private void AddPricingStructure(PricingStructure ps, PricingStructureValuation psv, NamedValueSet nvs)
{
var triple = new Triplet <PricingStructure, PricingStructureValuation, NamedValueSet>(ps, psv, nvs);
var identifier = nvs.GetValue <string>("UniqueIdentifier");
_curves.Add(identifier, triple);
}
/// <summary>
///
/// </summary>
/// <param name="commodityCurve"></param>
/// <param name="curveId"></param>
/// <returns></returns>
public static Pair <PricingStructure, PricingStructureValuation> CloneCurve(Pair <PricingStructure, PricingStructureValuation> commodityCurve, string curveId)
{
PricingStructure ycCurveCloned = XmlSerializerHelper.Clone(commodityCurve.First);
PricingStructureValuation ycvCurveCloned = XmlSerializerHelper.Clone(commodityCurve.Second);
// assign id to the cloned YieldCurve
//
var yc = (FpML.V5r10.Reporting.FxCurve)ycCurveCloned;
yc.id = curveId;
// nullify the discount factor curve to make sure that bootstrapping will happen)
//
var ycv = (FxCurveValuation)ycvCurveCloned;
return(new Pair <PricingStructure, PricingStructureValuation>(yc, ycv));
}
/// <summary>
/// Initializes a new instance of the <see cref="BootstrapControllerData"/> class.
/// </summary>
/// <param name="yieldCurve">The yield curve.</param>
/// <param name="pricingStructureValuation">The pricing structure valuation.</param>
public BootstrapControllerData(PricingStructure yieldCurve, PricingStructureValuation pricingStructureValuation)
{
PricingStructureData = new Pair <PricingStructure, PricingStructureValuation>(yieldCurve, pricingStructureValuation);
}
public void ProcessRequest(RequestBase baseRequest, HandlerResponse response)
{
if (baseRequest == null)
{
throw new ArgumentNullException(nameof(baseRequest));
}
var request = baseRequest as OrdinaryCurveGenRequest;
if (request == null)
{
throw new InvalidCastException(
$"{typeof(RequestBase).Name} is not a {typeof(OrdinaryCurveGenRequest).Name}");
}
CurveSelection[] curveSelectors = request.CurveSelector ?? new List <CurveSelection>().ToArray();
response.ItemCount = curveSelectors.Length;
DateTime lastStatusPublishedAt = DateTime.Now;
// check for workflow cancellation
if (Cancelled)
{
throw new OperationCanceledException(CancelReason);
}
// iterate selected curves
foreach (CurveSelection curveSelector in curveSelectors)
{
// publish 'intermediate' in-progress result (throttled)
if ((DateTime.Now - lastStatusPublishedAt) > TimeSpan.FromSeconds(5))
{
lastStatusPublishedAt = DateTime.Now;
response.Status = RequestStatusEnum.InProgress;
Context.Cache.SaveObject(response);
}
string nameSpace = curveSelector.NameSpace;
string inputMarketName = curveSelector.MarketName;
string inputCurveName = curveSelector.CurveName;
string inputCurveType = curveSelector.CurveType;
// given a curve definition, this workflow generates:
// - a live base curve using current market data
// load curve definition
Context.Logger.LogDebug("Building ordinary curve: {0}.{1}.{2}", inputMarketName, inputCurveType, inputCurveName);
string curveUniqueId =
$"Configuration.PricingStructures.{inputMarketName}.{inputCurveType}.{inputCurveName}";
//TODO This does not work for MArket=Test_EOD because the market date propeerty
//is not included in the identifier and unique identifier!
ICoreItem marketItem = LoadAndCheckMarketItem(Context.Cache, nameSpace, curveUniqueId);
// check data is not mutated
//AssertNotModified<Market>(marketItem);
// note: we must clone the definition to avoid updating it in the cache!
