internal static void AddCurves(ScenarioGeneratorModel context)
{
DateTime now = context.AsOfDate;
var curve1 = new Curve() { StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now, CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
var curveDetail1 = new CurveDetail() { Name = "SWAPSOIS", StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now, CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
curve1.CurveDetails.Add(curveDetail1);
var curve2 = new Curve() { StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now, CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
var curveDetail2 = new CurveDetail() { Name = "SWAPSOISRISK", StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now, CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
curve2.CurveDetails.Add(curveDetail2);
CurveFamily item = context.CurveFamilies.Where(x => x.Name == "SWAPS").First();
curveDetail1.CurveFamily = item;
curveDetail2.CurveFamily = item;
TargetSystem system = context.TargetSystems.Where(x => x.Name == "Simra").First();
curveDetail1.TargetSystem = system;
curveDetail2.TargetSystem = system;
context.Curves.Add(curve1);
context.Curves.Add(curve2);
context.SaveChanges();
}
internal static void AddScenarioPointsAndUnits(ScenarioGeneratorModel context)
{
AddScenarioPoints1(context);
AddScenarioPoints2(context);
AddScenarioPoints3(context);
context.SaveChanges();
}
internal static void AddConstituents(ScenarioGeneratorModel context)
{
DateTime now = context.AsOfDate;
var curveDetail = context.CurveDetails.Where(x => x.Name == "SWAPSOIS").First();
var curve = curveDetail.Curve;
var riskFactorDimType = context.RiskFactorDimTypes.Include("RiskFactorDimensionDetails").Where(x => x.Name == "Tenor").First();
var riskDimension = riskFactorDimType.RiskFactorDimensionDetails.First().RiskFactorDimension;
var curveDimension = new CurveDimension() { RiskFactorDimension = riskDimension, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-100), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
curve.CurveDimensions.Add(curveDimension);
RiskFactorDimItemDetail dimItemDetail = context.RiskFactorDimItemDetails.Where(x => x.Name == "1D").First();
curveDimension.CurveConstituents.Add(new CurveConstituent() { CurveDimension = curveDimension, RiskFactorDimItem = dimItemDetail.RiskFactorDimItem, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-100), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true });
dimItemDetail = context.RiskFactorDimItemDetails.Where(x => x.Name == "2D").First();
curveDimension.CurveConstituents.Add(new CurveConstituent() { CurveDimension = curveDimension, RiskFactorDimItem = dimItemDetail.RiskFactorDimItem, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-100), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true });
dimItemDetail = context.RiskFactorDimItemDetails.Where(x => x.Name == "3D").First();
curveDimension.CurveConstituents.Add(new CurveConstituent() { CurveDimension = curveDimension, RiskFactorDimItem = dimItemDetail.RiskFactorDimItem, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-100), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true });
dimItemDetail = context.RiskFactorDimItemDetails.Where(x => x.Name == "4D").First();
curveDimension.CurveConstituents.Add(new CurveConstituent() { CurveDimension = curveDimension, RiskFactorDimItem = dimItemDetail.RiskFactorDimItem, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-100), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true });
