public void Swap(Swap swap)
{
var from = new Point(swap.From.X, swap.From.Y);
var to = new Point(swap.To.X, swap.To.Y);
_animals[from.X, from.Y] = swap.To; swap.To.MoveTo(from.X, from.Y);
_animals[to.X, to.Y] = swap.From; swap.From.MoveTo(to.X, to.Y);
}
public bool Equals(Swap obj)
{
if (obj == null)
return false;
return (this == obj);
}
public void SwapEnsureCanAssignAcceptSwapStatus()
{
Swap swapping = new Swap();
swapping.AcceptSwap = true;
bool expected = true;
bool actual = swapping.AcceptSwap;
Assert.AreEqual(expected, actual);
}
public void SwapEnsureICanAssignBeerNameAvailable()
{
Swap swapping = new Swap();
swapping.BeerName = "Pale Ale";
string expected = "Pale Ale";
string actual = swapping.BeerName;
Assert.AreEqual(expected, actual);
}
public void SwapEnsureICanAssignBeerNameOffered()
{
Swap swapping = new Swap();
swapping.BeerOffered = "Dos Perros";
string expected = "Dos Perros";
string actual = swapping.BeerOffered;
Assert.AreEqual(expected, actual);
}
public void SwapEnsureICanAssignQtyAvailable()
{
Swap swapping = new Swap();
swapping.QtyOffered = 3;
int expected = 3;
int actual = swapping.QtyOffered;
Assert.AreEqual(expected, actual);
}
public void SwapEnsureICanAssignQtyWanted()
{
Swap swapping = new Swap();
swapping.QtyWanted = 2;
int expected = 2;
int actual = swapping.QtyWanted;
Assert.AreEqual(expected, actual);
}
public Swap CreateSwap(string _specificUser)
{
Swap make_swap = new Swap { OfferUserId = _specificUser };
context.Swaps.Add(make_swap);
context.SaveChanges();
return make_swap;
}
public bool AddSwap(int _beerpostid, Swap haveSwap)
{
var query = from p in context.BeerPostings where p.BeerPostingID == _beerpostid select p;
BeerPosting foundPosting = null;
bool result = true;
try
{
foundPosting = query.Single<BeerPosting>();
foundPosting.Swaps.Add(haveSwap);
context.SaveChanges();
}
catch (InvalidOperationException)
{
result = false;
}
catch(ArgumentNullException)
{
result = false;
}
return result;
}
public void testDecomposition()
{
// Testing collared coupon against its decomposition...
CommonVars vars= new CommonVars();
double tolerance = 1e-10;
double npvVanilla,npvCappedLeg,npvFlooredLeg,npvCollaredLeg,npvCap,npvFloor,npvCollar;
double error;
double floorstrike = 0.05;
double capstrike = 0.10;
InitializedList<double> caps = new InitializedList<double>(vars.length,capstrike);
List<double> caps0 = new List<double>();
InitializedList<double> floors = new InitializedList<double>(vars.length,floorstrike);
List<double> floors0 = new List<double>();
double gearing_p = 0.5;
double spread_p = 0.002;
double gearing_n = -1.5;
double spread_n = 0.12;
// fixed leg with zero rate
List<CashFlow> fixedLeg = vars.makeFixedLeg(vars.startDate,vars.length);
// floating leg with gearing=1 and spread=0
List<CashFlow> floatLeg = vars.makeYoYLeg(vars.startDate,vars.length);
// floating leg with positive gearing (gearing_p) and spread<>0
List<CashFlow> floatLeg_p = vars.makeYoYLeg(vars.startDate,vars.length,gearing_p,spread_p);
// floating leg with negative gearing (gearing_n) and spread<>0
List<CashFlow> floatLeg_n = vars.makeYoYLeg(vars.startDate,vars.length,gearing_n,spread_n);
// Swap with null fixed leg and floating leg with gearing=1 and spread=0
Swap vanillaLeg = new Swap(fixedLeg,floatLeg);
// Swap with null fixed leg and floating leg with positive gearing and spread<>0
Swap vanillaLeg_p = new Swap(fixedLeg,floatLeg_p);
// Swap with null fixed leg and floating leg with negative gearing and spread<>0
Swap vanillaLeg_n = new Swap(fixedLeg,floatLeg_n);
IPricingEngine engine = new DiscountingSwapEngine(vars.nominalTS);
vanillaLeg.setPricingEngine(engine); // here use the autoset feature
vanillaLeg_p.setPricingEngine(engine);
vanillaLeg_n.setPricingEngine(engine);
// CAPPED coupon - Decomposition of payoff
// Payoff = Nom * Min(rate,strike) * accrualperiod =
// = Nom * [rate + Min(0,strike-rate)] * accrualperiod =
// = Nom * rate * accrualperiod - Nom * Max(rate-strike,0) * accrualperiod =
// = VanillaFloatingLeg - Call
//
int whichPricer = 0;
// Case gearing = 1 and spread = 0
List<CashFlow> cappedLeg = vars.makeYoYCapFlooredLeg(whichPricer,vars.startDate,vars.length,
caps,floors0,vars.volatility);
Swap capLeg = new Swap(fixedLeg,cappedLeg);
capLeg.setPricingEngine(engine);
YoYInflationCap cap = new YoYInflationCap(floatLeg, new List<double>(){capstrike});
cap.setPricingEngine(vars.makeEngine(vars.volatility,whichPricer));
npvVanilla = vanillaLeg.NPV();
npvCappedLeg = capLeg.NPV();
npvCap = cap.NPV();
error = Math.Abs(npvCappedLeg - (npvVanilla-npvCap));
if (error>tolerance)
{
Assert.Fail("\nYoY Capped Leg: gearing=1, spread=0%, strike=" + capstrike*100 +
"%\n" +
" Capped Floating Leg NPV: " + npvCappedLeg + "\n" +
" Floating Leg NPV - Cap NPV: " + (npvVanilla - npvCap) + "\n" +
" Diff: " + error );
}
// gearing = 1 and spread = 0
// FLOORED coupon - Decomposition of payoff
// Payoff = Nom * Max(rate,strike) * accrualperiod =
// = Nom * [rate + Max(0,strike-rate)] * accrualperiod =
// = Nom * rate * accrualperiod + Nom * Max(strike-rate,0) * accrualperiod =
// = VanillaFloatingLeg + Put
//
List<CashFlow> flooredLeg = vars.makeYoYCapFlooredLeg(whichPricer,vars.startDate,vars.length,
caps0,floors,vars.volatility);
Swap floorLeg = new Swap(fixedLeg,flooredLeg);
floorLeg.setPricingEngine(engine);
YoYInflationFloor floor= new YoYInflationFloor(floatLeg, new List<double>(){floorstrike});
floor.setPricingEngine(vars.makeEngine(vars.volatility,whichPricer));
npvFlooredLeg = floorLeg.NPV();
npvFloor = floor.NPV();
error = Math.Abs(npvFlooredLeg-(npvVanilla + npvFloor));
if (error>tolerance)
{
Assert.Fail("YoY Floored Leg: gearing=1, spread=0%, strike=" + floorstrike *100 +
"%\n" +
" Floored Floating Leg NPV: " + npvFlooredLeg + "\n" +
" Floating Leg NPV + Floor NPV: " + (npvVanilla + npvFloor) + "\n" +
" Diff: " + error );
}
// gearing = 1 and spread = 0
// COLLARED coupon - Decomposition of payoff
// Payoff = Nom * Min(strikem,Max(rate,strikeM)) * accrualperiod =
// = VanillaFloatingLeg - Collar
//
List<CashFlow> collaredLeg = vars.makeYoYCapFlooredLeg(whichPricer,vars.startDate,vars.length,
caps,floors,vars.volatility);
Swap collarLeg = new Swap(fixedLeg,collaredLeg);
collarLeg.setPricingEngine(engine);
YoYInflationCollar collar = new YoYInflationCollar(floatLeg,
new List<double>(){capstrike},
new List<double>(){floorstrike});
collar.setPricingEngine(vars.makeEngine(vars.volatility,whichPricer));
npvCollaredLeg = collarLeg.NPV();
npvCollar = collar.NPV();
error = Math.Abs(npvCollaredLeg -(npvVanilla - npvCollar));
if (error>tolerance)
{
Assert.Fail("\nYoY Collared Leg: gearing=1, spread=0%, strike=" +
floorstrike*100 + "% and " + capstrike*100 + "%\n" +
" Collared Floating Leg NPV: " + npvCollaredLeg + "\n" +
" Floating Leg NPV - Collar NPV: " + (npvVanilla - npvCollar) + "\n" +
" Diff: " + error );
}
// gearing = a and spread = b
// CAPPED coupon - Decomposition of payoff
// Payoff
// = Nom * Min(a*rate+b,strike) * accrualperiod =
// = Nom * [a*rate+b + Min(0,strike-a*rate-b)] * accrualperiod =
// = Nom * a*rate+b * accrualperiod + Nom * Min(strike-b-a*rate,0) * accrualperiod
// --> If a>0 (assuming positive effective strike):
// Payoff = VanillaFloatingLeg - Call(a*rate+b,strike)
// --> If a<0 (assuming positive effective strike):
// Payoff = VanillaFloatingLeg + Nom * Min(strike-b+|a|*rate+,0) * accrualperiod =
// = VanillaFloatingLeg + Put(|a|*rate+b,strike)
//
// Positive gearing
List<CashFlow> cappedLeg_p = vars.makeYoYCapFlooredLeg(whichPricer,vars.startDate,vars.length,caps,floors0,
vars.volatility,gearing_p,spread_p);
Swap capLeg_p = new Swap(fixedLeg,cappedLeg_p);
capLeg_p.setPricingEngine(engine);
YoYInflationCap cap_p = new YoYInflationCap(floatLeg_p,new List<double>(){capstrike});
cap_p.setPricingEngine(vars.makeEngine(vars.volatility,whichPricer));
npvVanilla = vanillaLeg_p.NPV();
npvCappedLeg = capLeg_p.NPV();
npvCap = cap_p.NPV();
error = Math.Abs(npvCappedLeg - (npvVanilla-npvCap));
if (error>tolerance)
{
Assert.Fail("\nYoY Capped Leg: gearing=" + gearing_p + ", " +
"spread= " + spread_p *100 +
"%, strike=" + capstrike*100 + "%, " +
"effective strike= " + (capstrike-spread_p)/gearing_p*100 +
"%\n" +
" Capped Floating Leg NPV: " + npvCappedLeg + "\n" +
" Vanilla Leg NPV: " + npvVanilla + "\n" +
" Cap NPV: " + npvCap + "\n" +
" Floating Leg NPV - Cap NPV: " + (npvVanilla - npvCap) + "\n" +
" Diff: " + error );
}
// Negative gearing
List<CashFlow> cappedLeg_n = vars.makeYoYCapFlooredLeg(whichPricer,vars.startDate,vars.length,caps,floors0,
vars.volatility,gearing_n,spread_n);
Swap capLeg_n = new Swap(fixedLeg,cappedLeg_n);
capLeg_n.setPricingEngine(engine);
YoYInflationFloor floor_n = new YoYInflationFloor(floatLeg,new List<double>(){(capstrike-spread_n)/gearing_n});
floor_n.setPricingEngine(vars.makeEngine(vars.volatility,whichPricer));
npvVanilla = vanillaLeg_n.NPV();
npvCappedLeg = capLeg_n.NPV();
npvFloor = floor_n.NPV();
error = Math.Abs(npvCappedLeg - (npvVanilla+ gearing_n*npvFloor));
if (error>tolerance)
{
Assert.Fail("\nYoY Capped Leg: gearing=" + gearing_n + ", " +
"spread= " + spread_n *100 +
"%, strike=" + capstrike*100 + "%, " +
"effective strike= " + ((capstrike-spread_n)/gearing_n*100) +
"%\n" +
" Capped Floating Leg NPV: " + npvCappedLeg + "\n" +
" npv Vanilla: " + npvVanilla + "\n" +
" npvFloor: " + npvFloor + "\n" +
" Floating Leg NPV - Cap NPV: " + (npvVanilla + gearing_n*npvFloor) + "\n" +
" Diff: " + error );
}
// gearing = a and spread = b
// FLOORED coupon - Decomposition of payoff
// Payoff
// = Nom * Max(a*rate+b,strike) * accrualperiod =
// = Nom * [a*rate+b + Max(0,strike-a*rate-b)] * accrualperiod =
// = Nom * a*rate+b * accrualperiod + Nom * Max(strike-b-a*rate,0) * accrualperiod
// --> If a>0 (assuming positive effective strike):
// Payoff = VanillaFloatingLeg + Put(a*rate+b,strike)
// --> If a<0 (assuming positive effective strike):
// Payoff = VanillaFloatingLeg + Nom * Max(strike-b+|a|*rate+,0) * accrualperiod =
// = VanillaFloatingLeg - Call(|a|*rate+b,strike)
//
// Positive gearing
List<CashFlow> flooredLeg_p1 = vars.makeYoYCapFlooredLeg(whichPricer,vars.startDate,vars.length,caps0,floors,
vars.volatility,gearing_p,spread_p);
Swap floorLeg_p1 = new Swap(fixedLeg,flooredLeg_p1);
floorLeg_p1.setPricingEngine(engine);
YoYInflationFloor floor_p1 = new YoYInflationFloor(floatLeg_p,new List<double>(){floorstrike});
floor_p1.setPricingEngine(vars.makeEngine(vars.volatility,whichPricer));
npvVanilla = vanillaLeg_p.NPV();
npvFlooredLeg = floorLeg_p1.NPV();
npvFloor = floor_p1.NPV();
error = Math.Abs(npvFlooredLeg - (npvVanilla+npvFloor));
if (error>tolerance)
{
Assert.Fail("\nYoY Floored Leg: gearing=" + gearing_p + ", "
+ "spread= " + spread_p *100+ "%, strike=" + floorstrike *100 + "%, "
+ "effective strike= " + (floorstrike-spread_p)/gearing_p*100
+ "%\n" +
" Floored Floating Leg NPV: " + npvFlooredLeg
+ "\n" +
" Floating Leg NPV + Floor NPV: " + (npvVanilla + npvFloor)
+ "\n" +
" Diff: " + error );
}
// Negative gearing
List<CashFlow> flooredLeg_n = vars.makeYoYCapFlooredLeg(whichPricer,vars.startDate,vars.length,caps0,floors,
vars.volatility,gearing_n,spread_n);
Swap floorLeg_n = new Swap(fixedLeg,flooredLeg_n);
floorLeg_n.setPricingEngine(engine);
YoYInflationCap cap_n = new YoYInflationCap(floatLeg,new List<double>(){(floorstrike-spread_n)/gearing_n});
cap_n.setPricingEngine(vars.makeEngine(vars.volatility,whichPricer));
npvVanilla = vanillaLeg_n.NPV();
npvFlooredLeg = floorLeg_n.NPV();
npvCap = cap_n.NPV();
error = Math.Abs(npvFlooredLeg - (npvVanilla - gearing_n*npvCap));
if (error>tolerance)
{
Assert.Fail("\nYoY Capped Leg: gearing=" + gearing_n + ", " +
"spread= " + spread_n *100 +
"%, strike=" + floorstrike*100 + "%, " +
"effective strike= " + (floorstrike-spread_n)/gearing_n*100 +
"%\n" +
" Capped Floating Leg NPV: " + npvFlooredLeg + "\n" +
" Floating Leg NPV - Cap NPV: " + (npvVanilla - gearing_n*npvCap) + "\n" +
" Diff: " + error );
}
// gearing = a and spread = b
// COLLARED coupon - Decomposition of payoff
// Payoff = Nom * Min(caprate,Max(a*rate+b,floorrate)) * accrualperiod
// --> If a>0 (assuming positive effective strike):
// Payoff = VanillaFloatingLeg - Collar(a*rate+b, floorrate, caprate)
// --> If a<0 (assuming positive effective strike):
// Payoff = VanillaFloatingLeg + Collar(|a|*rate+b, caprate, floorrate)
//
// Positive gearing
List<CashFlow> collaredLeg_p = vars.makeYoYCapFlooredLeg(whichPricer,vars.startDate,vars.length,caps,floors,
vars.volatility,gearing_p,spread_p);
Swap collarLeg_p1 = new Swap(fixedLeg,collaredLeg_p);
collarLeg_p1.setPricingEngine(engine);
YoYInflationCollar collar_p = new YoYInflationCollar(floatLeg_p,
new List<double>(){capstrike},
new List<double>(){floorstrike});
collar_p.setPricingEngine(vars.makeEngine(vars.volatility,whichPricer));
npvVanilla = vanillaLeg_p.NPV();
npvCollaredLeg = collarLeg_p1.NPV();
npvCollar = collar_p.NPV();
error = Math.Abs(npvCollaredLeg - (npvVanilla - npvCollar));
if (error>tolerance)
{
Assert.Fail("\nYoY Collared Leg: gearing=" + gearing_p + ", "
+ "spread= " + spread_p*100 + "%, strike="
+ floorstrike*100 + "% and " + capstrike*100
+ "%, "
+ "effective strike=" + (floorstrike-spread_p)/gearing_p*100
+ "% and " + (capstrike-spread_p)/gearing_p*100
+ "%\n" +
" Collared Floating Leg NPV: " + npvCollaredLeg
+ "\n" +
" Floating Leg NPV - Collar NPV: " + (npvVanilla - npvCollar)
+ "\n" +
" Diff: " + error );
}
// Negative gearing
List<CashFlow> collaredLeg_n = vars.makeYoYCapFlooredLeg(whichPricer,vars.startDate,vars.length,caps,floors,
vars.volatility,gearing_n,spread_n);
Swap collarLeg_n1 = new Swap(fixedLeg,collaredLeg_n);
collarLeg_n1.setPricingEngine(engine);
YoYInflationCollar collar_n = new YoYInflationCollar(floatLeg,
new List<double>(){(floorstrike-spread_n)/gearing_n},
new List<double>(){(capstrike-spread_n)/gearing_n});
collar_n.setPricingEngine(vars.makeEngine(vars.volatility,whichPricer));
npvVanilla = vanillaLeg_n.NPV();
npvCollaredLeg = collarLeg_n1.NPV();
npvCollar = collar_n.NPV();
error = Math.Abs(npvCollaredLeg - (npvVanilla - gearing_n*npvCollar));
if (error>tolerance)
{
Assert.Fail("\nYoY Collared Leg: gearing=" + gearing_n + ", "
+ "spread= " + spread_n*100 + "%, strike="
+ floorstrike*100 + "% and " + capstrike*100
+ "%, "
+ "effective strike=" + (floorstrike-spread_n)/gearing_n*100
+ "% and " + (capstrike-spread_n)/gearing_n*100
+ "%\n" +
" Collared Floating Leg NPV: " + npvCollaredLeg
+ "\n" +
" Floating Leg NPV - Collar NPV: " + (npvVanilla - gearing_n*npvCollar)
+ "\n" +
" Diff: " + error );
}
// remove circular refernce
vars.hy.linkTo(new YoYInflationTermStructure());
}
public bool IsPossibleSwap(Swap swap) => _possibleSwaps.Contains(swap);
public Task <bool> AddSwapAsync(Swap swap) => DataRepository.AddSwapAsync(swap);
public Trade(XmlNode xmlNode)
{
XmlNodeList tradeHeaderNodeList = xmlNode.SelectNodes("tradeHeader");
if (tradeHeaderNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in tradeHeaderNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
tradeHeaderIDRef = item.Attributes["id"].Name;
TradeHeader ob = TradeHeader();
IDManager.SetID(tradeHeaderIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
tradeHeaderIDRef = item.Attributes["href"].Name;
}
else
{
tradeHeader = new TradeHeader(item);
}
}
}
XmlNodeList productNodeList = xmlNode.SelectNodes("product");
if (productNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in productNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
productIDRef = item.Attributes["id"].Name;
Product ob = Product();
IDManager.SetID(productIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
productIDRef = item.Attributes["href"].Name;
}
else
{
product = new Product(item);
}
}
}
XmlNodeList forwardNodeList = xmlNode.SelectNodes("forward");
if (forwardNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in forwardNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
forwardIDRef = item.Attributes["id"].Name;
ForwardSale ob = ForwardSale();
IDManager.SetID(forwardIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
forwardIDRef = item.Attributes["href"].Name;
}
else
{
forward = new ForwardSale(item);
}
}
}
XmlNodeList bondOptionNodeList = xmlNode.SelectNodes("bondOption");
if (bondOptionNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in bondOptionNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
bondOptionIDRef = item.Attributes["id"].Name;
BondOption ob = BondOption();
IDManager.SetID(bondOptionIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
bondOptionIDRef = item.Attributes["href"].Name;
}
else
{
bondOption = new BondOption(item);
