示例#1
0
文件: CurveBS.cs 项目: Juliusz/Test
        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();
        }
示例#2
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 internal static void AddScenarioPointsAndUnits(ScenarioGeneratorModel context)
 {
     AddScenarioPoints1(context);
     AddScenarioPoints2(context);
     AddScenarioPoints3(context);
     context.SaveChanges();
 }
示例#3
0
文件: CurveBS.cs 项目: Juliusz/Test
        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();
        }
示例#4
0
        internal static void AddScenarioLocuses(ScenarioGeneratorModel context)
        {
            AddScenarioLocuses1(context);
            AddScenarioLocuses2(context);
            AddScenarioLocuses3(context);

            context.SaveChanges();
        }
示例#5
0
        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();
        }
示例#6
0
文件: CurveBS.cs 项目: Juliusz/Test
        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();
        }
示例#7
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        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);
            }
        }
示例#8
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        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();
        }
示例#9
0
        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();
        }
示例#10
0
        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();
        }
示例#11
0
        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();
        }