dimItemDetail = context.RiskFactorDimItemDetails.Where(x => x.Name == "5D").First();
curveDimension.CurveConstituents.Add(new CurveConstituent() { CurveDimension = curveDimension, RiskFactorDimItem = dimItemDetail.RiskFactorDimItem, StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-100), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true });
context.SaveChanges();
}
internal static void AddScenarioLocuses(ScenarioGeneratorModel context)
{
AddScenarioLocuses1(context);
AddScenarioLocuses2(context);
AddScenarioLocuses3(context);
context.SaveChanges();
}
internal static void AddScenarioGroups(ScenarioGeneratorModel context)
{
DateTime now = context.AsOfDate;
ScenarioGroup sg = new ScenarioGroup() { StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now, CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
context.ScenarioGroups.Add(sg);
ScenarioGroupDetail sgd;
sgd = new ScenarioGroupDetail() { Name = "Macro (v1)", StartTime = now.AddDays(-100), EndTime = now.AddDays(-50), CreatedAt = now.AddDays(-120), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", ModifiedAt = now.AddDays(-110), ModifiedBy = "C", Latest = false };
sg.ScenarioGroupDetails.Add(sgd);
sgd = new ScenarioGroupDetail() { Name = "Macro (v2)", StartTime = now.AddDays(-50), EndTime = now.AddDays(-20), CreatedAt = now.AddDays(-75), CreatedBy = "A", ApprovedAt = now.AddDays(-50), ApprovedBy = "B", ModifiedAt = now.AddDays(-60), ModifiedBy = "C", Latest = false };
sg.ScenarioGroupDetails.Add(sgd);
sgd = new ScenarioGroupDetail() { Name = "Macro (v3)", StartTime = now.AddDays(-20), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-30), CreatedBy = "A", ApprovedAt = now.AddDays(-20), ApprovedBy = "B", ModifiedAt = now.AddDays(-35), ModifiedBy = "C", Latest = false };
sg.ScenarioGroupDetails.Add(sgd);
sgd = new ScenarioGroupDetail() { Name = "Macro", StartTime = DateTime.MinValue, EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-10), CreatedBy = "A", ModifiedAt = now.AddDays(-5), ModifiedBy = "C", Latest = true };
sg.ScenarioGroupDetails.Add(sgd);
ScenarioGroup sgc = new ScenarioGroup() { StartTime = now.AddDays(-80), EndTime = DateTime.MaxValue, CreatedAt = now, CreatedBy = "A", ApprovedAt = now.AddDays(-80), ApprovedBy = "B", Latest = true };
context.ScenarioGroups.Add(sgc);
sgd = new ScenarioGroupDetail() { Name = "Cyprus Contagion (v1)", StartTime = now.AddDays(-80), EndTime = now.AddDays(-40), CreatedAt = now.AddDays(-80), CreatedBy = "A", ApprovedAt = now.AddDays(-80), ApprovedBy = "B", ModifiedAt = now.AddDays(-80), ModifiedBy = "C", Latest = false };
sgc.ScenarioGroupDetails.Add(sgd);
sgd.ScenarioGroupParent = sg;
sgd = new ScenarioGroupDetail() { Name = "Cyprus Contagion (v2)", StartTime = now.AddDays(-40), EndTime = now.AddDays(-10), CreatedAt = now.AddDays(-50), CreatedBy = "A", ApprovedAt = now.AddDays(-40), ApprovedBy = "B", ModifiedAt = now.AddDays(-45), ModifiedBy = "C", Latest = false };
sgc.ScenarioGroupDetails.Add(sgd);
sgd.ScenarioGroupParent = sg;
sgd = new ScenarioGroupDetail() { Name = "Cyprus Contagion (v3)", StartTime = now.AddDays(-10), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-20), CreatedBy = "A", ApprovedAt = now.AddDays(-10), ApprovedBy = "B", ModifiedAt = now.AddDays(-12), ModifiedBy = "C", Latest = false };
sgc.ScenarioGroupDetails.Add(sgd);
sgd.ScenarioGroupParent = sg;
sgd = new ScenarioGroupDetail() { Name = "Cyprus Contagion", StartTime = DateTime.MinValue, EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-5), CreatedBy = "A", ModifiedAt = now.AddDays(-3), ModifiedBy = "C", Latest = true };