var market = marketItem.GetData <Market>(true);
//AssertSomeQuotesMissing(((YieldCurveValuation)(cachedMarket.Items1[0])).inputs);
//Market clonedMarket = BinarySerializerHelper.Clone<Market>(cachedMarket);
PricingStructure ps = market.Items[0];
PricingStructureValuation psv = market.Items1[0];
// supply base data and build datetime
psv.baseDate = new IdentifiedDate {
Value = request.BaseDate
};
QuotedAssetSet curveDefinition;
if (psv is YieldCurveValuation curveValuation)
{
curveDefinition = curveValuation.inputs;
}
else
{
if (psv is FxCurveValuation valuation)
{
curveDefinition = valuation.spotRate;
}
else
{
throw new NotSupportedException("Unsupported PricingStructureValuation type: " + psv.GetType().Name);
}
}
//AssertSomeQuotesMissing(curveDefinition);
// default outputs
var curveDefProps = new NamedValueSet(marketItem.AppProps);
var curveType = PropertyHelper.ExtractPricingStructureType(curveDefProps);//.GetValue<string>(CurveProp.PricingStructureType, true));
var curveName = curveDefProps.GetValue <string>(CurveProp.CurveName, true);
string marketDataItemName = String.Format(FunctionProp.QuotedAssetSet.ToString() + ".{0}.{1}.{2}", inputMarketName, curveType, curveName);
curveDefProps.Set("BootStrap", true);
curveDefProps.Set(CurveProp.BaseDate, request.BaseDate);
IPricingStructureIdentifier liveCurveId = PricingStructureIdentifier.CreateMarketCurveIdentifier(curveDefProps, inputMarketName, null, null, null, null);
NamedValueSet liveCurveProps = liveCurveId.Properties;
var liveCurveItemName = liveCurveProps.GetValue <string>(CurveProp.UniqueIdentifier, true);
var liveCurve = new Market(); // empty
try
{
// build a request/response map (indexed by instrument id)
var instrumentMap = new Dictionary <string, Asset>();
foreach (Asset asset in curveDefinition.instrumentSet.Items)
{
instrumentMap[asset.id.ToLower()] = asset;
}
int bavNum = 0;
foreach (BasicAssetValuation quoteInstr in curveDefinition.assetQuote)
{
if (quoteInstr.objectReference?.href == null)
{
throw new ApplicationException($"Missing objectReference in BasicAssetValuation[{bavNum}]");
}
string instrId = quoteInstr.objectReference.href;
if (!instrumentMap.TryGetValue(instrId.ToLower(), out _))
{
throw new ApplicationException($"Cannot find instrument '{instrId}' for assetQuote");
}
bavNum++;
}
// request market data from MDS
QuotedAssetSet marketData;
if (request.UseSavedMarketData)
{
// get saved market data
marketData = Context.Cache.LoadObject <QuotedAssetSet>(nameSpace + "." + marketDataItemName);
if (marketData == null)
{
throw new ApplicationException(
$"Could not load saved market data with name: '{marketDataItemName}'");
}
}
else
{
//throw new NotImplementedException();
using (var mdc = MarketDataFactory.Create(Reference <ILogger> .Create(Context.Logger), Assembly.GetExecutingAssembly(), null))
{
// call MDS
//AssertSomeQuotesMissing(curveDefinition);
Guid mdsRequestId = Guid.NewGuid();
MDSResult <QuotedAssetSet> mdsResponse = mdc.GetMarketQuotes(
MDSProviderId.Bloomberg, null, mdsRequestId, true, null,
curveDefinition);
if (mdsResponse.Error != null)
{
throw mdsResponse.Error;
}
marketData = mdsResponse.Result;
if ((marketData.assetQuote == null) || marketData.assetQuote.Length < 1)
{
throw new ApplicationException($"MDS response contains no quotes! ({mdsRequestId})");
}
// save transient market data for later offline use
if (request.SaveMarketData)
{
var marketDataProps = new NamedValueSet();
marketDataProps.Set(liveCurveProps.Get(EnvironmentProp.NameSpace));//TODO Added to filter on client namespace!
marketDataProps.Set(liveCurveProps.Get(CurveProp.Market));
marketDataProps.Set(liveCurveProps.Get(CurveProp.PricingStructureType));
marketDataProps.Set(liveCurveProps.Get(CurveProp.CurveName));
marketDataProps.Set(liveCurveProps.Get(CurveProp.Currency1));
Context.Cache.SaveObject(marketData, marketDataItemName, marketDataProps, true, TimeSpan.FromDays(7));
}
}
}
// check market data for undefined/invalid quotes
foreach (BasicAssetValuation asset in marketData.assetQuote)
{
if (asset.quote.Any(quote => quote.measureType.Value.Equals("undefined", StringComparison.OrdinalIgnoreCase)))
{
throw new ApplicationException(
$"Market quote undefined/missing for asset '{asset.objectReference.href}'");
}
}
// merge MDS results with stored quotes in the curve definition
curveDefinition.Replace(marketData);//Merge(marketData, true, false, true);
// generate ordinary base curve
if (psv is YieldCurveValuation valuation)
{
valuation.inputs = curveDefinition;
}
else
{
((FxCurveValuation)psv).spotRate = new FxRateSet
{
instrumentSet = curveDefinition.instrumentSet,
assetQuote = curveDefinition.assetQuote
};
}
// hack - if rate basis curve then call new triplet fn, else call old pair fn.