}
}
}
XmlNodeList creditDefaultSwapNodeList = xmlNode.SelectNodes("creditDefaultSwap");
if (creditDefaultSwapNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in creditDefaultSwapNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
creditDefaultSwapIDRef = item.Attributes["id"].Name;
CreditDefaultSwap ob = CreditDefaultSwap();
IDManager.SetID(creditDefaultSwapIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
creditDefaultSwapIDRef = item.Attributes["href"].Name;
}
else
{
creditDefaultSwap = new CreditDefaultSwap(item);
}
}
}
XmlNodeList creditDefaultSwapOptionNodeList = xmlNode.SelectNodes("creditDefaultSwapOption");
if (creditDefaultSwapOptionNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in creditDefaultSwapOptionNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
creditDefaultSwapOptionIDRef = item.Attributes["id"].Name;
CreditDefaultSwapOption ob = CreditDefaultSwapOption();
IDManager.SetID(creditDefaultSwapOptionIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
creditDefaultSwapOptionIDRef = item.Attributes["href"].Name;
}
else
{
creditDefaultSwapOption = new CreditDefaultSwapOption(item);
}
}
}
XmlNodeList commodityForwardNodeList = xmlNode.SelectNodes("commodityForward");
if (commodityForwardNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in commodityForwardNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
commodityForwardIDRef = item.Attributes["id"].Name;
CommodityForward ob = CommodityForward();
IDManager.SetID(commodityForwardIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
commodityForwardIDRef = item.Attributes["href"].Name;
}
else
{
commodityForward = new CommodityForward(item);
}
}
}
XmlNodeList commodityOptionNodeList = xmlNode.SelectNodes("commodityOption");
if (commodityOptionNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in commodityOptionNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
commodityOptionIDRef = item.Attributes["id"].Name;
CommodityOption ob = CommodityOption();
IDManager.SetID(commodityOptionIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
commodityOptionIDRef = item.Attributes["href"].Name;
}
else
{
commodityOption = new CommodityOption(item);
}
}
}
XmlNodeList commoditySwapNodeList = xmlNode.SelectNodes("commoditySwap");
if (commoditySwapNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in commoditySwapNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
commoditySwapIDRef = item.Attributes["id"].Name;
CommoditySwap ob = CommoditySwap();
IDManager.SetID(commoditySwapIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
commoditySwapIDRef = item.Attributes["href"].Name;
}
else
{
commoditySwap = new CommoditySwap(item);
}
}
}
XmlNodeList commoditySwaptionNodeList = xmlNode.SelectNodes("commoditySwaption");
if (commoditySwaptionNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in commoditySwaptionNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
commoditySwaptionIDRef = item.Attributes["id"].Name;
CommoditySwaption ob = CommoditySwaption();
IDManager.SetID(commoditySwaptionIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
commoditySwaptionIDRef = item.Attributes["href"].Name;
}
else
{
commoditySwaption = new CommoditySwaption(item);
}
}
}
XmlNodeList correlationSwapNodeList = xmlNode.SelectNodes("correlationSwap");
if (correlationSwapNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in correlationSwapNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
correlationSwapIDRef = item.Attributes["id"].Name;
CorrelationSwap ob = CorrelationSwap();
IDManager.SetID(correlationSwapIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
correlationSwapIDRef = item.Attributes["href"].Name;
}
else
{
correlationSwap = new CorrelationSwap(item);
}
}
}
XmlNodeList dividendSwapOptionTransactionSupplementNodeList = xmlNode.SelectNodes("dividendSwapOptionTransactionSupplement");
if (dividendSwapOptionTransactionSupplementNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in dividendSwapOptionTransactionSupplementNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
dividendSwapOptionTransactionSupplementIDRef = item.Attributes["id"].Name;
DividendSwapOptionTransactionSupplement ob = DividendSwapOptionTransactionSupplement();
IDManager.SetID(dividendSwapOptionTransactionSupplementIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
dividendSwapOptionTransactionSupplementIDRef = item.Attributes["href"].Name;
}
else
{
dividendSwapOptionTransactionSupplement = new DividendSwapOptionTransactionSupplement(item);
}
}
}
XmlNodeList dividendSwapTransactionSupplementNodeList = xmlNode.SelectNodes("dividendSwapTransactionSupplement");
if (dividendSwapTransactionSupplementNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in dividendSwapTransactionSupplementNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
dividendSwapTransactionSupplementIDRef = item.Attributes["id"].Name;
DividendSwapTransactionSupplement ob = DividendSwapTransactionSupplement();
IDManager.SetID(dividendSwapTransactionSupplementIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
dividendSwapTransactionSupplementIDRef = item.Attributes["href"].Name;
}
else
{
dividendSwapTransactionSupplement = new DividendSwapTransactionSupplement(item);
}
}
}
XmlNodeList instrumentTradeDetailsNodeList = xmlNode.SelectNodes("instrumentTradeDetails");
if (instrumentTradeDetailsNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in instrumentTradeDetailsNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
instrumentTradeDetailsIDRef = item.Attributes["id"].Name;
InstrumentTradeDetails ob = InstrumentTradeDetails();
IDManager.SetID(instrumentTradeDetailsIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
instrumentTradeDetailsIDRef = item.Attributes["href"].Name;
}
else
{
instrumentTradeDetails = new InstrumentTradeDetails(item);
}
}
}
XmlNodeList strategyNodeList = xmlNode.SelectNodes("strategy");
if (strategyNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in strategyNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
strategyIDRef = item.Attributes["id"].Name;
Strategy ob = Strategy();
IDManager.SetID(strategyIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
strategyIDRef = item.Attributes["href"].Name;
}
else
{
strategy = new Strategy(item);
}
}
}
XmlNodeList returnSwapNodeList = xmlNode.SelectNodes("returnSwap");
if (returnSwapNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in returnSwapNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
returnSwapIDRef = item.Attributes["id"].Name;
ReturnSwap ob = ReturnSwap();
IDManager.SetID(returnSwapIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
returnSwapIDRef = item.Attributes["href"].Name;
}
else
{
returnSwap = new ReturnSwap(item);
}
}
}
XmlNodeList brokerEquityOptionNodeList = xmlNode.SelectNodes("brokerEquityOption");
if (brokerEquityOptionNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in brokerEquityOptionNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
brokerEquityOptionIDRef = item.Attributes["id"].Name;
BrokerEquityOption ob = BrokerEquityOption();
IDManager.SetID(brokerEquityOptionIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
brokerEquityOptionIDRef = item.Attributes["href"].Name;
}
else
{
brokerEquityOption = new BrokerEquityOption(item);
}
}
}
XmlNodeList equityForwardNodeList = xmlNode.SelectNodes("equityForward");
if (equityForwardNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in equityForwardNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
equityForwardIDRef = item.Attributes["id"].Name;
EquityForward ob = EquityForward();
IDManager.SetID(equityForwardIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
equityForwardIDRef = item.Attributes["href"].Name;
}
else
{
equityForward = new EquityForward(item);
}
}
}
XmlNodeList equityOptionNodeList = xmlNode.SelectNodes("equityOption");
if (equityOptionNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in equityOptionNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
equityOptionIDRef = item.Attributes["id"].Name;
EquityOption ob = EquityOption();
IDManager.SetID(equityOptionIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
equityOptionIDRef = item.Attributes["href"].Name;
}
else
{
equityOption = new EquityOption(item);
}
}
}
XmlNodeList equityOptionTransactionSupplementNodeList = xmlNode.SelectNodes("equityOptionTransactionSupplement");
if (equityOptionTransactionSupplementNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in equityOptionTransactionSupplementNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
equityOptionTransactionSupplementIDRef = item.Attributes["id"].Name;
EquityOptionTransactionSupplement ob = EquityOptionTransactionSupplement();
IDManager.SetID(equityOptionTransactionSupplementIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
equityOptionTransactionSupplementIDRef = item.Attributes["href"].Name;
}
else
{
equityOptionTransactionSupplement = new EquityOptionTransactionSupplement(item);
}
}
}
XmlNodeList fxSingleLegNodeList = xmlNode.SelectNodes("fxSingleLeg");
if (fxSingleLegNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in fxSingleLegNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
fxSingleLegIDRef = item.Attributes["id"].Name;
FxSingleLeg ob = FxSingleLeg();
IDManager.SetID(fxSingleLegIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
fxSingleLegIDRef = item.Attributes["href"].Name;
}
else
{
fxSingleLeg = new FxSingleLeg(item);
}
}
}
XmlNodeList fxSwapNodeList = xmlNode.SelectNodes("fxSwap");
if (fxSwapNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in fxSwapNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
fxSwapIDRef = item.Attributes["id"].Name;
FxSwap ob = FxSwap();
IDManager.SetID(fxSwapIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
fxSwapIDRef = item.Attributes["href"].Name;
}
else
{
fxSwap = new FxSwap(item);
}
}
}
XmlNodeList fxOptionNodeList = xmlNode.SelectNodes("fxOption");
if (fxOptionNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in fxOptionNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
fxOptionIDRef = item.Attributes["id"].Name;
FxOption ob = FxOption();
IDManager.SetID(fxOptionIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
fxOptionIDRef = item.Attributes["href"].Name;
}
else
{
fxOption = new FxOption(item);
}
}
}
XmlNodeList fxDigitalOptionNodeList = xmlNode.SelectNodes("fxDigitalOption");
if (fxDigitalOptionNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in fxDigitalOptionNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
fxDigitalOptionIDRef = item.Attributes["id"].Name;
FxDigitalOption ob = FxDigitalOption();
IDManager.SetID(fxDigitalOptionIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
fxDigitalOptionIDRef = item.Attributes["href"].Name;
}
else
{
fxDigitalOption = new FxDigitalOption(item);
}
}
}
XmlNodeList termDepositNodeList = xmlNode.SelectNodes("termDeposit");
if (termDepositNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in termDepositNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
termDepositIDRef = item.Attributes["id"].Name;
TermDeposit ob = TermDeposit();
IDManager.SetID(termDepositIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
termDepositIDRef = item.Attributes["href"].Name;
}
else
{
termDeposit = new TermDeposit(item);
}
}
}
XmlNodeList genericProductNodeList = xmlNode.SelectNodes("genericProduct");
if (genericProductNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in genericProductNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
genericProductIDRef = item.Attributes["id"].Name;
GenericProduct ob = GenericProduct();
IDManager.SetID(genericProductIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
genericProductIDRef = item.Attributes["href"].Name;
}
else
{
genericProduct = new GenericProduct(item);
}
}
}
XmlNodeList nonSchemaProductNodeList = xmlNode.SelectNodes("nonSchemaProduct");
if (nonSchemaProductNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in nonSchemaProductNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
nonSchemaProductIDRef = item.Attributes["id"].Name;
GenericProduct ob = GenericProduct();
IDManager.SetID(nonSchemaProductIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
nonSchemaProductIDRef = item.Attributes["href"].Name;
}
else
{
nonSchemaProduct = new GenericProduct(item);
}
}
}
XmlNodeList bulletPaymentNodeList = xmlNode.SelectNodes("bulletPayment");
if (bulletPaymentNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in bulletPaymentNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
bulletPaymentIDRef = item.Attributes["id"].Name;
BulletPayment ob = BulletPayment();
IDManager.SetID(bulletPaymentIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
bulletPaymentIDRef = item.Attributes["href"].Name;
}
else
{
bulletPayment = new BulletPayment(item);
}
}
}
XmlNodeList capFloorNodeList = xmlNode.SelectNodes("capFloor");
if (capFloorNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in capFloorNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
capFloorIDRef = item.Attributes["id"].Name;
CapFloor ob = CapFloor();
IDManager.SetID(capFloorIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
capFloorIDRef = item.Attributes["href"].Name;
}
else
{
capFloor = new CapFloor(item);
}
}
}
XmlNodeList fraNodeList = xmlNode.SelectNodes("fra");
if (fraNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in fraNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
fraIDRef = item.Attributes["id"].Name;
Fra ob = Fra();
IDManager.SetID(fraIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
fraIDRef = item.Attributes["href"].Name;
}
else
{
fra = new Fra(item);
}
}
}
XmlNodeList swapNodeList = xmlNode.SelectNodes("swap");
if (swapNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in swapNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
swapIDRef = item.Attributes["id"].Name;
Swap ob = Swap();
IDManager.SetID(swapIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
swapIDRef = item.Attributes["href"].Name;
}
else
{
swap = new Swap(item);
}
}
}
XmlNodeList swaptionNodeList = xmlNode.SelectNodes("swaption");
if (swaptionNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in swaptionNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
swaptionIDRef = item.Attributes["id"].Name;
Swaption ob = Swaption();
IDManager.SetID(swaptionIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
swaptionIDRef = item.Attributes["href"].Name;
}
else
{
swaption = new Swaption(item);
}
}
}
XmlNodeList equitySwapTransactionSupplementNodeList = xmlNode.SelectNodes("equitySwapTransactionSupplement");
if (equitySwapTransactionSupplementNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in equitySwapTransactionSupplementNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
equitySwapTransactionSupplementIDRef = item.Attributes["id"].Name;
EquitySwapTransactionSupplement ob = EquitySwapTransactionSupplement();
IDManager.SetID(equitySwapTransactionSupplementIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
equitySwapTransactionSupplementIDRef = item.Attributes["href"].Name;
}
else
{
equitySwapTransactionSupplement = new EquitySwapTransactionSupplement(item);
}
}
}
XmlNodeList standardProductNodeList = xmlNode.SelectNodes("standardProduct");
if (standardProductNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in standardProductNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
standardProductIDRef = item.Attributes["id"].Name;
StandardProduct ob = StandardProduct();
IDManager.SetID(standardProductIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
standardProductIDRef = item.Attributes["href"].Name;
}
else
{
standardProduct = new StandardProduct(item);
}
}
}
XmlNodeList varianceOptionTransactionSupplementNodeList = xmlNode.SelectNodes("varianceOptionTransactionSupplement");
if (varianceOptionTransactionSupplementNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in varianceOptionTransactionSupplementNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
varianceOptionTransactionSupplementIDRef = item.Attributes["id"].Name;
VarianceOptionTransactionSupplement ob = VarianceOptionTransactionSupplement();
IDManager.SetID(varianceOptionTransactionSupplementIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
varianceOptionTransactionSupplementIDRef = item.Attributes["href"].Name;
}
else
{
varianceOptionTransactionSupplement = new VarianceOptionTransactionSupplement(item);
}
}
}
XmlNodeList varianceSwapNodeList = xmlNode.SelectNodes("varianceSwap");
if (varianceSwapNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in varianceSwapNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
