/// <summary> /// Prices the trade. /// </summary> /// <param name="modelData"></param> /// <param name="reportType"></param> /// <returns></returns> public abstract List <ValuationReport> Price(List <IInstrumentControllerData> modelData, ValuationReportType reportType);
///<summary>
/// Prices the trade.
///</summary>
///<returns></returns>
public override ValuationReport Price(IInstrumentControllerData modelData, ValuationReportType reportType)
{
//Price.
if (TradeHelper.IsImplementedProductType(ProductType))
{
// A new valuationReport.
var valuationReport = new ValuationReport();
//var valSet = new ValuationSet();
InstrumentControllerBase priceableProduct = PriceableProduct;
if (priceableProduct == null)
{
throw new ApplicationException("PriceableProduct is null!");
}
//This makes sure the marketenvironment has curves in it, otherwise the pricer will not function.
if (modelData.MarketEnvironment == null)
{
throw new ApplicationException("MarketEnvironment is null!");
}
//Set the appropriate Multiplier based on the reporting party
var result = new AssetValuation();
var reportingParty = modelData.BaseCalculationParty.Id;
if (BaseParty == TradeProp.Party1)
{
if (reportingParty == TradeProp.Party1)
{
result = priceableProduct.Calculate(modelData);
}
if (Parties[0].partyName.Value == reportingParty)
{
result = priceableProduct.Calculate(modelData);
}
if (Parties[1].partyName.Value == reportingParty || reportingParty == TradeProp.Party2)
{
priceableProduct.Multiplier = -1;
result = priceableProduct.Calculate(modelData);
priceableProduct.Multiplier = 1;
}
}
if (BaseParty == TradeProp.Party2)
{
if (reportingParty == TradeProp.Party2)
{
result = priceableProduct.Calculate(modelData);
}
if (Parties[1].partyName.Value == reportingParty)
{
result = priceableProduct.Calculate(modelData);
}
if (Parties[0].partyName.Value == reportingParty || reportingParty == TradeProp.Party1)
{
priceableProduct.Multiplier = -1;
result = priceableProduct.Calculate(modelData);
priceableProduct.Multiplier = 1;
}
}
if (modelData.IsReportingCounterpartyRequired)
{
priceableProduct.Multiplier = 0;
result = priceableProduct.Calculate(modelData);
priceableProduct.Multiplier = 1;
}
var valSet = new ValuationSet {
assetValuation = new[] { result }
};
//The tradevaluation item.
var trade = new Trade {
id = TradeIdentifier.UniqueIdentifier, tradeHeader = TradeHeader
};
//Checks to see if the deatil data is required and if so builds the product.//TODO Add other ItemChoice types.e.g. Fra
if (reportType == ValuationReportType.Full)
{
var item = PriceableProduct.BuildTheProduct();
trade.Item = item;
trade.ItemElementName = trade.GetTradeTypeFromItem();
}
var tradeValuationItem = new TradeValuationItem {
Items = new object[] { trade }, valuationSet = valSet
};
valuationReport.tradeValuationItem = new[] { tradeValuationItem };
return(valuationReport);
}
throw new NotSupportedException("Product pricing is not supported!");
}
///<summary>
/// Prices the trade.
///</summary>
///<returns></returns>
public abstract ValuationReport Price(IInstrumentControllerData modelData,
ValuationReportType reportType);
///<summary>
/// Prices the trade.
///</summary>
///<returns></returns>
public override List <ValuationReport> Price(List <IInstrumentControllerData> modelData, ValuationReportType reportType)
{
switch (reportType)
{
//Creates a valuation report for each market
case ValuationReportType.Full: return(modelData.Select(element => Price(element, reportType)).ToList());
//
//Creates a single valuation report with sensitivities populated.///TODO
case ValuationReportType.Summary: return(modelData.Select(element => Price(element, reportType)).ToList());
//TODO Convert all the individual reports into a single summary report.
//The default
default: return(modelData.Select(element => Price(element, reportType)).ToList());
}
}