sgc.ScenarioGroupDetails.Add(sgd);
sgd.ScenarioGroupParent = sg;
sgc = new ScenarioGroup() { StartTime = now.AddDays(-55), EndTime = DateTime.MaxValue, CreatedAt = now, CreatedBy = "A", ApprovedAt = now.AddDays(-55), ApprovedBy = "B", Latest = true };
context.ScenarioGroups.Add(sgc);
sgd = new ScenarioGroupDetail() { Name = "Double Dip Recession (v1)", StartTime = now.AddDays(-55), EndTime = now.AddDays(-17), CreatedAt = now.AddDays(-80), CreatedBy = "A", ApprovedAt = now.AddDays(-55), ApprovedBy = "B", ModifiedAt = now.AddDays(-80), ModifiedBy = "C", ScenarioGroupParent = sg, Latest = false };
sgc.ScenarioGroupDetails.Add(sgd);
sgd.ScenarioGroupParent = sg;
sgd = new ScenarioGroupDetail() { Name = "Double Dip Recession", StartTime = now.AddDays(-17), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-50), CreatedBy = "A", ApprovedAt = now.AddDays(-17), ApprovedBy = "B", ModifiedAt = now.AddDays(-18), ModifiedBy = "C", ScenarioGroupParent = sg, Latest = true };
sgc.ScenarioGroupDetails.Add(sgd);
sgd.ScenarioGroupParent = sg;
sgc = new ScenarioGroup() { StartTime = now.AddDays(-25), EndTime = DateTime.MaxValue, CreatedAt = now, CreatedBy = "A", ApprovedAt = now.AddDays(-55), ApprovedBy = "B", Latest = true };
context.ScenarioGroups.Add(sgc);
sgd = new ScenarioGroupDetail() { Name = "Euro Breaks Up", StartTime = now.AddDays(-25), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-80), CreatedBy = "A", ModifiedAt = now.AddDays(-18), ModifiedBy = "C", Latest = true };
sgc.ScenarioGroupDetails.Add(sgd);
sgd.ScenarioGroupParent = sg;
sgc = new ScenarioGroup() { StartTime = DateTime.MinValue, EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-80), CreatedBy = "A", Latest = true };
context.ScenarioGroups.Add(sgc);
sgd = new ScenarioGroupDetail() { Name = "Eurozone Crisis", StartTime = DateTime.MinValue, EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-80), CreatedBy = "A", Latest = true };
sgc.ScenarioGroupDetails.Add(sgd);
context.SaveChanges();
}
internal static void AddFamilies(ScenarioGeneratorModel context)
{
DateTime now = context.AsOfDate;
var parent = new CurveFamily() { Name = "LBG", StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now, CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
context.CurveFamilies.Add(parent);
var child = new CurveFamily() { Name = "SWAPS", StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now, CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
child.CurveFamilyParent = parent;
context.CurveFamilies.Add(child);
context.SaveChanges();
}
public void TestSaveNewScenarioGroup()
{
string name = "New Scenario Group";
ScenarioGroup main;
ScenarioGroupDetail detail;
using (var context = new ScenarioGeneratorModel(UserName, Connection))
{
main = new ScenarioGroup();
main.Default(UserName);
context.ScenarioGroups.Add(main);
detail = new ScenarioGroupDetail();
detail.Default(UserName);
detail.Name = name;
main.ScenarioGroupDetails.Add(detail);
context.SaveChanges();
}
using (var context = new ScenarioGeneratorModel(UserName, Connection))
{
context.Database.Log = s => System.Diagnostics.Debug.WriteLine(s);
Assert.AreEqual(1, context.ScenarioGroupDetails.Where(x => x.Name == name).Count());
detail = context.ScenarioGroupDetails.Where(x => x.Name == name).FirstOrDefault();
main = detail.ScenarioGroup;
Assert.AreEqual(name, detail.Name);
Assert.AreEqual(true, detail.Latest);
