public static SymmetryTSInstrument Get(string curvename_)
{
if (m_cache.ContainsKey(curvename_))
return m_cache[curvename_];
return m_cache[curvename_] = new SymmetryTSInstrument(SwapCurveDefinitions.Get(curvename_).FrontOfCurveSymmetryCode);
}
public async Task<DFs> GoAll(string holidayCode_, int spotStart_, CurveIDs curve_, CarbonClient cc_, bool forceReRead_=false)
{
Logger.Info(string.Format("Considering {0} DFs...", curve_.CarbonCurveName), typeof (DFsWorker));
// first we need to get the list of dates for the given holidaycode
var datesRecord =
TenorDatesCache.Instance()
.InnerList.FirstOrDefault(
x =>
x.SpotStart == spotStart_ &&
string.Compare(holidayCode_, x.HolidayCode, StringComparison.OrdinalIgnoreCase) == 0);
if (datesRecord == null)
{
Logger.Error(
string.Format("cannot update DFs as can't find a calendar object with params [spotStart={0},Calendar={1}]",
spotStart_, holidayCode_), typeof (DFsWorker));
return null;
}
var taDFs = DFsCache.Instance().InnerList.FirstOrDefault(x =>
String.Compare(x.Curvename, curve_.CarbonCurveName, StringComparison.OrdinalIgnoreCase) == 0);
if (taDFs == null)
{
taDFs = new DFs()
{
Curvename=curve_.CarbonCurveName,
};
}
var carbonDFs = await CarbonCurveRetriever.Instance().GetDailyCurveDFs(cc_, datesRecord, curve_.CarbonCurveName);
if (carbonDFs == null)
{
Logger.Error(string.Format("Did not successfully retrieve DFs for {0} from carbon", curve_.CarbonCurveName),
typeof (DFsWorker));
return null;
}
bool updated = false;
if (taDFs.DFValues == null || forceReRead_)
{
updated = true;
taDFs.DFValues = carbonDFs;
}
else
{
foreach (var date in carbonDFs.Dates)
{
bool needToSet = !taDFs.DFValues.HasDate(date);
if (!needToSet && date>DateTime.Today.AddMonths(-1))
{
needToSet = true;
var current = taDFs.DFValues.ValueOnExactDate(date);
var carbon = carbonDFs.ValueOnExactDate(date);
if (current!=null && carbon!=null && current.Data!=null && carbon.Data!=null && (current.Data.Sum() - carbon.Data.Sum()).IsZero())
{
needToSet = false;
}
else
Logger.Debug(
string.Format("Going to update dfs for {0} on {1}", curve_.CarbonCurveName, date.ToString("dd-MMM-yyyy")),
typeof(DFsWorker));
}
if (!needToSet) continue;
Logger.Debug(
string.Format("Adding in dfs for {0} on {1}", curve_.CarbonCurveName, date.ToString("dd-MMM-yyyy")),
typeof (DFsWorker));
updated = true;
taDFs.DFValues.SetValueOnDate(date, carbonDFs.ValueOnDate(date));
}
}
// persist the fixings if the curve has details
if (!string.IsNullOrEmpty(curve_.CurveFixingTicker))
{
var pxs = new SymmetryTSInstrument(curve_.CurveFixingTicker).GetPrices();
if (pxs != null)
{
if (taDFs.FixingValues == null ||
(taDFs.FixingValues.LastDate < pxs.LastDate))
{
taDFs.FixingValues = pxs.GetValuesBetweenDates(datesRecord.Dates.Keys[0],DateTime.Today);
updated = true;
}
}
}
if (updated)
{
var result = await DFsCache.Instance().AddOrUpdateDefinition(taDFs);
Logger.Info(string.Format("Updated DFs on server for {0}. Result = {1}", curve_.CarbonCurveName, result),
typeof (DFsWorker));
}
else
Logger.Info(string.Format("Not updating {0} DFs as nothing changed", curve_.CarbonCurveName),
typeof(DFsWorker));
return taDFs;
}
