/// <summary>
/// Parses the data.
/// </summary>
/// <param name="instrumentIds"></param>
/// <returns></returns>
public static QuotedAssetSet Parse(string[] instrumentIds)
{
var quotedAssetSetFactory = new QuotedAssetSetFactory();
const string rateQuotationType = "MarketQuote";
for (var i = 0; i < instrumentIds.Length; i++)
{
Asset underlyingAsset;
var instrumentId = instrumentIds[i];
var results = instrumentIds[i].Split('-');
var instrument = results[1];
var listBasicQuotations = new List <BasicQuotation>();
const string priceUnitDecimalRate = "DecimalRate";
switch (instrument)
{
case "ZeroRate":
{
underlyingAsset = new Cash {
id = instrumentId
};
listBasicQuotations.Add(BasicQuotationHelper.Create(rateQuotationType, priceUnitDecimalRate));
break;
}
case "Xibor":
case "OIS":
{
var tenor = results[2];
underlyingAsset = new RateIndex {
id = instrumentId, term = Period.Parse(tenor)
};
listBasicQuotations.Add(BasicQuotationHelper.Create(rateQuotationType, priceUnitDecimalRate));
break;
}
case "IRSwap":
case "XccySwap":
case "SimpleIRSwap":
{
underlyingAsset = new SimpleIRSwap {
id = instrumentId, term = Period.Parse(results[2])
};
listBasicQuotations.Add(BasicQuotationHelper.Create(rateQuotationType, priceUnitDecimalRate));
break;
}
case "Deposit":
case "XccyDepo":
case "BankBill":
{
underlyingAsset = new Deposit {
id = instrumentId, term = Period.Parse(results[2])
};
listBasicQuotations.Add(BasicQuotationHelper.Create(rateQuotationType, priceUnitDecimalRate));
break;
}
case "SimpleFra":
case "Fra":
case "BillFra":
{
var index = results[3];
var asset = new SimpleFra {
id = instrumentId, startTerm = Period.Parse(results[2])
};
asset.endTerm = asset.startTerm.Sum(Period.Parse(index));
underlyingAsset = asset;
listBasicQuotations.Add(BasicQuotationHelper.Create(rateQuotationType, priceUnitDecimalRate));
break;
}
case "IRFuture":
{
underlyingAsset = new Future {
id = instrumentId
};
listBasicQuotations.Add(BasicQuotationHelper.Create(rateQuotationType, priceUnitDecimalRate));
listBasicQuotations.Add(BasicQuotationHelper.Create("Volatility", "LognormalVolatility"));
break;
}
case "CPIndex":
{
var tenor = results[2];
underlyingAsset = new RateIndex {
id = instrumentId, term = Period.Parse(tenor)
};
listBasicQuotations.Add(BasicQuotationHelper.Create(rateQuotationType, priceUnitDecimalRate));
break;
}
case "SimpleCPISwap":
case "CPISwap":
case "ZCCPISwap":
{
underlyingAsset = new SimpleIRSwap {
id = instrumentId, term = Period.Parse(results[2])
};
listBasicQuotations.Add(BasicQuotationHelper.Create(rateQuotationType, priceUnitDecimalRate));
break;
}
default:
throw new NotSupportedException(string.Format("Asset type {0} is not supported", instrument));
}
quotedAssetSetFactory.AddAssetAndQuotes(underlyingAsset, BasicAssetValuationHelper.Create(underlyingAsset.id, listBasicQuotations.ToArray()));
}
return(quotedAssetSetFactory.Create());
}
/// <summary>
/// Parses the string info into an asset.