Assert.AreEqual(DateTime.MinValue, detail.StartTime);
Assert.AreEqual(DateTime.MaxValue, detail.EndTime);
Assert.AreEqual(EntityStatus.Unapproved, detail.Status);
Assert.AreEqual(true, main.Latest);
Assert.AreEqual(DateTime.MinValue, main.StartTime);
Assert.AreEqual(DateTime.MaxValue, main.EndTime);
Assert.AreEqual(DateTime.MaxValue, main.EndTime);
Assert.AreEqual(EntityStatus.Unapproved, main.Status);
}
}
internal static void AddTypeGroups(ScenarioGeneratorModel context)
{
DateTime now = context.AsOfDate;
RiskFactorTypeGroup ftg = new RiskFactorTypeGroup();
ftg.Default(context.UserName);
ftg.Name = "Credit";
context.RiskFactorTypeGroups.Add(ftg);
RiskFactorTypeGroup ftgc = new RiskFactorTypeGroup();
ftgc.Default(context.UserName);
ftgc.Name = "Spread";
ftg.RiskFactorTypeGroupChildren.Add(ftgc);
ftg = new RiskFactorTypeGroup();
ftg.Default(context.UserName);
ftg.Name = "FX";
context.RiskFactorTypeGroups.Add(ftg);
ftgc = new RiskFactorTypeGroup();
ftgc.Default(context.UserName);
ftgc.Name = "Rate";
ftg.RiskFactorTypeGroupChildren.Add(ftgc);
ftgc = new RiskFactorTypeGroup();
ftgc.Default(context.UserName);
ftgc.Name = "Volatility";
ftg.RiskFactorTypeGroupChildren.Add(ftgc);
ftg = new RiskFactorTypeGroup();
ftg.Default(context.UserName);
ftg.Name = "IL";
context.RiskFactorTypeGroups.Add(ftg);
ftgc = new RiskFactorTypeGroup();
ftgc.Default(context.UserName);
ftgc.Name = "Rate";
ftg.RiskFactorTypeGroupChildren.Add(ftgc);
ftgc = new RiskFactorTypeGroup();
ftgc.Default(context.UserName);
ftgc.Name = "Volatility";
ftg.RiskFactorTypeGroupChildren.Add(ftgc);
ftg = new RiskFactorTypeGroup();
ftg.Default(context.UserName);
ftg.Name = "IR";
context.RiskFactorTypeGroups.Add(ftg);
ftgc = new RiskFactorTypeGroup();
ftgc.Default(context.UserName);
ftgc.Name = "Spread";
ftg.RiskFactorTypeGroupChildren.Add(ftgc);
ftgc = new RiskFactorTypeGroup();
ftgc.Default(context.UserName);
ftgc.Name = "Rate";
ftg.RiskFactorTypeGroupChildren.Add(ftgc);
ftgc = new RiskFactorTypeGroup();
ftgc.Default(context.UserName);
ftgc.Name = "Volatility";
ftg.RiskFactorTypeGroupChildren.Add(ftgc);
context.SaveChanges();
}
internal static void AddTypeDimensions(ScenarioGeneratorModel context)
{
RiskFactorTypeDetail rft;
RiskFactorDimensionDetail rfd;
RiskFactorTypeDimension rftd;
rft = context.RiskFactorTypeDetails.Where(d => (d.Name == "FX Rate" && d.Latest==true)).First();
rfd = context.RiskFactorDimensionDetails.Where(d => (d.Name == "Currency" && d.Latest == true)).First();
rftd = new RiskFactorTypeDimension() { RiskFactorDimensionID = rfd.RiskFactorDimensionID, RiskFactorTypeID = rft.RiskFactorTypeID } ;
rftd.Default(context.UserName);
context.RiskFactorTypeDimensions.Add(rftd);
rfd = context.RiskFactorDimensionDetails.Where(d => (d.Name == "Instrument Tenor" && d.Latest == true)).First();
rftd = new RiskFactorTypeDimension() { RiskFactorDimensionID = rfd.RiskFactorDimensionID, RiskFactorTypeID = rft.RiskFactorTypeID };
rftd.Default(context.UserName);
context.RiskFactorTypeDimensions.Add(rftd);
rft = context.RiskFactorTypeDetails.Where(d => (d.Name == "FX Volatility" && d.Latest == true)).First();
rfd = context.RiskFactorDimensionDetails.Where(d => (d.Name == "Currency" && d.Latest == true)).First();
rftd = new RiskFactorTypeDimension() { RiskFactorDimensionID = rfd.RiskFactorDimensionID, RiskFactorTypeID = rft.RiskFactorTypeID };
rftd.Default(context.UserName);
context.RiskFactorTypeDimensions.Add(rftd);
rfd = context.RiskFactorDimensionDetails.Where(d => (d.Name == "Instrument Tenor" && d.Latest == true)).First();
