public void SecurityPricingSimpleContructionTest()
{
Debt s;
SecuritiesPricing price;
try
{
using (var db = new FGABusinessComponent.BusinessComponent.FGAContext("TEST", compiledModel))
{
s = new Debt(ISIN: "PR0000000001", FinancialInstrumentName: "Pricing Security 1", MaturityDate: new DateTime(2013, 1, 1), interestCoupon: new InterestCalculation(new PercentageRate(2.365), new FrequencyCode(1)));
db.Debts.Add(s);
CurrencyAndAmount p = new CurrencyAndAmount(1.25, (CurrencyCode)"EUR");
price = new SecuritiesPricing(p, DateTime.Parse("31/07/2012"), (TypeOfPriceCode)"MARKET");
price.Set(s);
db.SecuritiesPricings.Add(price);
db.SaveChanges();
}
}
catch (Exception e)
{
System.Console.WriteLine(e);
throw e;
}
}
/// <summary>
///
/// </summary>
/// <param name="date"></param>
/// <param name="Holder"></param>
/// <param name="HolderISIN"></param>
/// <param name="HoldAsset"></param>
/// <param name="Quantity"></param>
/// <param name="MarketValue"></param>
/// <param name="BookValue"></param>
/// <param name="FaceAmount"></param>
public AssetHolding(DateTime Date, string ISIN, Asset HoldAsset,
Composite Holder = null,
float?Quantity = null,
CurrencyAndAmount MarketValue = null,
CurrencyAndAmount BookValue = null,
CurrencyAndAmount FaceAmount = null,
PercentageRate Weight = null)
: base(ISIN, Date)
{
// le code ISIN est celui du conteneur (portfolio , index)
if (Holder != null)
{
this.Parent = Holder;
}
// lien sur l actif detenu
this.Asset = HoldAsset;
if (ISIN == null)
{
this.ISINId = HoldAsset.ISINId;
}
this.Quantity = Quantity;
this.FaceAmount = FaceAmount ?? new CurrencyAndAmount();
this.BookValue = BookValue ?? new CurrencyAndAmount();
this.MarketValue = MarketValue ?? new CurrencyAndAmount();
this.Weight = Weight ?? new PercentageRate();
}
public PortfolioValuation(DateTime Date, float?NbParts = null,
Composite Valuated = null, CurrencyAndAmount MarketValue = null,
CurrencyAndAmount BookValue = null, CurrencyAndAmount FaceAmount = null, Yield Yield = null,
DebtDataCalculation DebtDataCalculation = null,
DebtYield DebtYield = null, DebtSpread DebtSpread = null)
: base(Date, Valuated, MarketValue, BookValue, FaceAmount, Yield, DebtDataCalculation, DebtYield, DebtSpread)
{
this.NumberOfParts = NbParts;
}
public IndexValuation(DateTime Date, double?IndexPriceValue = null, double?IndexGrossValue = null, double?IndexNetValue = null, DateTime?BaseDate = null, double?BaseValue = null,
Composite Valuated = null, CurrencyAndAmount MarketValue = null,
CurrencyAndAmount BookValue = null, CurrencyAndAmount FaceAmount = null, Yield Yield = null,
DebtDataCalculation DebtDataCalculation = null,
DebtYield DebtYield = null, DebtSpread DebtSpread = null)
: base(Date, Valuated, MarketValue, BookValue, FaceAmount, Yield, DebtDataCalculation, DebtYield, DebtSpread)
{
this.IndexPriceValue = IndexPriceValue;
this.IndexGrossValue = IndexGrossValue;
this.IndexNetValue = IndexNetValue;
this.IndexBaseDate = BaseDate;
this.IndexBaseValue = BaseValue;
}
public Capital(DateTime?Date = null, double?Unit = null, CurrencyAndAmount Amount = null, CapitalTypeCode Type = null)
{
this.Date = Date;
this.Unit = Unit;
this.Amount = Amount;
if (Type == null)
{
this.Type = CapitalTypeCode.OUTSTANDING;
}
else
{
this.Type = Type;
}
}
public SecuritiesPricing(CurrencyAndAmount Price, DateTime Date, TypeOfPriceCode PriceType)
{
this.Price = Price;
this.PriceType = PriceType ?? (TypeOfPriceCode)"MARKET";
this.Date = Date;
this.DebtPriceCalculation = new DebtPriceCalculation();
