public override void MergeDependencies(MarketDataDefinition mergeData)
{
if (mergeData is RateMktData)
{
if (RateDefinitions.Count(x => x.Name.Equals(mergeData.Name)) > 0)
{
for (var i = 0; i < RateDefinitions.Length; i++)
{
if (RateDefinitions[i].Name.Equals(mergeData.Name))
{
RateDefinitions[i] = (RateMktData)mergeData;
}
}
}
else
{
var list = new List <RateMktData>();
list.AddRange(RateDefinitions);
list.Add((RateMktData)mergeData);
RateDefinitions = list.ToArray();
}
}
else if (mergeData is CurveConvention)
{
CurveConvention = (CurveConvention)mergeData;
}
}
public override void RemoveDependencies(MarketDataDefinition mergeData)
{
if (mergeData is RateMktData)
{
RateMktData rateMkt = RateDefinitions.FirstOrDefault(x => x.Name.Equals(mergeData.Name));
var list = new List <RateMktData>();
list.AddRange(RateDefinitions);
list.Remove(rateMkt);
RateDefinitions = list.ToArray();
}
}
private void RemoveMarketInfo(MarketDataDefinition mktDataDef)
{
if (mktDataDef is BondMktData)
{
_marketInfo.BondMktDatas = _marketInfo.BondMktDatas.Remove(x => x.Name.Equals(mktDataDef.Name)).ToArray();
_mktDataDict.Remove(mktDataDef.Name);
}
else if (mktDataDef is FuturesMktData)
{
_marketInfo.FuturesMktDatas = _marketInfo.FuturesMktDatas.Remove(x => x.Name.Equals(mktDataDef.Name)).ToArray();
_mktDataDict.Remove(mktDataDef.Name);
}
else if (mktDataDef is TreasuryFutureMktData)
{
_marketInfo.TreasuryFutureMktData = _marketInfo.TreasuryFutureMktData.Remove(x => x.Name.Equals(mktDataDef.Name)).ToArray();
_mktDataDict.Remove(mktDataDef.Name);
}
else if (mktDataDef is InstrumentCurveDefinition)
{
_marketInfo.YieldCurveDefinitions = _marketInfo.YieldCurveDefinitions.Remove(x => x.Name.Equals(mktDataDef.Name)).ToArray();
_mktDataDict.Remove(mktDataDef.Name);
}
else if (mktDataDef is RateMktData)
{
var yieldCurveDefinitions = _marketInfo.YieldCurveDefinitions.Where(x => x.Name.Equals(mktDataDef.Name.Split('_')[0])).ToArray();
if (yieldCurveDefinitions.Any())
{
foreach (var yieldCurveDefinition in yieldCurveDefinitions)
{
yieldCurveDefinition.RemoveDependencies(mktDataDef);
_mktDataDict[yieldCurveDefinition.Name].RemoveDependencies(mktDataDef);
}
}
_mktDataDict.Remove(mktDataDef.Name);
}
else if (mktDataDef is StockMktData)
{
_marketInfo.StockMktDatas = _marketInfo.StockMktDatas.Remove(x => x.Name.Equals(mktDataDef.Name)).ToArray();
_mktDataDict.Remove(mktDataDef.Name);
}
else if (mktDataDef is VolSurfMktData)
{
_marketInfo.VolSurfMktDatas = _marketInfo.VolSurfMktDatas.Remove(x => x.Name.Equals(mktDataDef.Name)).ToArray();
_mktDataDict.Remove(mktDataDef.Name);
}
}
private void SetViewModel()
{
EquityOption option = OptionDefinition.GetOption();
(OptionPricingData pricingData, bool fixedData) = MarketDataDefinition.GetMarketData();
var strategies = new List <HedgingStrategy>()
{
new HedgingStrategy(new DeltaHedgedPortfolio(option, 1), "Delta hedging"),
new HedgingStrategy(new StopLossPortfolio(option, 1), "Stop-loss hedging")
};
if (fixedData)
{
ViewModel.PlotDailyPnL(new DateTime(2020, 1, 1), pricingData, strategies, Seed);
}
else
{
ViewModel.PlotDailyPnL(new DateTime(2020, 1, 1), pricingData, strategies);
}
}
public void RemoveDefinitions(MarketDataDefinition mktDataDef)
{