rftd = new RiskFactorTypeDimension() { RiskFactorDimensionID = rfd.RiskFactorDimensionID, RiskFactorTypeID = rft.RiskFactorTypeID };
rftd.Default(context.UserName);
context.RiskFactorTypeDimensions.Add(rftd);
rfd = context.RiskFactorDimensionDetails.Where(d => (d.Name == "Country of Origin" && d.Latest == true)).First();
rftd = new RiskFactorTypeDimension() { RiskFactorDimensionID = rfd.RiskFactorDimensionID, RiskFactorTypeID = rft.RiskFactorTypeID };
rftd.Default(context.UserName);
context.RiskFactorTypeDimensions.Add(rftd);
rft = context.RiskFactorTypeDetails.Where(d => (d.Name == "Credit Asset Swap Spread" && d.Latest == true)).First();
rfd = context.RiskFactorDimensionDetails.Where(d => (d.Name == "Instrument Sector" && d.Latest == true)).First();
rftd = new RiskFactorTypeDimension() { RiskFactorDimensionID = rfd.RiskFactorDimensionID, RiskFactorTypeID = rft.RiskFactorTypeID };
rftd.Default(context.UserName);
context.RiskFactorTypeDimensions.Add(rftd);
rfd = context.RiskFactorDimensionDetails.Where(d => (d.Name == "Obligor Rating" && d.Latest == true)).First();
rftd = new RiskFactorTypeDimension() { RiskFactorDimensionID = rfd.RiskFactorDimensionID, RiskFactorTypeID = rft.RiskFactorTypeID };
rftd.Default(context.UserName);
context.RiskFactorTypeDimensions.Add(rftd);
rft = context.RiskFactorTypeDetails.Where(d => (d.Name == "IR Volatility" && d.Latest == true)).First();
rfd = context.RiskFactorDimensionDetails.Where(d => (d.Name == "Currency" && d.Latest == true)).First();
rftd = new RiskFactorTypeDimension() { RiskFactorDimensionID = rfd.RiskFactorDimensionID, RiskFactorTypeID = rft.RiskFactorTypeID };
rftd.Default(context.UserName);
context.RiskFactorTypeDimensions.Add(rftd);
rfd = context.RiskFactorDimensionDetails.Where(d => (d.Name == "Instrument Tenor" && d.Latest == true)).First();
rftd = new RiskFactorTypeDimension() { RiskFactorDimensionID = rfd.RiskFactorDimensionID, RiskFactorTypeID = rft.RiskFactorTypeID };
rftd.Default(context.UserName);
context.RiskFactorTypeDimensions.Add(rftd);
rfd = context.RiskFactorDimensionDetails.Where(d => (d.Name == "Underlying Tenor" && d.Latest == true)).First();
rftd = new RiskFactorTypeDimension() { RiskFactorDimensionID = rfd.RiskFactorDimensionID, RiskFactorTypeID = rft.RiskFactorTypeID };
rftd.Default(context.UserName);
context.RiskFactorTypeDimensions.Add(rftd);
context.SaveChanges();
}
internal static void AddTypes(ScenarioGeneratorModel context)
{
DateTime now = context.AsOfDate;
RiskFactorType rft;
RiskFactorTypeDetail rftd;
rft = new RiskFactorType() { StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-80), ApprovedBy = "B", Latest = true };
context.RiskFactorTypes.Add(rft);
rftd = new RiskFactorTypeDetail() { Name = "Credit Asset Swap Spread", StartTime = now.AddDays(-20), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-25), CreatedBy = "A", ApprovedAt = now.AddDays(-20), ApprovedBy = "B", Latest = true };
rft.RiskFactorTypeDetails.Add(rftd);
rftd.RiskFactorTypeGroup = context.RiskFactorTypeGroups.Where(x => x.Name == "Spread").Where(x =>x.RiskFactorTypeGroupParent.Name == "Credit").First();
rft = new RiskFactorType() { StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-80), ApprovedBy = "B", Latest = true };
context.RiskFactorTypes.Add(rft);
rftd = new RiskFactorTypeDetail() { Name = "Credit CDS Composites Spread", StartTime = now.AddDays(-20), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-25), CreatedBy = "A", ApprovedAt = now.AddDays(-20), ApprovedBy = "B", Latest = true };
