public DateTimeOffset?UseRates(RateDefinitions rateSetInput)
{
var rates = new RateDateRange[MinutesInAWeek];
var rateDateRanges = rateSetInput.BuildRateDateRanges();
foreach (var rateDateRange in rateDateRanges)
{
var start = DayOfWeekToTimespansWithThatDuration[rateDateRange.DayOfWeek] + rateDateRange.Start;
var end = DayOfWeekToTimespansWithThatDuration[rateDateRange.DayOfWeek] + rateDateRange.End;
for (int i = (int)start.TotalMinutes; i < (int)end.TotalMinutes; i++)
{
if (rates[i] != null)
{
// If we're visiting a minute we've already processed, there's overlap in the rate definitions.
// Return null to indicate the rates are not valid.
return(null);
}
rates[i] = rateDateRange;
}
}
_rates = rates;
return(DateTimeOffset.UtcNow);
}
public override void MergeDependencies(MarketDataDefinition mergeData)
{
if (mergeData is RateMktData)
{
if (RateDefinitions.Count(x => x.Name.Equals(mergeData.Name)) > 0)
{
for (var i = 0; i < RateDefinitions.Length; i++)
{
if (RateDefinitions[i].Name.Equals(mergeData.Name))
{
RateDefinitions[i] = (RateMktData)mergeData;
}
}
}
else
{
var list = new List <RateMktData>();
list.AddRange(RateDefinitions);
list.Add((RateMktData)mergeData);
RateDefinitions = list.ToArray();
}
}
else if (mergeData is CurveConvention)
{
CurveConvention = (CurveConvention)mergeData;
}
}
public bool SetUpConfiguredDefaultRates()
{
var rateFileInput = RateDefinitions.ParseFromJsonFile(_rateConfigurationSettings.DefaultRatesInputFilePath);
var timeRatesChanged = UseRates(rateFileInput);
bool success = timeRatesChanged != null;
return(success);
}
public override void RemoveDependencies(MarketDataDefinition mergeData)
{
if (mergeData is RateMktData)
{
RateMktData rateMkt = RateDefinitions.FirstOrDefault(x => x.Name.Equals(mergeData.Name));
var list = new List <RateMktData>();
list.AddRange(RateDefinitions);
list.Remove(rateMkt);
RateDefinitions = list.ToArray();
}
}
public override MarketDataDefinition[] GetDependencies()
{
if (BaseCurveDefinition == null)
{
return(RateDefinitions.Cast <MarketDataDefinition>().ToArray()
.Union(new[] { CurveConvention })
.ToArray());
}
return(new MarketDataDefinition[]
{
BaseCurveDefinition
}
.Union(RateDefinitions.Cast <MarketDataDefinition>().ToArray())
.Union(new[] { CurveConvention })
.ToArray());
}
public DateTimeOffset?UseRates(RateDefinitions rateSetInput)
{
var rateDateRanges = rateSetInput
.BuildRateDateRanges()
.GroupBy(x => x.DayOfWeek)
.ToDictionary(x => x.Key, y => y.OrderBy(x => x.Start).ToList());
DateTimeOffset?timeRatesChanged = null;
if (AreDateRangesValid(rateDateRanges))
{
_rateDateRangesByDayOfWeek = rateDateRanges;
timeRatesChanged = DateTimeOffset.UtcNow;
}
return(timeRatesChanged);
}