IPricingStructure ips;
switch (curveType)
{
case PricingStructureTypeEnum.RateBasisCurve:
{
// rate basis curves require a reference curve
string refCurveUniqueId =
$"Market.{inputMarketName}.{curveDefProps.GetValue<string>(CurveProp.ReferenceCurveName, true)}";
// load the reference curve
ICoreItem refCurveItem = LoadAndCheckMarketItem(Context.Cache, nameSpace, refCurveUniqueId);
var refCurve = (Market)refCurveItem.Data;
//Format the ref curve data and call the pricing structure helper.
var refCurveFpMLTriplet = new Triplet <PricingStructure, PricingStructureValuation, NamedValueSet>(refCurve.Items[0],
refCurve.Items1[0], refCurveItem.AppProps);
liveCurveProps.Set(CurveProp.ReferenceCurveUniqueId, refCurveUniqueId);
var spreadCurveFpMLTriplet = new Triplet <PricingStructure, PricingStructureValuation, NamedValueSet>(ps, psv, liveCurveProps);
//create and set the pricingstructure
ips = CurveLoader.LoadInterestRateCurve(Context.Logger, Context.Cache, nameSpace, refCurveFpMLTriplet, spreadCurveFpMLTriplet);
//Creator.Create(refCurveFpMLTriplet, spreadCurveFpMLTriplet);
}
break;
case PricingStructureTypeEnum.RateXccyCurve:
{
// rate basis curves require a base curve
string baseCurveUniqueId = String.Format(nameSpace + ".Market.{0}.{1}",
inputMarketName, curveDefProps.GetValue <string>(CurveProp.ReferenceCurveName, true));
// load the reference curve
ICoreItem baseCurveItem = LoadAndCheckMarketItem(Context.Cache, nameSpace, baseCurveUniqueId);
var baseCurve = (Market)baseCurveItem.Data;
// rate basis curves require an fx curve
string fxCurveUniqueId = String.Format(nameSpace + ".Market.{0}.{1}",
inputMarketName, curveDefProps.GetValue <string>(CurveProp.ReferenceFxCurveName, true));
// load the reference curve
ICoreItem fxCurveItem = LoadAndCheckMarketItem(Context.Cache, nameSpace, fxCurveUniqueId);
var fxCurve = (Market)fxCurveItem.Data;
// rate basis curves require a reference curve
string refCurveUniqueId = String.Format(nameSpace + ".Market.{0}.{1}",
inputMarketName, curveDefProps.GetValue <string>(CurveProp.ReferenceCurrency2CurveName, true));
// load the reference curve
ICoreItem refCurveItem = LoadAndCheckMarketItem(Context.Cache, nameSpace, refCurveUniqueId);
var refCurve = (Market)refCurveItem.Data;
//Format the ref curve data and call the pricing structure helper.
var baseCurveFpMLTriplet = new Triplet <PricingStructure, PricingStructureValuation, NamedValueSet>(baseCurve.Items[0],
baseCurve.Items1[0], baseCurveItem.AppProps);
var fxCurveFpMLTriplet = new Triplet <PricingStructure, PricingStructureValuation, NamedValueSet>(fxCurve.Items[0],
fxCurve.Items1[0], fxCurveItem.AppProps);
var refCurveFpMLTriplet = new Triplet <PricingStructure, PricingStructureValuation, NamedValueSet>(refCurve.Items[0],
refCurve.Items1[0], refCurveItem.AppProps);
liveCurveProps.Set(CurveProp.ReferenceCurveUniqueId, baseCurveUniqueId);
liveCurveProps.Set(CurveProp.ReferenceFxCurveUniqueId, fxCurveUniqueId);
liveCurveProps.Set(CurveProp.ReferenceCurrency2CurveId, refCurveUniqueId);
var spreadCurveFpMLTriplet = new Triplet <PricingStructure, PricingStructureValuation, NamedValueSet>(ps, psv, liveCurveProps);
//create and set the pricingstructure
ips = CurveLoader.LoadInterestRateCurve(Context.Logger, Context.Cache, nameSpace, baseCurveFpMLTriplet,
fxCurveFpMLTriplet, refCurveFpMLTriplet, spreadCurveFpMLTriplet);
//Creator.Create(baseCurveFpMLTriplet, fxCurveFpMLTriplet, refCurveFpMLTriplet, spreadCurveFpMLTriplet);
}
break; //TODO Add Volatility types as well
default:
{
ips = CurveLoader.LoadCurve(Context.Logger, Context.Cache,
nameSpace, new Pair <PricingStructure, PricingStructureValuation>(ps, psv),
liveCurveProps);
//Creator.Create(new Pair<PricingStructure, PricingStructureValuation>(ps, psv), liveCurveProps);
}
