IsDBNull(reader.GetOrdinal("Accuracy")) ? 0 : reader.GetInt32(reader.GetOrdinal("Accuracy")),
Spread = reader.IsDBNull(reader.GetOrdinal("Spread")) ? 0 : reader.GetDouble(reader.GetOrdinal("Spread")),
SettlementDays = reader.IsDBNull(reader.GetOrdinal("SettlementDays")) ? 0 : reader.GetInt32(reader.GetOrdinal("SettlementDays")),
FixingPlace = reader.IsDBNull(reader.GetOrdinal("FixingPlace")) ? null : reader.GetString(reader.GetOrdinal("FixingPlace")), //??? temporary solution. fixing place in database is id whereas here we are looking for quantlibclassname of calendar
IdIndex = reader.IsDBNull(reader.GetOrdinal("IndexId")) ? 0 : reader.GetInt32(reader.GetOrdinal("IndexId")),
BasisId = reader.IsDBNull(reader.GetOrdinal("BasisId")) ? -1 : reader.GetInt32(reader.GetOrdinal("BasisId")),
Frequency = reader.IsDBNull(reader.GetOrdinal("Frequency")) ? null : reader.GetString(reader.GetOrdinal("Frequency")),
Compounding = reader.IsDBNull(reader.GetOrdinal("Compounding")) ? null : reader.GetString(reader.GetOrdinal("Compounding")),
IndexDuration = reader.IsDBNull(reader.GetOrdinal("IndexLength")) ? 0 : reader.GetInt32(reader.GetOrdinal("IndexLength")),
IndexTimeUnit = reader.IsDBNull(reader.GetOrdinal("IndexTimeUnit")) ? null : reader.GetString(reader.GetOrdinal("IndexTimeUnit")),
IndexName = reader.IsDBNull(reader.GetOrdinal("IndexName")) ? null : reader.GetString(reader.GetOrdinal("IndexName")),
ClassNameIndex = reader.IsDBNull(reader.GetOrdinal("IndexClassName")) ? null : reader.GetString(reader.GetOrdinal("IndexClassName")),
BasisIndexId = reader.IsDBNull(reader.GetOrdinal("IndexBasisId")) ? -1 : reader.GetInt32(reader.GetOrdinal("IndexBasisId")),
FrequencyIndex = reader.IsDBNull(reader.GetOrdinal("IndexFrequency")) ? null : reader.GetString(reader.GetOrdinal("IndexFrequency")),
CompoundingIndex = reader.IsDBNull(reader.GetOrdinal("IndexCompounding")) ? null : reader.GetString(reader.GetOrdinal("IndexCompounding")),
};
list.Add(tmp);
//Repository.RateDic[tmp.Id] = tmp;
}
}
return(list);
}
internal static List <InflationRate> GetInflationRates(ConnectionContextSQLite ctx, long?idRate)
{
List <InflationRate> list = new List <InflationRate>();
var command = SqlHelperSQLite.SelectInflationRatesCommand(ctx, idRate);
using (var reader = command.ExecuteReader())
{
//Repository.RateDic.Clear();
while (reader.Read())
{
InflationRate tmp = new InflationRate
{
Id = reader.GetInt32(reader.GetOrdinal("Id")),
Name = reader.IsDBNull(reader.GetOrdinal("Name")) ? null : reader.GetString(reader.GetOrdinal("Name")),
ClassName =
reader.IsDBNull(reader.GetOrdinal("ClassName")) ? null : reader.GetString(reader.GetOrdinal("ClassName")),
Type = reader.GetString(reader.GetOrdinal("Type")),
DataProviderId = reader.IsDBNull(reader.GetOrdinal("DataProviderId")) ? 0 : reader.GetInt32(reader.GetOrdinal("DataProviderId")),
DataReference = reader.IsDBNull(reader.GetOrdinal("DataReference")) ? null : reader.GetString(reader.GetOrdinal("DataReference")),
IdCcy = reader.IsDBNull(reader.GetOrdinal("CurrencyId")) ? 0 : reader.GetInt32(reader.GetOrdinal("CurrencyId")),
InflationCurveId = reader.IsDBNull(reader.GetOrdinal("InflationCurveId")) ? 0 : reader.GetInt32(reader.GetOrdinal("InflationCurveId")),
Duration = reader.IsDBNull(reader.GetOrdinal("Length")) ? 0 : reader.GetInt32(reader.GetOrdinal("Length")),
TimeUnit = reader.IsDBNull(reader.GetOrdinal("TimeUnit")) ? null : reader.GetString(reader.GetOrdinal("TimeUnit")),
