protected DiscountCurve CallCurveCalculator(ICalculator calculator, KnownCurve knownCurve, string marketSnapCode_, string quotesourceCode_, CarbonClient carbonClient_)
{
DateTime startTime = DateTime.Now;
SLog.log.InfoFormat("Calculation of {0} for {1} starting...", knownCurve.GetDescription(), ValueDate);
// generate the table of constituents
{
var cp = String.Compare("mlp", quotesourceCode_, StringComparison.OrdinalIgnoreCase) == 0
? calculator.BuildConstituentsTable()
: null;
if (cp != null)
{
var moniker = GenericTable.GenerateSwapCurveConstituentsMoniker(ValueDate, marketSnapCode_.ToLower(), quotesourceCode_.ToLower(), KnownCurveHelpers.GetKnownCurveCode(knownCurve));
SObjectManager.Instance().SaveSObject(moniker, cp);
}
}
if (mConstituentsOnly)
return null;
// this is the old way, which will invoke fincad...
//var curves = calculator.Calculate();
var curves = Symmetry.Interop.Carbon.OT.CurveRetriever
.GetCurvesAsDictionary(knownCurve, ValueDate, carbonClient_, ThrowBehavior.DontThrow);
foreach (var kvp in curves)
{
if (kvp.Value != null)
{
Type type = null;
switch (kvp.Key)
{
case "DiscountCurve":
type = typeof(DiscountCurve);
break;
case "RateCurve":
type = typeof(RateCurve);
break;
case "Parameters":
type = typeof(SwapCurveParameters);
break;
}
if (type != null)
{
var moniker = CreateCurveMoniker(marketSnapCode_.ToLower(), quotesourceCode_.ToLower(), knownCurve, type);
SObjectManager.Instance().SaveSObject(moniker, kvp.Value);
}
else if (kvp.Key == "Constituents")
{
// don't want to overwrite if mlp (will have been written above
if (String.Compare("mlp", quotesourceCode_, StringComparison.OrdinalIgnoreCase) == 0)
continue;
var moniker = GenericTable.GenerateSwapCurveConstituentsMoniker(ValueDate, marketSnapCode_.ToLower(), quotesourceCode_.ToLower(), KnownCurveHelpers.GetKnownCurveCode(knownCurve));
SObjectManager.Instance().SaveSObject(moniker, kvp.Value);
}
}
}
SLog.log.InfoFormat("Calculation of {0} finished in {1} ms...", knownCurve.GetDescription(), (DateTime.Now - startTime).TotalMilliseconds);
if (curves.ContainsKey("DiscountCurve"))
{
return (DiscountCurve)curves["DiscountCurve"];
}
return null;
}