rft.RiskFactorTypeDetails.Add(rftd);
rftd.RiskFactorTypeGroup = context.RiskFactorTypeGroups.Where(x => x.Name == "Spread").Where(x => x.RiskFactorTypeGroupParent.Name == "Credit").First();
rft = new RiskFactorType() { StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-80), ApprovedBy = "B", Latest = true };
context.RiskFactorTypes.Add(rft);
rftd = new RiskFactorTypeDetail() { Name = "Credit CDS Index Spread", StartTime = now.AddDays(-20), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-25), CreatedBy = "A", ApprovedAt = now.AddDays(-20), ApprovedBy = "B", Latest = true };
rft.RiskFactorTypeDetails.Add(rftd);
rftd.RiskFactorTypeGroup = context.RiskFactorTypeGroups.Where(x => x.Name == "Spread").Where(x => x.RiskFactorTypeGroupParent.Name == "Credit").First();
rft = new RiskFactorType() { StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-80), ApprovedBy = "B", Latest = true };
context.RiskFactorTypes.Add(rft);
rftd = new RiskFactorTypeDetail() { Name = "FX Rate", StartTime = DateTime.MinValue, EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-40), CreatedBy = "A", Latest = true };
rft.RiskFactorTypeDetails.Add(rftd);
rftd.RiskFactorTypeGroup = context.RiskFactorTypeGroups.Where(x => x.Name == "Rate").Where(x => x.RiskFactorTypeGroupParent.Name == "FX").First();
rft = new RiskFactorType() { StartTime = now.AddDays(-50), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-50), ApprovedBy = "B", Latest = true };
context.RiskFactorTypes.Add(rft);
rftd = new RiskFactorTypeDetail() { Name = "FX Volatility", StartTime = DateTime.MinValue, EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-40), CreatedBy = "A", Latest = true };
rft.RiskFactorTypeDetails.Add(rftd);
rftd.RiskFactorTypeGroup = context.RiskFactorTypeGroups.Where(x => x.Name == "Volatility").Where(x => x.RiskFactorTypeGroupParent.Name == "FX").First();
rft = new RiskFactorType() { StartTime = DateTime.MinValue, EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-40), CreatedBy = "A", Latest = true };
context.RiskFactorTypes.Add(rft);
rftd = new RiskFactorTypeDetail() { Name = "IL Rate", StartTime = DateTime.MinValue, EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-150), CreatedBy = "A", Latest = true };
rft.RiskFactorTypeDetails.Add(rftd);
rftd.RiskFactorTypeGroup = context.RiskFactorTypeGroups.Where(x => x.Name == "Rate").Where(x => x.RiskFactorTypeGroupParent.Name == "IL").First();
rft = new RiskFactorType() { StartTime = DateTime.MinValue, EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-40), CreatedBy = "A", Latest = true };
context.RiskFactorTypes.Add(rft);
rftd = new RiskFactorTypeDetail() { Name = "IL Volatility", StartTime = DateTime.MinValue, EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-150), CreatedBy = "A", Latest = true };
rft.RiskFactorTypeDetails.Add(rftd);
rftd.RiskFactorTypeGroup = context.RiskFactorTypeGroups.Where(x => x.Name == "Volatility").Where(x => x.RiskFactorTypeGroupParent.Name == "IL").First();
rft = new RiskFactorType() { StartTime = DateTime.MinValue, EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-40), CreatedBy = "A", Latest = true };
context.RiskFactorTypes.Add(rft);
rftd = new RiskFactorTypeDetail() { Name = "IR Volatility", StartTime = DateTime.MinValue, EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-150), CreatedBy = "A", Latest = true };
rft.RiskFactorTypeDetails.Add(rftd);
