public string CacheFraTrade(ILogger logger, ICoreCache cache, string fraId, FraInputRange fraInputRange)
{
var fra = ProductFactory.GetFpMLFra(fraInputRange);
var trade = new Trade();
XsdClassesFieldResolver.TradeSetFra(trade, fra);
cache.SaveObject(trade, fraId, null);
return(fraId);
}
private static double GetParRateFromRange(ILogger logger, ICoreCache cache, IRateCurve forwardCurve, IRateCurve discountCurve,
IBusinessCalendar fixingCalendar, IBusinessCalendar paymentCalendar, FraInputRange fraInputRange, String nameSpace)
{
Fra fra = ProductFactory.GetFpMLFra(fraInputRange);
//var forwardCurve = ObjectCacheHelper.GetPricingStructureFromSerialisable(fraInputRange.ForwardCurveId);
//var discountCurve = (RateCurve)ObjectCacheHelper.GetPricingStructureFromSerialisable(fraInputRange.DiscountingCurveId);
var market = CreateMarket(discountCurve, forwardCurve);
var priceInMoney = GetParRate(logger, cache, fixingCalendar, paymentCalendar, fra, fraInputRange.ValuationDate, market, nameSpace);
return(priceInMoney);
}
public string CreateFraTradeValuation(ILogger logger, ICoreCache cache,
IRateCurve forwardCurve, IRateCurve discountCurve,
IBusinessCalendar fixingCalendar, IBusinessCalendar paymentCalendar,
FraInputRange fraInputRange, string[] metrics,
NamedValueSet properties, String nameSpace)
{
//get the balues reqired from the property bag.
var valuationId = new ValuationReportIdentifier(properties);
var baseParty = properties.GetString("BaseParty", true);
var reportingCurrency = properties.GetString("ReportingCurrency", true);
properties.Set("Function", "ValuationReport");
properties.Set("Domain", "Orion.ValuationReport");
//TODO add other properties
//var fra = Cache.GetTrade(fraId);
var fra = ProductFactory.GetFpMLFra(fraInputRange);
//Get the curves and store.
var marketFactory = new MarketFactory();
var uniqueCurves = new List <IRateCurve>();
//var forwardCurve = (RateCurve)ObjectCacheHelper.GetPricingStructureFromSerialisable(fraInputRange.ForwardCurveId);
//var discountCurve = (RateCurve)ObjectCacheHelper.GetPricingStructureFromSerialisable(fraInputRange.DiscountingCurveId);
var market = CreateMarket(discountCurve, forwardCurve);
var agreement = new FraPricer(logger, cache, null, null, fra, nameSpace);
var modelData = CreateInstrumentModelData(metrics, fraInputRange.ValuationDate, market, reportingCurrency);
var asetValuation = agreement.Calculate(modelData);
// Add forward yield curve to the market environment ...
//
//var forwardCurve = (IRateCurve)ObjectCacheHelper.GetPricingStructureFromSerialisable(fraInputRange.ForwardCurveId);
uniqueCurves.Add(forwardCurve);
// ... if discount curve is not the same as forward curve - add a discount curve too.
//
//if (fraInputRange.ForwardCurveId != fraInputRange.DiscountingCurveId)
//{
// var discountingCurve = (IRateCurve)ObjectCacheHelper.GetPricingStructureFromSerialisable(fraInputRange.DiscountingCurveId);
// uniqueCurves.Add(discountingCurve);
//}
//TODO Add the FX curve if the reporting currency is different.
foreach (var rateCurve in uniqueCurves)
{
// Add all unique curves into market
//
Pair <PricingStructure, PricingStructureValuation> pair = rateCurve.GetFpMLData();
marketFactory.AddPricingStructure(pair);
}
var valuation = new Valuation();
// create ValuationReport and add it to in-memory collection.
//
valuation.CreateFraValuationReport(cache, nameSpace, valuationId.UniqueIdentifier, baseParty, fra, marketFactory.Create(), asetValuation, properties);
return(valuationId.UniqueIdentifier);
}
public string CacheFraTradeWithProperties(ILogger logger, ICoreCache cache, FraInputRange fraInputRange, NamedValueSet properties)
{
var fra = ProductFactory.GetFpMLFra(fraInputRange);
var trade = new Trade();
XsdClassesFieldResolver.TradeSetFra(trade, fra);
//Get the id.
ProductIdentifier = new FpML.V5r10.Reporting.Identifiers.TradeIdentifier(properties);
var fraId = ProductIdentifier.UniqueIdentifier;
//Cache the trade.
cache.SaveObject(trade, fraId, properties);
return(fraId);
}
