public void CanRemoveAllOverrides()
{
var manageableUnstructuredMarketDataSnapshot = new ManageableUnstructuredMarketDataSnapshot(new Dictionary<MarketDataValueSpecification, IDictionary<string, ValueSnapshot>>());
var manageableVolatilitySurfaceSnapshots = GetManageableVolatilitySurfaceSnapshots();
var manageableYieldCurveSnapshots = GetManageableYieldCurveSnapshots();
var manageableVolatilityCubeSnapshots = GetManageableVolatilityCubeSnapshots();
var manageableMarketDataSnapshot = new ManageableMarketDataSnapshot("SomeView", manageableUnstructuredMarketDataSnapshot, manageableYieldCurveSnapshots, manageableVolatilityCubeSnapshots, manageableVolatilitySurfaceSnapshots);
var valueSpec = new MarketDataValueSpecification(MarketDataValueType.Primitive, UniqueId.Create("ID", "1"));
const string valueName = "Value";
manageableMarketDataSnapshot.Values.Add(valueSpec, new Dictionary<string, ValueSnapshot> {{valueName, new ValueSnapshot(12){OverrideValue = 13}}});
Assert.True(manageableMarketDataSnapshot.HaveOverrides());
Assert.True(manageableMarketDataSnapshot.YieldCurves.Single().Value.HaveOverrides());
Assert.True(manageableMarketDataSnapshot.VolatilityCubes.Single().Value.HaveOverrides());
Assert.True(manageableMarketDataSnapshot.VolatilitySurfaces.Single().Value.HaveOverrides());
manageableMarketDataSnapshot.RemoveAllOverrides();
var valueSnapshot = manageableMarketDataSnapshot.Values[valueSpec][valueName];
CheckOverrideCleared(valueSnapshot);
CheckOverrideCleared(manageableMarketDataSnapshot.YieldCurves.Values.Single().Values.Values.Single().Value.Single().Value);
CheckOverrideCleared(manageableMarketDataSnapshot.VolatilityCubes.Values.Single().OtherValues.Values.Single().Value.Values.Single());
CheckOverrideCleared(manageableMarketDataSnapshot.VolatilitySurfaces.Values.Single().Values.Values.Single());
Assert.Equal(1, manageableMarketDataSnapshot.Values.Count);
Assert.False(manageableMarketDataSnapshot.HaveOverrides());
Assert.False(manageableMarketDataSnapshot.YieldCurves.Single().Value.HaveOverrides());
Assert.False(manageableMarketDataSnapshot.VolatilityCubes.Single().Value.HaveOverrides());
Assert.False(manageableMarketDataSnapshot.VolatilitySurfaces.Single().Value.HaveOverrides());
}
public SnapshotLiveDataStreamInvalidater(ManageableMarketDataSnapshot snapshot, RemoteEngineContext remoteEngineContext)
{
_snapshot = snapshot;
_remoteEngineContext = remoteEngineContext;
snapshot.PropertyChanged += PropertyChanged; //TODO: weak ref
_constructedEvent.Set();
}
private static Tuple <ManageableMarketDataSnapshot, ManageableMarketDataSnapshot> Halve(ManageableMarketDataSnapshot snapshot)
{
var structured = new ManageableMarketDataSnapshot(snapshot.BasisViewName, new ManageableUnstructuredMarketDataSnapshot(new Dictionary <MarketDataValueSpecification, IDictionary <string, ValueSnapshot> >()), snapshot.YieldCurves,
snapshot.VolatilityCubes, snapshot.VolatilitySurfaces);
var unstructured = new ManageableMarketDataSnapshot(snapshot.BasisViewName, snapshot.GlobalValues, new Dictionary <YieldCurveKey, ManageableYieldCurveSnapshot>(),
new Dictionary <VolatilityCubeKey, ManageableVolatilityCubeSnapshot>(), new Dictionary <VolatilitySurfaceKey, ManageableVolatilitySurfaceSnapshot>());
return(Tuple.Create(structured, unstructured));
}
internal static MarketDataSnapshotProcessor Create(RemoteEngineContext context, ViewDefinition definition, CancellationToken ct)
{
using (var liveDataStream = new LiveDataStream(definition.Name, context))
{
ManageableMarketDataSnapshot snapshot = liveDataStream.GetNewSnapshotForUpdate(ct);
//NOTE: we could consider reusing the LiveDataStream, but server side will share the processer
return(new MarketDataSnapshotProcessor(context, snapshot));
}
}
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));
}
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 void CanSubtract()
{
var manageableUnstructuredMarketDataSnapshot = new ManageableUnstructuredMarketDataSnapshot(new Dictionary<MarketDataValueSpecification, IDictionary<string, ValueSnapshot>>());