break;
}
// retrieve curve
liveCurve = PricingStructureHelper.CreateMarketFromFpML(
ips.GetPricingStructureId().UniqueIdentifier,
ips.GetFpMLData());
// curve done
response.IncrementItemsPassed();
}
catch (Exception innerExcp)
{
response.IncrementItemsFailed();
Context.Logger.Log(innerExcp);
liveCurveProps.Set(WFPropName.ExcpName, WFHelper.GetExcpName(innerExcp));
liveCurveProps.Set(WFPropName.ExcpText, WFHelper.GetExcpText(innerExcp));
}
// ================================================================================
// calculate curve lifetimes
// SOD = 8am, EOD = 4:30pm
// live curves
// - publish anytime
// - expires SOD next day
// EOD (today) curves
// - publish for 15 minutes prior to EOD today
// - expires in 7 days
// EOD (dated) - 7 days
// - publish for 15 minutes prior to EOD today
// - expires in 7 days
DateTime dtNow = DateTime.Now;
DateTime dtToday = dtNow.Date;
DateTime dtEODPublishBegin = dtToday.AddHours(16.25); // 4:15pm today
DateTime dtEODPublishUntil = dtToday.AddHours(16.5); // 4:30pm today
DateTime dtSODTomorrow = dtToday.AddHours(24 + 8); // 8am tomorrow
//DateTime dtEODTomorrow = dtToday.AddHours(24 + 16); // 4pm tomorrow
// publish live curve
Context.Cache.SaveObject(liveCurve, nameSpace + "." + liveCurveItemName, liveCurveProps, true, dtSODTomorrow);
// republish as latest EOD curve
if (request.ForceGenerateEODCurves || ((dtNow >= dtEODPublishBegin) && (dtNow <= dtEODPublishUntil)))
{
NamedValueSet itemProps = PricingStructureIdentifier.CreateMarketCurveIdentifier(liveCurveProps, CurveConst.QR_EOD, null, null, null, null).Properties;
var itemName = itemProps.GetValue <string>(CurveProp.UniqueIdentifier, true);
// persistent
Context.Cache.SaveObject(liveCurve, nameSpace + "." + itemName, itemProps, false, TimeSpan.FromDays(7));
}
// republish as dated EOD curve
if (request.ForceGenerateEODCurves || ((dtNow >= dtEODPublishBegin) && (dtNow <= dtEODPublishUntil)))
{
NamedValueSet itemProps = PricingStructureIdentifier.CreateMarketCurveIdentifier(liveCurveProps, CurveConst.QR_EOD, dtToday, null, null, null).Properties;
var itemName = itemProps.GetValue <string>(CurveProp.UniqueIdentifier, true);
// persistent
Context.Cache.SaveObject(liveCurve, nameSpace + "." + itemName, itemProps, false, TimeSpan.FromDays(7));
}
} // foreach curve
// success
response.Status = RequestStatusEnum.Completed;
}
public void ProcessRequest(RequestBase baseRequest, HandlerResponse response)
{
if (baseRequest == null)
{
throw new ArgumentNullException("request");
}
OrdinaryCurveGenRequest request = baseRequest as OrdinaryCurveGenRequest;
if (request == null)
{
throw new InvalidCastException(String.Format("{0} is not a {1}", typeof(RequestBase).Name, typeof(OrdinaryCurveGenRequest).Name));
}
CurveSelection[] curveSelectors = request.CurveSelector ?? new List <CurveSelection>().ToArray();
response.ItemCount = curveSelectors.Length;
DateTime lastStatusPublishedAt = DateTime.Now;
// check for workflow cancellation
if (this.Cancelled)
{
throw new OperationCanceledException(this.CancelReason);
}
// iterate selected curves
foreach (CurveSelection curveSelector in curveSelectors)
{
// publish 'intermediate' in-progress result (throttled)
if ((DateTime.Now - lastStatusPublishedAt) > TimeSpan.FromSeconds(5))
{
lastStatusPublishedAt = DateTime.Now;
response.Status = RequestStatusEnum.InProgress;
_Context.Cache.SaveObject <HandlerResponse>(response);
}
string inputMarketName = curveSelector.MarketName;
string inputCurveName = curveSelector.CurveName;
string inputCurveType = curveSelector.CurveType;
// given a curve definition, this workflow generates:
// - a live base curve using current market data
// load curve definition
_Context.Logger.LogDebug("Building ordinary curve: {0}.{1}.{2}", inputMarketName, inputCurveType, inputCurveName);