Accuracy = reader.IsDBNull(reader.GetOrdinal("Accuracy")) ? 0 : reader.GetInt32(reader.GetOrdinal("Accuracy")),
SettlementDays = reader.IsDBNull(reader.GetOrdinal("SettlementDays")) ? 0 : reader.GetInt32(reader.GetOrdinal("SettlementDays")),
InflationIndexId = reader.IsDBNull(reader.GetOrdinal("InflationIndexId")) ? 0 : reader.GetInt32(reader.GetOrdinal("InflationIndexId")),
InflationLag = reader.IsDBNull(reader.GetOrdinal("InflationLag")) ? 0 : reader.GetInt32(reader.GetOrdinal("InflationLag")),
InflationLagTimeUnit = reader.IsDBNull(reader.GetOrdinal("InflationLagTimeUnit")) ? null : reader.GetString(reader.GetOrdinal("InflationLagTimeUnit")),
BasisId = reader.IsDBNull(reader.GetOrdinal("BasisId")) ? -1 : reader.GetInt32(reader.GetOrdinal("BasisId")),
FrequencyId = reader.IsDBNull(reader.GetOrdinal("FrequencyId")) ? -1 : reader.GetInt32(reader.GetOrdinal("FrequencyId")),
Frequency = reader.IsDBNull(reader.GetOrdinal("Frequency")) ? null : reader.GetString(reader.GetOrdinal("Frequency")),
CompoundingId = reader.IsDBNull(reader.GetOrdinal("CompoundingId")) ? -1 : reader.GetInt32(reader.GetOrdinal("CompoundingId")),
Compounding = reader.IsDBNull(reader.GetOrdinal("Compounding")) ? null : reader.GetString(reader.GetOrdinal("Compounding")),
Spread = reader.IsDBNull(reader.GetOrdinal("Spread")) ? 0 : reader.GetDouble(reader.GetOrdinal("Spread")),
};
list.Add(tmp);
}
}
return(list);
}
// settings and name
internal static List <InflationCurveData> GetInflationCurveData(ConnectionContextSQLite ctx, long?idIC)
{
List <InflationCurveData> ic = new List <InflationCurveData>();
var command = SqlHelperSQLite.SelectInflationCurveDataCommand(ctx, idIC);
using (var reader = command.ExecuteReader())
{
while (reader.Read())
{
var ics = new InflationCurveSetting
{
ZcBasisId = reader.GetInt32(reader.GetOrdinal("ZcBasisId")),
ZcCompounding = reader.GetString(reader.GetOrdinal("ZcCompounding")),
ZcFrequency = reader.GetString(reader.GetOrdinal("ZcFrequency")),
ifZc = reader.GetBoolean(reader.GetOrdinal("ifZC")),
ZCColor = reader.IsDBNull(reader.GetOrdinal("ZCColor")) ? "" : reader.GetString(reader.GetOrdinal("ZCColor")),
ifIndex = reader.GetBoolean(reader.GetOrdinal("ifIndex")),
IndexColor = reader.IsDBNull(reader.GetOrdinal("IndexColor")) ? "" : reader.GetString(reader.GetOrdinal("IndexColor"))
};
// Calendar cal = new Calendar
// {
// Id = reader.IsDBNull(reader.GetOrdinal("calId")) ? -1 : reader.GetInt32(reader.GetOrdinal("calId")),
// ClassName = reader.IsDBNull(reader.GetOrdinal("calClassName")) ? null : reader.GetString(reader.GetOrdinal("calClassName")),
// MarketName = reader.IsDBNull(reader.GetOrdinal("calMarketName")) ? null : reader.GetString(reader.GetOrdinal("calMarketName"))
// };
// ycs.Calendar = cal;
ic.Add(new InflationCurveData
{
Id = reader.GetInt32(reader.GetOrdinal("Id")),
Name = reader.GetString(reader.GetOrdinal("Name")),
Family = reader.GetString(reader.GetOrdinal("Family")),
//CurrencyId = reader.IsDBNull(reader.GetOrdinal("CurrencyId")) ? -1 : reader.GetInt32(reader.GetOrdinal("CurrencyId")),
//InflationIndexId = reader.IsDBNull(reader.GetOrdinal("InflationIndex")) ? -1 : reader.GetInt32(reader.GetOrdinal("InflationIndex")),
CurrencyId = reader.GetInt32(reader.GetOrdinal("CurrencyId")),
InflationIndexId = reader.GetInt32(reader.GetOrdinal("InflationIndex")),
settings = ics
});
}
}
return(ic);
}
internal static List <EntryPointHistory> GetExchangeRateHistory(ConnectionContextSQLite ctx,
long?RateId,
