private static AsianSwap GetAsianSwap(this TO_AsianSwap transportObject, ICurrencyProvider currencyProvider, ICalendarProvider calendarProvider) => new AsianSwap
{
TradeId = transportObject.TradeId,
Notional = transportObject.Notional,
Direction = transportObject.Direction,
AverageStartDate = transportObject.AverageStartDate,
AverageEndDate = transportObject.AverageEndDate,
FixingDates = transportObject.FixingDates,
FixingCalendar = calendarProvider.GetCalendarSafe(transportObject.FixingCalendar),
PaymentCalendar = calendarProvider.GetCalendarSafe(transportObject.PaymentCalendar),
SpotLag = new Frequency(transportObject.SpotLag),
SpotLagRollType = transportObject.SpotLagRollType,
PaymentLag = new Frequency(transportObject.PaymentLag),
PaymentLagRollType = transportObject.PaymentLagRollType,
PaymentDate = transportObject.PaymentDate,
PaymentCurrency = currencyProvider.GetCurrencySafe(transportObject.PaymentCurrency),
AssetFixingId = transportObject.AssetFixingId,
AssetId = transportObject.AssetId,
DiscountCurve = transportObject.DiscountCurve,
FxConversionType = transportObject.FxConversionType,
FxFixingDates = transportObject.FxFixingDates,
FxFixingId = transportObject.FxFixingId,
Strike = transportObject.Strike,
Counterparty = transportObject.Counterparty,
HedgingSet = transportObject.HedgingSet,
PortfolioName = transportObject.PortfolioName,
};
public static IPriceCurve GetPriceCurve(this TO_PriceCurve transportObject, ICurrencyProvider currencyProvider, ICalendarProvider calendarProvider)
{
if (transportObject.ConstantPriceCurve != null)
{
return new ConstantPriceCurve(transportObject.ConstantPriceCurve.Price, transportObject.ConstantPriceCurve.BuildDate, currencyProvider)
{
Currency = currencyProvider.GetCurrencySafe(transportObject.ConstantPriceCurve.Currency),
AssetId = transportObject.ConstantPriceCurve.AssetId,
Name = transportObject.ConstantPriceCurve.Name,
}
}
;
if (transportObject.BasicPriceCurve != null)
{
return(new BasicPriceCurve(transportObject.BasicPriceCurve, currencyProvider));
}
if (transportObject.BasisPriceCurve != null)
{
return(new BasisPriceCurve(transportObject.BasisPriceCurve, currencyProvider, calendarProvider));
}
if (transportObject.ContangoPriceCurve != null)
{
return(new ContangoPriceCurve(transportObject.ContangoPriceCurve, currencyProvider));
}
throw new Exception("Unable to build price curve");
}
public ContangoPriceCurve(TO_ContangoPriceCurve transportObject, ICurrencyProvider currencyProvider)
: this(transportObject.BuildDate, transportObject.Spot, transportObject.SpotDate, transportObject.PillarDates, transportObject.Contangos,
currencyProvider, transportObject.Basis, transportObject.PillarLabels)
{
AssetId = transportObject.AssetId;
Name = transportObject.Name;
Currency = currencyProvider.GetCurrencySafe(transportObject.Currency);
}
public RiskyFlySurface(TO_RiskyFlySurface transportObject, ICurrencyProvider currencyProvider)
: this(transportObject.OriginDate, transportObject.ATMs, transportObject.Expiries, transportObject.WingDeltas, transportObject.Riskies,
transportObject.Flies, transportObject.Forwards, transportObject.WingQuoteType, transportObject.AtmVolType, transportObject.StrikeInterpolatorType,
transportObject.TimeInterpolatorType, transportObject.PillarLabels)
{
Currency = currencyProvider.GetCurrencySafe(transportObject.Currency);
AssetId = transportObject.AssetId;
Name = transportObject.Name;
}
public FloatRateIndex(TO_FloatRateIndex transportObject, ICalendarProvider calendarProvider, ICurrencyProvider currencyProvider)
{
DayCountBasis = transportObject.DayCountBasis;
DayCountBasisFixed = transportObject.DayCountBasisFixed;
ResetTenor = new Frequency(transportObject.ResetTenor);
ResetTenorFixed = new Frequency(transportObject.ResetTenorFixed);
HolidayCalendars = calendarProvider.GetCalendarSafe(transportObject.HolidayCalendars);
RollConvention = transportObject.RollConvention;
Currency = currencyProvider.GetCurrencySafe(transportObject.Currency);
FixingOffset = new Frequency(transportObject.FixingOffset);
}
private static Forward GetForward(this TO_Forward transportObject, ICurrencyProvider currencyProvider, ICalendarProvider calendarProvider) => new Forward
{
TradeId = transportObject.TradeId,
Notional = transportObject.Notional,
Direction = transportObject.Direction,
ExpiryDate = transportObject.ExpiryDate,
FixingCalendar = calendarProvider.GetCalendarSafe(transportObject.FixingCalendar),
PaymentCalendar = calendarProvider.GetCalendarSafe(transportObject.PaymentCalendar),
SpotLag = new Frequency(transportObject.SpotLag),
PaymentLag = new Frequency(transportObject.PaymentLag),
Strike = transportObject.Strike,
AssetId = transportObject.AssetId,
PaymentCurrency = currencyProvider.GetCurrencySafe(transportObject.PaymentCurrency),
FxFixingId = transportObject.FxFixingId,
DiscountCurve = transportObject.DiscountCurve,
PaymentDate = transportObject.PaymentDate,
Counterparty = transportObject.Counterparty,
FxConversionType = transportObject.FxConversionType,
HedgingSet = transportObject.HedgingSet,
PortfolioName = transportObject.PortfolioName,
};
public BasisPriceCurve(TO_BasisPriceCurve transportObject, ICurrencyProvider currencyProvider, ICalendarProvider calendarProvider)
{
Instruments = transportObject.Instruments
.Select(x => (IAssetInstrument)InstrumentFactory.GetInstrument(x, currencyProvider, calendarProvider))
.ToList();
Pillars = transportObject.Pillars;
DiscountCurve = new IrCurve(transportObject.DiscountCurve, currencyProvider);
//need to re-link via the active model
Curve = PriceCurveFactory.GetPriceCurve(transportObject.Curve, currencyProvider, calendarProvider);
BaseCurve = PriceCurveFactory.GetPriceCurve(transportObject.BaseCurve, currencyProvider, calendarProvider);
Name = transportObject.Name;
AssetId = transportObject.AssetId;
BuildDate = transportObject.BuildDate;
PillarLabels = transportObject.PillarLabels;
Currency = currencyProvider.GetCurrencySafe(transportObject.Currency);
SpotCalendar = calendarProvider.GetCalendarSafe(transportObject.SpotCalendar);
if (transportObject.SpotLag != null)
{
SpotLag = new Frequency(transportObject.SpotLag);
}
CurveType = transportObject.CurveType;
}
public VolSurfaceKey(string keyAsString, ICurrencyProvider currencyProvider)
: this(keyAsString.Split(MagicChar)[0], keyAsString.Split(MagicChar).Length > 1?currencyProvider.GetCurrencySafe(keyAsString.Split(MagicChar)[1]):null)
{
}
public VolSurfaceKey(TO_VolSurfaceKey transportObject, ICurrencyProvider currencyProvider)
: this(transportObject.AssetId, currencyProvider.GetCurrencySafe(transportObject.Currency))
{
}
