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);
}
/// <summary>
/// Prices the product.
/// </summary>
/// <param name="logger"></param>
/// <param name="cache"></param>
/// <param name="fixingCalendar"></param>
/// <param name="paymentCalendar"></param>
/// <param name="fra"></param>
/// <param name="valuationDate"></param>
/// <param name="market"></param>
/// <param name="nameSpace"></param>
/// <returns></returns>
public static double GetParRate(ILogger logger, ICoreCache cache,
IBusinessCalendar fixingCalendar,
IBusinessCalendar paymentCalendar,
Fra fra,
DateTime valuationDate,
IMarketEnvironment market,
String nameSpace)
{
var agreement = new FraPricer(logger, cache, fixingCalendar, paymentCalendar, fra, nameSpace);
var modelData = CreateInstrumentModelData(new[] { "ImpliedQuote" }, valuationDate, market, "AUD");
var av = agreement.Calculate(modelData);
return((double)av.quote[0].value);
}
