Bug fixes

cetusfinance · Mar 19, 2020 · d4bb112 · d4bb112
1 parent dbc08c6
commit d4bb112
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Showing 25 changed files with 247 additions and 179 deletions.
diff --git a/clients/Qwack.Excel/Capital/CapitalFunctions.cs b/clients/Qwack.Excel/Capital/CapitalFunctions.cs
@@ -21,7 +21,7 @@ public class CapitalFunctions
     {
         private static readonly ILogger _logger = ContainerStores.GlobalContainer.GetService<ILoggerFactory>()?.CreateLogger<CapitalFunctions>();
 
-        [ExcelFunction(Description = "Computes SA-CCR EAD", Category = CategoryNames.Capital, Name = CategoryNames.Capital + "_" + nameof(ComputeEAD), IsThreadSafe = true)]
+        [ExcelFunction(Description = "Computes SA-CCR EAD", Category = CategoryNames.Capital, Name = CategoryNames.Capital + "_" + nameof(ComputeEAD))]
         public static object ComputeEAD(
              [ExcelArgument(Description = "Portfolio object")] string PortfolioName,
              [ExcelArgument(Description = "AssetFx model")] string VanillaModel,
@@ -39,7 +39,7 @@ public class CapitalFunctions
         }
 
 
-        [ExcelFunction(Description = "Computes CVA from an EPE profile", Category = CategoryNames.Capital, Name = CategoryNames.Capital + "_" + nameof(ComputeCVA), IsThreadSafe = true)]
+        [ExcelFunction(Description = "Computes CVA from an EPE profile", Category = CategoryNames.Capital, Name = CategoryNames.Capital + "_" + nameof(ComputeCVA))]
         public static object ComputeCVA(
             [ExcelArgument(Description = "Hazzard curve")] string HazzardCurveName,
             [ExcelArgument(Description = "Origin date")] DateTime OriginDate,
@@ -76,7 +76,7 @@ public class CapitalFunctions
             });
         }
 
-        [ExcelFunction(Description = "Computes approximate CVA for a portfolio", Category = CategoryNames.Capital, Name = CategoryNames.Capital + "_" + nameof(ComputeCVAApprox), IsThreadSafe = true)]
+        [ExcelFunction(Description = "Computes approximate CVA for a portfolio", Category = CategoryNames.Capital, Name = CategoryNames.Capital + "_" + nameof(ComputeCVAApprox))]
         public static object ComputeCVAApprox(
            [ExcelArgument(Description = "Hazzard curve")] string HazzardCurveName,
            [ExcelArgument(Description = "Origin date")] DateTime OriginDate,
@@ -99,7 +99,7 @@ public class CapitalFunctions
             });
         }
 
-        [ExcelFunction(Description = "Solves strike for a target RoC", Category = CategoryNames.Capital, Name = CategoryNames.Capital + "_" + nameof(SolveStrikeForTargetRoC), IsThreadSafe = true)]
+        [ExcelFunction(Description = "Solves strike for a target RoC", Category = CategoryNames.Capital, Name = CategoryNames.Capital + "_" + nameof(SolveStrikeForTargetRoC))]
         public static object SolveStrikeForTargetRoC(
           [ExcelArgument(Description = "Hazzard curve")] string HazzardCurveName,
           [ExcelArgument(Description = "Discount curve")] string DiscountCurve,
@@ -124,7 +124,7 @@ public class CapitalFunctions
             });
         }
 
-        [ExcelFunction(Description = "Computes Basel II CVA risk weighted assets from an EPE profile", Category = CategoryNames.Capital, Name = CategoryNames.Capital + "_" + nameof(ComputeCvaRwaBaselII_IMM), IsThreadSafe = true)]
+        [ExcelFunction(Description = "Computes Basel II CVA risk weighted assets from an EPE profile", Category = CategoryNames.Capital, Name = CategoryNames.Capital + "_" + nameof(ComputeCvaRwaBaselII_IMM))]
         public static object ComputeCvaRwaBaselII_IMM(
             [ExcelArgument(Description = "Origin date")] DateTime OriginDate,
             [ExcelArgument(Description = "EPE profile, cube or array")] object EPEProfile,
@@ -158,7 +158,7 @@ public class CapitalFunctions
         }
 
