public ResponseDiscountsList CalculateInflationRateList(InflationCurveSnapshot ycd, DateTime settlementDate, HashSet <DateTime> discountDates, bool ifToDraw)
{
ResponseDiscountsList result = new ResponseDiscountsList();
result.ifToDraw = ifToDraw;
try
{
//CalculateInflationRate1b is working for europe
QuantLibAdaptor.IterativeInflationCurveCalculation(ycd, discountDates.ToList(), result.discountPoints);
// result.entryPoints = Repository.GetInflationCurveEntryData(ycd.Id, settlementDate);
result.YcId = ycd.Id;
}
catch (Exception ex)
{
while (ex.InnerException != null)
{
ex = ex.InnerException;
}
result.Error = new CustomException();
result.Error.Message = ex.Message + ex.StackTrace;
}
return(result);
}
public ResponseDayCounterData GetDayCounterDic()
{
ResponseDayCounterData result = new ResponseDayCounterData();
try
{
var dc = DataLayer.Repository.GetDayCounters();
foreach (DayCounter i in dc)
{
if (i != null &&
!String.IsNullOrEmpty(i.ClassName) &&
QuantLibAdaptor.GetDayCounterInformation(i)
)
{
result.DayCounterDic[i.Id] = i;
}
}
DataLayer.Repository.DayCounterDic = result.DayCounterDic;
}
catch (Exception ex)
{
while (ex.InnerException != null)
{
ex = ex.InnerException;
}
result.Error = new CustomException();
result.Error.Message = ex.Message + ex.StackTrace;
}
return(result);
}
ResponseDiscountedData CalculateDiscountedData(YieldCurveDefinition ycDef,
DateTime settlementDate,
List <EntryPoint> entryPoints,
List <DateTime> discountDates)
{
ResponseDiscountedData result = new ResponseDiscountedData();
try
{
YieldCurveData tmp = new YieldCurveData();
tmp.settlementDate = settlementDate;
tmp.settings = ycDef;
if (entryPoints == null)
{
tmp.entryPointList = DataLayer.Repository.GetYieldCurveEntryPoint(ycDef.Id, settlementDate);
}
else
{
tmp.entryPointList = entryPoints;
}
if (discountDates == null) // use entry points dates
{
discountDates = new List <DateTime>();
foreach (var ep in tmp.entryPointList)
{
discountDates.Add(settlementDate.AddDays(ep.Duration));
}
}
QuantLibAdaptor.CalculateDiscountedRate(tmp, discountDates.ToList(), result.discountPoints);
result.entryPoints = tmp.entryPointList;
}
catch (Exception ex)
{
while (ex.InnerException != null)
{
ex = ex.InnerException;
}
result.Error = new CustomException();
result.Error.Message = ex.Message + ex.StackTrace;
}
return(result);
}
ResponseCurrencyData GetCurrencyDic()
{
ResponseCurrencyData result = new ResponseCurrencyData();
try
{
var currencies = DataLayer.Repository.GetCurrency(null);
foreach (var c in currencies)
{
if (c != null &&
!String.IsNullOrEmpty(c.ClassName) &&
QuantLibAdaptor.GetCurrencyInformation(c)
)
{
//result.CurrencyDic[c.Id] = c;
DataFeed.Repository.ccyDic[c.Id] = c;
}
}
//DataLayer.Repository.CurrencyDic = result.CurrencyDic;
result.ccyList = currencies;
}
catch (Exception ex)
{
while (ex.InnerException != null)
{
ex = ex.InnerException;
}
result.Error = new CustomException();
result.Error.Message = ex.Message + ex.StackTrace;
}
//we read from the database from te table Currencies
// assumption is - if ClassName is not null then the rest of the parameters for each currency should be populated for Quantlib
// otherwise it was manually added and everything should be coming from the database only
return(result);
}
// iftoDraw indicates if only computation is required or after computation is done the chart has to be drawn by SL client
public ResponseDiscountsList CalculateDiscountedRateList(YieldCurveData ycd, DateTime settlementDate, HashSet <DateTime> discountDates, bool ifToDraw)
{
ResponseDiscountsList result = new ResponseDiscountsList();
result.ifToDraw = ifToDraw;
try
{
// will be only one YieldCurveData element if idYc is provided (this is unique key)
//YieldCurveData ycDesc = Repository.GetYieldCurveData(idYc).Single();
ycd.settlementDate = settlementDate;
ycd.entryPointList = DataLayer.Repository.GetYieldCurveEntryPoint(ycd.Id, settlementDate);
QuantLibAdaptor.CalculateDiscountedRate(ycd, discountDates.ToList(), result.discountPoints);
/*
* for (int i = 0; i < ycDesc.entryPoints.Count(); i++)
* {
* result.EnabledEntry.Add(ycDesc.entryPoints[i].Enabled);
* result.EntryId.Add(ycDesc.entryPoints[i].Id);
* }
*/
result.YcId = ycd.Id;
result.entryPoints = ycd.entryPointList;
}
catch (Exception ex)
{
while (ex.InnerException != null)
{
ex = ex.InnerException;
}
result.Error = new CustomException();
result.Error.Message = ex.Message + ex.StackTrace;
}
return(result);
}
public ResponseRateData GetRateDataDic()
{
ResponseRateData result = new ResponseRateData();
try
{
var rates = DataLayer.Repository.GetRates();
foreach (var r in rates)
{
if (r != null &&
!String.IsNullOrEmpty(r.ClassName) &&
QuantLibAdaptor.GetRateInformation(r)
)
{
result.RateDic[r.Id] = r;
}
}
DataLayer.Repository.RateDic = result.RateDic;
}
catch (Exception ex)
{
while (ex.InnerException != null)
{
ex = ex.InnerException;
}
result.Error = new CustomException();
result.Error.Message = ex.Message + ex.StackTrace;
}
//we read from the database from te table Currencies
// assumption is - if ClassName is not null then the rest of the parameters for each currency should be populated for Quantlib
// otherwise it was manually added and everything should be coming from the database only
return(result);
}
//this will return maturities for instruments taking into account todays date
//relevant for rates or bonds with relative maturity
//instruments calendar is taken into account
public ResponseMaturityDatesData GetMaturityDatesList(List <Instrument> rate, DateTime d)
{
ResponseMaturityDatesData result = new ResponseMaturityDatesData();
List <DateTime> result1 = new List <DateTime>();
try
{
QuantLibAdaptor.GetInstrumentMaturity(rate, d, result1);
result.dates = result1;
}
catch (Exception ex)
{
while (ex.InnerException != null)
{
ex = ex.InnerException;
}
result.Error = new CustomException();
result.Error.Message = ex.Message + ex.StackTrace;
}
return(result);
}