varianceSwapIDRef = item.Attributes["id"].Name;
VarianceSwap ob = VarianceSwap();
IDManager.SetID(varianceSwapIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
varianceSwapIDRef = item.Attributes["href"].Name;
}
else
{
varianceSwap = new VarianceSwap(item);
}
}
}
XmlNodeList varianceSwapTransactionSupplementNodeList = xmlNode.SelectNodes("varianceSwapTransactionSupplement");
if (varianceSwapTransactionSupplementNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in varianceSwapTransactionSupplementNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
varianceSwapTransactionSupplementIDRef = item.Attributes["id"].Name;
VarianceSwapTransactionSupplement ob = VarianceSwapTransactionSupplement();
IDManager.SetID(varianceSwapTransactionSupplementIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
varianceSwapTransactionSupplementIDRef = item.Attributes["href"].Name;
}
else
{
varianceSwapTransactionSupplement = new VarianceSwapTransactionSupplement(item);
}
}
}
XmlNodeList otherPartyPaymentNodeList = xmlNode.SelectNodes("otherPartyPayment");
foreach (XmlNode item in otherPartyPaymentNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
otherPartyPaymentIDRef = item.Attributes["id"].Name;
List<Payment> ob = new List<Payment>();
ob.Add(new Payment(item));
IDManager.SetID(otherPartyPaymentIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
otherPartyPaymentIDRef = item.Attributes["href"].Name;
}
else
{
otherPartyPayment.Add(new Payment(item));
}
}
}
XmlNodeList brokerPartyReferenceNodeList = xmlNode.SelectNodes("brokerPartyReference");
foreach (XmlNode item in brokerPartyReferenceNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
brokerPartyReferenceIDRef = item.Attributes["id"].Name;
List<PartyReference> ob = new List<PartyReference>();
ob.Add(new PartyReference(item));
IDManager.SetID(brokerPartyReferenceIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
brokerPartyReferenceIDRef = item.Attributes["href"].Name;
}
else
{
brokerPartyReference.Add(new PartyReference(item));
}
}
}
XmlNodeList calculationAgentNodeList = xmlNode.SelectNodes("calculationAgent");
if (calculationAgentNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in calculationAgentNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
calculationAgentIDRef = item.Attributes["id"].Name;
CalculationAgent ob = CalculationAgent();
IDManager.SetID(calculationAgentIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
calculationAgentIDRef = item.Attributes["href"].Name;
}
else
{
calculationAgent = new CalculationAgent(item);
}
}
}
XmlNodeList calculationAgentBusinessCenterNodeList = xmlNode.SelectNodes("calculationAgentBusinessCenter");
if (calculationAgentBusinessCenterNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in calculationAgentBusinessCenterNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
calculationAgentBusinessCenterIDRef = item.Attributes["id"].Name;
BusinessCenter ob = BusinessCenter();
IDManager.SetID(calculationAgentBusinessCenterIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
calculationAgentBusinessCenterIDRef = item.Attributes["href"].Name;
}
else
{
calculationAgentBusinessCenter = new BusinessCenter(item);
}
}
}
XmlNodeList determiningPartyNodeList = xmlNode.SelectNodes("determiningParty");
foreach (XmlNode item in determiningPartyNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
determiningPartyIDRef = item.Attributes["id"].Name;
List<PartyReference> ob = new List<PartyReference>();
ob.Add(new PartyReference(item));
IDManager.SetID(determiningPartyIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
determiningPartyIDRef = item.Attributes["href"].Name;
}
else
{
determiningParty.Add(new PartyReference(item));
}
}
}
XmlNodeList hedgingPartyNodeList = xmlNode.SelectNodes("hedgingParty");
foreach (XmlNode item in hedgingPartyNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
hedgingPartyIDRef = item.Attributes["id"].Name;
List<PartyReference> ob = new List<PartyReference>();
ob.Add(new PartyReference(item));
IDManager.SetID(hedgingPartyIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
hedgingPartyIDRef = item.Attributes["href"].Name;
}
else
{
hedgingParty.Add(new PartyReference(item));
}
}
}
XmlNodeList collateralNodeList = xmlNode.SelectNodes("collateral");
if (collateralNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in collateralNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
collateralIDRef = item.Attributes["id"].Name;
Collateral ob = Collateral();
IDManager.SetID(collateralIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
collateralIDRef = item.Attributes["href"].Name;
}
else
{
collateral = new Collateral(item);
}
}
}
XmlNodeList documentationNodeList = xmlNode.SelectNodes("documentation");
if (documentationNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in documentationNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
documentationIDRef = item.Attributes["id"].Name;
Documentation ob = Documentation();
IDManager.SetID(documentationIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
documentationIDRef = item.Attributes["href"].Name;
}
else
{
documentation = new Documentation(item);
}
}
}
XmlNodeList governingLawNodeList = xmlNode.SelectNodes("governingLaw");
if (governingLawNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in governingLawNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
governingLawIDRef = item.Attributes["id"].Name;
GoverningLaw ob = GoverningLaw();
IDManager.SetID(governingLawIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
governingLawIDRef = item.Attributes["href"].Name;
}
else
{
governingLaw = new GoverningLaw(item);
}
}
}
XmlNodeList allocationsNodeList = xmlNode.SelectNodes("allocations");
if (allocationsNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in allocationsNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
allocationsIDRef = item.Attributes["id"].Name;
Allocations ob = Allocations();
IDManager.SetID(allocationsIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
allocationsIDRef = item.Attributes["href"].Name;
}
else
{
allocations = new Allocations(item);
}
}
}
}
void Start()
{
_endBox = GameObject.Find("EndBox");
_endBox.SetActive(false);
_blockCount = 0;
_blockMemoryInt = -1;
_level.Level = _level.GetLevelSelected();
_level.Section = _level.GetSectionSelected();
_textures = _level.GetLevelBlocks();
_size = _level.GetLevelDimensions();
_swap = SwapFactory.CreateSwap(_level.GetLevelDimensions(), SpriteArray, CreateGrid());
var titleFieldText = GameObject.Find("Title").GetComponent<Text>();
titleFieldText.text = _level.GetTitle();
_movesLeftText = GameObject.Find("Moves").GetComponent<Text>();
_movesLeftText.text = _level.GetMoves().ToString();
_movesCountInt = _level.GetMoves();
_movesLeftFontSize = _movesLeftText.fontSize;
_fontSizeTemp = _movesLeftFontSize;
_levelEndCompletitionText = _endBox.transform.FindChild("Finished").GetComponent<Text>();
_medal = _endBox.transform.FindChild("MedalImage").GetComponent<Image>();
_medalText = _endBox.transform.FindChild("MedalName").GetComponent<Text>();
_timeBar = GameObject.Find("Progress").GetComponent<TimeBar>();
_timeBar.TotalTime = _level.GetTime();
}
private bool IsAccept(Swap swap, Swap receivedSwap)
{
return(swap.IsStatusSet(receivedSwap.Status, SwapStatus.Accepted));
}
public abstract Task StartPartyPaymentControlAsync(
Swap swap,
CancellationToken cancellationToken = default);
public Swaption(XmlNode xmlNode)
: base(xmlNode)
{
XmlNodeList buyerPartyReferenceNodeList = xmlNode.SelectNodes("buyerPartyReference");
if (buyerPartyReferenceNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in buyerPartyReferenceNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
buyerPartyReferenceIDRef = item.Attributes["id"].Name;
PartyReference ob = PartyReference();
IDManager.SetID(buyerPartyReferenceIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
buyerPartyReferenceIDRef = item.Attributes["href"].Name;
}
else
{
buyerPartyReference = new PartyReference(item);
}
}
}
XmlNodeList buyerAccountReferenceNodeList = xmlNode.SelectNodes("buyerAccountReference");
if (buyerAccountReferenceNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in buyerAccountReferenceNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
buyerAccountReferenceIDRef = item.Attributes["id"].Name;
AccountReference ob = AccountReference();
IDManager.SetID(buyerAccountReferenceIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
buyerAccountReferenceIDRef = item.Attributes["href"].Name;
}
else
{
buyerAccountReference = new AccountReference(item);
}
}
}
XmlNodeList sellerPartyReferenceNodeList = xmlNode.SelectNodes("sellerPartyReference");
if (sellerPartyReferenceNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in sellerPartyReferenceNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
sellerPartyReferenceIDRef = item.Attributes["id"].Name;
PartyReference ob = PartyReference();
IDManager.SetID(sellerPartyReferenceIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
sellerPartyReferenceIDRef = item.Attributes["href"].Name;
}
else
{
sellerPartyReference = new PartyReference(item);
}
}
}
XmlNodeList sellerAccountReferenceNodeList = xmlNode.SelectNodes("sellerAccountReference");
if (sellerAccountReferenceNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in sellerAccountReferenceNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
sellerAccountReferenceIDRef = item.Attributes["id"].Name;
AccountReference ob = AccountReference();
IDManager.SetID(sellerAccountReferenceIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
sellerAccountReferenceIDRef = item.Attributes["href"].Name;
}
else
{
sellerAccountReference = new AccountReference(item);
}
}
}
XmlNodeList premiumNodeList = xmlNode.SelectNodes("premium");
foreach (XmlNode item in premiumNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
premiumIDRef = item.Attributes["id"].Name;
List<Payment> ob = new List<Payment>();
ob.Add(new Payment(item));
IDManager.SetID(premiumIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
premiumIDRef = item.Attributes["href"].Name;
}
else
{
premium.Add(new Payment(item));
}
}
}
XmlNodeList exerciseNodeList = xmlNode.SelectNodes("exercise");
if (exerciseNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in exerciseNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
exerciseIDRef = item.Attributes["id"].Name;
Exercise ob = Exercise();
IDManager.SetID(exerciseIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
exerciseIDRef = item.Attributes["href"].Name;
}
else
{
exercise = new Exercise(item);
}
}
}
XmlNodeList americanExerciseNodeList = xmlNode.SelectNodes("americanExercise");
if (americanExerciseNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in americanExerciseNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
americanExerciseIDRef = item.Attributes["id"].Name;
AmericanExercise ob = AmericanExercise();
IDManager.SetID(americanExerciseIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
americanExerciseIDRef = item.Attributes["href"].Name;
}
else
{
americanExercise = new AmericanExercise(item);
}
}
}
XmlNodeList bermudaExerciseNodeList = xmlNode.SelectNodes("bermudaExercise");
if (bermudaExerciseNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in bermudaExerciseNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
bermudaExerciseIDRef = item.Attributes["id"].Name;
BermudaExercise ob = BermudaExercise();
IDManager.SetID(bermudaExerciseIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
bermudaExerciseIDRef = item.Attributes["href"].Name;
}
else
{
bermudaExercise = new BermudaExercise(item);
}
}
}
XmlNodeList europeanExerciseNodeList = xmlNode.SelectNodes("europeanExercise");
if (europeanExerciseNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in europeanExerciseNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
europeanExerciseIDRef = item.Attributes["id"].Name;
EuropeanExercise ob = EuropeanExercise();
IDManager.SetID(europeanExerciseIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
europeanExerciseIDRef = item.Attributes["href"].Name;
}
else
{
europeanExercise = new EuropeanExercise(item);
}
}
}
XmlNodeList exerciseProcedureNodeList = xmlNode.SelectNodes("exerciseProcedure");
if (exerciseProcedureNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in exerciseProcedureNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
exerciseProcedureIDRef = item.Attributes["id"].Name;
ExerciseProcedure ob = ExerciseProcedure();
IDManager.SetID(exerciseProcedureIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
exerciseProcedureIDRef = item.Attributes["href"].Name;
}
else
{
exerciseProcedure = new ExerciseProcedure(item);
}
}
}
XmlNodeList calculationAgentNodeList = xmlNode.SelectNodes("calculationAgent");
if (calculationAgentNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in calculationAgentNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
calculationAgentIDRef = item.Attributes["id"].Name;
CalculationAgent ob = CalculationAgent();
IDManager.SetID(calculationAgentIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
calculationAgentIDRef = item.Attributes["href"].Name;
}
else
{
calculationAgent = new CalculationAgent(item);
}
}
}
XmlNodeList cashSettlementNodeList = xmlNode.SelectNodes("cashSettlement");
if (cashSettlementNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in cashSettlementNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
cashSettlementIDRef = item.Attributes["id"].Name;
CashSettlement ob = CashSettlement();
IDManager.SetID(cashSettlementIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
cashSettlementIDRef = item.Attributes["href"].Name;
}
else
{
cashSettlement = new CashSettlement(item);
}
}
}
XmlNodeList physicalSettlementNodeList = xmlNode.SelectNodes("physicalSettlement");
if (physicalSettlementNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in physicalSettlementNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
physicalSettlementIDRef = item.Attributes["id"].Name;
SwaptionPhysicalSettlement ob = SwaptionPhysicalSettlement();
IDManager.SetID(physicalSettlementIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
physicalSettlementIDRef = item.Attributes["href"].Name;
}
else
{
physicalSettlement = new SwaptionPhysicalSettlement(item);
}
}
}
XmlNodeList swaptionStraddleNodeList = xmlNode.SelectNodes("swaptionStraddle");
if (swaptionStraddleNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in swaptionStraddleNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
swaptionStraddleIDRef = item.Attributes["id"].Name;
XsdTypeBoolean ob = XsdTypeBoolean();
IDManager.SetID(swaptionStraddleIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
swaptionStraddleIDRef = item.Attributes["href"].Name;
}
else
{
swaptionStraddle = new XsdTypeBoolean(item);
}
}
}
XmlNodeList swaptionAdjustedDatesNodeList = xmlNode.SelectNodes("swaptionAdjustedDates");
if (swaptionAdjustedDatesNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in swaptionAdjustedDatesNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
swaptionAdjustedDatesIDRef = item.Attributes["id"].Name;
SwaptionAdjustedDates ob = SwaptionAdjustedDates();
IDManager.SetID(swaptionAdjustedDatesIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
swaptionAdjustedDatesIDRef = item.Attributes["href"].Name;
}
else
{
swaptionAdjustedDates = new SwaptionAdjustedDates(item);
}
}
}
XmlNodeList swapNodeList = xmlNode.SelectNodes("swap");
if (swapNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in swapNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
swapIDRef = item.Attributes["id"].Name;
Swap ob = Swap();
IDManager.SetID(swapIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
swapIDRef = item.Attributes["href"].Name;
}
else
{
swap = new Swap(item);
}
}
}
}
protected Task UpdateSwapAsync(
Swap swap,
SwapStateFlags changedFlag,
CancellationToken cancellationToken = default) =>
SwapUpdated?.Invoke(this, new SwapEventArgs(swap, changedFlag), cancellationToken);
protected abstract Task RefundTimeReachedHandler(
Swap swap,
CancellationToken cancellationToken = default);
private void RaiseSwapUpdated(Swap swap, SwapStateFlags changedFlag)
{
SwapUpdatedHandler(this, new SwapEventArgs(swap, changedFlag));
}
private async Task RestoreSwapAsync(
Swap swap,
CancellationToken cancellationToken = default)
{
if (swap.StateFlags.HasFlag(SwapStateFlags.IsPaymentBroadcast))
{
bool confirmed = true;
if (!swap.StateFlags.HasFlag(SwapStateFlags.IsPaymentConfirmed) &&
DateTime.UtcNow > swap.TimeStamp.ToUniversalTime() + DefaultMaxPaymentTimeout)
{
var result = await swap.PaymentTx
.IsTransactionConfirmed(
