public void CanAddAndGetAllInstrumentTypes()
{
using (FinancialClient financialClient = Context.CreateFinancialClient())
{
InterpolatedYieldCurveDefinitionMaster interpolatedYieldCurveDefinitionMaster =
financialClient.InterpolatedYieldCurveDefinitionMaster;
YieldCurveDefinitionDocument yieldCurveDefinitionDocument = GenerateDocument();
foreach (StripInstrumentType stripInstrumentType in Enum.GetValues(typeof(StripInstrumentType)))
{
var fixedIncomeStrip = new FixedIncomeStrip
{
ConventionName = "DEFAULT",
CurveNodePointTime = Tenor.Day,
InstrumentType = stripInstrumentType
};
if (stripInstrumentType == StripInstrumentType.Future)
{
fixedIncomeStrip.NthFutureFromTenor = 12;
}
yieldCurveDefinitionDocument.YieldCurveDefinition.AddStrip(fixedIncomeStrip);
}
AssertRoundTrip(interpolatedYieldCurveDefinitionMaster, yieldCurveDefinitionDocument);
}
}
public void CanAddAndGet()
{
using (FinancialClient financialClient = Context.CreateFinancialClient())
{
InterpolatedYieldCurveDefinitionMaster interpolatedYieldCurveDefinitionMaster = financialClient.InterpolatedYieldCurveDefinitionMaster;
YieldCurveDefinitionDocument yieldCurveDefinitionDocument = GenerateDocument();
AssertRoundTrip(interpolatedYieldCurveDefinitionMaster, yieldCurveDefinitionDocument);
}
}
private YieldCurveDefinitionDocument PostDefinition(YieldCurveDefinitionDocument document, string path)
{
var created = _restTarget.Resolve("definitions").Resolve("save").Post <YieldCurveDefinitionDocument>(document);
if (created.UniqueId == null)
{
throw new ArgumentException("No UID returned");
}
document.UniqueId = created.UniqueId;
return(document);
}
public YieldCurveDefinitionDocument Add(YieldCurveDefinitionDocument document)
{
var created = _restTarget.Resolve("definitions").Post <YieldCurveDefinitionDocument>(document);
if (created.UniqueId == null)
{
throw new ArgumentException("No UID returned");
}
document.UniqueId = created.UniqueId;
return(document);
}
public void CanAddAndRemove()
{
using (FinancialClient financialClient = Context.CreateFinancialClient())
{
InterpolatedYieldCurveDefinitionMaster interpolatedYieldCurveDefinitionMaster = financialClient.InterpolatedYieldCurveDefinitionMaster;
YieldCurveDefinitionDocument yieldCurveDefinitionDocument = GenerateDocument();
AssertRoundTrip(interpolatedYieldCurveDefinitionMaster, yieldCurveDefinitionDocument);
interpolatedYieldCurveDefinitionMaster.Remove(yieldCurveDefinitionDocument.UniqueId);
Assert.Throws <DataNotFoundException>(() => interpolatedYieldCurveDefinitionMaster.Get(yieldCurveDefinitionDocument.UniqueId));
}
}
public void CanAddAndGetRegions()
{
using (FinancialClient financialClient = Context.CreateFinancialClient())
{
InterpolatedYieldCurveDefinitionMaster interpolatedYieldCurveDefinitionMaster = financialClient.InterpolatedYieldCurveDefinitionMaster;
foreach (ExternalId region in new[] { null, new ExternalId("XX", "12"), new ExternalId("asd", "asd") })
{
YieldCurveDefinitionDocument yieldCurveDefinitionDocument = GenerateDocument();
yieldCurveDefinitionDocument.YieldCurveDefinition.Region = region;
AssertRoundTrip(interpolatedYieldCurveDefinitionMaster, yieldCurveDefinitionDocument);
}
}
}
private static void AssertRoundTrip(InterpolatedYieldCurveDefinitionMaster interpolatedYieldCurveDefinitionMaster, YieldCurveDefinitionDocument yieldCurveDefinitionDocument)
{
interpolatedYieldCurveDefinitionMaster.Add(yieldCurveDefinitionDocument);
YieldCurveDefinitionDocument roundtrippedDoc = interpolatedYieldCurveDefinitionMaster.Get(yieldCurveDefinitionDocument.UniqueId);
YieldCurveDefinition roundTripped = roundtrippedDoc.YieldCurveDefinition;
var yieldCurveDefinition = yieldCurveDefinitionDocument.YieldCurveDefinition;
Assert.Equal(yieldCurveDefinition.Name, roundTripped.Name);
Assert.Equal(yieldCurveDefinition.InterpolatorName, roundTripped.InterpolatorName);
Assert.Equal(yieldCurveDefinition.Currency, roundTripped.Currency);
Assert.Equal(roundTripped.Region, roundTripped.Region);
Assert.True(roundTripped.Strips.SequenceEqual(roundTripped.Strips));
}
public YieldCurveDefinitionDocument AddOrUpdate(YieldCurveDefinitionDocument document)
{
return(PostDefinition(document, "save"));
}