var manageableVolatilitySurfaceSnapshots = GetManageableVolatilitySurfaceSnapshots();
var manageableYieldCurveSnapshots = GetManageableYieldCurveSnapshots();
var manageableVolatilityCubeSnapshots = GetManageableVolatilityCubeSnapshots();
var manageableMarketDataSnapshot = new ManageableMarketDataSnapshot("SomeView", manageableUnstructuredMarketDataSnapshot, manageableYieldCurveSnapshots, manageableVolatilityCubeSnapshots, manageableVolatilitySurfaceSnapshots);
var marketDataSnapshot = manageableMarketDataSnapshot.Substract(manageableMarketDataSnapshot);
var valueSnapshot = marketDataSnapshot.YieldCurves.Values.Single().Values.Values.Single().Value.Single().Value;
Assert.Equal(0.0, valueSnapshot.MarketValue);
Assert.Equal(0.0, valueSnapshot.OverrideValue);
//TODO the rest
}
public void CanSubtract()
{
var manageableUnstructuredMarketDataSnapshot = new ManageableUnstructuredMarketDataSnapshot(new Dictionary <MarketDataValueSpecification, IDictionary <string, ValueSnapshot> >());
var manageableVolatilitySurfaceSnapshots = GetManageableVolatilitySurfaceSnapshots();
var manageableYieldCurveSnapshots = GetManageableYieldCurveSnapshots();
var manageableVolatilityCubeSnapshots = GetManageableVolatilityCubeSnapshots();
var manageableMarketDataSnapshot = new ManageableMarketDataSnapshot("SomeView", manageableUnstructuredMarketDataSnapshot, manageableYieldCurveSnapshots, manageableVolatilityCubeSnapshots, manageableVolatilitySurfaceSnapshots);
var marketDataSnapshot = manageableMarketDataSnapshot.Substract(manageableMarketDataSnapshot);
var valueSnapshot = marketDataSnapshot.YieldCurves.Values.Single().Values.Values.Single().Value.Single().Value;
Assert.Equal(0.0, valueSnapshot.MarketValue);
Assert.Equal(0.0, valueSnapshot.OverrideValue);
//TODO the rest
}
private static void AssertEqual(ManageableMarketDataSnapshot retSnapshot, ManageableMarketDataSnapshot mSnapshot)
{
Assert.NotNull(retSnapshot);
Assert.Equal(mSnapshot.Name, retSnapshot.Name);
Assert.NotNull(retSnapshot.Values);
Assert.Equal(mSnapshot.BasisViewName, retSnapshot.BasisViewName);
AssertEqual(mSnapshot.GlobalValues, retSnapshot.GlobalValues);
AssertEqual(mSnapshot.YieldCurves, retSnapshot.YieldCurves, AssertEqual);
AssertEqual(mSnapshot.VolatilityCubes, retSnapshot.VolatilityCubes, AssertEqual);
// TODO volatility surfaces etc.
}
public Dictionary <YieldCurveKey, Tuple <YieldCurve, InterpolatedYieldCurveSpecificationWithSecurities, NodalDoublesCurve> > GetYieldCurves(CancellationToken ct = default(CancellationToken))
{
CheckDisposed();
DateTimeOffset waitFor;
ManageableMarketDataSnapshot shallowClone = GetShallowCloneSnapshot();
lock (_snapshotUidLock)
{
shallowClone.UniqueId = _temporarySnapshotUid.Value;
var snapshot = _marketDataSnapshotMaster.Update(new MarketDataSnapshotDocument(_temporarySnapshotUid.Value, shallowClone));
_temporarySnapshotUid = new Lazy <UniqueId>(() => snapshot.UniqueId);
waitFor = _marketDataSnapshotMaster.Get(_temporarySnapshotUid.Value).CorrectionFromInstant;
}
return(_snapshotDataStream.Value.With(ct, s => s.GetYieldCurves(waitFor, ct)));
}
public void CanRemoveAllOverrides()
{
var manageableUnstructuredMarketDataSnapshot = new ManageableUnstructuredMarketDataSnapshot(new Dictionary <MarketDataValueSpecification, IDictionary <string, ValueSnapshot> >());
var manageableVolatilitySurfaceSnapshots = GetManageableVolatilitySurfaceSnapshots();
var manageableYieldCurveSnapshots = GetManageableYieldCurveSnapshots();
var manageableVolatilityCubeSnapshots = GetManageableVolatilityCubeSnapshots();
var manageableMarketDataSnapshot = new ManageableMarketDataSnapshot("SomeView", manageableUnstructuredMarketDataSnapshot, manageableYieldCurveSnapshots, manageableVolatilityCubeSnapshots, manageableVolatilitySurfaceSnapshots);
var valueSpec = new MarketDataValueSpecification(MarketDataValueType.Primitive, UniqueId.Create("ID", "1"));
const string valueName = "Value";