DateTime?settlementDate)
{
List <EntryPointHistory> outExchangeRateHistoryList = new List <EntryPointHistory>();
var command = SqlHelperSQLite.SelectExchangeRateHistoryCommand(ctx, RateId, null);
using (var reader = command.ExecuteReader())
{
Dictionary <long, HashSet <HistoricValue> > tmpExchangeRateListDic = new Dictionary <long, HashSet <HistoricValue> >();
while (reader.Read())
{
var d = new EntryPointHistory
{
Id = reader.GetInt32(reader.GetOrdinal("Id")),
DataProviderId = reader.IsDBNull(reader.GetOrdinal("DataProviderId")) ? 0 : reader.GetInt32(reader.GetOrdinal("DataProviderId")),
DataReference = reader.IsDBNull(reader.GetOrdinal("DataReference")) ? null : reader.GetString(reader.GetOrdinal("DataReference")),
epValueHistory = null
};
if (!tmpExchangeRateListDic.ContainsKey(d.Id))
{
tmpExchangeRateListDic[d.Id] = new HashSet <HistoricValue>(new HistoricValueComparer());
outExchangeRateHistoryList.Add(d);
}
tmpExchangeRateListDic[d.Id].Add(new HistoricValue
{
Value = reader.GetDouble(reader.GetOrdinal("Value")),
Date = reader.GetDateTime(reader.GetOrdinal("Date"))
});
}
foreach (EntryPointHistory y in outExchangeRateHistoryList)
{
y.epValueHistory = tmpExchangeRateListDic[y.Id];
}
outExchangeRateHistoryList.Sort(new EntryPointHistoryCompare());
}
return(outExchangeRateHistoryList);
}
internal static List <InflationBond> GetInflationBonds(ConnectionContextSQLite ctx, long?idBond)
// internal static List<Bond> GetInflationBonds(ConnectionContext ctx, long? idBond)
{
List <InflationBond> list = new List <InflationBond>();
// List<Bond> list = new List<Bond>();
var command = SqlHelperSQLite.SelectInflationBondsCommand(ctx, idBond);
using (var reader = command.ExecuteReader())
{
//Repository.BondDic.Clear();
while (reader.Read())
{
InflationBond b = new InflationBond
// Bond b = new Bond
{
Id = reader.GetInt32(reader.GetOrdinal("Id")),
InflationIndexId = reader.IsDBNull(reader.GetOrdinal("InflationIndexId")) ? 0 : reader.GetInt32(reader.GetOrdinal("InflationIndexId")),
Name = reader.IsDBNull(reader.GetOrdinal("Name")) ? null : reader.GetString(reader.GetOrdinal("Name")),
Type = reader.GetString(reader.GetOrdinal("Type")),
DataProviderId = reader.IsDBNull(reader.GetOrdinal("DataProviderId")) ? 0 : reader.GetInt32(reader.GetOrdinal("DataProviderId")),
DataReference = reader.IsDBNull(reader.GetOrdinal("DataReference")) ? null : reader.GetString(reader.GetOrdinal("DataReference")),
IdCcy = reader.IsDBNull(reader.GetOrdinal("CurrencyId")) ? 0 : reader.GetInt32(reader.GetOrdinal("CurrencyId")),
IssueDate = reader.GetDateTime(reader.GetOrdinal("IssueDate")),
MaturityDate = reader.GetDateTime(reader.GetOrdinal("MaturityDate")),
DateGeneration = reader.IsDBNull(reader.GetOrdinal("DateGeneration")) ? null : reader.GetString(reader.GetOrdinal("DateGeneration")),
CouponFrequency = reader.IsDBNull(reader.GetOrdinal("CouponFrequency")) ? null : reader.GetString(reader.GetOrdinal("CouponFrequency")),
Coupon = reader.IsDBNull(reader.GetOrdinal("Coupon")) ? 0 : reader.GetDouble(reader.GetOrdinal("Coupon")),
CouponConvention = reader.IsDBNull(reader.GetOrdinal("CouponConvention")) ? null : reader.GetString(reader.GetOrdinal("CouponConvention")),
//CouponBasis = reader.IsDBNull(reader.GetOrdinal("CouponBasis")) ? null : reader.GetString(reader.GetOrdinal("CouponBasis")),
CouponBasisId = reader.IsDBNull(reader.GetOrdinal("CouponBasisId")) ? 0 : reader.GetInt32(reader.GetOrdinal("CouponBasisId")),
