Interesting Bug in the Server
This morning I got an email from one of the Hong Kong users about problems they were having with the theoretical values on OTC options in the server. While I didn't really get the proper picture from his email, the follow-up from a user in London provided the proper illumination to see what the problem was. Basically, when changing the volatility and/or dividends curve(s) for an instrument, the 'Open' greeks would be calculated properly and the 'Last' would not.
I dug into the code and saw that the 'Open' greeks are calculated no matter what, but the 'Last' are calculated only if they aren't in the cached data for that instrument already. This was the key - that the cached data was all wrong because it was generated based on the old curves, and with the new curves, all the cached data needed to be invalidated and recalculated.
Once I knew what I needed to do, it was just a matter of putting the code in-place to allow me to clear out the cache at the instrument level, then the underlying which would clear out all the derivatives' caches, etc. Then I had to put in the code to detect the change in the curves as read in from the editor, and putting it all together was pretty easy.
Once I had the code in-place, it was very easy to test and see that we are indeed getting the right greeks for changes in the curves. Also, I fixed a few issues in the editor so that it would not send the curves back to the server on an edit unless they had been edited by the user. This is going to help in simple efficiency as well as not making the server think things have changed when they haven't.