/// </summary>
/// <param name="instrumentId"></param>
/// <param name="value"></param>
/// <param name="adjustment"></param>
/// <returns></returns>
public static Pair <Asset, BasicAssetValuation> Parse(string instrumentId, decimal value, decimal adjustment)
{
const string rateQuotationType = "MarketQuote";
Asset underlyingAsset;
var results = instrumentId.Split('-');
var instrument = results[1];
var listBasicQuotations = new List <BasicQuotation>();
switch (instrument)
{
case "ZeroRate":
{
var zeroRate = new Cash {
id = instrumentId
};
underlyingAsset = zeroRate;
listBasicQuotations.Add(BasicQuotationHelper.Create(value, rateQuotationType, "DecimalRate"));
break;
}
case "Xibor":
case "OIS":
{
var tenor = results[2];
var rateIndex = new RateIndex {
id = instrumentId, term = Period.Parse(tenor)
};
underlyingAsset = rateIndex;
listBasicQuotations.Add(BasicQuotationHelper.Create(value + adjustment, rateQuotationType, "DecimalRate"));
break;
}
case "IRSwap":
case "XccySwap":
case "SimpleIRSwap":
{
var simpleIRSwap = new SimpleIRSwap {
id = instrumentId, term = Period.Parse(results[2])
};
underlyingAsset = simpleIRSwap;
listBasicQuotations.Add(BasicQuotationHelper.Create(value + adjustment, rateQuotationType, "DecimalRate"));
break;
}
case "Deposit":
case "XccyDepo":
case "BankBill":
{
var deposit = new Deposit {
id = instrumentId, term = Period.Parse(results[2])
};
underlyingAsset = deposit;
listBasicQuotations.Add(BasicQuotationHelper.Create(value + adjustment, rateQuotationType, "DecimalRate"));
break;
}
case "SimpleFra":
case "Fra":
case "BillFra":
case "SpreadFra":
{
var index = results[3];
var asset = new SimpleFra {
id = instrumentId, startTerm = Period.Parse(results[2])
};
asset.endTerm = asset.startTerm.Sum(Period.Parse(index));
underlyingAsset = asset;
listBasicQuotations.Add(BasicQuotationHelper.Create(value + adjustment, rateQuotationType, "DecimalRate"));
break;
}
case "IRCap":
{
var simpleIRCap = new SimpleIRSwap {
id = instrumentId, term = Period.Parse(results[2])
};
underlyingAsset = simpleIRCap;
listBasicQuotations.Add(BasicQuotationHelper.Create(value, "Premium", "Amount"));
break;
}
case "IRFuture":
{
var future = new Future {
id = instrumentId
};
underlyingAsset = future;
listBasicQuotations.Add(BasicQuotationHelper.Create(value, rateQuotationType, "DecimalRate"));
listBasicQuotations.Add(BasicQuotationHelper.Create(adjustment, "Volatility", "LognormalVolatility"));
break;
}
case "CommodityFuture":
{
var future = new Future {
id = instrumentId
};
underlyingAsset = future;
listBasicQuotations.Add(BasicQuotationHelper.Create(value, rateQuotationType, "DecimalRate"));
break;
}
case "CPIndex":
{
var tenor = results[2];
var rateIndex = new RateIndex {
id = instrumentId, term = Period.Parse(tenor)
};
underlyingAsset = rateIndex;
listBasicQuotations.Add(BasicQuotationHelper.Create(value + adjustment, rateQuotationType, "DecimalRate"));
break;
}
case "SimpleCPISwap":
case "CPISwap":
case "ZCCPISwap":
{
var simpleIRSwap = new SimpleIRSwap {
id = instrumentId, term = Period.Parse(results[2])
};
underlyingAsset = simpleIRSwap;
listBasicQuotations.Add(BasicQuotationHelper.Create(value + adjustment, rateQuotationType, "DecimalRate"));
break;
}
case "FxSpot":
case "FxForward":
{
// var tenor = results[2];
var fxRateAsset = new FxRateAsset {
id = instrumentId
};
underlyingAsset = fxRateAsset;
listBasicQuotations.Add(BasicQuotationHelper.Create(value + adjustment, rateQuotationType, "FxRate"));
break;
}
case "CommoditySpot":
case "CommodityForward":
{
var commodityAsset = new FxRateAsset {
id = instrumentId
};
underlyingAsset = commodityAsset;
listBasicQuotations.Add(BasicQuotationHelper.Create(value, rateQuotationType, "Price"));
break;
}
case "Bond":
{
var asset = new Bond {
id = instrumentId
};
underlyingAsset = asset;
listBasicQuotations.Add(BasicQuotationHelper.Create(value, rateQuotationType, "DirtyPrice"));
break;
}
default:
throw new NotSupportedException(string.Format("Asset type {0} is not supported", instrument));
}
return(new Pair <Asset, BasicAssetValuation>(underlyingAsset, BasicAssetValuationHelper.Create(underlyingAsset.id, listBasicQuotations.ToArray())));
}