Redemption = reader.IsDBNull(reader.GetOrdinal("Redemption")) ? 0 : reader.GetDouble(reader.GetOrdinal("Redemption")),
Nominal = reader.IsDBNull(reader.GetOrdinal("Nominal")) ? 0 : reader.GetDouble(reader.GetOrdinal("Nominal")),
SettlementDays = reader.IsDBNull(reader.GetOrdinal("SettlementDays")) ? 0 : reader.GetInt32(reader.GetOrdinal("SettlementDays")),
//YieldCurveId = reader.IsDBNull(reader.GetOrdinal("YieldCurveId")) ? 0 : reader.GetInt32(reader.GetOrdinal("YieldCurveId")),
};
list.Add(b);
//Repository.BondDic[b.Id] = b;
}
}
return(list);
}
/// Retrieves the list of yield curve families
/// </summary>
/// <param name="ctx">
/// The connection context
/// </param>
/// <param name="idYcFamily">
/// The id of yield curve family
/// </param>
/// <param name="idCcy">
/// The currency id
/// </param>
/// <returns>
/// List of yield curve families
/// </returns>
internal static List <YieldCurveFamily> GetYieldCurveFamily(ConnectionContextSQLite ctx, long?idYcFamily, long?idCcy)
{
List <YieldCurveFamily> list = new List <YieldCurveFamily>();
var command = SqlHelperSQLite.SelectYieldCurveFamilyCommand(ctx, idYcFamily, idCcy);
using (var reader = command.ExecuteReader())
{
while (reader.Read())
{
var r = new YieldCurveFamily
{
Id = reader.GetInt32(reader.GetOrdinal("Id")),
CurrencyId = reader.GetInt32(reader.GetOrdinal("CurrencyId")),
Name = reader.GetString(reader.GetOrdinal("Name"))
};
list.Add(r);
}
}
return(list);
}
/// <summary>
/// Retrieves the list of all markets and their data (only for custom markets, for Quantlib markets -Class names and Market names)
/// </summary>
/// <param name="ctx">
/// The connection context
/// </param>
/// </returns>
internal static List <Calendar> GetCalendars(ConnectionContextSQLite ctx)
{
List <Calendar> list = new List <Calendar>();
var command = SqlHelperSQLite.SelectCalendarsCommand(ctx);
using (var reader = command.ExecuteReader())
{
while (reader.Read())
{
Calendar m = new Calendar
{
Id = reader.GetInt32(reader.GetOrdinal("Id")),
Name = reader.IsDBNull(reader.GetOrdinal("Name")) ? null : reader.GetString(reader.GetOrdinal("Name")),
ClassName = reader.GetString(reader.GetOrdinal("ClassName")),
MarketName = reader.GetString(reader.GetOrdinal("MarketName")),
};
list.Add(m);
}
}
return(list);
}
internal static List <EntryPointHistory> GetYieldCurveEntryPointHistory(ConnectionContextSQLite ctx,
long?idYc,
DateTime?settlementDate)
{
List <EntryPointHistory> outEntryPointHistoryList = new List <EntryPointHistory>();
var command = SqlHelperSQLite.SelectYieldCurveEntryPointHistoryCommand(ctx, idYc, null);
using (var reader = command.ExecuteReader())
{
Dictionary <long, HashSet <HistoricValue> > tmpEntryPointListDic = new Dictionary <long, HashSet <HistoricValue> >();
while (reader.Read())
{
var d = new EntryPointHistory
{
YieldCurveId = reader.GetInt32(reader.GetOrdinal("YieldCurveId")),
Id = reader.GetInt32(reader.GetOrdinal("Id")),
Type = reader.GetString(reader.GetOrdinal("Type")),
Length = reader.IsDBNull(reader.GetOrdinal("Length")) ? 0 : reader.GetInt32(reader.GetOrdinal("Length")),
TimeUnit = reader.IsDBNull(reader.GetOrdinal("TimeUnit")) ? null : reader.GetString(reader.GetOrdinal("TimeUnit")),
DataProviderId = reader.GetInt32(reader.GetOrdinal("DataProviderId")),
DataReference = reader.GetString(reader.GetOrdinal("DataReference")),
ValidDateBegin = reader.GetDateTime(reader.GetOrdinal("ValidDateBegin")),
ValidDateEnd = reader.GetDateTime(reader.GetOrdinal("ValidDateEnd")),