this.DebtDataCalculation = new DebtDataCalculation();
this.PriceFactType = new PriceFactType();
this.Yield = new Yield();
this.DebtSpread = new DebtSpread();
this.DebtYield = new DebtYield();
}
/// <summary>
///
/// </summary>
/// <param name="ISINHolder"></param>
/// <param name="HoldAsset"></param>
/// <param name="Quantity"></param>
/// <param name="MarketValue"></param>
/// <param name="BookValue"></param>
/// <param name="FaceAmount"></param>
internal Valuation(DateTime Date, Composite Valuated = null, CurrencyAndAmount MarketValue = null,
CurrencyAndAmount BookValue = null, CurrencyAndAmount FaceAmount = null,
Yield Yield = null,
DebtDataCalculation DebtDataCalculation = null,
DebtYield DebtYield = null, DebtSpread DebtSpread = null)
{
if (Valuated != null)
{
Valuated.Add(this);
this.Valuated = Valuated;
}
this.Date = Date;
this.FaceAmount = FaceAmount ?? new CurrencyAndAmount();
this.BookValue = BookValue ?? new CurrencyAndAmount();
this.MarketValue = MarketValue ?? new CurrencyAndAmount();
this.Yield = Yield ?? new Yield();
this.DebtYield = DebtYield ?? new DebtYield();
this.DebtSpread = DebtSpread ?? new DebtSpread();
this.DebtDataCalculation = DebtDataCalculation ?? new DebtDataCalculation();
}
public SecuritiesPricing(CurrencyAndAmount Price, DateTime Date, TypeOfPriceCode PriceType,
double?AskPrice = null, double?BidPrice = null, double?MidPrice = null,
PriceFactType PriceFactType = null, Yield Yield = null,
DebtPriceCalculation DebtPriceCalculation = null,
DebtDataCalculation DebtDataCalculation = null, DebtYield DebtYield = null, DebtSpread DebtSpread = null)
{
this.Price = Price;
this.PriceType = PriceType ?? (TypeOfPriceCode)"MARKET";
this.Date = Date;
this.AskPrice = AskPrice;
this.BidPrice = BidPrice;
this.MidPrice = MidPrice;
this.PriceFactType = PriceFactType ?? new PriceFactType();
this.Yield = Yield ?? new Yield();
this.DebtPriceCalculation = DebtPriceCalculation ?? new DebtPriceCalculation();
this.DebtDataCalculation = DebtDataCalculation ?? new DebtDataCalculation();
this.DebtSpread = DebtSpread ?? new DebtSpread();
this.DebtYield = DebtYield ?? new DebtYield();
}
public void SecurityPricingCompleteContructionTest()
{
Debt s;
SecuritiesPricing price;
try
{
using (var db = new FGABusinessComponent.BusinessComponent.FGAContext("PREPROD", compiledModel))
{
s = new Debt(ISIN: "PR0000000002", FinancialInstrumentName: "Pricing Security 2", MaturityDate: new DateTime(2013, 1, 1), interestCoupon: new InterestCalculation(new PercentageRate(2.365), new FrequencyCode(1)));
db.Debts.Add(s);
CurrencyAndAmount p = new CurrencyAndAmount(1.25, (CurrencyCode)"EUR");
Yield yield = new Yield(ChangePrice_MTD: 2.1);
PriceFactType priceFact = new PriceFactType(101.2, 100.1, 100.1, 100.3, 100.4, 100.6);
DebtYield dy = new DebtYield(YieldToMaturityRate: 6.2, YieldToWorstRate: 3.5);
DebtSpread ds = new DebtSpread(OptionAdjustedSpread: 3.32);
DebtPriceCalculation debtPriceCalculation = new DebtPriceCalculation(CleanPrice: 100.1,
AccruedInterest: 2.36);
DebtDataCalculation debtDataCalculation = new DebtDataCalculation(MacaulayDuration: 9.5,
ModifiedDuration: 9.6,
TimeToMaturity: 9.3);
price = new SecuritiesPricing(p, DateTime.Parse("31/07/2012"), (TypeOfPriceCode)"MARKET",
100.3, 100.4, 100.35, priceFact, yield, debtPriceCalculation, debtDataCalculation, dy, ds);
price.Set(s);
db.SecuritiesPricings.Add(price);
db.SaveChanges();
}
}
catch (Exception e)
{
System.Console.WriteLine(e);
throw e;
}
}