_qdpMarket.RemoveMarketDataDefinition(new[] { mktDataDef });
RemoveMarketInfo(mktDataDef);
}
private void UpdateMarketInfo(MarketDataDefinition mktDataDef)
{
if (mktDataDef is BondMktData)
{
var bondIndex = _marketInfo.BondMktDatas.FirstOrDefaultIndexOf(x => x.BondId.Equals(mktDataDef.Name));
if (bondIndex != null)
{
_marketInfo.BondMktDatas[bondIndex.Value] = (BondMktData)(mktDataDef);
}
else
{
var list = new List <BondMktData>();
list.AddRange(_marketInfo.BondMktDatas);
list.Add((BondMktData)mktDataDef);
_marketInfo.BondMktDatas = list.ToArray();
}
_mktDataDict[mktDataDef.Name] = mktDataDef;
}
else if (mktDataDef is FuturesMktData)
{
var futuresIndex = _marketInfo.FuturesMktDatas.FirstOrDefaultIndexOf(x => x.FuturesId.Equals(mktDataDef.Name));
if (futuresIndex != null)
{
_marketInfo.FuturesMktDatas[futuresIndex.Value] = (FuturesMktData)(mktDataDef);
}
else
{
var list = new List <FuturesMktData>();
list.AddRange(_marketInfo.FuturesMktDatas);
list.Add((FuturesMktData)mktDataDef);
_marketInfo.FuturesMktDatas = list.ToArray();
}
_mktDataDict[mktDataDef.Name] = mktDataDef;
}
else if (mktDataDef is TreasuryFutureMktData)
{
var tfIndex = _marketInfo.TreasuryFutureMktData.FirstOrDefaultIndexOf(x => x.BondId.Equals(mktDataDef.Name));
if (tfIndex != null)
{
_marketInfo.TreasuryFutureMktData[tfIndex.Value] = (TreasuryFutureMktData)(mktDataDef);
}
else
{
var list = new List <TreasuryFutureMktData>();
list.AddRange(_marketInfo.TreasuryFutureMktData);
list.Add((TreasuryFutureMktData)mktDataDef);
_marketInfo.TreasuryFutureMktData = list.ToArray();
}
_mktDataDict[mktDataDef.Name] = mktDataDef;
}
else if (mktDataDef is InstrumentCurveDefinition)
{
var instrumentCurveIndex =
_marketInfo.YieldCurveDefinitions.FirstOrDefaultIndexOf(x => x.Name.Equals(mktDataDef.Name));
if (instrumentCurveIndex != null)
{
_marketInfo.YieldCurveDefinitions[instrumentCurveIndex.Value] = (InstrumentCurveDefinition)(mktDataDef);
}
else
{
var list = new List <InstrumentCurveDefinition>();
list.AddRange(_marketInfo.YieldCurveDefinitions);
list.Add((InstrumentCurveDefinition)mktDataDef);
_marketInfo.YieldCurveDefinitions = list.ToArray();
}
_mktDataDict[mktDataDef.Name] = mktDataDef;
}
else if (mktDataDef is RateMktData)
{
var yieldCurveDefinitions = _marketInfo.YieldCurveDefinitions.Where(x => x.Name.Equals(mktDataDef.Name.Split('_')[0])).ToArray();
if (yieldCurveDefinitions.Any())
{
foreach (var yieldCurveDefinition in yieldCurveDefinitions)
{
yieldCurveDefinition.MergeDependencies(mktDataDef);
_mktDataDict[yieldCurveDefinition.Name].MergeDependencies(mktDataDef);
}
}
_mktDataDict[mktDataDef.Name] = mktDataDef;
}
else if (mktDataDef is CurveConvention)
{
foreach (var yieldCurveDefinition in _marketInfo.YieldCurveDefinitions.Where(yieldCurveDefinition => yieldCurveDefinition.CurveConvention.Name.Equals(mktDataDef.Name)))
{
yieldCurveDefinition.CurveConvention = (CurveConvention)mktDataDef;
_mktDataDict[yieldCurveDefinition.Name].MergeDependencies(mktDataDef);
}
_mktDataDict[mktDataDef.Name] = mktDataDef;
}
}
private void InitialiseControls()
{
OptionDefinition.SetOption(OptionType.EuropeanCall, 60, DateTime.Now);
MarketDataDefinition.SetMarketData(new OptionPricingData(60, 0.2, 0.04, 0.02), false);
}