string curveUniqueId = string.Format("Orion.Configuration.PricingStructures.{0}.{1}.{2}", inputMarketName, inputCurveType, inputCurveName);
ICoreItem marketItem = LoadAndCheckMarketItem(_Context.Cache, curveUniqueId);
var marketDate = curveSelector.MarketDate;
Market market = marketItem.GetData <Market>(true);
//AssertSomeQuotesMissing(((YieldCurveValuation)(cachedMarket.Items1[0])).inputs);
//Market clonedMarket = BinarySerializerHelper.Clone<Market>(cachedMarket);
PricingStructure ps = market.Items[0];
PricingStructureValuation psv = market.Items1[0];
// supply base data and build datetime
psv.baseDate = new IdentifiedDate {
Value = request.BaseDate
};
QuotedAssetSet curveDefinition;
if (psv is YieldCurveValuation)
{
curveDefinition = ((YieldCurveValuation)psv).inputs;
}
else if (psv is FxCurveValuation)
{
curveDefinition = ((FxCurveValuation)psv).spotRate;
}
else
{
throw new NotSupportedException("Unsupported PricingStructureValuation type: " + psv.GetType().Name);
}
// default outputs
var curveDefProps = new NamedValueSet(marketItem.AppProps);
var curveType = PropertyHelper.ExtractPricingStructureType(curveDefProps);//.GetValue<string>(CurveProp.PricingStructureType, true));
var curveName = curveDefProps.GetValue <string>(CurveProp.CurveName, true);
string marketDataItemName = String.Format("Highlander.MarketData.{0}.{1}.{2}", inputMarketName, curveType, curveName);
curveDefProps.Set("BootStrap", true);
curveDefProps.Set(CurveProp.BaseDate, request.BaseDate);
IPricingStructureIdentifier liveCurveId = PricingStructureIdentifier.CreateMarketCurveIdentifier(curveDefProps, inputMarketName, null, null, null, null);
NamedValueSet liveCurveProps = liveCurveId.Properties;
var liveCurveItemName = liveCurveProps.GetValue <string>(CurveProp.UniqueIdentifier, true);
var liveCurve = new Market(); // empty
// given a curve definition, this workflow generates:
// - a live base curve using current market data
var curveGenProps = new NamedValueSet();
curveGenProps.Set(CurveProp.BaseDate, request.BaseDate);
IPricingStructureIdentifier curveUniqueId =
PricingStructureIdentifier.CreateMarketCurveIdentifier(curveGenProps, inputMarketName, marketDate, inputCurveType, inputCurveName, null);
var baseCurveUniqueId = curveUniqueId.Properties.GetValue <string>(CurveProp.UniqueIdentifier, true);
ICoreItem marketItem = LoadAndCheckMarketItem(_Context.Cache, baseCurveUniqueId);
// load curve definition
_Context.Logger.LogDebug("Copy curve: {0} to {1}", baseCurveUniqueId, inputMarketName);
// default outputs
curveDefProps = new NamedValueSet(marketItem.AppProps);
curveDefProps.Set(CurveProp.MarketAndDate, inputMarketName);
curveDefProps.Set(CurveProp.MarketDate, null);
var curveType = PropertyHelper.ExtractPricingStructureType(curveDefProps);
IPricingStructureIdentifier newCurveUniqueId =
PricingStructureIdentifier.CreateMarketCurveIdentifier(curveGenProps, inputMarketName, null, inputCurveType, inputCurveName, null);
var curveId = newCurveUniqueId.Properties.GetValue <string>(CurveProp.UniqueIdentifier, true);
//var curveName = curveDefProps.GetValue<string>(CurveProp.CurveName, true);
//string marketItemName = String.Format("Highlander.Market.{0}.{1}.{2}", inputMarketName, curveType, curveName);
curveDefProps.Set(CurveProp.UniqueIdentifier, curveId);
_Context.Cache.SaveObject <Market>((Market)marketItem.Data, curveId, curveDefProps, true, TimeSpan.FromDays(50));
// curve done
requestStatus.IncrementItemsPassed();
// publish 'completed' in-progress result
requestStatus.Publish(_Context.Logger, _Context.Cache);
}
// success
requestStatus.Status = RequestStatusEnum.Completed;
// publish 'completed' in-progress result
requestStatus.Publish(_Context.Logger, _Context.Cache);
return(requestStatus);
}
