Clone

Because the Products and Simulators are slightly stateful they need to be copied for use in each thread during a valuation. The Clone method is implemented using serialization and deserialization with Json.NET. This has some consequences for how classes are written and constructed, see below.

Serialize

Any object that might need to be serialized either for cloning or because it will be included in a message to perform a calculation will be serialized with Json.NET and needs to have the following features:

  • The constructor must not rely on any non null inputs, or it must provide an empty private constructor
  • The constructor must not perform in initialization or calculation, only assignment
  • If you have a property that needs to be initialized from other class data then have a backing field and a property that implements the initialization in the getter. Mark both the field and the property with JsonIgnore
  • Dictionaries can only have primitive keys.

Example

        private readonly Date[] _dates;
        private readonly double[] _rates;

        [JsonIgnore] private LinearSpline _spline;
        
        [JsonIgnore]
        private LinearSpline Spline
        {
            get
            {
                if (_spline != null) return _spline;
                _spline = LinearSpline.InterpolateSorted(_dates.Select(d => (double) d.value).ToArray(), _rates);
                return _spline;
            }
        }
Tags: developers