public void GettingYieldCurveValuesIsQuick()
{
var snapshotManager = Context.MarketDataSnapshotManager;
using (var dataSnapshotProcessor = snapshotManager.CreateFromViewDefinition(ViewDefinitionName))
{
var beforeCurves = dataSnapshotProcessor.GetYieldCurves();
YieldCurveKey curveKey = beforeCurves.First(k => k.Value != null).Key;
var beforeCurve = beforeCurves[curveKey].Item1.Curve;
var manageableMarketDataSnapshot = dataSnapshotProcessor.Snapshot;
var ycSnapshot = manageableMarketDataSnapshot.YieldCurves[curveKey];
const double f = 1.001;
foreach (var value1 in ycSnapshot.Values.Values)
{
foreach (var valueSnapshot in value1.Value.Values)
{
valueSnapshot.OverrideValue = valueSnapshot.MarketValue * f;
}
}
var afterCurves = dataSnapshotProcessor.GetYieldCurves();
Assert.NotEmpty(afterCurves);
Assert.Empty(beforeCurves.Keys.Except(afterCurves.Keys));
var afterCurve = afterCurves[curveKey].Item1.Curve;
//Curve should change Ys but not x
Assert.Equal(beforeCurve.XData, afterCurve.XData);
var diffs = beforeCurve.YData.Zip(afterCurve.YData, DiffProportion).ToList();
Assert.NotEmpty(diffs.Where(d => d > 0.001).ToList());
foreach (var value1 in ycSnapshot.Values.Values)
{
foreach (var valueSnapshot in value1.Value.Values)
{
valueSnapshot.OverrideValue = null;
}
}
Dictionary <YieldCurveKey, Tuple <YieldCurve, InterpolatedYieldCurveSpecificationWithSecurities, NodalDoublesCurve> > timedCurves = null;
TimeSpan time = Time(() => timedCurves = dataSnapshotProcessor.GetYieldCurves());
Assert.InRange(time, TimeSpan.Zero, TimeSpan.FromSeconds(3)); // TODO faster
Console.Out.WriteLine(time);
var diffs2 = beforeCurves[curveKey].Item1.Curve.YData.Zip(timedCurves[curveKey].Item1.Curve.YData, DiffProportion).ToList();
Assert.Empty(diffs2.Where(d => d > 0.001).ToList());
//TODO check nodal curves
}
}
private Dictionary <YieldCurveKey, Tuple <YieldCurve, InterpolatedYieldCurveSpecificationWithSecurities, NodalDoublesCurve> > GetYieldCurves(IViewCycle cycle, IViewComputationResultModel results)
{
var ret = new Dictionary <YieldCurveKey, Tuple <YieldCurve, InterpolatedYieldCurveSpecificationWithSecurities, NodalDoublesCurve> >();
foreach (var kvp in _specs)
{
YieldCurveKey key = kvp.Key;
Dictionary <string, ValueRequirement> specs = kvp.Value;
var curve = Get <YieldCurve>(specs[ValueRequirementNames.YieldCurve], results);
var spec = Get <InterpolatedYieldCurveSpecificationWithSecurities>(specs[ValueRequirementNames.YieldCurveSpec], results);
var interpolated = Get <NodalDoublesCurve>(specs[ValueRequirementNames.YieldCurveInterpolated], results);
if (curve == null || spec == null || interpolated == null)
{
ret.Add(key, null);
}
else
{
ret.Add(key, new Tuple <YieldCurve, InterpolatedYieldCurveSpecificationWithSecurities, NodalDoublesCurve>(curve, spec, interpolated));
}
}
return(ret);
}
private static UpdateAction <ManageableMarketDataSnapshot> PrepareCurveAddAction(YieldCurveKey key, ManageableYieldCurveSnapshot value)
{
var manageableYieldCurveSnapshot = value.Clone();
return(new UpdateAction <ManageableMarketDataSnapshot>(
delegate(ManageableMarketDataSnapshot snap)
{
snap._yieldCurves.Add(key, manageableYieldCurveSnapshot.Clone());
snap.InvokePropertyChanged(new PropertyChangedEventArgs("YieldCurves"));
}
));
}
private static UpdateAction <ManageableMarketDataSnapshot> PrepareCurveRemoveAction(YieldCurveKey key, ManageableYieldCurveSnapshot value)
{
return(new UpdateAction <ManageableMarketDataSnapshot>(
delegate(ManageableMarketDataSnapshot snap)
{
snap._yieldCurves.Remove(key);
snap.InvokePropertyChanged(new PropertyChangedEventArgs("YieldCurves"));
},
OverriddenYieldCurveDisappearingWarning.Of(key, value)
));
}
public static IEnumerable <Warning> Of(YieldCurveKey key, ManageableYieldCurveSnapshot value)
{
return(value.HaveOverrides() ? new Warning[] { new OverriddenYieldCurveDisappearingWarning(key) } : new Warning[] { });
}
private OverriddenYieldCurveDisappearingWarning(YieldCurveKey key)
: base(string.Format("Yield Curve {0} {1} will not be present in the new snapshot, overrides will be lost", key.Currency, key.Name))
{
}
public static IEnumerable<Warning> Of(YieldCurveKey key, ManageableYieldCurveSnapshot value)
{
return value.HaveOverrides() ? new Warning[] { new OverriddenYieldCurveDisappearingWarning(key) } : new Warning[] { };
}
private OverriddenYieldCurveDisappearingWarning(YieldCurveKey key)
: base(string.Format("Yield Curve {0} {1} will not be present in the new snapshot, overrides will be lost", key.Currency, key.Name))
{
}
