public static object CreateFixingDictionary(
[ExcelArgument(Description = "Object name")] string ObjectName,
[ExcelArgument(Description = "Asset Id")] string AssetId,
[ExcelArgument(Description = "Fixings array, 1st column dates / 2nd column fixings")] object[,] Fixings,
[ExcelArgument(Description = "Type, Asset or FX - default Asset")] object FixingType,
[ExcelArgument(Description = "Fx pair (optional)")] string FxPair)
{
return(ExcelHelper.Execute(_logger, () =>
{
var fixTypeStr = FixingType.OptionalExcel("Asset");
if (!Enum.TryParse <FixingDictionaryType>(fixTypeStr, out var fixType))
{
throw new Exception($"Unknown fixing dictionary type {fixTypeStr}");
}
var dict = new FixingDictionary
{
Name = AssetId,
AssetId = AssetId,
FixingDictionaryType = fixType,
FxPair = FxPair
};
var dictData = Fixings.RangeToDictionary <DateTime, double>();
foreach (var kv in dictData)
{
dict.Add(kv.Key, kv.Value);
}
return ExcelHelper.PushToCache <IFixingDictionary>(dict, ObjectName);
}));
}
public static object CreateFixingDictionaryForRollingFuture(
[ExcelArgument(Description = "Object name")] string ObjectName,
[ExcelArgument(Description = "Asset Id")] string AssetId,
[ExcelArgument(Description = "Futures code, e.g. QS or CO")] string FuturesCode,
[ExcelArgument(Description = "1st month fixings array, 1st column dates / 2nd column fixings")] object[,] Fixings1m,
[ExcelArgument(Description = "2nd month fixings array, 1st column dates / 2nd column fixings")] object[,] Fixings2m)
{
return(ExcelHelper.Execute(_logger, () =>
{
var dict = new FixingDictionary
{
Name = AssetId,
AssetId = AssetId,
FixingDictionaryType = FixingDictionaryType.Asset
};
var futuresProvider = ContainerStores.SessionContainer.GetRequiredService <IFutureSettingsProvider>();
var dictData1m = Fixings1m.RangeToDictionary <DateTime, double>();
var dictData2m = Fixings2m.RangeToDictionary <DateTime, double>();
var fc = new FutureCode(FuturesCode, futuresProvider);
fc.YearBeforeWhich2DigitDatesAreUsed = DateTime.Today.Year - 2;
foreach (var kv in dictData1m)
{
var currentFM = fc.GetFrontMonth(kv.Key, true);
var cfm = new FutureCode(currentFM, DateTime.Today.Year - 2, futuresProvider);
if (kv.Key <= cfm.GetRollDate())
{
dict.Add(kv.Key, kv.Value);
}
else
{
dict.Add(kv.Key, dictData2m[kv.Key]);
}
}
return ExcelHelper.PushToCache <IFixingDictionary>(dict, ObjectName);
}));
}
public static object CreateFixingDictionaryFromVectors(
[ExcelArgument(Description = "Object name")] string ObjectName,
[ExcelArgument(Description = "Asset Id")] string AssetId,
[ExcelArgument(Description = "Fixings dates")] double[] FixingDates,
[ExcelArgument(Description = "Fixings dates")] double[] Fixings,
[ExcelArgument(Description = "Type, Asset or FX - default Asset")] object FixingType,
[ExcelArgument(Description = "Fx pair (optional)")] string FxPair)
{
return(ExcelHelper.Execute(_logger, () =>
{
if (FixingDates.Length != Fixings.Length)
{
throw new Exception("Fixings and FixingDates must be of same length");
}
var fixTypeStr = FixingType.OptionalExcel("Asset");
if (!Enum.TryParse <FixingDictionaryType>(fixTypeStr, out var fixType))
{
throw new Exception($"Unknown fixing dictionary type {fixTypeStr}");
}
var dict = new FixingDictionary
{
Name = AssetId,
AssetId = AssetId,
FixingDictionaryType = fixType,
FxPair = FxPair
};
for (var i = 0; i < FixingDates.Length; i++)
{
if (FixingDates[i] != 0)
{
dict.Add(DateTime.FromOADate(FixingDates[i]), Fixings[i]);
}
}
return ExcelHelper.PushToCache <IFixingDictionary>(dict, ObjectName);
}));
}