cancellationToken : cancellationToken)
.ConfigureAwait(false);
if (result.HasError || !result.Value.IsConfirmed)
{
confirmed = false;
Log.Debug("Swap {@id} canceled in RestoreSwapAsync. Timeout reached.", swap.Id);
swap.Cancel();
RaiseSwapUpdated(swap, SwapStateFlags.IsCanceled);
}
}
if (confirmed)
{
await GetCurrencySwap(swap.SoldCurrency)
.StartWaitForRedeemAsync(swap, cancellationToken)
.ConfigureAwait(false);
if (swap.IsInitiator)
{
// check acceptor payment confirmation
await GetCurrencySwap(swap.PurchasedCurrency)
.StartPartyPaymentControlAsync(swap, cancellationToken)
.ConfigureAwait(false);
}
}
}
else
{
if (DateTime.UtcNow < swap.TimeStamp.ToUniversalTime() + DefaultMaxSwapTimeout)
{
if (swap.IsInitiator)
{
// todo: reinitiate swap
}
else
{
// todo: reaccept swap
}
}
else
{
swap.Cancel();
RaiseSwapUpdated(swap, SwapStateFlags.IsCanceled);
}
}
}
private async Task HandleInitiateAsync(Swap swap, Swap receivedSwap)
{
if (DateTime.UtcNow > swap.TimeStamp.ToUniversalTime() + DefaultCredentialsExchangeTimeout)
{
Log.Error("Handle initiate after swap {@swap} timeout", swap.Id);
swap.Cancel();
RaiseSwapUpdated(swap, SwapStateFlags.IsCanceled);
return;
}
if (swap.SecretHash != null)
{
if (!swap.SecretHash.SequenceEqual(receivedSwap.SecretHash))
{
throw new InternalException(
code: Errors.InvalidSecretHash,
description: $"Secret hash does not match the one already received for swap {swap.Id}");
}
return;
}
if (receivedSwap.SecretHash == null || receivedSwap.SecretHash.Length != CurrencySwap.DefaultSecretHashSize)
{
throw new InternalException(
code: Errors.InvalidSecretHash,
description: $"Incorrect secret hash length for swap {swap.Id}");
}
Log.Debug("Secret hash {@hash} successfully received", receivedSwap.SecretHash.ToHexString());
swap.SecretHash = receivedSwap.SecretHash;
RaiseSwapUpdated(swap, SwapStateFlags.HasSecretHash);
// check party requisites
if (receivedSwap.PartyAddress == null)
{
throw new InternalException(
code: Errors.InvalidWallets,
description: $"Incorrect party address for swap {swap.Id}");
}
//if (IsCriminal(clientSwap.PartyAddress))
// throw new InternalException(
// code: Errors.IsCriminalWallet,
// description: $"Party wallet is criminal for swap {swap.Id}");
if (receivedSwap.RewardForRedeem < 0)
{
throw new InternalException(
code: Errors.InvalidRewardForRedeem,
description: $"Incorrect reward for redeem for swap {swap.Id}");
}
swap.PartyAddress = receivedSwap.PartyAddress;
swap.PartyRewardForRedeem = receivedSwap.PartyRewardForRedeem;
// create self requisites
var walletToAddress = (await _account
.GetRedeemAddressAsync(swap.PurchasedCurrency)
.ConfigureAwait(false));
swap.ToAddress = walletToAddress.Address;
swap.RewardForRedeem = await GetRewardForRedeemAsync(walletToAddress)
.ConfigureAwait(false);
RaiseSwapUpdated(swap, SwapStateFlags.Empty);
// send "accept" to other side
_swapClient.SwapAcceptAsync(swap);
await GetCurrencySwap(swap.PurchasedCurrency)
.StartPartyPaymentControlAsync(swap)
.ConfigureAwait(false);
}
public void testInArrears()
{
//("Testing in-arrears swap calculation...");
CommonVars vars = new CommonVars();
/* See Hull, 4th ed., page 550
Note: the calculation in the book is wrong (work out the adjustment and you'll get 0.05 + 0.000115 T1) */
Date maturity = vars.today + new Period(5, TimeUnit.Years);
Calendar calendar = new NullCalendar();
Schedule schedule = new Schedule(vars.today, maturity, new Period(Frequency.Annual), calendar,
BusinessDayConvention.Following, BusinessDayConvention.Following,
DateGeneration.Rule.Forward, false);
DayCounter dayCounter = new SimpleDayCounter();
List<double> nominals = new List<double>() { 100000000.0 };
IborIndex index = new IborIndex("dummy", new Period(1, TimeUnit.Years), 0, new EURCurrency(), calendar,
BusinessDayConvention.Following, false, dayCounter, vars.termStructure);
double oneYear = 0.05;
double r = Math.Log(1.0 + oneYear);
vars.termStructure.linkTo(Utilities.flatRate(vars.today, r, dayCounter));
List<double> coupons = new List<double>() { oneYear };
List<CashFlow> fixedLeg = new FixedRateLeg(schedule)
.withCouponRates(coupons, dayCounter)
.withNotionals(nominals);
List<double> gearings = new List<double>();
List<double> spreads = new List<double>();
int fixingDays = 0;
double capletVolatility = 0.22;
var vol = new Handle<OptionletVolatilityStructure>(
new ConstantOptionletVolatility(vars.today, new NullCalendar(),
BusinessDayConvention.Following, capletVolatility, dayCounter));
IborCouponPricer pricer = new BlackIborCouponPricer(vol);
List<CashFlow> floatingLeg = new IborLeg(schedule, index)
.withPaymentDayCounter(dayCounter)
.withFixingDays(fixingDays)
.withGearings(gearings)
.withSpreads(spreads)
.inArrears()
.withNotionals(nominals);
Utils.setCouponPricer(floatingLeg, pricer);
Swap swap = new Swap(floatingLeg, fixedLeg);
swap.setPricingEngine(new DiscountingSwapEngine(vars.termStructure));
double storedValue = -144813.0;
double tolerance = 1.0;
if (Math.Abs(swap.NPV() - storedValue) > tolerance)
Assert.Fail("Wrong NPV calculation:\n"
+ " expected: " + storedValue + "\n"
+ " calculated: " + swap.NPV());
}
public abstract Task RedeemForPartyAsync(
Swap swap,
CancellationToken cancellationToken = default);
public override async Task RefundAsync(
Swap swap,
CancellationToken cancellationToken = default)
{
var erc20 = Erc20;
if (swap.StateFlags.HasFlag(SwapStateFlags.IsRefundBroadcast))
{
TrackTransactionConfirmationAsync(
swap: swap,
currency: erc20,
txId: swap.RefundTx.Id,
confirmationHandler: RefundConfirmedEventHandler,
cancellationToken: cancellationToken)
.FireAndForget();
return;
}
Log.Debug("Create refund for swap {@swap}", swap.Id);
var walletAddress = (await Erc20Account
.GetUnspentAddressesAsync(
toAddress: null, // get refund address
amount: 0,
fee: 0,
feePrice: 0,
feeUsagePolicy: FeeUsagePolicy.EstimatedFee,
addressUsagePolicy: AddressUsagePolicy.UseOnlyOneAddress,
transactionType: BlockchainTransactionType.SwapRefund,
cancellationToken: cancellationToken)
.ConfigureAwait(false))
.FirstOrDefault();
if (walletAddress == null)
{
Log.Error("Insufficient funds for refund");
return;
}
var nonceResult = await EthereumNonceManager.Instance
.GetNonceAsync(erc20, walletAddress.Address)
.ConfigureAwait(false);
if (nonceResult.HasError)
{
Log.Error("Nonce getting error with code {@code} and description {@description}",
nonceResult.Error.Code,
nonceResult.Error.Description);
return;
}
var message = new ERC20RefundFunctionMessage
{
FromAddress = walletAddress.Address,
HashedSecret = swap.SecretHash,
GasPrice = Atomex.Ethereum.GweiToWei(erc20.GasPriceInGwei),
Nonce = nonceResult.Value,
};
message.Gas = await EstimateGasAsync(message, new BigInteger(erc20.RefundGasLimit))
.ConfigureAwait(false);
var txInput = message.CreateTransactionInput(erc20.SwapContractAddress);
var refundTx = new EthereumTransaction(erc20, txInput)
{
Type = BlockchainTransactionType.Output | BlockchainTransactionType.SwapRefund
};
var signResult = await SignTransactionAsync(refundTx, cancellationToken)
.ConfigureAwait(false);
if (!signResult)
{
Log.Error("Transaction signing error");
return;
}
swap.RefundTx = refundTx;
swap.StateFlags |= SwapStateFlags.IsRefundSigned;
RaiseSwapUpdated(swap, SwapStateFlags.IsRefundSigned);
await BroadcastTxAsync(swap, refundTx, cancellationToken)
.ConfigureAwait(false);
swap.RefundTx = refundTx;
swap.StateFlags |= SwapStateFlags.IsRefundBroadcast;
RaiseSwapUpdated(swap, SwapStateFlags.IsRefundBroadcast);
TrackTransactionConfirmationAsync(
swap: swap,
currency: erc20,
txId: refundTx.Id,
confirmationHandler: RefundConfirmedEventHandler,
cancellationToken: cancellationToken)
.FireAndForget();
}
public abstract Task RefundAsync(
Swap swap,
CancellationToken cancellationToken = default);
public void SwapEnsureICanCreateInstance()
{
Swap swapping = new Swap();
Assert.IsNotNull(swapping);
}
public abstract Task StartWaitForRedeemBySomeoneAsync(
Swap swap,
CancellationToken cancellationToken = default);
public CapHelper(Period length,
Handle<Quote> volatility,
IborIndex index,
// data for ATM swap-rate calculation
Frequency fixedLegFrequency,
DayCounter fixedLegDayCounter,
bool includeFirstSwaplet,
Handle<YieldTermStructure> termStructure,
bool calibrateVolatility /*= false*/)
: base(volatility, termStructure, calibrateVolatility)
{
Period indexTenor = index.tenor();
double fixedRate = 0.04; // dummy value
Date startDate, maturity;
if (includeFirstSwaplet) {
startDate = termStructure.link.referenceDate();
maturity = termStructure.link.referenceDate() + length;
} else {
startDate = termStructure.link.referenceDate() + indexTenor;
maturity = termStructure.link.referenceDate() + length;
}
IborIndex dummyIndex=new
IborIndex("dummy",
indexTenor,
index.fixingDays(),
index.currency(),
index.fixingCalendar(),
index.businessDayConvention(),
index.endOfMonth(),
termStructure.link.dayCounter(),
termStructure);
List<double> nominals = new InitializedList<double>(1,1.0);
Schedule floatSchedule=new Schedule(startDate, maturity,
index.tenor(), index.fixingCalendar(),
index.businessDayConvention(),
index.businessDayConvention(),
DateGeneration.Rule.Forward, false);
List<CashFlow> floatingLeg;
IborLeg iborLeg = (IborLeg) new IborLeg(floatSchedule, index)
.withFixingDays(0)
.withNotionals(nominals)
.withPaymentAdjustment(index.businessDayConvention());
floatingLeg = iborLeg.value();
Schedule fixedSchedule=new Schedule(startDate, maturity, new Period(fixedLegFrequency),
index.fixingCalendar(),
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Forward, false);
List<CashFlow> fixedLeg = new FixedRateLeg(fixedSchedule)
.withCouponRates(fixedRate, fixedLegDayCounter)
.withNotionals(nominals)
.withPaymentAdjustment(index.businessDayConvention());
Swap swap = new Swap(floatingLeg, fixedLeg);
swap.setPricingEngine(new DiscountingSwapEngine(termStructure));
double bp = 1.0e-4;
double fairRate = fixedRate - (double)(swap.NPV()/(swap.legBPS(1) / bp));
List<double> exerciceRate = new InitializedList<double>(1,fairRate);
cap_ = new Cap(floatingLeg, exerciceRate);
marketValue_ = blackPrice(volatility_.link.value());
}
public abstract Task <Result <IBlockchainTransaction> > TryToFindPaymentAsync(
Swap swap,
CancellationToken cancellationToken = default);
public static List <TextChunk> GetEmbeddedText(string pdf_filename, string page_numbers, string password, ProcessPriorityClass priority_class)
{
WPFDoEvents.AssertThisCodeIs_NOT_RunningInTheUIThread();
string process_parameters = String.Format(
""
+ " " + "-tt "
+ " " + (String.IsNullOrEmpty(password) ? "" : "-p " + password)
+ " " + '"' + pdf_filename + '"'
+ " " + page_numbers
);
var execResult = ReadEntireStandardOutput("pdfdraw.exe", process_parameters, binary_output: false, priority_class);
using (MemoryStream ms = execResult.stdoutStream)
{
ms.Seek(0, SeekOrigin.Begin);
using (StreamReader sr_lines = new StreamReader(ms))
{
List <TextChunk> text_chunks = new List <TextChunk>();
int page = 0;
double page_x0 = 0;
double page_y0 = 0;
double page_x1 = 0;
double page_y1 = 0;
double page_rotation = 0;
string current_font_name = "";
double current_font_size = 0;
string line;
while (null != (line = sr_lines.ReadLine()))
{
// Look for a character element (note that even a " can be the character in the then malformed XML)
{
Match match = Regex.Match(line, "char ucs=\"(.*)\" bbox=\"\\[(\\S*) (\\S*) (\\S*) (\\S*)\\]");
if (Match.Empty != match)
{
string text = match.Groups[1].Value;
double word_x0 = Convert.ToDouble(match.Groups[2].Value, Internationalization.DEFAULT_CULTURE);
double word_y0 = Convert.ToDouble(match.Groups[3].Value, Internationalization.DEFAULT_CULTURE);
double word_x1 = Convert.ToDouble(match.Groups[4].Value, Internationalization.DEFAULT_CULTURE);
double word_y1 = Convert.ToDouble(match.Groups[5].Value, Internationalization.DEFAULT_CULTURE);
ResolveRotation(page_rotation, ref word_x0, ref word_y0, ref word_x1, ref word_y1);
// safety measure: discard zero-width and zero-height "words" as those only cause trouble down the line:
if (word_x0 == word_x1 || word_y0 == word_y1)
{
Logging.Warn("Zero-width/height bounding box for text chunk: ignoring this 'word' @ {0}.", line);
continue;
}
// Position this little grubber
TextChunk text_chunk = new TextChunk();
text_chunk.text = text;
text_chunk.font_name = current_font_name;
text_chunk.font_size = current_font_size;
text_chunk.page = page;
text_chunk.x0 = (word_x0 - page_x0) / (page_x1 - page_x0);
text_chunk.y0 = 1 - (word_y0 - page_y0) / (page_y1 - page_y0);
text_chunk.x1 = (word_x1 - page_x0) / (page_x1 - page_x0);
text_chunk.y1 = 1 - (word_y1 - page_y0) / (page_y1 - page_y0);
// Cater for the rotation
if (0 != page_rotation)
{
text_chunk.y0 = 1 - text_chunk.y0;
text_chunk.y1 = 1 - text_chunk.y1;
}
// Make sure the bounding box is TL-BR
if (text_chunk.x1 < text_chunk.x0)
{
Swap.swap(ref text_chunk.x0, ref text_chunk.x1);
}
if (text_chunk.y1 < text_chunk.y0)
{
Swap.swap(ref text_chunk.y0, ref text_chunk.y1);
}
if (text_chunk.x1 <= text_chunk.x0 || text_chunk.y1 <= text_chunk.y0)
{
Logging.Warn("Bad bounding box for text chunk ({0})", process_parameters);
}
// And add him to the result list
text_chunks.Add(text_chunk);
continue;
}
}
// Look for a change in font name
{
Match match = Regex.Match(line, " font=\"(\\S*)\" size=\"(\\S*)\" ");
if (Match.Empty != match)
{
current_font_name = match.Groups[1].Value;
current_font_size = Convert.ToDouble(match.Groups[2].Value, Internationalization.DEFAULT_CULTURE);
continue;
}
}
// Look for the page header with dimensions
{
Match match = Regex.Match(line, @"\[Page (.+) X0 (\S+) Y0 (\S+) X1 (\S+) Y1 (\S+) R (\S+)\]");
if (Match.Empty != match)
{
page = Convert.ToInt32(match.Groups[1].Value, Internationalization.DEFAULT_CULTURE);
page_x0 = Convert.ToDouble(match.Groups[2].Value, Internationalization.DEFAULT_CULTURE);
page_y0 = Convert.ToDouble(match.Groups[3].Value, Internationalization.DEFAULT_CULTURE);
page_x1 = Convert.ToDouble(match.Groups[4].Value, Internationalization.DEFAULT_CULTURE);
page_y1 = Convert.ToDouble(match.Groups[5].Value, Internationalization.DEFAULT_CULTURE);
page_rotation = Convert.ToDouble(match.Groups[6].Value, Internationalization.DEFAULT_CULTURE);
ResolveRotation(page_rotation, ref page_x0, ref page_y0, ref page_x1, ref page_y1);
continue;
}
}
}
text_chunks = AggregateOverlappingTextChunks(text_chunks, process_parameters);
return(text_chunks);
}
}
}
protected Task RaiseAcceptorPaymentConfirmed(
Swap swap,
CancellationToken cancellationToken = default) =>
AcceptorPaymentConfirmed?.Invoke(this, new SwapEventArgs(swap), cancellationToken);
public double calculateImpl(DateTime calcDate, FP_Parameter fp_parameter)
{
List<QLNet.CashFlow> ql_fixedCFList = new List<QLNet.CashFlow>();
List<QLNet.CashFlow> ql_floatingCFList = new List<QLNet.CashFlow>();
foreach (FP_CashFlow fixed_cf in this.FixedLegInfo_.FP_CashFlowList_)
{ ql_fixedCFList.Add(fixed_cf.build_ql_cf(fp_parameter)); }
foreach (FP_CashFlow floating_cf in this.FloatingLegInfo_.FP_CashFlowList_)
{ ql_floatingCFList.Add(floating_cf.build_ql_cf(fp_parameter)); }
Swap ql_swap = new Swap(ql_fixedCFList, ql_floatingCFList);
//QLNet.DiscountingBasisSwapEngine
Handle<YieldTermStructure> ql_discount_ts
//= new QLNet.Handle<YieldTermStructure>(fp_parameter.DiscountCurveMap_["KRW"]);
= new QLNet.Handle<YieldTermStructure>(fp_parameter.getDiscountCurve("KRW"));
QLNet.DiscountingSwapEngine engine = new DiscountingSwapEngine(ql_discount_ts);
ql_swap.setPricingEngine(engine);
#region Result Price/Greek
//clsHITM_FP_GREEKRESULT_TB clstb_greekresult = new clsHITM_FP_GREEKRESULT_TB();
//clsHDAT_MARKETDATA_TB clstb_market = new clsHDAT_MARKETDATA_TB();
//clstb_market.REF_DT = calcDate.ToString("yyyyMMdd");
double swap_price = ql_swap.NPV();
#region Comment
//foreach (var item in index_cdList)
//{
// clstb_market.INDEX_CD = item;
// clstb_market.SelectOwn();
// clstb_greekresult.FP_GREEKRESULT_ID = "";
// clstb_greekresult.CALC_DT = calcDate.ToString("yyyyMMdd");
// clstb_greekresult.INSTRUMENT_ID = this.SwapDAO_.INSTRUMENT_ID;
// clstb_greekresult.INSTRUMENT_TYP = 0;
// clstb_greekresult.UNDERLYING_ID = item;
// clstb_greekresult.UNDERLYING_VALUE = clstb_market.LAST;
// clstb_greekresult.SEQ = count;
// clstb_greekresult.DELTA = 0.0;
// clstb_greekresult.GAMMA = 0.0;
// clstb_greekresult.VEGA = 0.0;
// if (count == 1) { clstb_greekresult.CALC_PRICE = swap_price; }
// else { clstb_greekresult.CALC_PRICE = 0.0; }
// clstb_greekresult.CALCULATED_FLAG = 1;
// clstb_greekresult.CALCULATED_TIME = DateTime.Now.ToString("HHmmss");
// clstb_greekresult.CALCULATE_TYP = 1; // 패러럴 쉬푸투 or 그냥 구한거 머 등등..