 
-        [ExcelFunction(Description = "Computes Basel III CVA capital from an EPE profile", Category = CategoryNames.Capital, Name = CategoryNames.Capital + "_" + nameof(ComputeCVACapitalBaselIII), IsThreadSafe = true)]
+        [ExcelFunction(Description = "Computes Basel III CVA capital from an EPE profile", Category = CategoryNames.Capital, Name = CategoryNames.Capital + "_" + nameof(ComputeCVACapitalBaselIII))]
         public static object ComputeCVACapitalBaselIII(
            [ExcelArgument(Description = "Origin date")] DateTime OriginDate,
            [ExcelArgument(Description = "EPE profile, cube or array")] object EPEProfile,

diff --git a/clients/Qwack.Excel/ContainerStores.cs b/clients/Qwack.Excel/ContainerStores.cs
@@ -1,5 +1,7 @@
 using System;
+using System.Collections.Generic;
 using System.IO;
+using System.Linq;
 using System.Reflection;
 using Microsoft.Extensions.DependencyInjection;
 using Microsoft.Extensions.Logging;
@@ -37,24 +39,26 @@ static ContainerStores()
 
                 PnLAttributor = new PnLAttributor();
             }
-            catch(Exception ex)
+            catch (Exception ex)
             {
-                if(Directory.Exists(@"C:\Temp"))
+                if (Directory.Exists(@"C:\Temp"))
                 {
                     File.WriteAllText($@"C:\Temp\QwackInitializationError_{DateTime.Now:yyyyMMdd_HHmmss}.txt", ex.ToString());
                 }
             }
-        }
-        
+        }
+
         public static IServiceProvider GlobalContainer { get; internal set; }
-        public static IServiceProvider SessionContainer { get;set;}
+        public static IServiceProvider SessionContainer { get; set; }
         public static ICurrencyProvider CurrencyProvider => GlobalContainer.GetRequiredService<ICurrencyProvider>();
         public static ICalendarProvider CalendarProvider => GlobalContainer.GetRequiredService<ICalendarProvider>();
         public static IFutureSettingsProvider FuturesProvider => GlobalContainer.GetRequiredService<IFutureSettingsProvider>();
         public static ILogger GetLogger<T>() => GlobalContainer.GetRequiredService<ILoggerFactory>().CreateLogger<T>();
 
-        public static IPnLAttributor PnLAttributor { get; set; } 
+        private static Dictionary<Type, IFlushable> _registeredTypes = new Dictionary<Type, IFlushable>();
 
+        public static IPnLAttributor PnLAttributor { get; set; }
+
         private static string GetFutureSettingsFile() => Path.Combine(GetRunningDirectory(), _futureSettingsFile);
 
         private static string GetRunningDirectory()
@@ -68,8 +72,22 @@ private static string GetRunningDirectory()
         private static string GetCalendarFilename() => Path.Combine(GetRunningDirectory(), _calendarJSONFile);
         private static string GetCurrenciesFilename() => Path.Combine(GetRunningDirectory(), _currenciesFile);
 
-        public static IObjectStore<T> GetObjectCache<T>() => SessionContainer.GetService<IObjectStore<T>>();
+        public static IObjectStore<T> GetObjectCache<T>()
+        {
+            var os = SessionContainer.GetService<IObjectStore<T>>();
+            _registeredTypes[typeof(T)] = os;
+            return os;
+        }
         public static T GetObjectFromCache<T>(string name) => SessionContainer.GetService<IObjectStore<T>>().GetObject(name).Value;
-        public static void PutObjectToCache<T>(string name, T obj) => SessionContainer.GetService<IObjectStore<T>>().PutObject(name, new SessionItem<T> { Name = name, Value = obj, Version = 1 });
+        public static void PutObjectToCache<T>(string name, T obj) => GetObjectCache<T>().PutObject(name, new SessionItem<T> { Name = name, Value = obj, Version = 1 });
+
+        public static void FlushCache<T>() => SessionContainer.GetService<IObjectStore<T>>().Clear();
+        public static void FlushAllCaches()
+        {
+            foreach (var t in _registeredTypes)
+            {
+                t.Value.Clear();
+            }
+        }
     }
 }
diff --git a/clients/Qwack.Excel/Cubes/CubeFunctions.cs b/clients/Qwack.Excel/Cubes/CubeFunctions.cs
@@ -15,7 +15,7 @@ public class CubeFunctions
     {
         private static readonly ILogger _logger = ContainerStores.GlobalContainer.GetService<ILoggerFactory>()?.CreateLogger<CubeFunctions>();
 
