public void CanAddAndGetAllInstrumentTypes()
{
using (FinancialClient financialClient = Context.CreateFinancialClient())
{
InterpolatedYieldCurveDefinitionMaster interpolatedYieldCurveDefinitionMaster =
financialClient.InterpolatedYieldCurveDefinitionMaster;
YieldCurveDefinitionDocument yieldCurveDefinitionDocument = GenerateDocument();
foreach (StripInstrumentType stripInstrumentType in Enum.GetValues(typeof(StripInstrumentType)))
{
var fixedIncomeStrip = new FixedIncomeStrip
{
ConventionName = "DEFAULT",
CurveNodePointTime = Tenor.Day,
InstrumentType = stripInstrumentType
};
if (stripInstrumentType == StripInstrumentType.Future)
{
fixedIncomeStrip.NthFutureFromTenor = 12;
}
yieldCurveDefinitionDocument.YieldCurveDefinition.AddStrip(fixedIncomeStrip);
}
AssertRoundTrip(interpolatedYieldCurveDefinitionMaster, yieldCurveDefinitionDocument);
}
}
public void CanGet()
{
using (FinancialClient financialClient = Context.CreateFinancialClient())
{
InterpolatedYieldCurveDefinitionMaster interpolatedYieldCurveDefinitionMaster = financialClient.InterpolatedYieldCurveDefinitionMaster;
Assert.NotNull(interpolatedYieldCurveDefinitionMaster);
}
}
public void CantGetMissing()
{
using (FinancialClient financialClient = Context.CreateFinancialClient())
{
InterpolatedYieldCurveDefinitionMaster interpolatedYieldCurveDefinitionMaster = financialClient.InterpolatedYieldCurveDefinitionMaster;
Assert.Throws <DataNotFoundException>(() => interpolatedYieldCurveDefinitionMaster.Get(UniqueId.Create("InMemoryInterpolatedYieldCurveDefinition", long.MaxValue.ToString())));
}
}
public void CantAddOrUpdate()
{
using (FinancialClient financialClient = Context.CreateFinancialClient())
{
InterpolatedYieldCurveDefinitionMaster interpolatedYieldCurveDefinitionMaster = financialClient.InterpolatedYieldCurveDefinitionMaster;
var yieldCurveDefinitionDocument = GenerateDocument();
interpolatedYieldCurveDefinitionMaster.AddOrUpdate(yieldCurveDefinitionDocument);
}
}
private MarketDataSnapshotProcessor(ManageableMarketDataSnapshot snapshot, RemoteEngineContext remoteEngineContext, SnapshotLiveDataStreamInvalidater liveDataStream)
{
_snapshot = snapshot;
_financialClient = remoteEngineContext.CreateFinancialClient();
_marketDataSnapshotMaster = _financialClient.MarketDataSnapshotMaster;
_liveDataStream = liveDataStream;
_temporarySnapshotUid = new Lazy <UniqueId>(() => _marketDataSnapshotMaster.Add(new MarketDataSnapshotDocument(null, GetShallowCloneSnapshot())).UniqueId);
_snapshotDataStream = new Lazy <SnapshotDataStreamInvalidater>(() => new SnapshotDataStreamInvalidater(_liveDataStream, remoteEngineContext, _temporarySnapshotUid.Value));
}
public SnapshotDataStreamInvalidater(SnapshotLiveDataStreamInvalidater liveStream, RemoteEngineContext remoteEngineContext, UniqueId snapshotId)
{
_liveStream = liveStream;
_remoteEngineContext = remoteEngineContext;
_snapshotId = snapshotId;
_financialClient = remoteEngineContext.CreateFinancialClient();
_liveStream.GraphChanged += OnGraphChanged;
_constructedEvent.Set();
}
public void CanAddAndGet()
{
using (FinancialClient financialClient = Context.CreateFinancialClient())
{
InterpolatedYieldCurveDefinitionMaster interpolatedYieldCurveDefinitionMaster = financialClient.InterpolatedYieldCurveDefinitionMaster;
YieldCurveDefinitionDocument yieldCurveDefinitionDocument = GenerateDocument();
AssertRoundTrip(interpolatedYieldCurveDefinitionMaster, yieldCurveDefinitionDocument);
}
}
public void CantAddTwice()
{
using (FinancialClient financialClient = Context.CreateFinancialClient())
{
InterpolatedYieldCurveDefinitionMaster interpolatedYieldCurveDefinitionMaster = financialClient.InterpolatedYieldCurveDefinitionMaster;
var yieldCurveDefinitionDocument = GenerateDocument();
interpolatedYieldCurveDefinitionMaster.Add(yieldCurveDefinitionDocument);
var exception = Assert.Throws <ArgumentException>(() => interpolatedYieldCurveDefinitionMaster.Add(yieldCurveDefinitionDocument));
Assert.True(exception.Message.Contains("Duplicate definition"));
}
}
public void CanAdd()
{
using (FinancialClient financialClient = Context.CreateFinancialClient())
{
InterpolatedYieldCurveDefinitionMaster interpolatedYieldCurveDefinitionMaster = financialClient.InterpolatedYieldCurveDefinitionMaster;
var yieldCurveDefinitionDocument = GenerateDocument();
var newDoc = interpolatedYieldCurveDefinitionMaster.Add(yieldCurveDefinitionDocument);
Assert.True(ReferenceEquals(newDoc, yieldCurveDefinitionDocument));
Assert.True(ReferenceEquals(newDoc.YieldCurveDefinition, yieldCurveDefinitionDocument.YieldCurveDefinition));
Assert.NotNull(yieldCurveDefinitionDocument.UniqueId);
}
}
public void CanAddAndRemove()
{
using (FinancialClient financialClient = Context.CreateFinancialClient())
{
InterpolatedYieldCurveDefinitionMaster interpolatedYieldCurveDefinitionMaster = financialClient.InterpolatedYieldCurveDefinitionMaster;
YieldCurveDefinitionDocument yieldCurveDefinitionDocument = GenerateDocument();
AssertRoundTrip(interpolatedYieldCurveDefinitionMaster, yieldCurveDefinitionDocument);
interpolatedYieldCurveDefinitionMaster.Remove(yieldCurveDefinitionDocument.UniqueId);
Assert.Throws <DataNotFoundException>(() => interpolatedYieldCurveDefinitionMaster.Get(yieldCurveDefinitionDocument.UniqueId));
}
}
public void CanAddAndGetRegions()
{
using (FinancialClient financialClient = Context.CreateFinancialClient())
{
InterpolatedYieldCurveDefinitionMaster interpolatedYieldCurveDefinitionMaster = financialClient.InterpolatedYieldCurveDefinitionMaster;
foreach (ExternalId region in new[] { null, new ExternalId("XX", "12"), new ExternalId("asd", "asd") })
{
YieldCurveDefinitionDocument yieldCurveDefinitionDocument = GenerateDocument();
yieldCurveDefinitionDocument.YieldCurveDefinition.Region = region;
AssertRoundTrip(interpolatedYieldCurveDefinitionMaster, yieldCurveDefinitionDocument);
}
}
}