// clstb_greekresult.Insert();
// count += 1;
//}
#endregion
#endregion
for (int i = 0; i < this.FixedLegInfo_.FP_CashFlowList_.Count; i++)
{
this.FixedLegInfo_.FP_CashFlowList_[i].CashFlowAmount_ = ql_fixedCFList[i].amount();
this.FixedLegInfo_.FP_CashFlowList_[i].DiscountFactor_
= ql_discount_ts.currentLink().discount(this.FixedLegInfo_.FP_CashFlowList_[i].PaymentDate_);
}
for (int j = 0; j < this.FloatingLegInfo_.FP_CashFlowList_.Count; j++)
{
this.FloatingLegInfo_.FP_CashFlowList_[j].CashFlowAmount_ = ql_floatingCFList[j].amount();
this.FloatingLegInfo_.FP_CashFlowList_[j].DiscountFactor_
= ql_discount_ts.currentLink().discount(this.FloatingLegInfo_.FP_CashFlowList_[j].PaymentDate_);
}
return swap_price;
//#endregion
}
public void testInArrears()
{
//("Testing in-arrears swap calculation...");
CommonVars vars = new CommonVars();
/* See Hull, 4th ed., page 550
* Note: the calculation in the book is wrong (work out the adjustment and you'll get 0.05 + 0.000115 T1) */
Date maturity = vars.today + new Period(5, TimeUnit.Years);
Calendar calendar = new NullCalendar();
Schedule schedule = new Schedule(vars.today, maturity, new Period(Frequency.Annual), calendar,
BusinessDayConvention.Following, BusinessDayConvention.Following,
DateGeneration.Rule.Forward, false);
DayCounter dayCounter = new SimpleDayCounter();
List <double> nominals = new List <double>()
{
100000000.0
};
IborIndex index = new IborIndex("dummy", new Period(1, TimeUnit.Years), 0, new EURCurrency(), calendar,
BusinessDayConvention.Following, false, dayCounter, vars.termStructure);
double oneYear = 0.05;
double r = Math.Log(1.0 + oneYear);
vars.termStructure.linkTo(Utilities.flatRate(vars.today, r, dayCounter));
List <double> coupons = new List <double>()
{
oneYear
};
List <CashFlow> fixedLeg = new FixedRateLeg(schedule)
.withCouponRates(coupons, dayCounter)
.withNotionals(nominals);
List <double> gearings = new List <double>();
List <double> spreads = new List <double>();
int fixingDays = 0;
double capletVolatility = 0.22;
var vol = new Handle <OptionletVolatilityStructure>(
new ConstantOptionletVolatility(vars.today, new NullCalendar(),
BusinessDayConvention.Following, capletVolatility, dayCounter));
IborCouponPricer pricer = new BlackIborCouponPricer(vol);
List <CashFlow> floatingLeg = new IborLeg(schedule, index)
.withPaymentDayCounter(dayCounter)
.withFixingDays(fixingDays)
.withGearings(gearings)
.withSpreads(spreads)
.inArrears()
.withNotionals(nominals);
Utils.setCouponPricer(floatingLeg, pricer);
Swap swap = new Swap(floatingLeg, fixedLeg);
swap.setPricingEngine(new DiscountingSwapEngine(vars.termStructure));
double storedValue = -144813.0;
double tolerance = 1.0;
if (Math.Abs(swap.NPV() - storedValue) > tolerance)
{
Assert.Fail("Wrong NPV calculation:\n"
+ " expected: " + storedValue + "\n"
+ " calculated: " + swap.NPV());
}
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(Swap obj) {
return (obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr;
}
public void testDecomposition()
{
// Testing collared coupon against its decomposition...
CommonVars vars = new CommonVars();
double tolerance = 1e-10;
double npvVanilla, npvCappedLeg, npvFlooredLeg, npvCollaredLeg, npvCap, npvFloor, npvCollar;
double error;
double floorstrike = 0.05;
double capstrike = 0.10;
List <double?> caps = new InitializedList <double?>(vars.length, capstrike);
List <double?> caps0 = new List <double?>();
List <double?> floors = new InitializedList <double?>(vars.length, floorstrike);
List <double?> floors0 = new List <double?>();
double gearing_p = 0.5;
double spread_p = 0.002;
double gearing_n = -1.5;
double spread_n = 0.12;
// fixed leg with zero rate
List <CashFlow> fixedLeg = vars.makeFixedLeg(vars.startDate, vars.length);
// floating leg with gearing=1 and spread=0
List <CashFlow> floatLeg = vars.makeYoYLeg(vars.startDate, vars.length);
// floating leg with positive gearing (gearing_p) and spread<>0
List <CashFlow> floatLeg_p = vars.makeYoYLeg(vars.startDate, vars.length, gearing_p, spread_p);
// floating leg with negative gearing (gearing_n) and spread<>0
List <CashFlow> floatLeg_n = vars.makeYoYLeg(vars.startDate, vars.length, gearing_n, spread_n);
// Swap with null fixed leg and floating leg with gearing=1 and spread=0
Swap vanillaLeg = new Swap(fixedLeg, floatLeg);
// Swap with null fixed leg and floating leg with positive gearing and spread<>0
Swap vanillaLeg_p = new Swap(fixedLeg, floatLeg_p);
// Swap with null fixed leg and floating leg with negative gearing and spread<>0
Swap vanillaLeg_n = new Swap(fixedLeg, floatLeg_n);
IPricingEngine engine = new DiscountingSwapEngine(vars.nominalTS);
vanillaLeg.setPricingEngine(engine); // here use the autoset feature
vanillaLeg_p.setPricingEngine(engine);
vanillaLeg_n.setPricingEngine(engine);
// CAPPED coupon - Decomposition of payoff
// Payoff = Nom * Min(rate,strike) * accrualperiod =
// = Nom * [rate + Min(0,strike-rate)] * accrualperiod =
// = Nom * rate * accrualperiod - Nom * Max(rate-strike,0) * accrualperiod =
// = VanillaFloatingLeg - Call
//
int whichPricer = 0;
// Case gearing = 1 and spread = 0
List <CashFlow> cappedLeg = vars.makeYoYCapFlooredLeg(whichPricer, vars.startDate, vars.length,
caps, floors0, vars.volatility);
Swap capLeg = new Swap(fixedLeg, cappedLeg);
capLeg.setPricingEngine(engine);
YoYInflationCap cap = new YoYInflationCap(floatLeg, new List <double>()
{
capstrike
});
cap.setPricingEngine(vars.makeEngine(vars.volatility, whichPricer));
npvVanilla = vanillaLeg.NPV();
npvCappedLeg = capLeg.NPV();
npvCap = cap.NPV();
error = Math.Abs(npvCappedLeg - (npvVanilla - npvCap));
if (error > tolerance)
{
QAssert.Fail("\nYoY Capped Leg: gearing=1, spread=0%, strike=" + capstrike * 100 +
"%\n" +
" Capped Floating Leg NPV: " + npvCappedLeg + "\n" +
" Floating Leg NPV - Cap NPV: " + (npvVanilla - npvCap) + "\n" +
" Diff: " + error);
}
// gearing = 1 and spread = 0
// FLOORED coupon - Decomposition of payoff
// Payoff = Nom * Max(rate,strike) * accrualperiod =
// = Nom * [rate + Max(0,strike-rate)] * accrualperiod =
// = Nom * rate * accrualperiod + Nom * Max(strike-rate,0) * accrualperiod =
// = VanillaFloatingLeg + Put
//
List <CashFlow> flooredLeg = vars.makeYoYCapFlooredLeg(whichPricer, vars.startDate, vars.length,
caps0, floors, vars.volatility);
Swap floorLeg = new Swap(fixedLeg, flooredLeg);
floorLeg.setPricingEngine(engine);
YoYInflationFloor floor = new YoYInflationFloor(floatLeg, new List <double>()
{
floorstrike
});
floor.setPricingEngine(vars.makeEngine(vars.volatility, whichPricer));
npvFlooredLeg = floorLeg.NPV();
npvFloor = floor.NPV();
error = Math.Abs(npvFlooredLeg - (npvVanilla + npvFloor));
if (error > tolerance)
{
QAssert.Fail("YoY Floored Leg: gearing=1, spread=0%, strike=" + floorstrike * 100 +
"%\n" +
" Floored Floating Leg NPV: " + npvFlooredLeg + "\n" +
" Floating Leg NPV + Floor NPV: " + (npvVanilla + npvFloor) + "\n" +
" Diff: " + error);
}
// gearing = 1 and spread = 0
// COLLARED coupon - Decomposition of payoff
// Payoff = Nom * Min(strikem,Max(rate,strikeM)) * accrualperiod =
// = VanillaFloatingLeg - Collar
//
List <CashFlow> collaredLeg = vars.makeYoYCapFlooredLeg(whichPricer, vars.startDate, vars.length,
caps, floors, vars.volatility);
Swap collarLeg = new Swap(fixedLeg, collaredLeg);
collarLeg.setPricingEngine(engine);
YoYInflationCollar collar = new YoYInflationCollar(floatLeg,
new List <double>()
{
capstrike
},
new List <double>()
{
floorstrike
});
collar.setPricingEngine(vars.makeEngine(vars.volatility, whichPricer));
npvCollaredLeg = collarLeg.NPV();
npvCollar = collar.NPV();
error = Math.Abs(npvCollaredLeg - (npvVanilla - npvCollar));
if (error > tolerance)
{
QAssert.Fail("\nYoY Collared Leg: gearing=1, spread=0%, strike=" +
floorstrike * 100 + "% and " + capstrike * 100 + "%\n" +
" Collared Floating Leg NPV: " + npvCollaredLeg + "\n" +
" Floating Leg NPV - Collar NPV: " + (npvVanilla - npvCollar) + "\n" +
" Diff: " + error);
}
// gearing = a and spread = b
// CAPPED coupon - Decomposition of payoff
// Payoff
// = Nom * Min(a*rate+b,strike) * accrualperiod =
// = Nom * [a*rate+b + Min(0,strike-a*rate-b)] * accrualperiod =
// = Nom * a*rate+b * accrualperiod + Nom * Min(strike-b-a*rate,0) * accrualperiod
// --> If a>0 (assuming positive effective strike):
// Payoff = VanillaFloatingLeg - Call(a*rate+b,strike)
// --> If a<0 (assuming positive effective strike):
// Payoff = VanillaFloatingLeg + Nom * Min(strike-b+|a|*rate+,0) * accrualperiod =
// = VanillaFloatingLeg + Put(|a|*rate+b,strike)
//
// Positive gearing
List <CashFlow> cappedLeg_p = vars.makeYoYCapFlooredLeg(whichPricer, vars.startDate, vars.length, caps, floors0,
vars.volatility, gearing_p, spread_p);
Swap capLeg_p = new Swap(fixedLeg, cappedLeg_p);
capLeg_p.setPricingEngine(engine);
YoYInflationCap cap_p = new YoYInflationCap(floatLeg_p, new List <double>()
{
capstrike
});
cap_p.setPricingEngine(vars.makeEngine(vars.volatility, whichPricer));
npvVanilla = vanillaLeg_p.NPV();
npvCappedLeg = capLeg_p.NPV();
npvCap = cap_p.NPV();
error = Math.Abs(npvCappedLeg - (npvVanilla - npvCap));
if (error > tolerance)
{
QAssert.Fail("\nYoY Capped Leg: gearing=" + gearing_p + ", " +
"spread= " + spread_p * 100 +
"%, strike=" + capstrike * 100 + "%, " +
"effective strike= " + (capstrike - spread_p) / gearing_p * 100 +
"%\n" +
" Capped Floating Leg NPV: " + npvCappedLeg + "\n" +
" Vanilla Leg NPV: " + npvVanilla + "\n" +
" Cap NPV: " + npvCap + "\n" +
" Floating Leg NPV - Cap NPV: " + (npvVanilla - npvCap) + "\n" +
" Diff: " + error);
}
// Negative gearing
List <CashFlow> cappedLeg_n = vars.makeYoYCapFlooredLeg(whichPricer, vars.startDate, vars.length, caps, floors0,
vars.volatility, gearing_n, spread_n);
Swap capLeg_n = new Swap(fixedLeg, cappedLeg_n);
capLeg_n.setPricingEngine(engine);
YoYInflationFloor floor_n = new YoYInflationFloor(floatLeg, new List <double>()
{
(capstrike - spread_n) / gearing_n
});
floor_n.setPricingEngine(vars.makeEngine(vars.volatility, whichPricer));
npvVanilla = vanillaLeg_n.NPV();
npvCappedLeg = capLeg_n.NPV();
npvFloor = floor_n.NPV();
error = Math.Abs(npvCappedLeg - (npvVanilla + gearing_n * npvFloor));
if (error > tolerance)
{
QAssert.Fail("\nYoY Capped Leg: gearing=" + gearing_n + ", " +
"spread= " + spread_n * 100 +
"%, strike=" + capstrike * 100 + "%, " +
"effective strike= " + ((capstrike - spread_n) / gearing_n * 100) +
"%\n" +
" Capped Floating Leg NPV: " + npvCappedLeg + "\n" +
" npv Vanilla: " + npvVanilla + "\n" +
" npvFloor: " + npvFloor + "\n" +
" Floating Leg NPV - Cap NPV: " + (npvVanilla + gearing_n * npvFloor) + "\n" +
" Diff: " + error);
}
// gearing = a and spread = b
// FLOORED coupon - Decomposition of payoff
// Payoff
// = Nom * Max(a*rate+b,strike) * accrualperiod =
// = Nom * [a*rate+b + Max(0,strike-a*rate-b)] * accrualperiod =
// = Nom * a*rate+b * accrualperiod + Nom * Max(strike-b-a*rate,0) * accrualperiod
// --> If a>0 (assuming positive effective strike):
// Payoff = VanillaFloatingLeg + Put(a*rate+b,strike)
// --> If a<0 (assuming positive effective strike):
// Payoff = VanillaFloatingLeg + Nom * Max(strike-b+|a|*rate+,0) * accrualperiod =
// = VanillaFloatingLeg - Call(|a|*rate+b,strike)
//
// Positive gearing
List <CashFlow> flooredLeg_p1 = vars.makeYoYCapFlooredLeg(whichPricer, vars.startDate, vars.length, caps0, floors,
vars.volatility, gearing_p, spread_p);
Swap floorLeg_p1 = new Swap(fixedLeg, flooredLeg_p1);
floorLeg_p1.setPricingEngine(engine);
YoYInflationFloor floor_p1 = new YoYInflationFloor(floatLeg_p, new List <double>()
{
floorstrike
});
floor_p1.setPricingEngine(vars.makeEngine(vars.volatility, whichPricer));
npvVanilla = vanillaLeg_p.NPV();
npvFlooredLeg = floorLeg_p1.NPV();
npvFloor = floor_p1.NPV();
error = Math.Abs(npvFlooredLeg - (npvVanilla + npvFloor));
if (error > tolerance)
{
QAssert.Fail("\nYoY Floored Leg: gearing=" + gearing_p + ", "
+ "spread= " + spread_p * 100 + "%, strike=" + floorstrike * 100 + "%, "
+ "effective strike= " + (floorstrike - spread_p) / gearing_p * 100
+ "%\n" +
" Floored Floating Leg NPV: " + npvFlooredLeg
+ "\n" +
" Floating Leg NPV + Floor NPV: " + (npvVanilla + npvFloor)
+ "\n" +
" Diff: " + error);
}
// Negative gearing
List <CashFlow> flooredLeg_n = vars.makeYoYCapFlooredLeg(whichPricer, vars.startDate, vars.length, caps0, floors,
vars.volatility, gearing_n, spread_n);
Swap floorLeg_n = new Swap(fixedLeg, flooredLeg_n);
floorLeg_n.setPricingEngine(engine);
YoYInflationCap cap_n = new YoYInflationCap(floatLeg, new List <double>()
{
(floorstrike - spread_n) / gearing_n
});
cap_n.setPricingEngine(vars.makeEngine(vars.volatility, whichPricer));
npvVanilla = vanillaLeg_n.NPV();
npvFlooredLeg = floorLeg_n.NPV();
npvCap = cap_n.NPV();
error = Math.Abs(npvFlooredLeg - (npvVanilla - gearing_n * npvCap));
if (error > tolerance)
{
QAssert.Fail("\nYoY Capped Leg: gearing=" + gearing_n + ", " +
"spread= " + spread_n * 100 +
"%, strike=" + floorstrike * 100 + "%, " +
"effective strike= " + (floorstrike - spread_n) / gearing_n * 100 +
"%\n" +
" Capped Floating Leg NPV: " + npvFlooredLeg + "\n" +
" Floating Leg NPV - Cap NPV: " + (npvVanilla - gearing_n * npvCap) + "\n" +
" Diff: " + error);
}
// gearing = a and spread = b
// COLLARED coupon - Decomposition of payoff
// Payoff = Nom * Min(caprate,Max(a*rate+b,floorrate)) * accrualperiod
// --> If a>0 (assuming positive effective strike):
// Payoff = VanillaFloatingLeg - Collar(a*rate+b, floorrate, caprate)
// --> If a<0 (assuming positive effective strike):
// Payoff = VanillaFloatingLeg + Collar(|a|*rate+b, caprate, floorrate)
//
// Positive gearing
List <CashFlow> collaredLeg_p = vars.makeYoYCapFlooredLeg(whichPricer, vars.startDate, vars.length, caps, floors,
vars.volatility, gearing_p, spread_p);
Swap collarLeg_p1 = new Swap(fixedLeg, collaredLeg_p);
collarLeg_p1.setPricingEngine(engine);
YoYInflationCollar collar_p = new YoYInflationCollar(floatLeg_p,
new List <double>()
{
capstrike
},
new List <double>()
{
floorstrike
});
collar_p.setPricingEngine(vars.makeEngine(vars.volatility, whichPricer));
npvVanilla = vanillaLeg_p.NPV();
npvCollaredLeg = collarLeg_p1.NPV();
npvCollar = collar_p.NPV();
error = Math.Abs(npvCollaredLeg - (npvVanilla - npvCollar));
if (error > tolerance)
{
QAssert.Fail("\nYoY Collared Leg: gearing=" + gearing_p + ", "
+ "spread= " + spread_p * 100 + "%, strike="
+ floorstrike * 100 + "% and " + capstrike * 100
+ "%, "
+ "effective strike=" + (floorstrike - spread_p) / gearing_p * 100
+ "% and " + (capstrike - spread_p) / gearing_p * 100
+ "%\n" +
" Collared Floating Leg NPV: " + npvCollaredLeg
+ "\n" +
" Floating Leg NPV - Collar NPV: " + (npvVanilla - npvCollar)
+ "\n" +
" Diff: " + error);
}
// Negative gearing
List <CashFlow> collaredLeg_n = vars.makeYoYCapFlooredLeg(whichPricer, vars.startDate, vars.length, caps, floors,
vars.volatility, gearing_n, spread_n);
Swap collarLeg_n1 = new Swap(fixedLeg, collaredLeg_n);
collarLeg_n1.setPricingEngine(engine);
YoYInflationCollar collar_n = new YoYInflationCollar(floatLeg,
new List <double>()
{
(floorstrike - spread_n) / gearing_n
},
new List <double>()
{
(capstrike - spread_n) / gearing_n
