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 <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);
}