-        [ExcelFunction(Description = "Displays a cube object", Category = CategoryNames.Cubes, Name = CategoryNames.Cubes + "_" + nameof(DisplayCube), IsThreadSafe = true)]
+        [ExcelFunction(Description = "Displays a cube object", Category = CategoryNames.Cubes, Name = CategoryNames.Cubes + "_" + nameof(DisplayCube))]
         public static object DisplayCube(
              [ExcelArgument(Description = "Cube name")] string ObjectName,
              [ExcelArgument(Description = "Pad output with whitespace beyond edges of result - defualt false")] object PaddedOutput)
@@ -55,7 +55,7 @@ public class CubeFunctions
             });
         }
 
-        [ExcelFunction(Description = "Displays value of a cube object for given row", Category = CategoryNames.Cubes, Name = CategoryNames.Cubes + "_" + nameof(DisplayCubeValueForRow), IsThreadSafe = true)]
+        [ExcelFunction(Description = "Displays value of a cube object for given row", Category = CategoryNames.Cubes, Name = CategoryNames.Cubes + "_" + nameof(DisplayCubeValueForRow))]
         public static object DisplayCubeValueForRow(
             [ExcelArgument(Description = "Cube name")] string ObjectName,
             [ExcelArgument(Description = "Row index, zero-based")] int RowIndex)
@@ -75,7 +75,7 @@ public class CubeFunctions
             });
         }
 
-        [ExcelFunction(Description = "Creates a cube object", Category = CategoryNames.Cubes, Name = CategoryNames.Cubes + "_" + nameof(CreateCube), IsThreadSafe = true)]
+        [ExcelFunction(Description = "Creates a cube object", Category = CategoryNames.Cubes, Name = CategoryNames.Cubes + "_" + nameof(CreateCube))]
         public static object CreateCube(
              [ExcelArgument(Description = "Cube name")] string ObjectName,
              [ExcelArgument(Description = "Header range")] object[] Headers,
@@ -109,7 +109,7 @@ public class CubeFunctions
             });
         }
 
-        [ExcelFunction(Description = "Creates a new cube object by aggregating another cube object", Category = CategoryNames.Cubes, Name = CategoryNames.Cubes + "_" + nameof(AggregateCube), IsThreadSafe = true)]
+        [ExcelFunction(Description = "Creates a new cube object by aggregating another cube object", Category = CategoryNames.Cubes, Name = CategoryNames.Cubes + "_" + nameof(AggregateCube))]
         public static object AggregateCube(
             [ExcelArgument(Description = "Output cube name")] string OutputObjectName,
             [ExcelArgument(Description = "Input cube name")] string InputObjectName,
@@ -130,7 +130,7 @@ public class CubeFunctions
             });
         }
 
-        [ExcelFunction(Description = "Creates a new cube object by filtering another cube object", Category = CategoryNames.Cubes, Name = CategoryNames.Cubes + "_" + nameof(FilterCube), IsThreadSafe = true)]
+        [ExcelFunction(Description = "Creates a new cube object by filtering another cube object", Category = CategoryNames.Cubes, Name = CategoryNames.Cubes + "_" + nameof(FilterCube))]
         public static object FilterCube(
            [ExcelArgument(Description = "Output cube name")] string OutputObjectName,
            [ExcelArgument(Description = "Input cube name")] string InputObjectName,
@@ -152,7 +152,7 @@ public class CubeFunctions
             });
         }
 