});
collar_n.setPricingEngine(vars.makeEngine(vars.volatility, whichPricer));
npvVanilla = vanillaLeg_n.NPV();
npvCollaredLeg = collarLeg_n1.NPV();
npvCollar = collar_n.NPV();
error = Math.Abs(npvCollaredLeg - (npvVanilla - gearing_n * npvCollar));
if (error > tolerance)
{
QAssert.Fail("\nYoY Collared Leg: gearing=" + gearing_n + ", "
+ "spread= " + spread_n * 100 + "%, strike="
+ floorstrike * 100 + "% and " + capstrike * 100
+ "%, "
+ "effective strike=" + (floorstrike - spread_n) / gearing_n * 100
+ "% and " + (capstrike - spread_n) / gearing_n * 100
+ "%\n" +
" Collared Floating Leg NPV: " + npvCollaredLeg
+ "\n" +
" Floating Leg NPV - Collar NPV: " + (npvVanilla - gearing_n * npvCollar)
+ "\n" +
" Diff: " + error);
}
// remove circular refernce
vars.hy.linkTo(null);
}
private Swap AttemptSwap(int x, int y, bool horizontal, Animal animal)
{
var xDelta = horizontal ? 1 : 0;
var yDelta = horizontal ? 0 : 1;
if ((!horizontal || x >= Width - 1) && (horizontal || y >= Height - 1))
return null;
var other = GetAnimalAt(x + xDelta, y + yDelta);
if (other == null)
return null;
SetAnimalAt(x, y, other);
SetAnimalAt(x + xDelta, y + yDelta, animal);
Swap swap = null;
if (ChainExistsAt(x + xDelta, y + yDelta) || ChainExistsAt(x, y))
swap = new Swap(animal, other);
SetAnimalAt(x, y, animal);
SetAnimalAt(x + xDelta, y + yDelta, other);
return swap;
}
public static Task StartSwapRedeemedControlAsync(
Swap swap,
CurrencyConfig currency,
DateTime refundTimeUtc,
TimeSpan interval,
bool cancelOnlyIfRefundTimeReached,
Func <Swap, byte[], CancellationToken, Task> redeemedHandler,
Func <Swap, DateTime, CancellationToken, Task> canceledHandler,
CancellationToken cancellationToken = default)
{
return(Task.Run(async() =>
{
try
{
while (!cancellationToken.IsCancellationRequested)
{
var isRedeemedResult = await IsRedeemedAsync(
swap: swap,
currency: currency,
cancellationToken: cancellationToken)
.ConfigureAwait(false);
if (isRedeemedResult.HasError && isRedeemedResult.Error.Code != Errors.RequestError) // has error
{
await canceledHandler
.Invoke(swap, refundTimeUtc, cancellationToken)
.ConfigureAwait(false);
break;
}
else if (!isRedeemedResult.HasError && isRedeemedResult.Value != null) // has secret
{
await redeemedHandler
.Invoke(swap, isRedeemedResult.Value, cancellationToken)
.ConfigureAwait(false);
break;
}
if (!cancelOnlyIfRefundTimeReached || DateTime.UtcNow >= refundTimeUtc)
{
await canceledHandler
.Invoke(swap, refundTimeUtc, cancellationToken)
.ConfigureAwait(false);
break;
}
await Task.Delay(interval, cancellationToken)
.ConfigureAwait(false);
}
}
catch (OperationCanceledException)
{
Log.Debug("StartSwapRedeemedControlAsync canceled.");
}
catch (Exception e)
{
Log.Error(e, "StartSwapRedeemedControlAsync error.");
}
}, cancellationToken));
}
protected override async Task <IEnumerable <EthereumTransaction> > CreatePaymentTxsAsync(
Swap swap,
int lockTimeInSeconds,
CancellationToken cancellationToken = default)
{
var erc20 = Erc20;
Log.Debug("Create payment transactions for swap {@swapId}", swap.Id);
var requiredAmountInERC20 = AmountHelper.QtyToAmount(swap.Side, swap.Qty, swap.Price, erc20.DigitsMultiplier);
var refundTimeStampUtcInSec = new DateTimeOffset(swap.TimeStamp.ToUniversalTime().AddSeconds(lockTimeInSeconds)).ToUnixTimeSeconds();
var isInitTx = true;
var rewardForRedeemInERC20 = swap.PartyRewardForRedeem;
var unspentAddresses = (await Erc20Account
.GetUnspentAddressesAsync(cancellationToken)
.ConfigureAwait(false))
.ToList()
.SortList((a, b) => a.AvailableBalance().CompareTo(b.AvailableBalance()));
var transactions = new List <EthereumTransaction>();
foreach (var walletAddress in unspentAddresses)
{
Log.Debug("Create swap payment tx from address {@address} for swap {@swapId}", walletAddress.Address, swap.Id);
var balanceInEth = (await EthereumAccount
.GetAddressBalanceAsync(
address: walletAddress.Address,
cancellationToken: cancellationToken)
.ConfigureAwait(false))
.Available;
var balanceInERC20 = (await Erc20Account
.GetAddressBalanceAsync(
address: walletAddress.Address,
cancellationToken: cancellationToken)
.ConfigureAwait(false))
.Available;
Log.Debug("Available balance: {@balance}", balanceInERC20);
var feeAmountInEth = (isInitTx
? rewardForRedeemInERC20 == 0
? erc20.InitiateFeeAmount
: erc20.InitiateWithRewardFeeAmount
: erc20.AddFeeAmount) + erc20.ApproveFeeAmount;
if (balanceInEth - feeAmountInEth <= 0)
{
Log.Warning(
"Insufficient funds at {@address}. Balance: {@balance}, feeAmount: {@feeAmount}, result: {@result}.",
walletAddress.Address,
balanceInEth,
feeAmountInEth,
balanceInEth - feeAmountInEth);
continue;
}
var amountInERC20 = requiredAmountInERC20 > 0
? AmountHelper.DustProofMin(balanceInERC20, requiredAmountInERC20, erc20.DigitsMultiplier, erc20.DustDigitsMultiplier)
: 0;
requiredAmountInERC20 -= amountInERC20;
var nonceResult = await EthereumNonceManager.Instance
.GetNonceAsync(erc20, walletAddress.Address)
.ConfigureAwait(false);
if (nonceResult.HasError)
{
Log.Error("Nonce getting error with code {@code} and description {@description}",
nonceResult.Error.Code,
nonceResult.Error.Description);
return(null);
}
var nonce = nonceResult.Value;
var allowanceMessage = new ERC20AllowanceFunctionMessage()
{
Owner = walletAddress.Address,
Spender = erc20.SwapContractAddress,
FromAddress = walletAddress.Address
};
var allowance = await((IEthereumBlockchainApi)erc20.BlockchainApi)
.GetERC20AllowanceAsync(
erc20: erc20,
tokenAddress: erc20.ERC20ContractAddress,
allowanceMessage: allowanceMessage,
cancellationToken: cancellationToken)
.ConfigureAwait(false);
if (allowance.Value > 0)
{
transactions.Add(await CreateApproveTx(walletAddress, nonceResult.Value, 0)
.ConfigureAwait(false));
nonce += 1;
}
else
{
transactions.Add(new EthereumTransaction());
}
transactions.Add(await CreateApproveTx(walletAddress, nonce, erc20.TokensToTokenDigits(amountInERC20))
.ConfigureAwait(false));
nonce += 1;
TransactionInput txInput;
//actual transfer
if (isInitTx)
{
var initMessage = new ERC20InitiateFunctionMessage
{
HashedSecret = swap.SecretHash,
ERC20Contract = erc20.ERC20ContractAddress,
Participant = swap.PartyAddress,
RefundTimestamp = refundTimeStampUtcInSec,
Countdown = lockTimeInSeconds,
Value = erc20.TokensToTokenDigits(amountInERC20),
RedeemFee = erc20.TokensToTokenDigits(rewardForRedeemInERC20),
Active = true,
FromAddress = walletAddress.Address,
GasPrice = Atomex.Ethereum.GweiToWei(erc20.GasPriceInGwei),
Nonce = nonce
};
var initiateGasLimit = rewardForRedeemInERC20 == 0
? erc20.InitiateGasLimit
: erc20.InitiateWithRewardGasLimit;
initMessage.Gas = await EstimateGasAsync(initMessage, new BigInteger(initiateGasLimit))
.ConfigureAwait(false);
txInput = initMessage.CreateTransactionInput(erc20.SwapContractAddress);
}
else
{
var addMessage = new ERC20AddFunctionMessage
{
HashedSecret = swap.SecretHash,
Value = erc20.TokensToTokenDigits(amountInERC20),
FromAddress = walletAddress.Address,
GasPrice = Atomex.Ethereum.GweiToWei(erc20.GasPriceInGwei),
Nonce = nonce
};
addMessage.Gas = await EstimateGasAsync(addMessage, new BigInteger(erc20.AddGasLimit))
.ConfigureAwait(false);
txInput = addMessage.CreateTransactionInput(erc20.SwapContractAddress);
}
transactions.Add(new EthereumTransaction(erc20, txInput)
{
Type = BlockchainTransactionType.Output | BlockchainTransactionType.SwapPayment
});
if (isInitTx)
{
isInitTx = false;
}
if (requiredAmountInERC20 <= 0)
{
break;
}
}
if (requiredAmountInERC20 > 0)
{
Log.Warning("Insufficient ERC20 or Eth funds (left {@requiredAmount}).", requiredAmountInERC20);
return(Enumerable.Empty <EthereumTransaction>());
}
return(transactions);
}
private void swapPoints(int i, int j)
{
Swap.swap(ref scores[i], ref scores[j]);
Swap.swap(ref points[i].x, ref points[j].x);
Swap.swap(ref points[i].y, ref points[j].y);
}
public override async Task PayAsync(
Swap swap,
CancellationToken cancellationToken = default)
{
if (!CheckPayRelevance(swap))
{
return;
}
var lockTimeInSeconds = swap.IsInitiator
? DefaultInitiatorLockTimeInSeconds
: DefaultAcceptorLockTimeInSeconds;
var txs = (await CreatePaymentTxsAsync(swap, lockTimeInSeconds)
.ConfigureAwait(false))
.ToList();
if (txs.Count == 0)
{
Log.Error("Can't create payment transactions");
return;
}
try
{
foreach (int i in new int[] { 0, 1 })
{
var approvalTxs = txs
.Where((tx, j) => j % 3 == i)
.ToList();
var isApproved = await ApproveAsync(swap, approvalTxs, cancellationToken)
.ConfigureAwait(false);
if (!isApproved)
{
Log.Error("Approve txs are not confirmed after timeout {@timeout}", InitiationTimeout.Minutes);
return;
}
}
txs = txs
.Where(tx => tx.Type.HasFlag(BlockchainTransactionType.SwapPayment))
.ToList();
var isInitiateTx = true;
foreach (var tx in txs)
{
var signResult = await SignTransactionAsync(tx, cancellationToken)
.ConfigureAwait(false);
if (!signResult)
{
Log.Error("Transaction signing error");
return;
}
if (isInitiateTx)
{
swap.PaymentTx = tx;
swap.StateFlags |= SwapStateFlags.IsPaymentSigned;
RaiseSwapUpdated(swap, SwapStateFlags.IsPaymentSigned);
}
await BroadcastTxAsync(swap, tx, cancellationToken)
.ConfigureAwait(false);
if (isInitiateTx)
{
swap.PaymentTx = tx;
swap.StateFlags |= SwapStateFlags.IsPaymentBroadcast;
RaiseSwapUpdated(swap, SwapStateFlags.IsPaymentBroadcast);
isInitiateTx = false;
// delay for contract initiation
if (txs.Count > 1)
{
var isInitiated = await WaitPaymentConfirmationAsync(
txId : tx.Id,
timeout : InitiationTimeout,
cancellationToken : cancellationToken)
.ConfigureAwait(false);
if (!isInitiated)
{
Log.Error("Initiation payment tx not confirmed after timeout {@timeout}", InitiationTimeout.Minutes);
return;
}
}
}
}
}
catch (Exception e)
{
Log.Error(e, "Swap payment error for swap {@swapId}", swap.Id);
return;
}
if (swap.StateFlags.HasFlag(SwapStateFlags.IsPaymentBroadcast))
{
// start redeem control async
await StartWaitForRedeemAsync(swap, cancellationToken)
.ConfigureAwait(false);
}
}
private void LoadSettings_1_3_2(BinaryTextReader btr)
{
// items
bool randAbilities = btr.ReadBool();
bool randTanks = btr.ReadBool();
if (randAbilities && randTanks)
{
AbilitySwap = Swap.GlobalPool;
TankSwap = Swap.GlobalPool;
}
else if (randAbilities)
{
AbilitySwap = Swap.LocalPool;
}
else if (randTanks)
{
TankSwap = Swap.LocalPool;
}
if (btr.ReadBool())
{
NumItemsRemoved = btr.ReadNumber(7);
}
if (SwapOrRemoveItems)
{
Completion = (GameCompletion)btr.ReadNumber(2);
IceNotRequired = btr.ReadBool();
PlasmaNotRequired = btr.ReadBool();
NoPBsBeforeChozodia = btr.ReadBool();
ChozoStatueHints = btr.ReadBool();
InfiniteBombJump = btr.ReadBool();
WallJumping = btr.ReadBool();
}
// locations
if (btr.ReadBool())
{
int count = btr.ReadNumber(7);
for (int i = 0; i < count; i++)
{
int locNum = btr.ReadNumber(7);
ItemType item = (ItemType)btr.ReadNumber(5);
CustomAssignments[locNum] = item;
}
}
// enemies
RandoEnemies = btr.ReadBool();
// palettes
TilesetPalettes = btr.ReadBool();
EnemyPalettes = btr.ReadBool();
BeamPalettes = btr.ReadBool();
if (RandomPalettes)
{
if (btr.ReadBool())
{
HueMinimum = btr.ReadNumber(8);
}
if (btr.ReadBool())
{
HueMaximum = btr.ReadNumber(8);
}
}
// misc
EnableItemToggle = btr.ReadBool();
ObtainUnkItems = btr.ReadBool();
HardModeAvailable = btr.ReadBool();
PauseScreenInfo = btr.ReadBool();
RemoveCutscenes = btr.ReadBool();
SkipSuitless = btr.ReadBool();
SkipDoorTransitions = btr.ReadBool();
}
public override async Task RedeemForPartyAsync(
Swap swap,
CancellationToken cancellationToken = default)
{
Log.Debug("Create redeem for counterParty for swap {@swapId}", swap.Id);
var erc20 = Erc20;
var walletAddress = (await Erc20Account
.GetUnspentAddressesAsync(
toAddress: null, // todo: get participant address
amount: 0,
fee: 0,
feePrice: 0,
feeUsagePolicy: FeeUsagePolicy.EstimatedFee,
addressUsagePolicy: AddressUsagePolicy.UseOnlyOneAddress,
transactionType: BlockchainTransactionType.SwapRedeem,
cancellationToken: cancellationToken)
.ConfigureAwait(false))
.FirstOrDefault();
if (walletAddress == null)
{
Log.Error("Insufficient balance for party redeem. Cannot find the address containing the required amount of funds.");
return;
}
var nonceResult = await EthereumNonceManager.Instance
.GetNonceAsync(erc20, walletAddress.Address, cancellationToken)
.ConfigureAwait(false);
if (nonceResult.HasError)
{
Log.Error("Nonce getting error with code {@code} and description {@description}",
nonceResult.Error.Code,
nonceResult.Error.Description);
return;
}
var message = new RedeemFunctionMessage
{
FromAddress = walletAddress.Address,
HashedSecret = swap.SecretHash,
Secret = swap.Secret,
Nonce = nonceResult.Value,
GasPrice = Atomex.Ethereum.GweiToWei(erc20.GasPriceInGwei),
};
message.Gas = await EstimateGasAsync(message, new BigInteger(erc20.RedeemGasLimit))
.ConfigureAwait(false);
var txInput = message.CreateTransactionInput(erc20.SwapContractAddress);
var redeemTx = new EthereumTransaction(erc20, txInput)
{
Type = BlockchainTransactionType.Output | BlockchainTransactionType.SwapRedeem
};
var signResult = await SignTransactionAsync(redeemTx, cancellationToken)
.ConfigureAwait(false);
if (!signResult)
{
Log.Error("Transaction signing error");
return;
}
await BroadcastTxAsync(swap, redeemTx, cancellationToken)
.ConfigureAwait(false);
}
public override System.Collections.IList Operations()
{
System.Collections.IList operations = new System.Collections.ArrayList();
for (int i = 0; i < _code.Length - 1; i++)
{
if (_code[i][1] + _code[i][2] == _code[i + 1][1])
{
// adjacent
Operation op = new Swap(EnclosingInstance, index, i, i + 1);
operations.Add(op);
}
}
return operations;
}
public static char[] BuildKey(string key, Mode mode, Swap swap)
{
if (string.IsNullOrEmpty(key))
{
throw new ArgumentNullException("key");
}
string seed = "ABCDEFGHIJKLMNOPQRSTUVWXYZ";
char[] cipherKey = new char[5 * 5];
key = key.ToUpper();
char cSwap;
char cMode;
switch (swap)
{
case Swap.X:
cSwap = 'X';
break;
case Swap.Z:
cSwap = 'Z';
break;
default:
throw new ArgumentOutOfRangeException("swap");
}
switch (mode)
{
case Mode.Q:
cMode = 'Q';
key = key.Replace('Q', cSwap);
break;
case Mode.J:
cMode = 'J';
key = key.Replace('J', 'I');
break;
case Mode.I:
cMode = 'I';
key = key.Replace('I', 'J');
break;
default:
throw new ArgumentOutOfRangeException("mode");
}
seed = seed.Replace(cMode.ToString(), "");
int pos = 0;
foreach (char currentChar in key.ToCharArray())
{
if (seed.IndexOf(currentChar) >= 0)
{
seed = seed.Replace(currentChar.ToString(), "");
cipherKey[pos++] = currentChar;
}
if (pos >= cipherKey.Length)
{
break;
}
}
foreach (char currentChar in seed.ToCharArray())
{
if (pos >= cipherKey.Length)
{
break;
}
cipherKey[pos++] = currentChar;
}
return(cipherKey);
}
public static async Task <Result <byte[]> > IsRedeemedAsync(
Swap swap,
Currency currency,
Atomex.Tezos tezos,
CancellationToken cancellationToken = default)
{
try
{
Log.Debug("Tezos FA2: check redeem event");
var fa2 = (TezosTokens.FA2)currency;
var contractAddress = fa2.SwapContractAddress;
var blockchainApi = (ITezosBlockchainApi)tezos.BlockchainApi;
var txsResult = await blockchainApi
.TryGetTransactionsAsync(contractAddress, cancellationToken : cancellationToken)
