private void SetData_myDB_Equity(IDtoken idTok, myFrame data)
{
myDB_Connector myConnect = new myDB_Connector();
List <Equity_Line> dataToInsert = data.ToList <Equity_Line>(idTok.DBID);
myConnect.Insert <Equity_Line>(idTok, dataToInsert);
}
private void SetData_myDB(IDtoken idTok, string Table, myFrame Data)
{
switch (Table)
{
case "InterestRate":
SetData_myDB_InterestRate(idTok, Data);
break;
case "Equity":
SetData_myDB_Equity(idTok, Data);
break;
case "EquityVolatility":
SetData_myDB_EquityVolatility(idTok, Data);
break;
case "Bond":
SetData_myDB_Bond(idTok, Data);
break;
default:
{ throw new System.ArgumentException("CH_MappingException", "Connector Helper unable to map the database."); }
}
}
protected double underlying(DateTime valuationDate)
{
if (_underlyingTimeSeries == null)
{
_underlyingTimeSeries = EndOfDay((int)_underlyingID);
}
return((double)_underlyingTimeSeries[valuationDate]["Close"]);
}
// ************************************************************
// METHODS FOR COMPARAISON AND OUTPUT
// ************************************************************
private void Strangle_CounterpartyPrices(DateTime valuationDate)
{
// Loop through the various IDtoken to fetch SG's price
foreach (int k in strangleMTM_Tokens.Keys)
{
myFrame MtM_strangle = EndOfDay(strangleMTM_Tokens[k], valuationDate, valuationDate);
double valueMtM = (double)MtM_strangle[valuationDate]["Close"];
strangleMTM_CounterpartyPrices[k] = valueMtM;
}
}
// ************************************************************
// METHODS -- TO GET EOD PRICES
// ************************************************************
public myFrame EndOfDay(IDtoken IdToken, List <string> LocalFields, DateTime StartDate, DateTime EndDate, TimeUnit Periodicity, String Source)
{
// 1. Formulate Request
HistoricalDataRequest myRequest = new HistoricalDataRequest(IdToken, LocalFields, StartDate, EndDate, Periodicity, Source);
// 2. Send request to Database Helper
myFrame localData = _myDBhelper.GetEODPrices(myRequest);
// 3. Return
return(localData);
}
// ************************************************************
// METHODS -- INSERT DATA
// ************************************************************
#region Insert data
public void SetData(IDtoken idTok, string Database, string Table, myFrame Data)
{
switch (Database)
{
case "myDB":
SetData_myDB(idTok, Table, Data);
break;
default:
{ throw new System.ArgumentException("CH_MappingException", "Connector Helper unable to map the database."); }
}
}
private void SetPutStrikes()
{
int cnt = 0;
myFrame data = EndOfDay((int)_putStrikeID);
//if (data.data.Count() != _numberStrangles) { throw new ArgumentException("", ""); }
foreach (DateTime dt in _optionTradeDates)
{
double strike = (double)data[dt].data["Close"];
_putStrikes[cnt] = strike;
cnt += 1;
}
}
private myFrame UpdateData(HistoricalDataRequest oldRequest, DateTime newStartDate, DateTime newEndDate)
{
// Formulate request
HistoricalDataRequest newRequest = new HistoricalDataRequest(oldRequest.id, oldRequest.fields, newStartDate,
newEndDate, oldRequest.periodicity, oldRequest.source);
// Fetch data
myFrame startData = Get_FromExternalSource(newRequest);
// Map the local DB
string database = MapDatabase(newRequest.id);
string table = MapTable(newRequest.id);
// Assign to local DB
myConnectorHelper.SetData(newRequest.id, database, table, startData);
//Return data
return(startData);
}
// ************************************************************
// METHODS -- GET DATA
// ************************************************************
public myFrame GetEODPrices(HistoricalDataRequest myRequest)
{
// Check local database
myFrame localData = Get_FromLocalDatabase(myRequest);
// CASE A : NO DATA PRESENT IN LOCAL DB
if (localData.IsEmpty() == true)
{
// 1. Fetch the data from external sources
localData = Get_FromExternalSource(myRequest);
// 2. Perform some checks
// @TODO : checks needed
// 3. Map the local DB
string database = MapDatabase(myRequest.id);
string table = MapTable(myRequest.id);
// 4. Assign to local DB
myConnectorHelper.SetData(myRequest.id, database, table, localData);
// 5. Return the data
return(localData);
}
// CASE B : DATA FOUND
else
{
// Check data for completeness (start date included in local data)
bool startDatePresent = (myRequest.startDate >= localData.startDate);
// Check data for completeness (end date included in local data)
bool endDatePresent = (myRequest.endDate <= localData.endDate);
// Which leads to 4 possible cases...
// CASE B-1 : Time period covered by local data
if (startDatePresent && endDatePresent)
{
return(localData);
}
// CASE B-2 : Start Date Covered but not end date
else if (startDatePresent && !endDatePresent)
{
myFrame endData = UpdateData(myRequest, localData.endDate.AddDays(1), myRequest.endDate);
// Merge with existing data
localData.Union(endData);
// Return
return(localData);
}
// CASE B-3 : Start Date not covered but end date present
else if (!startDatePresent && endDatePresent) // ----------------> Verified
{
// Update local database
myFrame startData = UpdateData(myRequest, myRequest.startDate, localData.startDate.AddDays(-1));
// Merge with existing data
localData.Union(startData);
// Return
return(localData);
}
// CASE B-4 : Both ends not covered
else
{
//myFrame startData = UpdateData(myRequest, localData.startDate, myRequest.startDate.AddDays(-1));
myFrame startData = UpdateData(myRequest, myRequest.startDate, localData.startDate.AddDays(-1));
localData.Union(startData);
myFrame endData = UpdateData(myRequest, myRequest.endDate.AddDays(1), localData.endDate);
localData.Union(endData);
return(localData);
}
}
}
private void setHistoricalData()
{
_historicalData = myDataReader.EndOfDay(DBID);
}
