/// <summary>
/// Generate a valuation request for a market and portfolio
/// Include any scenarios requested
/// </summary>
/// <param name="portfolioId"></param>
/// <param name="marketName"></param>
/// <param name="baseParty"></param>
/// <param name="irScenarios">Optional array of IR Stress Scenario names</param>
/// <param name="fxScenarios">optional array of FX Stress Scenario names</param>
/// <returns></returns>
private static PortfolioValuationRequest CreateRequest(string portfolioId, string marketName, string baseParty, string[] irScenarios = null, string[] fxScenarios = null)
{
// create portfolio valuation request
Guid requestId = Guid.NewGuid();
var request = new PortfolioValuationRequest
{
BaseDate = TestBaseDate,
RequestId = requestId.ToString(),
Retention = Retention.ToString(),
SubmitTime = DateTimeOffset.Now.ToString("o"),
RequestDescription = "PV Regression Test",
RequesterId = new UserIdentity
{
Name = Engine.Cache.ClientInfo.Name,
DisplayName = "Unit Test Agent"
},
PortfolioId = portfolioId,
MarketDate = null,
MarketName = marketName,
ReportingCurrency = "AUD",
BaseParty = baseParty,
IRScenarioNames = irScenarios,
FXScenarioNames = fxScenarios
};
return(request);
}
private void ReceivePortfolioValuationRequest(ICoreItem pvReqItem)
{
DateTimeOffset created = pvReqItem.Created;
PortfolioValuationRequest pvReq = (PortfolioValuationRequest)pvReqItem.Data;
Guid requestId = new Guid(pvReq.RequestId);
InternalRequest newRequest = new InternalRequest(requestId, created, pvReq);
InternalRequest oldRequest = null;
_OutstandingRequests.Locked((requests) =>
{
if (requests.TryGetValue(requestId, out oldRequest))
{
// exists
newRequest.LatestResult = oldRequest.LatestResult;
}
requests[requestId] = newRequest;
});
if (oldRequest == null)
{
(new ServerRequestStatus()
{
RequestId = pvReq.RequestId,
RequesterId = pvReq.RequesterId ?? new UserIdentity()
{
Name = this.Client.ClientInfo.Name, DisplayName = "Unknown"
},
RequesterData = pvReq.PortfolioId,
Status = RequestStatusEnum.Received
}).Publish(_WorkContext.Logger, _WorkContext.Cache, TimeSpan.FromDays(1));
}
// dispatch worker request
EnqueueWorkerRequest();
}
/// <summary>
/// Value and Test the portfolio
/// </summary>
/// <param name="portfolioId"></param>
/// <param name="irScenarios">Optional IR Scenarios</param>
/// <param name="fxScenarios">Optional FX Scenarios</param>
private static void ValueAndTestPortfolio(string portfolioId, string[] irScenarios = null, string[] fxScenarios = null)
{
foreach (var testMarketName in TestMarketNames)
{
PortfolioValuationRequest request = CreateRequest(portfolioId, testMarketName, null, irScenarios, fxScenarios);
HandlerResponse result = ExecuteTradeValuation(request);
AssertValuation(result);
}
}
private void RequestSchedulerTimeout(object notUsed)
{
// time to post a portfolio valuation request
TimeSpan retention = TimeSpan.FromDays(2);
// publish portfolio specification
List <PortfolioSubquery> portfolioSubqueries = new List <PortfolioSubquery>();
portfolioSubqueries.Add(new PortfolioSubquery()
{
CounterpartyId = "13142"
}); // Barclays
portfolioSubqueries.Add(new PortfolioSubquery()
{
CounterpartyId = "14859"
}); // Woolworths
string portfolioId = Guid.NewGuid().ToString();
var portfolio = new PortfolioSpecification
{
PortfolioId = portfolioId,
OwnerId = new UserIdentity()
{
Name = this.Client.ClientInfo.Name,
DisplayName = "Portfolio Valuation Server"
},
Description = "Woolworths (14859) Scheduled",
PortfolioSubqueries = portfolioSubqueries.ToArray()
};
this.Client.SaveObject <PortfolioSpecification>(portfolio, retention);
// publish the portfolio valuation requests
foreach (string marketName in new string[] { CurveConst.NAB_EOD })
{
Guid requestId = Guid.NewGuid();