.ConfigureAwait(false);
if (txsResult == null)
{
return(new Error(Errors.RequestError, $"Connection error while getting txs from contract {contractAddress}"));
}
if (txsResult.HasError)
{
Log.Error("Error while get transactions from contract {@contract}. Code: {@code}. Description: {@desc}",
contractAddress,
txsResult.Error.Code,
txsResult.Error.Description);
return(txsResult.Error);
}
var txs = txsResult.Value
?.Cast <TezosTransaction>()
.ToList();
if (txs != null)
{
foreach (var tx in txs)
{
if (tx.To == contractAddress && IsSwapRedeem(tx, swap.SecretHash))
{
// redeem!
var secret = GetSecret(tx);
Log.Debug("Redeem event received with secret {@secret}", Convert.ToBase64String(secret));
return(secret);
}
if (tx.BlockInfo?.BlockTime == null)
{
continue;
}
var blockTimeUtc = tx.BlockInfo.BlockTime.Value.ToUniversalTime();
var swapTimeUtc = swap.TimeStamp.ToUniversalTime();
if (blockTimeUtc < swapTimeUtc)
{
break;
}
}
}
}
catch (Exception e)
{
Log.Error(e, "Tezos FA2 redeem control task error");
return(new Error(Errors.InternalError, e.Message));
}
return((byte[])null);
}
protected override void performCalculations()
{
Period indexTenor = index_.tenor();
double fixedRate = 0.04; // dummy value
Date startDate, maturity;
if ( includeFirstSwaplet_ )
{
startDate = termStructure_.link.referenceDate();
maturity = termStructure_.link.referenceDate() + length_;
}
else
{
startDate = termStructure_.link.referenceDate() + indexTenor;
maturity = termStructure_.link.referenceDate() + length_;
}
IborIndex dummyIndex = new IborIndex( "dummy",
indexTenor,
index_.fixingDays(),
index_.currency(),
index_.fixingCalendar(),
index_.businessDayConvention(),
index_.endOfMonth(),
termStructure_.link.dayCounter(),
termStructure_ );
InitializedList<double> nominals = new InitializedList<double>( 1, 1.0 );
Schedule floatSchedule = new Schedule( startDate, maturity,
index_.tenor(), index_.fixingCalendar(),
index_.businessDayConvention(),
index_.businessDayConvention(),
DateGeneration.Rule.Forward, false );
List<CashFlow> floatingLeg = new IborLeg( floatSchedule, index_ )
.withFixingDays( 0 )
.withNotionals( nominals )
.withPaymentAdjustment( index_.businessDayConvention() );
Schedule fixedSchedule = new Schedule( startDate, maturity, new Period( fixedLegFrequency_ ),
index_.fixingCalendar(),
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Forward, false );
List<CashFlow> fixedLeg = new FixedRateLeg( fixedSchedule )
.withCouponRates( fixedRate, fixedLegDayCounter_ )
.withNotionals( nominals )
.withPaymentAdjustment( index_.businessDayConvention() );
Swap swap = new Swap( floatingLeg, fixedLeg );
swap.setPricingEngine( new DiscountingSwapEngine( termStructure_, false ) );
double fairRate = fixedRate - (double)(swap.NPV() / ( swap.legBPS( 1 ) / 1.0e-4 ));
cap_ = new Cap( floatingLeg, new InitializedList<double>( 1, fairRate ) );
base.performCalculations();
}
protected SwapPricer(ILogger logger, ICoreCache cache, String nameSpace,
List <Pair <IBusinessCalendar, IBusinessCalendar> > legCalendars,
Swap swapFpML, string basePartyReference, ProductTypeSimpleEnum productType)
: this(logger, cache, nameSpace, legCalendars, swapFpML, basePartyReference, productType, false)
{
}
public Strategy(XmlNode xmlNode)
: base(xmlNode)
{
XmlNodeList strategyComponentIdentifierNodeList = xmlNode.SelectNodes("strategyComponentIdentifier");
foreach (XmlNode item in strategyComponentIdentifierNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
strategyComponentIdentifierIDRef = item.Attributes["id"].Name;
List<StrategyComponentIdentification> ob = new List<StrategyComponentIdentification>();
ob.Add(new StrategyComponentIdentification(item));
IDManager.SetID(strategyComponentIdentifierIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
strategyComponentIdentifierIDRef = item.Attributes["href"].Name;
}
else
{
strategyComponentIdentifier.Add(new StrategyComponentIdentification(item));
}
}
}
XmlNodeList premiumProductReferenceNodeList = xmlNode.SelectNodes("premiumProductReference");
if (premiumProductReferenceNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in premiumProductReferenceNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
premiumProductReferenceIDRef = item.Attributes["id"].Name;
ProductReference ob = ProductReference();
IDManager.SetID(premiumProductReferenceIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
premiumProductReferenceIDRef = item.Attributes["href"].Name;
}
else
{
premiumProductReference = new ProductReference(item);
}
}
}
XmlNodeList productNodeList = xmlNode.SelectNodes("product");
if (productNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in productNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
productIDRef = item.Attributes["id"].Name;
Product ob = Product();
IDManager.SetID(productIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
productIDRef = item.Attributes["href"].Name;
}
else
{
product = new Product(item);
}
}
}
XmlNodeList forwardNodeList = xmlNode.SelectNodes("forward");
if (forwardNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in forwardNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
forwardIDRef = item.Attributes["id"].Name;
ForwardSale ob = ForwardSale();
IDManager.SetID(forwardIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
forwardIDRef = item.Attributes["href"].Name;
}
else
{
forward = new ForwardSale(item);
}
}
}
XmlNodeList bondOptionNodeList = xmlNode.SelectNodes("bondOption");
if (bondOptionNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in bondOptionNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
bondOptionIDRef = item.Attributes["id"].Name;
BondOption ob = BondOption();
IDManager.SetID(bondOptionIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
bondOptionIDRef = item.Attributes["href"].Name;
}
else
{
bondOption = new BondOption(item);
}
}
}
XmlNodeList creditDefaultSwapNodeList = xmlNode.SelectNodes("creditDefaultSwap");
if (creditDefaultSwapNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in creditDefaultSwapNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
creditDefaultSwapIDRef = item.Attributes["id"].Name;
CreditDefaultSwap ob = CreditDefaultSwap();
IDManager.SetID(creditDefaultSwapIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
creditDefaultSwapIDRef = item.Attributes["href"].Name;
}
else
{
creditDefaultSwap = new CreditDefaultSwap(item);
}
}
}
XmlNodeList creditDefaultSwapOptionNodeList = xmlNode.SelectNodes("creditDefaultSwapOption");
if (creditDefaultSwapOptionNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in creditDefaultSwapOptionNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
creditDefaultSwapOptionIDRef = item.Attributes["id"].Name;
CreditDefaultSwapOption ob = CreditDefaultSwapOption();
IDManager.SetID(creditDefaultSwapOptionIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
creditDefaultSwapOptionIDRef = item.Attributes["href"].Name;
}
else
{
creditDefaultSwapOption = new CreditDefaultSwapOption(item);
}
}
}
XmlNodeList commodityForwardNodeList = xmlNode.SelectNodes("commodityForward");
if (commodityForwardNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in commodityForwardNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
commodityForwardIDRef = item.Attributes["id"].Name;
CommodityForward ob = CommodityForward();
IDManager.SetID(commodityForwardIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
commodityForwardIDRef = item.Attributes["href"].Name;
}
else
{
commodityForward = new CommodityForward(item);
}
}
}
XmlNodeList commodityOptionNodeList = xmlNode.SelectNodes("commodityOption");
if (commodityOptionNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in commodityOptionNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
commodityOptionIDRef = item.Attributes["id"].Name;
CommodityOption ob = CommodityOption();
IDManager.SetID(commodityOptionIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
commodityOptionIDRef = item.Attributes["href"].Name;
}
else
{
commodityOption = new CommodityOption(item);
}
}
}
XmlNodeList commoditySwapNodeList = xmlNode.SelectNodes("commoditySwap");
if (commoditySwapNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in commoditySwapNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
commoditySwapIDRef = item.Attributes["id"].Name;
CommoditySwap ob = CommoditySwap();
IDManager.SetID(commoditySwapIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
commoditySwapIDRef = item.Attributes["href"].Name;
}
else
{
commoditySwap = new CommoditySwap(item);
}
}
}
XmlNodeList commoditySwaptionNodeList = xmlNode.SelectNodes("commoditySwaption");
if (commoditySwaptionNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in commoditySwaptionNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
commoditySwaptionIDRef = item.Attributes["id"].Name;
CommoditySwaption ob = CommoditySwaption();
IDManager.SetID(commoditySwaptionIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
commoditySwaptionIDRef = item.Attributes["href"].Name;
}
else
{
commoditySwaption = new CommoditySwaption(item);
}
}
}
XmlNodeList correlationSwapNodeList = xmlNode.SelectNodes("correlationSwap");
if (correlationSwapNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in correlationSwapNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
correlationSwapIDRef = item.Attributes["id"].Name;
CorrelationSwap ob = CorrelationSwap();
IDManager.SetID(correlationSwapIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
correlationSwapIDRef = item.Attributes["href"].Name;
}
else
{
correlationSwap = new CorrelationSwap(item);
}
}
}
XmlNodeList dividendSwapOptionTransactionSupplementNodeList = xmlNode.SelectNodes("dividendSwapOptionTransactionSupplement");
if (dividendSwapOptionTransactionSupplementNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in dividendSwapOptionTransactionSupplementNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
dividendSwapOptionTransactionSupplementIDRef = item.Attributes["id"].Name;
DividendSwapOptionTransactionSupplement ob = DividendSwapOptionTransactionSupplement();
IDManager.SetID(dividendSwapOptionTransactionSupplementIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
dividendSwapOptionTransactionSupplementIDRef = item.Attributes["href"].Name;
}
else
{
dividendSwapOptionTransactionSupplement = new DividendSwapOptionTransactionSupplement(item);
}
}
}
XmlNodeList dividendSwapTransactionSupplementNodeList = xmlNode.SelectNodes("dividendSwapTransactionSupplement");
if (dividendSwapTransactionSupplementNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in dividendSwapTransactionSupplementNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
dividendSwapTransactionSupplementIDRef = item.Attributes["id"].Name;
DividendSwapTransactionSupplement ob = DividendSwapTransactionSupplement();
IDManager.SetID(dividendSwapTransactionSupplementIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
dividendSwapTransactionSupplementIDRef = item.Attributes["href"].Name;
}
else
{
dividendSwapTransactionSupplement = new DividendSwapTransactionSupplement(item);
}
}
}
XmlNodeList instrumentTradeDetailsNodeList = xmlNode.SelectNodes("instrumentTradeDetails");
if (instrumentTradeDetailsNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in instrumentTradeDetailsNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
instrumentTradeDetailsIDRef = item.Attributes["id"].Name;
InstrumentTradeDetails ob = InstrumentTradeDetails();
IDManager.SetID(instrumentTradeDetailsIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
instrumentTradeDetailsIDRef = item.Attributes["href"].Name;
}
else
{
instrumentTradeDetails = new InstrumentTradeDetails(item);
}
}
}
XmlNodeList strategyNodeList = xmlNode.SelectNodes("strategy");
if (strategyNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in strategyNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
strategyIDRef = item.Attributes["id"].Name;
Strategy ob = Strategy();
IDManager.SetID(strategyIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
strategyIDRef = item.Attributes["href"].Name;
}
else
{
strategy = new Strategy(item);
}
}
}
XmlNodeList returnSwapNodeList = xmlNode.SelectNodes("returnSwap");
if (returnSwapNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in returnSwapNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
returnSwapIDRef = item.Attributes["id"].Name;
ReturnSwap ob = ReturnSwap();
IDManager.SetID(returnSwapIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
returnSwapIDRef = item.Attributes["href"].Name;
}
else
{
returnSwap = new ReturnSwap(item);
}
}
}
XmlNodeList brokerEquityOptionNodeList = xmlNode.SelectNodes("brokerEquityOption");
if (brokerEquityOptionNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in brokerEquityOptionNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
brokerEquityOptionIDRef = item.Attributes["id"].Name;
BrokerEquityOption ob = BrokerEquityOption();
IDManager.SetID(brokerEquityOptionIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
brokerEquityOptionIDRef = item.Attributes["href"].Name;
}
else
{
brokerEquityOption = new BrokerEquityOption(item);
}
}
}
XmlNodeList equityForwardNodeList = xmlNode.SelectNodes("equityForward");
if (equityForwardNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in equityForwardNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
equityForwardIDRef = item.Attributes["id"].Name;
EquityForward ob = EquityForward();
IDManager.SetID(equityForwardIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
equityForwardIDRef = item.Attributes["href"].Name;
}
else
{
equityForward = new EquityForward(item);
}
}
}
XmlNodeList equityOptionNodeList = xmlNode.SelectNodes("equityOption");
if (equityOptionNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in equityOptionNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
equityOptionIDRef = item.Attributes["id"].Name;
EquityOption ob = EquityOption();
IDManager.SetID(equityOptionIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
equityOptionIDRef = item.Attributes["href"].Name;
}
else
{
equityOption = new EquityOption(item);
}
}
}
XmlNodeList equityOptionTransactionSupplementNodeList = xmlNode.SelectNodes("equityOptionTransactionSupplement");
if (equityOptionTransactionSupplementNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in equityOptionTransactionSupplementNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
equityOptionTransactionSupplementIDRef = item.Attributes["id"].Name;
EquityOptionTransactionSupplement ob = EquityOptionTransactionSupplement();
IDManager.SetID(equityOptionTransactionSupplementIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
equityOptionTransactionSupplementIDRef = item.Attributes["href"].Name;
}
else
{
equityOptionTransactionSupplement = new EquityOptionTransactionSupplement(item);
}
}
}
XmlNodeList fxSingleLegNodeList = xmlNode.SelectNodes("fxSingleLeg");
if (fxSingleLegNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in fxSingleLegNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
fxSingleLegIDRef = item.Attributes["id"].Name;
FxSingleLeg ob = FxSingleLeg();
IDManager.SetID(fxSingleLegIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
