public static bool DoesUcfDiffer(this ISwapDescription swap, IUnrealisedCashFlow[] rhsUcf)
{ // iterates over today's UCF
var lhsUcf = swap.Position.UnrealisedCashFlows;
if (lhsUcf == null && rhsUcf == null)
{
return(false);
}
if (lhsUcf == null || rhsUcf == null)
{
return(true);
}
// now both are non-null
if (lhsUcf.Length != rhsUcf.Length)
{
return(true);
}
for (var i = 0; i < lhsUcf.Length; i++) // assume CFs are sorted
{
var lhs = lhsUcf[i]; var rhs = rhsUcf[i];
if (lhs.PayDate != rhs.PayDate ||
lhs.ShortCashFlowType != rhs.ShortCashFlowType ||
lhs.CashType != rhs.CashType ||
lhs.Currency != rhs.Currency ||
lhs.Amount != rhs.Amount ||
lhs.FxFix != rhs.FxFix)
{
return(true);
}
}
;
return(false);
}
public static IUnrealisedCashFlow[] GetUcfSudden(this ISwapDescription swap, IUnrealisedCashFlow[] yesterday)
{ // iterates over yesterday's UCF. UCF Sudden is the amount that "disappeared".
if (yesterday == null || yesterday.Length == 0)
{
return(new UnrealisedCashFlow[0]);
}
return(yesterday
.Where(y => !swap.Position.UnrealisedCashFlows.Any(t => y.UcfMatches(t, swap.SwapCurrency != y.Currency)) &&
!swap.Position.RealisedCashFlows.Any(r => y.UcfMatches(r, swap.ValueDate, swap.SwapCurrency == y.Currency))
).ToArray());
}
public static IRealisedCashFlow[] GetRcfSudden(this ISwapDescription swap, IUnrealisedCashFlow[] yesterday)
{ // iterates of today's RCF. RCF Sudden is the amount that "appeared".
return(swap.Position.RealisedCashFlows
.Where(r => r.DtdAmount != 0)
.Select(r =>
{
var prevAmount = yesterday?.Where(y => y.UcfMatches(r, swap.ValueDate, swap.SwapCurrency != y.Currency)).Sum(y => y.Amount * y.FxFix) ?? 0.0;
return new PFSFeed.Model.RealisedCashFlow(r.ShortCashFlowType, r.CashType, r.LtdAmount, r.DtdAmount * r.FxFix - prevAmount, r.Currency + "->" + swap.SwapCurrency, r.FxFix);
})
.ToArray());
}
public PfsData(int date, ISwapDescription swap_T_1, ISwapDescription swap_T_2 = null, double fx = 1, bool showFixes = false)
{
Date = date;
Swap_T_1 = swap_T_1;
Swap_T_2 = swap_T_2;
//fxRates = fxHist.ContainsKey(Date) ? fxHist[Date] : null;
//fxRate = Utility.GetFxRate(fxRates, Swap_T_1.SwapCurrency);
fxRate = fx;
this.showFixes = showFixes;
yesterdayUcf = swap_T_2?.Position?.UnrealisedCashFlows;
}
public static IUnrealisedCashFlow[] GetUcfDtd(this ISwapDescription swap, IUnrealisedCashFlow[] yesterday)
{ // iterates over today's UCF
if (yesterday == null || yesterday.Length == 0)
{
return(swap.Position.UnrealisedCashFlows);
}
return(swap.Position.UnrealisedCashFlows.Select(t =>
{
var prevAmount = yesterday.FirstOrDefault(y => t.UcfMatches(y, swap.SwapCurrency != t.Currency))?.Amount ?? 0.0;
return new PFSFeed.Model.UnrealisedCashFlow(t.PayDate, t.ShortCashFlowType, t.CashType, (t.Amount - prevAmount) * t.FxFix, t.Currency + "->" + swap.SwapCurrency, t.FxFix, 0, 0, 0);
}).ToArray());
}
public Dictionary <int, ISwapDescription> FetchPfsSwapHistory(Region region, string pfsId, int fromDate, int tillDate = 0)
{
if (tillDate < fromDate)
{
tillDate = Utility.DateToRover8(DateTime.Today);
}
var retVal = new Dictionary <int, ISwapDescription>();
DateTime dt;
for (dt = Utility.Rover8ToDate(fromDate); dt < Utility.Rover8ToDate(tillDate); dt = Utility.AddBusinessDays(dt, 1, null))
{
ISwapDescription val = null;
try { val = PFSGateway.GetEoDSwap(pfsId, region.ToString(), dt); } catch (ParsingException) { }
retVal.Add(Utility.DateToRover8(dt), val);
}
ISwapDescription valLive = null;
try { valLive = dt >= DateTime.Today ? PFSGateway.GetSwap(pfsId) : PFSGateway.GetEoDSwap(pfsId, region.ToString(), dt); } catch (ParsingException) { }
retVal.Add(Utility.DateToRover8(dt >= DateTime.Today ? DateTime.Today : dt), valLive);
return(retVal);
}
public static PfsDbConsistencyData CreatePfsDbConsistencyData(ISwapDescription p, PaaData d)
{
return(new PfsDbConsistencyData
{
EodDate = p.ValueDate,
PosId = d.PosId,
PfsTQ = p.Position.TradedQuantity,
DbTQ = d.Quantity,
PfsAvgCost = Math.Round(p.Position.ProfitLoss.AverageCost, 6),
DbAvgCost = d.AverageCost,
DbAvgCostA = d.AvgCostA,
PfsRlsd = Utility.Round(p.Position.RealisedCashFlows.Where(cf => cf.ShortCashFlowType != ShortCashFlowTypeEnum.Distibution && cf.ShortCashFlowType != ShortCashFlowTypeEnum.Reset && cf.ShortCashFlowType != ShortCashFlowTypeEnum.TransactionFee)?.Sum(cf => cf.LtdAmount) ?? 0.0),
DbRlsd = d.Realised,
DbRlsdA = d.RlsdA,
PfsComm = Utility.Round(p.Position.RealisedCashFlows.Where(cf => cf.ShortCashFlowType == ShortCashFlowTypeEnum.TransactionFee)?.Sum(cf => cf.LtdAmount) ?? 0.0),
DbComm = d.Commission,
DbCommA = d.CommA,
PfsDiv = Utility.Round(p.Position.RealisedCashFlows.Where(cf => cf.ShortCashFlowType == ShortCashFlowTypeEnum.Distibution)?.Sum(cf => cf.LtdAmount) ?? 0.0),
DbDiv = d.Dividend,
PfsCoupon = Utility.Round(p.Position.RealisedCashFlows.Where(cf => cf.ShortCashFlowType == ShortCashFlowTypeEnum.Reset)?.Sum(cf => cf.LtdAmount) ?? 0.0),
DbCoupon = d.Coupon,
PfsId = d.PfsId,
});
}