PortfolioValuationRequest request = new PortfolioValuationRequest()
{
BaseDate = DateTime.Today,
RequestId = requestId.ToString(),
Retention = retention.ToString(),
SubmitTime = DateTimeOffset.Now.ToString("o"),
RequesterId = new UserIdentity()
{
Name = this.Client.ClientInfo.Name,
DisplayName = "Portfolio Valuation Server"
},
PortfolioId = portfolioId,
MarketDate = null,
MarketName = marketName,
ReportingCurrency = "AUD",
IsDetailedReport = false,
IRScenarioNames = ScenarioConst.AllIrScenarioIds,
FXScenarioNames = ScenarioConst.AllFxScenarioIds
};
this.Client.SaveObject <PortfolioValuationRequest>(request, false, retention);
}
}
public InternalPortfRevalRequest(Guid requestId, DateTimeOffset created, PortfolioValuationRequest pvReq)
{
RequestId = requestId;
Created = created;
Request = pvReq;
LatestResult = new HandlerResponse
{
RequestId = pvReq.RequestId,
//RequesterData = pvReq.PortfolioId,
Status = RequestStatusEnum.Received
};
}
/// <summary>
/// Value and Test the portfolio
/// </summary>
/// <param name="portfolioId"></param>
private static void ValueTradeDebug(string portfolioId)
{
var irScenarios = new[] { ScenarioConst.Unstressed };
//var curveTypes = new[] { "RateCurve" };
//ExecuteCurveStressing(TestMarketNames, curveTypes, Generate_All_RateCurveNames());
foreach (var testMarketName in TestMarketNames)
{
PortfolioValuationRequest request = CreateRequest(portfolioId, testMarketName, null, irScenarios);
HandlerResponse result = ExecuteTradeValuation(request);
PrintValuation(result);
}
}
private RequestBase CreatePVRequest(string marketName, string counterPartyId, string counterPartyName, bool allIRStresses, bool allFXStresses)
{
// time to post a portfolio valuation request
TimeSpan retention = TimeSpan.FromDays(1);
// publish portfolio specifications
List <PortfolioSubquery> portfolioSubqueries = new List <PortfolioSubquery>();
portfolioSubqueries.Add(new PortfolioSubquery()
{
CounterpartyId = counterPartyId
});
string portfolioId = Guid.NewGuid().ToString();
var portfolio = new PortfolioSpecification
{
PortfolioId = portfolioId,
OwnerId = new UserIdentity()
{
Name = _ClientRef.Target.ClientInfo.Name, DisplayName = "Grid Test Harness"
},
Description = String.Format("{1} ({0}) Test Request", counterPartyId, counterPartyName),
PortfolioSubqueries = portfolioSubqueries.ToArray()
};
_ClientRef.Target.SaveObject <PortfolioSpecification>(portfolio, retention);
// publish the portfolio valuation requests
Guid requestId = Guid.NewGuid();
PortfolioValuationRequest request = new PortfolioValuationRequest()
{
BaseDate = DateTime.Today,
RequestId = requestId.ToString(),
Retention = retention.ToString(),
SubmitTime = DateTimeOffset.Now.ToString("o"),
RequestDescription = String.Format("{0} [{1}]", portfolio.Description, marketName),
RequesterId = new UserIdentity()
{
Name = _ClientRef.Target.ClientInfo.Name, DisplayName = "Grid Test Harness"
},
PortfolioId = portfolioId,
MarketDate = null,
MarketName = marketName,
ReportingCurrency = "AUD",
IRScenarioNames = allIRStresses ? ScenarioConst.AllIrScenarioIds : null,
FXScenarioNames = allFXStresses ? ScenarioConst.AllFxScenarioIds : null
};
_ClientRef.Target.SaveObject <PortfolioValuationRequest>(request);
return(request);
}
/// <summary>
///
/// </summary>
/// <param name="request"></param>
private static HandlerResponse ExecuteTradeValuation(PortfolioValuationRequest request)
{
// create and execute workflow
HandlerResponse result;
IWorkContext context = new WorkContext(UTE.Logger, Engine.Cache, "UnitTest");
using (var workflow = new WFCalculatePortfolioStressValuation())
{
workflow.Initialise(context);
WorkflowOutput <HandlerResponse> output = workflow.Execute(request);
result = output.Result;