fxSingleLegIDRef = item.Attributes["href"].Name;
}
else
{
fxSingleLeg = new FxSingleLeg(item);
}
}
}
XmlNodeList fxSwapNodeList = xmlNode.SelectNodes("fxSwap");
if (fxSwapNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in fxSwapNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
fxSwapIDRef = item.Attributes["id"].Name;
FxSwap ob = FxSwap();
IDManager.SetID(fxSwapIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
fxSwapIDRef = item.Attributes["href"].Name;
}
else
{
fxSwap = new FxSwap(item);
}
}
}
XmlNodeList fxOptionNodeList = xmlNode.SelectNodes("fxOption");
if (fxOptionNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in fxOptionNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
fxOptionIDRef = item.Attributes["id"].Name;
FxOption ob = FxOption();
IDManager.SetID(fxOptionIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
fxOptionIDRef = item.Attributes["href"].Name;
}
else
{
fxOption = new FxOption(item);
}
}
}
XmlNodeList fxDigitalOptionNodeList = xmlNode.SelectNodes("fxDigitalOption");
if (fxDigitalOptionNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in fxDigitalOptionNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
fxDigitalOptionIDRef = item.Attributes["id"].Name;
FxDigitalOption ob = FxDigitalOption();
IDManager.SetID(fxDigitalOptionIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
fxDigitalOptionIDRef = item.Attributes["href"].Name;
}
else
{
fxDigitalOption = new FxDigitalOption(item);
}
}
}
XmlNodeList termDepositNodeList = xmlNode.SelectNodes("termDeposit");
if (termDepositNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in termDepositNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
termDepositIDRef = item.Attributes["id"].Name;
TermDeposit ob = TermDeposit();
IDManager.SetID(termDepositIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
termDepositIDRef = item.Attributes["href"].Name;
}
else
{
termDeposit = new TermDeposit(item);
}
}
}
XmlNodeList genericProductNodeList = xmlNode.SelectNodes("genericProduct");
if (genericProductNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in genericProductNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
genericProductIDRef = item.Attributes["id"].Name;
GenericProduct ob = GenericProduct();
IDManager.SetID(genericProductIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
genericProductIDRef = item.Attributes["href"].Name;
}
else
{
genericProduct = new GenericProduct(item);
}
}
}
XmlNodeList nonSchemaProductNodeList = xmlNode.SelectNodes("nonSchemaProduct");
if (nonSchemaProductNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in nonSchemaProductNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
nonSchemaProductIDRef = item.Attributes["id"].Name;
GenericProduct ob = GenericProduct();
IDManager.SetID(nonSchemaProductIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
nonSchemaProductIDRef = item.Attributes["href"].Name;
}
else
{
nonSchemaProduct = new GenericProduct(item);
}
}
}
XmlNodeList bulletPaymentNodeList = xmlNode.SelectNodes("bulletPayment");
if (bulletPaymentNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in bulletPaymentNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
bulletPaymentIDRef = item.Attributes["id"].Name;
BulletPayment ob = BulletPayment();
IDManager.SetID(bulletPaymentIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
bulletPaymentIDRef = item.Attributes["href"].Name;
}
else
{
bulletPayment = new BulletPayment(item);
}
}
}
XmlNodeList capFloorNodeList = xmlNode.SelectNodes("capFloor");
if (capFloorNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in capFloorNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
capFloorIDRef = item.Attributes["id"].Name;
CapFloor ob = CapFloor();
IDManager.SetID(capFloorIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
capFloorIDRef = item.Attributes["href"].Name;
}
else
{
capFloor = new CapFloor(item);
}
}
}
XmlNodeList fraNodeList = xmlNode.SelectNodes("fra");
if (fraNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in fraNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
fraIDRef = item.Attributes["id"].Name;
Fra ob = Fra();
IDManager.SetID(fraIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
fraIDRef = item.Attributes["href"].Name;
}
else
{
fra = new Fra(item);
}
}
}
XmlNodeList swapNodeList = xmlNode.SelectNodes("swap");
if (swapNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in swapNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
swapIDRef = item.Attributes["id"].Name;
Swap ob = Swap();
IDManager.SetID(swapIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
swapIDRef = item.Attributes["href"].Name;
}
else
{
swap = new Swap(item);
}
}
}
XmlNodeList swaptionNodeList = xmlNode.SelectNodes("swaption");
if (swaptionNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in swaptionNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
swaptionIDRef = item.Attributes["id"].Name;
Swaption ob = Swaption();
IDManager.SetID(swaptionIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
swaptionIDRef = item.Attributes["href"].Name;
}
else
{
swaption = new Swaption(item);
}
}
}
XmlNodeList equitySwapTransactionSupplementNodeList = xmlNode.SelectNodes("equitySwapTransactionSupplement");
if (equitySwapTransactionSupplementNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in equitySwapTransactionSupplementNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
equitySwapTransactionSupplementIDRef = item.Attributes["id"].Name;
EquitySwapTransactionSupplement ob = EquitySwapTransactionSupplement();
IDManager.SetID(equitySwapTransactionSupplementIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
equitySwapTransactionSupplementIDRef = item.Attributes["href"].Name;
}
else
{
equitySwapTransactionSupplement = new EquitySwapTransactionSupplement(item);
}
}
}
XmlNodeList standardProductNodeList = xmlNode.SelectNodes("standardProduct");
if (standardProductNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in standardProductNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
standardProductIDRef = item.Attributes["id"].Name;
StandardProduct ob = StandardProduct();
IDManager.SetID(standardProductIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
standardProductIDRef = item.Attributes["href"].Name;
}
else
{
standardProduct = new StandardProduct(item);
}
}
}
XmlNodeList varianceOptionTransactionSupplementNodeList = xmlNode.SelectNodes("varianceOptionTransactionSupplement");
if (varianceOptionTransactionSupplementNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in varianceOptionTransactionSupplementNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
varianceOptionTransactionSupplementIDRef = item.Attributes["id"].Name;
VarianceOptionTransactionSupplement ob = VarianceOptionTransactionSupplement();
IDManager.SetID(varianceOptionTransactionSupplementIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
varianceOptionTransactionSupplementIDRef = item.Attributes["href"].Name;
}
else
{
varianceOptionTransactionSupplement = new VarianceOptionTransactionSupplement(item);
}
}
}
XmlNodeList varianceSwapNodeList = xmlNode.SelectNodes("varianceSwap");
if (varianceSwapNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in varianceSwapNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
varianceSwapIDRef = item.Attributes["id"].Name;
VarianceSwap ob = VarianceSwap();
IDManager.SetID(varianceSwapIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
varianceSwapIDRef = item.Attributes["href"].Name;
}
else
{
varianceSwap = new VarianceSwap(item);
}
}
}
XmlNodeList varianceSwapTransactionSupplementNodeList = xmlNode.SelectNodes("varianceSwapTransactionSupplement");
if (varianceSwapTransactionSupplementNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in varianceSwapTransactionSupplementNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
varianceSwapTransactionSupplementIDRef = item.Attributes["id"].Name;
VarianceSwapTransactionSupplement ob = VarianceSwapTransactionSupplement();
IDManager.SetID(varianceSwapTransactionSupplementIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
varianceSwapTransactionSupplementIDRef = item.Attributes["href"].Name;
}
else
{
varianceSwapTransactionSupplement = new VarianceSwapTransactionSupplement(item);
}
}
}
}
protected SwapPricer(ILogger logger, ICoreCache cache, String nameSpace,
List <Pair <IBusinessCalendar, IBusinessCalendar> > legCalendars,
Swap swapFpML, string basePartyReference,
ProductTypeSimpleEnum productType, Boolean forecastRateInterpolation)
{
Multiplier = 1.0m;
if (swapFpML == null)
{
return;
}
BusinessCentersResolver.ResolveBusinessCenters(swapFpML);
ForecastRateInterpolation = forecastRateInterpolation;
//Get the effective date
AdjustableDate adjustableEffectiveDate = XsdClassesFieldResolver.CalculationPeriodDatesGetEffectiveDate(swapFpML.swapStream[0].calculationPeriodDates);
EffectiveDate = adjustableEffectiveDate.unadjustedDate.Value;
//We make the assumption that the termination date is the same for all legs.
AdjustableDate adjustableTerminationDate = XsdClassesFieldResolver.CalculationPeriodDatesGetTerminationDate(swapFpML.swapStream[0].calculationPeriodDates);
var paymentCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, adjustableTerminationDate.dateAdjustments.businessCenters, nameSpace);
TerminationDate = AdjustedDateHelper.ToAdjustedDate(paymentCalendar, adjustableTerminationDate);
RiskMaturityDate = TerminationDate;
//EffectiveDate is not set;
ProductType = productType;
PaymentCurrencies = new List <string>();
//Resolve the payer
var legs = swapFpML.swapStream.Length;
if (legs == 0)
{
return;
}
var flag = false;
var index = 0;
if (legCalendars != null && legCalendars.Count == legs)
{
flag = true;
}
foreach (var swapStream in swapFpML.swapStream)
{
bool payerIsBase = basePartyReference == swapStream.payerPartyReference.href;//TODO add in the calendar functionality.
//Set the id of the first stream.
PriceableInterestRateStream leg = flag ? new PriceableInterestRateStream(logger, cache, nameSpace, payerIsBase, swapStream, ForecastRateInterpolation, legCalendars[index].First, legCalendars[index].Second)
: new PriceableInterestRateStream(logger, cache, nameSpace, payerIsBase, swapStream, ForecastRateInterpolation, null, null);
Legs.Add(leg);
//Add the currencies for the trade pricer.
if (!PaymentCurrencies.Contains(leg.Currency.Value))
{
PaymentCurrencies.Add(leg.Currency.Value);
}
index++;
}
if (swapFpML.additionalPayment != null)
{
AdditionalPayments = PriceableInstrumentsFactory.CreatePriceablePayments(basePartyReference, swapFpML.additionalPayment, null);
foreach (var payment in swapFpML.additionalPayment)
{
if (!PaymentCurrencies.Contains(payment.paymentAmount.currency.Value))
{
PaymentCurrencies.Add(payment.paymentAmount.currency.Value);
}
}
}
}
private SwapTrade getMtmTrade(bool initialExchange, bool intermediateExchange, bool finalExchange, double?initialNotional)
{
SwapLeg payLeg = RateCalculationSwapLeg.builder().payReceive(PAY).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 1, 24)).endDate(LocalDate.of(2016, 1, 24)).frequency(P3M).businessDayAdjustment(BDA_MF).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(P3M).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(NotionalSchedule.builder().finalExchange(finalExchange).initialExchange(initialExchange).amount(ValueSchedule.of(NOTIONAL_EUR)).currency(EUR).build()).calculation(IborRateCalculation.builder().index(EUR_EURIBOR_3M).fixingDateOffset(DaysAdjustment.ofBusinessDays(-2, CalendarUSD.NYC, BDA_P)).spread(ValueSchedule.of(0.0020)).build()).build();
SwapLeg receiveLeg = RateCalculationSwapLeg.builder().payReceive(RECEIVE).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 1, 24)).endDate(LocalDate.of(2016, 1, 24)).frequency(P3M).businessDayAdjustment(BDA_MF).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(P3M).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(NotionalSchedule.builder().finalExchange(finalExchange).initialExchange(initialExchange).intermediateExchange(intermediateExchange).amount(ValueSchedule.of(NOTIONAL_USD)).currency(USD).fxReset(FxResetCalculation.builder().fixingDateOffset(DaysAdjustment.ofBusinessDays(-2, CalendarUSD.NYC, BDA_P)).referenceCurrency(EUR).index(EUR_USD_WM).initialNotionalValue(initialNotional).build()).build()).calculation(IborRateCalculation.builder().index(USD_LIBOR_3M).fixingDateOffset(DaysAdjustment.ofBusinessDays(-2, CalendarUSD.NYC, BDA_P)).build()).build();
return(SwapTrade.builder().info(TradeInfo.builder().tradeDate(LocalDate.of(2014, 9, 10)).build()).product(Swap.of(payLeg, receiveLeg)).build());
}
private bool IsInitiate(Swap swap, Swap receivedSwap)
{
return(swap.IsStatusSet(receivedSwap.Status, SwapStatus.Initiated));
}
public bool EditBeerOfferedName(int _postid, Swap _swap, string _newName)
{
var query = from p in context.BeerPostings where p.BeerPostingID == _postid select p;
BeerPosting found_post = null;
bool result = true;
try
{
found_post = query.Single<BeerPosting>();
_swap.BeerOffered = _newName;
context.SaveChanges();
}
catch (InvalidOperationException)
{
result = false;
}
catch (ArgumentNullException)
{
result = false;
}
return result;
}
//-----------------------------------------------------------------------
// XCcy swap with exchange of notional
public virtual void test_XCcyEur3MSpreadVsUSD3M()
{
SwapLeg payLeg = RateCalculationSwapLeg.builder().payReceive(PAY).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 1, 24)).endDate(LocalDate.of(2016, 1, 24)).frequency(P3M).businessDayAdjustment(BDA_MF).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(P3M).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(NotionalSchedule.builder().finalExchange(true).initialExchange(true).amount(ValueSchedule.of(NOTIONAL_EUR)).currency(EUR).build()).calculation(IborRateCalculation.builder().index(EUR_EURIBOR_3M).fixingDateOffset(DaysAdjustment.ofBusinessDays(-2, CalendarUSD.NYC, BDA_P)).spread(ValueSchedule.of(0.0020)).build()).build();
SwapLeg receiveLeg = RateCalculationSwapLeg.builder().payReceive(RECEIVE).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 1, 24)).endDate(LocalDate.of(2016, 1, 24)).frequency(P3M).businessDayAdjustment(BDA_MF).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(P3M).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(NotionalSchedule.builder().finalExchange(true).initialExchange(true).amount(ValueSchedule.of(NOTIONAL_USD)).currency(USD).build()).calculation(IborRateCalculation.builder().index(USD_LIBOR_3M).fixingDateOffset(DaysAdjustment.ofBusinessDays(-2, CalendarUSD.NYC, BDA_P)).build()).build();
ResolvedSwapTrade trade = SwapTrade.builder().info(TradeInfo.builder().tradeDate(LocalDate.of(2014, 9, 10)).build()).product(Swap.of(payLeg, receiveLeg)).build().resolve(REF_DATA);
double pvUsdExpected = 431944.6868;
double pvEurExpected = -731021.1778;
DiscountingSwapTradePricer pricer = swapPricer();
MultiCurrencyAmount pv = pricer.presentValue(trade, provider());
assertEquals(pv.getAmount(USD).Amount, pvUsdExpected, TOLERANCE_PV);
assertEquals(pv.getAmount(EUR).Amount, pvEurExpected, TOLERANCE_PV);
}