manageableMarketDataSnapshot.Values.Add(valueSpec, new Dictionary <string, ValueSnapshot> {
{ valueName, new ValueSnapshot(12)
{
OverrideValue = 13
} }
});
Assert.True(manageableMarketDataSnapshot.HaveOverrides());
Assert.True(manageableMarketDataSnapshot.YieldCurves.Single().Value.HaveOverrides());
Assert.True(manageableMarketDataSnapshot.VolatilityCubes.Single().Value.HaveOverrides());
Assert.True(manageableMarketDataSnapshot.VolatilitySurfaces.Single().Value.HaveOverrides());
manageableMarketDataSnapshot.RemoveAllOverrides();
var valueSnapshot = manageableMarketDataSnapshot.Values[valueSpec][valueName];
CheckOverrideCleared(valueSnapshot);
CheckOverrideCleared(manageableMarketDataSnapshot.YieldCurves.Values.Single().Values.Values.Single().Value.Single().Value);
CheckOverrideCleared(manageableMarketDataSnapshot.VolatilityCubes.Values.Single().OtherValues.Values.Single().Value.Values.Single());
CheckOverrideCleared(manageableMarketDataSnapshot.VolatilitySurfaces.Values.Single().Values.Values.Single());
Assert.Equal(1, manageableMarketDataSnapshot.Values.Count);
Assert.False(manageableMarketDataSnapshot.HaveOverrides());
Assert.False(manageableMarketDataSnapshot.YieldCurves.Single().Value.HaveOverrides());
Assert.False(manageableMarketDataSnapshot.VolatilityCubes.Single().Value.HaveOverrides());
Assert.False(manageableMarketDataSnapshot.VolatilitySurfaces.Single().Value.HaveOverrides());
}
internal MarketDataSnapshotProcessor(RemoteEngineContext remoteEngineContext, ManageableMarketDataSnapshot snapshot)
: this(snapshot, remoteEngineContext, new SnapshotLiveDataStreamInvalidater(snapshot, remoteEngineContext))
{
}
private MarketDataSnapshotDocument(UniqueId uniqueId, ManageableMarketDataSnapshot snapshot, DateTimeOffset versionFromInstant, DateTimeOffset versionToInstant, DateTimeOffset correctionFromInstant, DateTimeOffset correctionToInstant) : base(versionFromInstant, versionToInstant, correctionFromInstant, correctionToInstant)
{
_uniqueId = uniqueId;
_snapshot = snapshot;
}
public MarketDataSnapshotDocument(UniqueId uniqueId, ManageableMarketDataSnapshot snapshot)
{
_uniqueId = uniqueId;
_snapshot = snapshot;
}
public MarketDataSnapshotProcessor GetProcessor(ManageableMarketDataSnapshot snapshot)
{
return new MarketDataSnapshotProcessor(_remoteEngineContext, snapshot);
}
public MarketDataSnapshotProcessor GetProcessor(ManageableMarketDataSnapshot snapshot)
{
return(new MarketDataSnapshotProcessor(_remoteEngineContext, snapshot));
}
private MarketDataSnapshotDocument(UniqueId uniqueId, ManageableMarketDataSnapshot snapshot, DateTimeOffset versionFromInstant, DateTimeOffset versionToInstant, DateTimeOffset correctionFromInstant, DateTimeOffset correctionToInstant)
: base(versionFromInstant, versionToInstant, correctionFromInstant, correctionToInstant)
{
_uniqueId = uniqueId;
_snapshot = snapshot;
}
internal MarketDataSnapshotProcessor(RemoteEngineContext remoteEngineContext, ManageableMarketDataSnapshot snapshot)
: this(snapshot, remoteEngineContext, new SnapshotLiveDataStreamInvalidater(snapshot, remoteEngineContext))
{
}
public MarketDataSnapshotDocument(UniqueId uniqueId, ManageableMarketDataSnapshot snapshot)
{
_uniqueId = uniqueId;
_snapshot = snapshot;
}
private static Tuple<ManageableMarketDataSnapshot, ManageableMarketDataSnapshot> Halve(ManageableMarketDataSnapshot snapshot)
{
var structured = new ManageableMarketDataSnapshot(snapshot.BasisViewName, new ManageableUnstructuredMarketDataSnapshot(new Dictionary<MarketDataValueSpecification, IDictionary<string, ValueSnapshot>>()), snapshot.YieldCurves,
snapshot.VolatilityCubes, snapshot.VolatilitySurfaces);
var unstructured = new ManageableMarketDataSnapshot(snapshot.BasisViewName, snapshot.GlobalValues, new Dictionary<YieldCurveKey, ManageableYieldCurveSnapshot>(),
new Dictionary<VolatilityCubeKey, ManageableVolatilityCubeSnapshot>(), new Dictionary<VolatilitySurfaceKey, ManageableVolatilitySurfaceSnapshot>());
return Tuple.Create(structured, unstructured);
}