WorkflowHelper.ThrowErrors(output.Errors);
}
return(result);
}
private void DequeueWorkerRequests(object notUsed)
{
// throttle callbacks to once per timer period
DateTime dtNow = DateTime.Now;
if ((dtNow - _lastManagedAt) < _requestManagerPeriod)
{
return;
}
_lastManagedAt = dtNow;
try
{
// processing algorithm
// - find oldest unprocessed (status==received) request and process it
bool workToDo = true;
while (workToDo && (GetState() == BasicServerState.Running))
{
workToDo = false;
InternalPortfRevalRequest activeRequest = null;
DateTimeOffset oldestRequestCreated = DateTimeOffset.MaxValue;
_outstandingRequests.Locked(requests =>
{
foreach (InternalPortfRevalRequest request in requests.Values)
{
if ((request.LatestResult.Status == RequestStatusEnum.Received) &&
(request.Created < oldestRequestCreated) &&
(request.Request != null))
{
activeRequest = request;
oldestRequestCreated = request.Created;
}
}
if (activeRequest != null)
{
// we have found a request to process
workToDo = true;
}
});
if (activeRequest != null)
{
// process request
PortfolioValuationRequest request = activeRequest.Request;
try
{
// run the valuation worflow
using (var workflow = new WFCalculatePortfolioStressValuation())
{
workflow.Initialise(_workContext);
activeRequest.Workflow = workflow;
_activeWorkflow = workflow;
try
{
WorkflowOutput <HandlerResponse> output = workflow.Execute(request);
WorkflowHelper.LogErrors(Logger, output.Errors);
}
finally
{
activeRequest.Workflow = null;
_activeWorkflow = null;
}
}
}
catch (Exception innerExcp)
{
Logger.Log(innerExcp);
// publish 'faulted' result
var response = new HandlerResponse
{
RequestId = request.RequestId,
RequesterId = request.RequesterId,
//RequesterData = request.PortfolioId,
Status = RequestStatusEnum.Faulted,
FaultDetail = new ExceptionDetail(innerExcp)
};
_workContext.Cache.SaveObject(response);
}
}
} // while there is work to do
}
catch (Exception outerExcp)
{
// deserialisation error?
Logger.Log(outerExcp);
}
}
private void DequeueWorkerRequests(object notUsed)
{
// exit if more requests following
if (Interlocked.Decrement(ref _WorkerRequests) > 0)
{
return;
}
// throttle callbacks to once per timer period
DateTime dtNow = DateTime.Now;
if ((dtNow - _LastManagedAt) < RequestManagerPeriod)
{
return;
}
_LastManagedAt = dtNow;
try
{
// processing algorithm
// - find oldest unprocessed (status==received) request and process it
bool workToDo = true;
while (workToDo)
{
workToDo = false;
InternalRequest oldestUnstartedRequest = null;
DateTimeOffset oldestRequestCreated = DateTimeOffset.MaxValue;
_OutstandingRequests.Locked((requests) =>
{
foreach (InternalRequest request in requests.Values)
{
if ((request.LatestResult.Status == RequestStatusEnum.Received) &&
(request.Created < oldestRequestCreated))
{
oldestUnstartedRequest = request;
oldestRequestCreated = request.Created;
}
}
if (oldestUnstartedRequest != null)
{
// we have found a request to process
workToDo = true;
}
});
if (oldestUnstartedRequest != null)
{
// process request
PortfolioValuationRequest request = oldestUnstartedRequest.Request;
try
{
// run the valuation worflow
WorkflowOutput <ServerRequestStatus> output = _Workflow.Execute(request);
bool failed = WorkflowHelper.LogErrors(Logger, output.Errors);
}
catch (Exception innerExcp)
{
Logger.Log(innerExcp);
// publish 'faulted' result
(new ServerRequestStatus()
{
RequestId = request.RequestId,
RequesterId = request.RequesterId,
RequesterData = request.PortfolioId,
Status = RequestStatusEnum.Faulted,
FaultDetail = new ExceptionDetail(innerExcp),
}).Publish(_WorkContext.Logger, _WorkContext.Cache, TimeSpan.FromDays(1));
}
}
} // while there is work to do
}
catch (Exception outerExcp)
{
// deserialisation error?
Logger.Log(outerExcp);
}
}
