private async Task<TenorDates> GoDate(DateTime date_, TenorDates record, CarbonClient cc_, bool force_ = true, bool persistToServer_ = true)
{
if (record == null)
throw new ArgumentNullException("record");
if (record != null && record.Dates != null && record.Dates.HasKey(date_) && !force_)
return record;
Logger.Info(
string.Format("Generating tenor Dates for [Cal={0}, SpotDays={1}, Date={2}]", record.HolidayCode,
record.SpotStart,
date_.ToString("dd-MMM-yyyy")), typeof(DatesWorker));
var allTenors = (CurveDateIndex[])Enum.GetValues(typeof(CurveDateIndex));
if (record.Dates == null) // this shouldnt' happen
record.Dates = new ConstructGenGen<DateTime, DateTime>(allTenors.Select(x => x.ToString()).ToArray());
// need to get the spot date first as all other dates are calculated off this
var spot = await cc_.RollDateAsync(
date: date_.ToNodaLocalDate(),
count: record.SpotStart,
unit: Symmetry.Carbon.Model.DateUnit.Bd,
convention: Symmetry.Carbon.Model.BusinessDayConvention.Following,
calendar: record.HolidayCode);
record.Dates.SetValue(date_, (int)CurveDateIndex.Spot, spot.ToDateTime());
// then work out each tenor date and store in record
foreach (var tenor in allTenors.Where(x => x != CurveDateIndex.Spot))
{
var fwdDate = spot.ToDateTime().AddYears((int) tenor);
//var fwdDate = await cc_.RollDateAsync(
// date: spot,
// count: (int)tenor,
// unit: Symmetry.Carbon.Model.DateUnit.Y,
// convention: Symmetry.Carbon.Model.BusinessDayConvention.Following,
// calendar: record.HolidayCode);
record.Dates.SetValue(date_, (int)tenor, fwdDate);
}
if (persistToServer_)
await TenorDatesCache.Instance().AddOrUpdateDefinition(record);
return record;
}
public async Task<TenorDates> GoAll(string otHolidayCode_, int daysToSpot_, CarbonClient cc_, bool force_ = false)
{
var date = START_DATE;
var record =
TenorDatesCache.Instance()
.InnerList.FirstOrDefault(
x =>
x.SpotStart == daysToSpot_ &&
string.Compare(otHolidayCode_, x.HolidayCode, StringComparison.OrdinalIgnoreCase) == 0);
var allTenors = (CurveDateIndex[])Enum.GetValues(typeof(CurveDateIndex));
var updated = false;
if (record == null)
{
record = new TenorDates()
{
HolidayCode = otHolidayCode_,
SpotStart = daysToSpot_,
Dates =
new ConstructGenGen<DateTime, DateTime>(allTenors.Select(x => x.ToString()).ToArray())
};
record.Dates.Name = string.Format("{0} tenor dates with spotStart={1}", otHolidayCode_, daysToSpot_);
}
else
{
// if we're not forcing a rebuild, then we can move the date to the last date in the series
if(!force_)
date = record.Dates.Keys.Last();
}
while (date < END_DATE)
{
updated = true;
await GoDate(
date_: date,
record: record,
cc_: cc_,
force_: force_,
persistToServer_: false);
var plusOne = await cc_.RollDateAsync(date.ToNodaLocalDate(), 1, Symmetry.Carbon.Model.DateUnit.Bd,
Symmetry.Carbon.Model.BusinessDayConvention.Following, otHolidayCode_);
date = plusOne.ToDateTime();
}
try
{
if (updated)
{
var result = await TenorDatesCache.Instance().AddOrUpdateDefinition(record);
Logger.Info(
string.Format("Updated cache for {0} with {1}. Result = {2}", otHolidayCode_, daysToSpot_, result),
typeof(DatesWorker));
}
else
{
Logger.Info(
string.Format("Not updating dates cache {0}.{1} as already up to date", otHolidayCode_, daysToSpot_),
typeof (DatesWorker));
}
}
catch (Exception ex_)
{
Logger.Error("Error updating cache", typeof(DatesWorker), ex_);
}
return record;
}