rftd.RiskFactorTypeGroup = context.RiskFactorTypeGroups.Where(x => x.Name == "Volatility").Where(x => x.RiskFactorTypeGroupParent.Name == "IR").First();
rft = new RiskFactorType() { StartTime = now.AddDays(-80), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = true };
context.RiskFactorTypes.Add(rft);
rftd = new RiskFactorTypeDetail() { Name = "IR LIBOR Spread (v1)", StartTime = now.AddDays(-100), EndTime = now.AddDays(-50), CreatedAt = now.AddDays(-200), CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B", Latest = false };
rft.RiskFactorTypeDetails.Add(rftd);
rftd.RiskFactorTypeGroup = context.RiskFactorTypeGroups.Where(x => x.Name == "Spread").Where(x => x.RiskFactorTypeGroupParent.Name == "IR").First();
rftd = new RiskFactorTypeDetail() { Name = "IR LIBOR Spread (v2)", StartTime = now.AddDays(-50), EndTime = now.AddDays(-10), CreatedAt = now.AddDays(-90), CreatedBy = "A", ApprovedAt = now.AddDays(-50), ApprovedBy = "B", Latest = false };
rft.RiskFactorTypeDetails.Add(rftd);
rftd.RiskFactorTypeGroup = context.RiskFactorTypeGroups.Where(x => x.Name == "Spread").Where(x => x.RiskFactorTypeGroupParent.Name == "IR").First();
rftd = new RiskFactorTypeDetail() { Name = "IR LIBOR Spread (v3)", StartTime = now.AddDays(-10), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-40), CreatedBy = "A", ApprovedAt = now.AddDays(-10), ApprovedBy = "B", Latest = false };
rft.RiskFactorTypeDetails.Add(rftd);
rftd.RiskFactorTypeGroup = context.RiskFactorTypeGroups.Where(x => x.Name == "Rate").Where(x => x.RiskFactorTypeGroupParent.Name == "IR").First();
rftd = new RiskFactorTypeDetail() { Name = "IR LIBOR Spread", StartTime = DateTime.MinValue, EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-30), CreatedBy = "A", Latest = true };
rft.RiskFactorTypeDetails.Add(rftd);
rftd.RiskFactorTypeGroup = context.RiskFactorTypeGroups.Where(x => x.Name == "Spread").Where(x => x.RiskFactorTypeGroupParent.Name == "IR").First();
context.SaveChanges();
}
internal static void AddScenarios(ScenarioGeneratorModel context)
{
DateTime now = context.AsOfDate;
ScenarioGroup sg1 = context.ScenarioGroupDetails.Where(x => x.Name == "Cyprus Contagion").First().ScenarioGroup;
ScenarioGroup sg2 = context.ScenarioGroupDetails.Where(x => x.Name == "Double Dip Recession").First().ScenarioGroup;
ScenarioGroup sg3 = context.ScenarioGroupDetails.Where(x => x.Name == "Eurozone Crisis").First().ScenarioGroup;
RiskFactorType rft1 = context.RiskFactorTypeDetails.Where(x => x.Name == "IR Volatility").First().RiskFactorType;
RiskFactorType rft2 = context.RiskFactorTypeDetails.Where(x => x.Name == "FX Rate").First().RiskFactorType;
RiskFactorType rft3 = context.RiskFactorTypeDetails.Where(x => x.Name == "FX Volatility").First().RiskFactorType;
ScenarioDetail scd;
Scenario sc = new Scenario() { StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now, CreatedBy = "A", ApprovedAt = now.AddDays(-100), ApprovedBy = "B" };
context.Scenarios.Add(sc);
scd = new ScenarioDetail() { Name = "Scenario IR Rate (v1)", StartTime = now.AddDays(-80), EndTime = now.AddDays(-50), CreatedAt = now.AddDays(-120), CreatedBy = "A", ApprovedAt = now.AddDays(-80), ApprovedBy = "B", ModifiedAt = now.AddDays(-110), ModifiedBy = "C", ScenarioGroup = sg1, RiskFactorType = rft2, Latest = false };
sc.ScenarioDetails.Add(scd);
scd = new ScenarioDetail() { Name = "Scenario IR Rate (v2)", StartTime = now.AddDays(-50), EndTime = now.AddDays(-20), CreatedAt = now.AddDays(-75), CreatedBy = "A", ApprovedAt = now.AddDays(-50), ApprovedBy = "B", ModifiedAt = now.AddDays(-60), ModifiedBy = "C", ScenarioGroup = sg1, RiskFactorType = rft2, Latest = false };
