/// <summary>
/// Parses the assetIdentifiers.
/// </summary>
/// <param name="assetIdentifiers"></param>
/// <param name="values"></param>
/// <param name="adjustments"></param>
/// <returns></returns>
public static FxRateSet ParseToFxRateSet(string[] assetIdentifiers, decimal[] values, decimal[] adjustments)
{
if (assetIdentifiers.Length != values.Length)
{
throw new ArgumentOutOfRangeException(nameof(values), "the rates do not match the number of assets");
}
if (adjustments != null && assetIdentifiers.Length != adjustments.Length)
{
throw new ArgumentOutOfRangeException(nameof(values), "the rates do not match the number of assets");
}
var quotedAssetSetFactory = new QuotedAssetSetFactory();
const string rateQuotationType = PriceableCommoditySpot.RateQuotationType;
int index = 0;
foreach (string assetIdentifier in assetIdentifiers)
{
var bav
= new BasicAssetValuation
{
objectReference = new AnyAssetReference {
href = assetIdentifier
}
};
var addOn = adjustments?[index] ?? 0.0m;
var bqs = new List <BasicQuotation>
{
BasicQuotationHelper.Create(values[index] + addOn, rateQuotationType, "DecimalRate")
};
bav.quote = bqs.ToArray();
quotedAssetSetFactory.AddAssetAndQuotes(Parse(assetIdentifier), bav);
index++;
}
return(quotedAssetSetFactory.CreateFxRateSet());
}
/// <summary>
/// Creates the specified assets in a quoted asset set.
/// </summary>
/// <param name="assetIdentifiers">The asset identifiers.</param>
/// <param name="values">The adjusted rates.</param>
/// <param name="measureTypes">The measure types. Currently supports MarketQuote and Volatility.</param>
/// <param name="priceQuoteUnits">The price quote units. Currently supports Rates and LogNormalVolatility.</param>
/// <param name="includeMarketQuoteValues">An include flag. If false, then the market quotes are set as null.</param>
/// <returns></returns>
public static FxRateSet ParseToFxRateSet(string[] assetIdentifiers, Decimal[] values,
String[] measureTypes, String[] priceQuoteUnits, bool includeMarketQuoteValues)
{
if (assetIdentifiers.Length != values.Length && assetIdentifiers.Length != priceQuoteUnits.Length && assetIdentifiers.Length != measureTypes.Length)
{
throw new ArgumentOutOfRangeException(nameof(values), "the rates do not match the number of assets");
}
var quotedAssetSetFactory = new QuotedAssetSetFactory();
foreach (string assetIdentifier in assetIdentifiers.Distinct())
{
int index = 0;
var bav
= new BasicAssetValuation
{
objectReference = new AnyAssetReference {
href = assetIdentifier
}
};
var bqs = new List <BasicQuotation>();
foreach (string ids in assetIdentifiers)
{
index++;
if (ids != assetIdentifier)
{
continue;
}
BasicQuotation bq;
if (measureTypes[index - 1] == AssetMeasureEnum.MarketQuote.ToString() && !includeMarketQuoteValues)
{
bq = BasicQuotationHelper.Create(measureTypes[index - 1],
priceQuoteUnits[index - 1]);
bqs.Add(bq);
}
else
{
bq = BasicQuotationHelper.Create(values[index - 1], measureTypes[index - 1],
priceQuoteUnits[index - 1]);
bqs.Add(bq);
}
}
bav.quote = bqs.ToArray();
quotedAssetSetFactory.AddAssetAndQuotes(Parse(assetIdentifier), bav);
}
return(quotedAssetSetFactory.CreateFxRateSet());
}