public static ValuationReport Generate(string valuationId, string baseParty,
string tradeId, DateTime tradeDate,
CapFloor capFloor, Market market, AssetValuation assetValuation)
{
var valuationReport = new ValuationReport
{
header = new NotificationMessageHeader
{
messageId = new MessageId
{
Value
=
valuationId
}
},
market = market
};
// Associate id with the valuation
//
var tradeValuationItem = new TradeValuationItem();
valuationReport.tradeValuationItem = new[] { tradeValuationItem };
var trade = new Trade();
TradeHeader tradeHeader = CreateTradeHeader(tradeDate, tradeId);
trade.tradeHeader = tradeHeader;
XsdClassesFieldResolver.TradeSetCapFloor(trade, capFloor);
tradeValuationItem.Items = new object[] { trade };
tradeValuationItem.valuationSet = new ValuationSet
{
baseParty = PartyReferenceFactory.Create(baseParty),
assetValuation = new[] { assetValuation }
};
return(valuationReport);
}
public static ValuationReport Generate(string valuationId, string baseParty,
string tradeId, DateTime tradeDate,
Swap swap, Market market,
AssetValuation assetValuation)
{
var valuationReport = new ValuationReport
{
header = new NotificationMessageHeader
{
messageId = new MessageId
{
Value
=
valuationId
}
},
market = market
};
// Associate id with the valuation
//
var tradeValuationItem = new TradeValuationItem();
valuationReport.tradeValuationItem = new[] { tradeValuationItem };
//Party nabParty = PartyFactory.Create("Party1");
//Party counterParty = PartyFactory.Create(_counterpartyName);
//
// valuationReport.party = new Party[] { nabParty, counterParty };
// PartyOrAccountReference nabPartyReference = PartyOrAccountReferenceFactory.Create(nabParty.id);
// PartyOrAccountReference counterPartyReference = PartyOrAccountReferenceFactory.Create(counterParty.id);
// // NAB is the payer of pay paystream and receiver of receive stream
// //
// SwapHelper.GetPayerStream(swap).payerPartyReference = nabPartyReference;
// SwapHelper.GetReceiverStream(swap).receiverPartyReference = nabPartyReference;
//
// // CounterParty is the receiver of paystream and payer of receivestream
// //
// SwapHelper.GetPayStream(swap).receiverPartyReference = counterPartyReference;
// SwapHelper.GetReceiveStream(swap).payerPartyReference = counterPartyReference;
var trade = new Trade();
// Generate trade header
//
TradeHeader tradeHeader = CreateTradeHeader(tradeDate, tradeId);
trade.tradeHeader = tradeHeader;
XsdClassesFieldResolver.TradeSetSwap(trade, swap);
tradeValuationItem.Items = new object[] { trade };
tradeValuationItem.valuationSet = new ValuationSet
{
baseParty = PartyReferenceFactory.Create(baseParty),
assetValuation = new[] { assetValuation }
};
return(valuationReport);
}
private static TradeHeader CreateTradeHeader(DateTime tradeDate, string tradeId)
{
var tradeHeader = new TradeHeader
{
tradeDate = IdentifiedDateHelper.Create(TradeProp.TradeDate, tradeDate),
partyTradeIdentifier = new[] { new PartyTradeIdentifier() }
};
var tradeIdAsObject = new TradeId {
tradeIdScheme = "FpML", Value = tradeId
};
XsdClassesFieldResolver.TradeIdentifierSetTradeId(tradeHeader.partyTradeIdentifier[0], tradeIdAsObject);
return(tradeHeader);
}