-        [ExcelFunction(Description = "Creates a new cube object by sorting another cube object", Category = CategoryNames.Cubes, Name = CategoryNames.Cubes + "_" + nameof(SortCube), IsThreadSafe = true)]
+        [ExcelFunction(Description = "Creates a new cube object by sorting another cube object", Category = CategoryNames.Cubes, Name = CategoryNames.Cubes + "_" + nameof(SortCube))]
         public static object SortCube(
            [ExcelArgument(Description = "Output cube name")] string OutputObjectName,
            [ExcelArgument(Description = "Input cube name")] string InputObjectName,
@@ -172,7 +172,7 @@ public class CubeFunctions
             });
         }
 
-        [ExcelFunction(Description = "Lists distinct values in a specified field for a given cube", Category = CategoryNames.Cubes, Name = CategoryNames.Cubes + "_" + nameof(FieldValues), IsThreadSafe = true)]
+        [ExcelFunction(Description = "Lists distinct values in a specified field for a given cube", Category = CategoryNames.Cubes, Name = CategoryNames.Cubes + "_" + nameof(FieldValues))]
         public static object FieldValues(
             [ExcelArgument(Description = "Input cube name")] string InputObjectName,
             [ExcelArgument(Description = "Field name")] string FieldName)
@@ -188,7 +188,7 @@ public class CubeFunctions
             });
         }
 
-        [ExcelFunction(Description = "Produces a matrix for two given fields from a given cube", Category = CategoryNames.Cubes, Name = CategoryNames.Cubes + "_" + nameof(CubeToMatrix), IsThreadSafe = true)]
+        [ExcelFunction(Description = "Produces a matrix for two given fields from a given cube", Category = CategoryNames.Cubes, Name = CategoryNames.Cubes + "_" + nameof(CubeToMatrix))]
         public static object CubeToMatrix(
             [ExcelArgument(Description = "Input cube name")] string InputObjectName,
             [ExcelArgument(Description = "Field name vertical")] string FieldNameV,
@@ -206,7 +206,7 @@ public class CubeFunctions
             });
         }
 
-        [ExcelFunction(Description = "Writes contents of cube object to csv", Category = CategoryNames.Cubes, Name = CategoryNames.Cubes + "_" + nameof(CubeToCSV), IsThreadSafe = true)]
+        [ExcelFunction(Description = "Writes contents of cube object to csv", Category = CategoryNames.Cubes, Name = CategoryNames.Cubes + "_" + nameof(CubeToCSV))]
         public static object CubeToCSV(
             [ExcelArgument(Description = "Input cube name")] string InputObjectName,
             [ExcelArgument(Description = "Output filename")] string FileName)
@@ -222,7 +222,7 @@ public class CubeFunctions
             });
         }
 
-        [ExcelFunction(Description = "Reads contents of cube object from csv", Category = CategoryNames.Cubes, Name = CategoryNames.Cubes + "_" + nameof(CubeFromCSV), IsThreadSafe = true)]
+        [ExcelFunction(Description = "Reads contents of cube object from csv", Category = CategoryNames.Cubes, Name = CategoryNames.Cubes + "_" + nameof(CubeFromCSV))]
         public static object CubeFromCSV(
             [ExcelArgument(Description = "Output cube name")] string ObjectName,
             [ExcelArgument(Description = "Input filename")] string FileName)
@@ -234,7 +234,7 @@ public class CubeFunctions
             });
         }
 
-        [ExcelFunction(Description = "Creates a new cube, adding a bucketed time field", Category = CategoryNames.Cubes, Name = CategoryNames.Cubes + "_" + nameof(BucketTimeAxis), IsThreadSafe = true)]
+        [ExcelFunction(Description = "Creates a new cube, adding a bucketed time field", Category = CategoryNames.Cubes, Name = CategoryNames.Cubes + "_" + nameof(BucketTimeAxis))]
         public static object BucketTimeAxis(
             [ExcelArgument(Description = "Output cube name")] string OutputObjectName,
             [ExcelArgument(Description = "Input cube name")] string InputObjectName,