Enabled = true,
epValueHistory = null
};
d.Instrument = (d.Type == "bond"
? (Instrument)GetBond(reader.GetInt32(reader.GetOrdinal("RateId")), ctx)
: (Instrument)GetRate(reader.GetInt32(reader.GetOrdinal("RateId")), ctx)
);
if (d.Type == "bond" && (d.Instrument as Bond).MaturityDate <= settlementDate)
{
continue; // skip if bond and maturity date is not in future
}
// entry point is read 1st time (1st historic entry) => create new entry in output list + create history hashset
if (!tmpEntryPointListDic.ContainsKey(d.Id))
{
tmpEntryPointListDic[d.Id] = new HashSet <HistoricValue>(new HistoricValueComparer());
outEntryPointHistoryList.Add(d);
}
// add new historic value to the hashset
tmpEntryPointListDic[d.Id].Add(new HistoricValue
{
Value = reader.GetDouble(reader.GetOrdinal("Value")),
Date = reader.GetDateTime(reader.GetOrdinal("Date"))
});
}
// entryPointSet of output entry points is still null - assign historic values from tmp dictionary constructed
foreach (EntryPointHistory y in outEntryPointHistoryList)
{
y.epValueHistory = tmpEntryPointListDic[y.Id];
y.epValue = y.epValueHistory.LastOrDefault(i => i.Date <= settlementDate);
}
// sort by durations
outEntryPointHistoryList.Sort(new EntryPointHistoryCompare());
}
return(outEntryPointHistoryList);
}
internal static List <EntryPoint> GetYieldCurveEntryPoint(ConnectionContextSQLite ctx, long?idYc, DateTime?settlementDate)
{
List <EntryPoint> outEntryPointList = new List <EntryPoint>();
var command = SqlHelperSQLite.SelectYieldCurveEntryPointCommand(ctx, idYc, settlementDate);
using (var reader = command.ExecuteReader())
{
//Dictionary<long, HistoricValue> tmpEntryPointDic = new Dictionary<long, HistoricValue>();
while (reader.Read())
{
var d = new EntryPoint
{
YieldCurveId = reader.GetInt32(reader.GetOrdinal("YieldCurveId")),
Id = reader.GetInt32(reader.GetOrdinal("Id")),
Type = reader.GetString(reader.GetOrdinal("Type")),
Length = reader.IsDBNull(reader.GetOrdinal("Length")) ? 0 : reader.GetInt32(reader.GetOrdinal("Length")),
TimeUnit = reader.IsDBNull(reader.GetOrdinal("TimeUnit")) ? null : reader.GetString(reader.GetOrdinal("TimeUnit")),
DataProviderId = reader.GetInt32(reader.GetOrdinal("DataProviderId")),
DataReference = reader.GetString(reader.GetOrdinal("DataReference")),
Enabled = true, // default
ValidDateBegin = reader.GetDateTime(reader.GetOrdinal("ValidDateStart")),
ValidDateEnd = reader.GetDateTime(reader.GetOrdinal("ValidDateEnd")),
epValue = new HistoricValue
{
Value = reader.GetDouble(reader.GetOrdinal("Value")),
Date = reader.GetDateTime(reader.GetOrdinal("Date"))
}
};
d.Instrument = (d.Type == "bond"
? (Instrument)GetBond(reader.GetInt32(reader.GetOrdinal("RateId")), ctx)
: (Instrument)GetRate(reader.GetInt32(reader.GetOrdinal("RateId")), ctx)
);
if (d.Type == "bond" && (d.Instrument as Bond).MaturityDate <= settlementDate)
{
continue; // skip if bond and maturity date is not in future
}
/*
* // if does not exist yet -> will create new record with values
* tmpEntryPointDic[d.Id] = new HistoricValue
* {
* Value = reader.GetDouble(reader.GetOrdinal("Value")),
* Date = reader.GetDateTime(reader.GetOrdinal("Date"))
* };
*/
outEntryPointList.Add(d);
}
/*
* // when all data are read - put entry points values into output list
* foreach (EntryPoint y in outEntryPointList)
* {
* y.epValue = tmpEntryPointDic[y.Id];
* }
*/
// sort list by durations
outEntryPointList.Sort(new EntryPointCompare());
}
return(outEntryPointList);
}