sc.ScenarioDetails.Add(scd);
scd = new ScenarioDetail() { Name = "Scenario IR Rate (v3)", StartTime = now.AddDays(-20), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-30), CreatedBy = "A", ApprovedAt = now.AddDays(-20), ApprovedBy = "B", ModifiedAt = now.AddDays(-35), ModifiedBy = "C", ScenarioGroup = sg1, RiskFactorType = rft2, Latest = false };
sc.ScenarioDetails.Add(scd);
scd = new ScenarioDetail() { Name = "Scenario IR Rate", StartTime = DateTime.MinValue, EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-10), CreatedBy = "A", ModifiedAt = now.AddDays(-5), ModifiedBy = "C", ScenarioGroup = sg1, RiskFactorType = rft2, Latest = true };
sc.ScenarioDetails.Add(scd);
Scenario sc2 = new Scenario() { StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now, CreatedBy = "A", ApprovedAt = now.AddDays(-50), ApprovedBy = "B", BaseScenario = sc };
context.Scenarios.Add(sc2);
scd = new ScenarioDetail() { Name = "Scenario IR Volatility (v1)", StartTime = now.AddDays(-50), EndTime = now.AddDays(-25), CreatedAt = now.AddDays(-30), CreatedBy = "A", ApprovedAt = now.AddDays(-50), ApprovedBy = "B", ModifiedAt = now.AddDays(-550), ModifiedBy = "C", ScenarioGroup = sg2, RiskFactorType = rft1, Latest = false };
sc2.ScenarioDetails.Add(scd);
scd = new ScenarioDetail() { Name = "Scenario IR Volatility (v2)", StartTime = now.AddDays(-25), EndTime = now.AddDays(-10), CreatedAt = now.AddDays(-38), CreatedBy = "A", ApprovedAt = now.AddDays(-25), ApprovedBy = "B", ModifiedAt = now.AddDays(-30), ModifiedBy = "C", ScenarioGroup = sg2, RiskFactorType = rft1, Latest = false };
sc2.ScenarioDetails.Add(scd);
scd = new ScenarioDetail() { Name = "Scenario IR Volatility (v3)", StartTime = now.AddDays(-10), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-15), CreatedBy = "A", ApprovedAt = now.AddDays(-10), ApprovedBy = "B", ModifiedAt = now.AddDays(-17), ModifiedBy = "C", ScenarioGroup = sg2, RiskFactorType = rft1, Latest = false };
sc2.ScenarioDetails.Add(scd);
scd = new ScenarioDetail() { Name = "Scenario IR Volatility", StartTime = DateTime.MinValue, EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-5), CreatedBy = "A", ModifiedAt = now.AddDays(-3), ModifiedBy = "C", ScenarioGroup = sg3, RiskFactorType = rft1, Latest = true };
sc2.ScenarioDetails.Add(scd);
Scenario sc3 = new Scenario() { StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-80), CreatedBy = "A", ApprovedAt = now.AddDays(-50), ApprovedBy = "B"};
context.Scenarios.Add(sc3);
scd = new ScenarioDetail() { Name = "IR Bond Swap Spread", StartTime = now.AddDays(-50), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-80), CreatedBy = "A", ApprovedAt = now.AddDays(-50), ApprovedBy = "B", ScenarioGroup = sg3, RiskFactorType = rft1, Latest = true };
sc3.ScenarioDetails.Add(scd);
scd.Scenario = sc3;
Scenario sc4 = new Scenario() { StartTime = now.AddDays(-100), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-80), CreatedBy = "A", ApprovedAt = now.AddDays(-50), ApprovedBy = "B" };
context.Scenarios.Add(sc4);
scd = new ScenarioDetail() { Name = "FX Volatility", StartTime = now.AddDays(-50), EndTime = DateTime.MaxValue, CreatedAt = now.AddDays(-80), CreatedBy = "A", ApprovedAt = now.AddDays(-50), ApprovedBy = "B", ScenarioGroup = sg3, RiskFactorType = rft3, Latest = true };
sc4.ScenarioDetails.Add(scd);
scd.Scenario = sc4;
context.SaveChanges();
}