public static List<InvoiceSpreadLine> GetInvoiceSpreadsLines(string futureStart_, Symmetry.Data.Enums.KnownCurve curve_, int contractOffset_ = 0)
{
Logger.Debug(
string.Format("Starting to generate invoice spreads for future={0}, curve={1}, offset={2}", futureStart_, curve_,
contractOffset_), typeof(Generator));
var returnList = new List<InvoiceSpreadLine>();
var startDate = new DateTime(2010, 6, 1);
var contractList = GetList(futureStart_: futureStart_);
while (startDate < DateTime.Today)
{
var subList = contractList.Where(x => x.LastTrade >= startDate).ToArray();
if (subList.Length == 0)
{
Logger.Error(string.Format("No contract found for date={0}", startDate.ToString("dd-MMM-yyyy")),
typeof(Generator));
continue;
}
var item = new InvoiceSpreadLine(
date_: startDate,
contractBondSpecifics: subList[contractOffset_],
curve_: curve_);
returnList.Add(item);
startDate = MyCalendar.NextWeekDay(startDate);
}
return returnList;
}
public static bool UpdateInvoiceSpreads(InvoiceSpreadCollection coll_)
{
var startDate = coll_.Lines == null || coll_.Lines.Count == 0
? new DateTime(2010, 6, 1)
: MyCalendar.NextWeekDay(coll_.Lines.Last().Date);
bool updated = false;
if (startDate >= DateTime.Today)
return updated;
var curve = (Symmetry.Data.Enums.KnownCurve)Enum.Parse(typeof(Symmetry.Data.Enums.KnownCurve), coll_.Curve);
var contractList = GetList(futureStart_: coll_.Contract);
while (startDate < DateTime.Today)
{
Logger.Info(
string.Format("Generating {0}.{1} invoice spreads on {2}", coll_.Curve, coll_.Contract,
startDate.ToString("dd-MMM-yyyy")), typeof(Generator));
var subList = contractList.Where(x => x.LastTrade >= startDate).ToArray();
if (subList.Length == 0)
{
Logger.Error(string.Format("No contract found for date={0}", startDate.ToString("dd-MMM-yyyy")),
typeof(Generator));
continue;
}
Logger.DebugFormat(typeof(Generator), "Generating line for {0} over {1} on {2}", coll_.Contract, coll_.Curve,
startDate.ToString("dd-MMM-yyyy"));
var item = new InvoiceSpreadLine(
date_: startDate,
contractBondSpecifics: subList[coll_.Series],
curve_: curve);
coll_.Lines.Add(item);
updated = true;
startDate = MyCalendar.NextWeekDay(startDate);
}
return updated;
}
