public string CalculateDiscountedRatesSimple(string date, string id)
{
long idYc = JsonConvert.DeserializeObject <Int32>(id);
GetYcDefDic();
YieldCurveDefinition ycd = DataFeed.Repository.ycDefDic[idYc];
DateTime settlementDate = Convert.ToDateTime(date);
GetDayCounterDic(); // shell be before Rate and YieldCurveData, cos those are using DayCounter inside
ResponseDiscountedData tmp = CalculateDiscountedData(ycd, settlementDate, null, null);
return(JsonConvert.SerializeObject(tmp));
}
ResponseDiscountedData CalculateDiscountedData(YieldCurveDefinition ycDef,
DateTime settlementDate,
List <EntryPoint> entryPoints,
List <DateTime> discountDates)
{
ResponseDiscountedData result = new ResponseDiscountedData();
try
{
YieldCurveData tmp = new YieldCurveData();
tmp.settlementDate = settlementDate;
tmp.settings = ycDef;
if (entryPoints == null)
{
tmp.entryPointList = DataLayer.Repository.GetYieldCurveEntryPoint(ycDef.Id, settlementDate);
}
else
{
tmp.entryPointList = entryPoints;
}
if (discountDates == null) // use entry points dates
{
discountDates = new List <DateTime>();
foreach (var ep in tmp.entryPointList)
{
discountDates.Add(settlementDate.AddDays(ep.Duration));
}
}
QuantLibAdaptor.CalculateDiscountedRate(tmp, discountDates.ToList(), result.discountPoints);
result.entryPoints = tmp.entryPointList;
}
catch (Exception ex)
{
while (ex.InnerException != null)
{
ex = ex.InnerException;
}
result.Error = new CustomException();
result.Error.Message = ex.Message + ex.StackTrace;
}
return(result);
}
public string CalculateDiscountedRates(string date, string id, string epl, string ddl)
{
long idYc = JsonConvert.DeserializeObject <Int32>(id);
GetYcDefDic();
YieldCurveDefinition ycd = DataFeed.Repository.ycDefDic[idYc];
//DateTime settlementDate = JsonConvert.DeserializeObject<DateTime>(date);
DateTime settlementDate = Convert.ToDateTime(date);
List <EntryPoint> entryPoints = JsonConvert.DeserializeObject <List <EntryPoint> >(epl);
List <DateTime> discountDates = JsonConvert.DeserializeObject <List <DateTime> >(ddl);
ResponseDiscountedData tmp = CalculateDiscountedData(ycd, settlementDate, entryPoints, discountDates);
return(JsonConvert.SerializeObject(tmp));
}
