public void ProcessRequest(RequestBase baseRequest, HandlerResponse response) { if (baseRequest == null) { throw new ArgumentNullException(nameof(baseRequest)); } var request = baseRequest as StressedCurveGenRequest; if (request == null) { throw new InvalidCastException( $"{typeof(RequestBase).Name} is not a {typeof(StressedCurveGenRequest).Name}"); } // check for workflow cancellation if (Cancelled) { throw new OperationCanceledException(CancelReason); } DateTime lastStatusPublishedAt = DateTime.Now; CurveSelection[] curveSelectors = request.CurveSelector ?? new List <CurveSelection>().ToArray(); #region Load stress rules //find the uniques namespaces var uniquesNameSpaces = new List <string>(); foreach (CurveSelection curveSelector in curveSelectors) { if (!uniquesNameSpaces.Contains(curveSelector.NameSpace)) { uniquesNameSpaces.Add(curveSelector.NameSpace); } } var cachedStressRules = new Dictionary <string, List <CachedStressRule> >(); { IExpression queryExpr = Expr.IsEQU(EnvironmentProp.NameSpace, uniquesNameSpaces[0]);//TODO only does the first namespace.... List <StressRule> storedStressRules = Context.Cache.LoadObjects <StressRule>(queryExpr); foreach (StressRule storedStressRule in storedStressRules) { if ((storedStressRule.Disabled) || (storedStressRule.StressId == null)) { continue; } string key = storedStressRule.StressId.ToLower(); List <CachedStressRule> rules; if (!cachedStressRules.TryGetValue(key, out rules)) { rules = new List <CachedStressRule>(); cachedStressRules[key] = rules; } rules.Add(new CachedStressRule(storedStressRule)); rules.Sort(); } } #endregion response.ItemCount = curveSelectors.Length * cachedStressRules.Count; // iterate selected base curves foreach (CurveSelection curveSelector in curveSelectors) { // check for workflow cancellation if (Cancelled) { throw new OperationCanceledException(CancelReason); } // publish 'intermediate' in-progress result (throttled) if ((DateTime.Now - lastStatusPublishedAt) > TimeSpan.FromSeconds(5)) { lastStatusPublishedAt = DateTime.Now; response.Status = RequestStatusEnum.InProgress; Context.Cache.SaveObject(response); } string nameSpace = curveSelector.NameSpace; string inputMarketName = curveSelector.MarketName; var marketDate = curveSelector.MarketDate; if (marketDate != null && marketDate != DateTime.MinValue) { inputMarketName += "." + ((DateTime)marketDate).ToString(CurveProp.MarketDateFormat); } string inputCurveName = curveSelector.CurveName; string inputCurveType = curveSelector.CurveType; Context.Logger.LogDebug("Building stressed curve(s): {0}.{1}.{2}", inputMarketName, inputCurveType, inputCurveName); #region Load base curve var curveGenProps = new NamedValueSet(); curveGenProps.Set(CurveProp.BaseDate, request.BaseDate); IPricingStructureIdentifier baseCurveId = PricingStructureIdentifier.CreateMarketCurveIdentifier(curveGenProps, inputMarketName, null, inputCurveType, inputCurveName, null); var baseCurveUniqueId = baseCurveId.Properties.GetValue <string>(CurveProp.UniqueIdentifier, true); ICoreItem baseCurveItem = LoadAndCheckMarketItem(Context.Cache, nameSpace, baseCurveUniqueId); var stressNameProp = baseCurveItem.AppProps.GetValue <string>(CurveProp.StressName, null); if (stressNameProp != null) { throw new ApplicationException("The Market with name '" + baseCurveUniqueId + "' is NOT a base curve! (Stress name is not null)"); } var baseCurveFpml = (Market)baseCurveItem.Data; var baseCurveType = PropertyHelper.ExtractPricingStructureType(baseCurveItem.AppProps); #endregion #region Load the reference curves - if required string fxCurveName = null, refCurveName = null, quoteCurveName = null; NamedValueSet fxProperties = null, refProperties = null, quoteProperties = null; Market fxMarket = null, refMarket = null, quoteMarket = null; if (baseCurveType == PricingStructureTypeEnum.RateBasisCurve || baseCurveType == PricingStructureTypeEnum.RateXccyCurve) { // rate basis curves require a reference curve refCurveName = baseCurveItem.AppProps.GetValue <string>(CurveProp.ReferenceCurveUniqueId, true); // load the reference curve var refCurveItem = LoadAndCheckMarketItem(Context.Cache, nameSpace, refCurveName); refMarket = (Market)refCurveItem.Data; refProperties = refCurveItem.AppProps; } if (baseCurveType == PricingStructureTypeEnum.RateXccyCurve) { // rate basis curves require an fx curve fxCurveName = baseCurveItem.AppProps.GetValue <string>(CurveProp.ReferenceFxCurveUniqueId, true); // load the reference curve var fxCurveItem = LoadAndCheckMarketItem(Context.Cache, nameSpace, fxCurveName); fxMarket = (Market)fxCurveItem.Data; fxProperties = fxCurveItem.AppProps; // rate basis curves require a reference curve quoteCurveName = baseCurveItem.AppProps.GetValue <string>(CurveProp.ReferenceCurrency2CurveId, true); // load the reference curve var quoteCurveItem = LoadAndCheckMarketItem(Context.Cache, nameSpace, quoteCurveName); quoteMarket = (Market)quoteCurveItem.Data; quoteProperties = quoteCurveItem.AppProps; } #endregion // process stress rules foreach (var kvp in cachedStressRules) { CachedStressRule stressRule = kvp.Value.FirstOrDefault(item => (item.FilterExpr == null) || (Expr.CastTo(item.FilterExpr.Evaluate(baseCurveItem.AppProps), false))); // find stress rule that applies if (stressRule == null) { // this stress does not apply to this base curve Context.Logger.LogWarning("Stress '{0}' does not apply to base curve '{1}'!", kvp.Key, baseCurveUniqueId); response.IncrementItemsPassed(); continue; } // apply the stress rule //_Context.Logger.LogDebug("Applying stress '{0}' (rule {1}) to base curve '{2}'", stressRule.StressId, stressRule.RuleId, baseCurveUniqueId); var stressDefProps = new NamedValueSet(baseCurveItem.AppProps, curveGenProps); stressDefProps.Set("Identifier", null);//THis is done for backward compatability eith the old ratecurves. stressDefProps.Set(CurveProp.BaseCurveType, baseCurveType); IPricingStructureIdentifier stressCurveId = PricingStructureIdentifier.CreateMarketCurveIdentifier( stressDefProps, inputMarketName, null, baseCurveType.ToString(), inputCurveName, stressRule.StressId); NamedValueSet stressCurveProps = stressCurveId.Properties; var stressCurveName = stressCurveProps.GetValue <string>(CurveProp.UniqueIdentifier, true); // from here on a curve will be published (with error details included) var stressCurve = new Market(); // empty try { // clone the base curve and adjust the market quotes var ps = BinarySerializerHelper.Clone(baseCurveFpml.Items[0]); PricingStructureValuation psv = ApplyStress(stressRule, baseCurveFpml.Items1[0]); // hack - supply base date psv.baseDate = new IdentifiedDate { Value = request.BaseDate }; Triplet <PricingStructure, PricingStructureValuation, NamedValueSet> refCurveFpmlTriplet = null; if (baseCurveType == PricingStructureTypeEnum.RateBasisCurve || baseCurveType == PricingStructureTypeEnum.RateXccyCurve) { var psRef = BinarySerializerHelper.Clone(refMarket.Items[0]); //var psvRef = BinarySerializerHelper.Clone<PricingStructureValuation>(refcurveFpml.Items1[0]); var psvRef = ApplyStress(stressRule, refMarket.Items1[0]); refCurveFpmlTriplet = new Triplet <PricingStructure, PricingStructureValuation, NamedValueSet>( psRef, psvRef, refProperties); } IPricingStructure ips; switch (baseCurveType) { case PricingStructureTypeEnum.RateBasisCurve: stressCurveProps.Set(CurveProp.ReferenceCurveUniqueId, refCurveName); var basisCurveFpmlTriplet = new Triplet <PricingStructure, PricingStructureValuation, NamedValueSet>( ps, psv, stressCurveProps); //create and set the pricingstructure ips = CurveLoader.LoadInterestRateCurve(Context.Logger, Context.Cache, nameSpace, refCurveFpmlTriplet, basisCurveFpmlTriplet); //Creator.Create(refCurveFpmlTriplet, basisCurveFpmlTriplet); break; case PricingStructureTypeEnum.RateXccyCurve: stressCurveProps.Set(CurveProp.ReferenceCurveUniqueId, refCurveName); stressCurveProps.Set(CurveProp.ReferenceFxCurveUniqueId, fxCurveName); stressCurveProps.Set(CurveProp.ReferenceCurrency2CurveId, quoteCurveName); var xccyCurveFpmlTriplet = new Triplet <PricingStructure, PricingStructureValuation, NamedValueSet>(ps, psv, stressCurveProps); //Format the ref curve data and call the pricing structure helper. var psvFx = ApplyStress(stressRule, fxMarket.Items1[0]); var fxCurveFpmlTriplet = new Triplet <PricingStructure, PricingStructureValuation, NamedValueSet>( fxMarket.Items[0], psvFx, fxProperties); var psvRef = ApplyStress(stressRule, quoteMarket.Items1[0]); var quoteCurveFpmlTriplet = new Triplet <PricingStructure, PricingStructureValuation, NamedValueSet>( quoteMarket.Items[0], psvRef, quoteProperties); //create and set the pricingstructure ips = CurveLoader.LoadInterestRateCurve(Context.Logger, Context.Cache, nameSpace, refCurveFpmlTriplet, fxCurveFpmlTriplet, quoteCurveFpmlTriplet, xccyCurveFpmlTriplet); //Creator.Create(refCurveFpmlTriplet, fxCurveFpmlTriplet, quoteCurveFpmlTriplet, xccyCurveFpmlTriplet); break; default: ips = CurveLoader.LoadCurve(Context.Logger, Context.Cache, nameSpace, new Pair <PricingStructure, PricingStructureValuation>(ps, psv), stressCurveProps); //Creator.Create( new Pair<PricingStructure, PricingStructureValuation>(ps, psv), stressCurveProps); break; } var identifier = ips.GetPricingStructureId().UniqueIdentifier; // retrieve curve stressCurve = PricingStructureHelper.CreateMarketFromFpML( identifier, ips.GetFpMLData()); // curve done response.IncrementItemsPassed(); } catch (Exception innerExcp) { response.IncrementItemsFailed(); Context.Logger.Log(innerExcp); stressCurveProps.Set(WFPropName.ExcpName, WFHelper.GetExcpName(innerExcp)); stressCurveProps.Set(WFPropName.ExcpText, WFHelper.GetExcpText(innerExcp)); } // save stressed curve with same lifetime as base curve stressCurveProps.Set(EnvironmentProp.NameSpace, nameSpace); Context.Cache.SaveObject(stressCurve, nameSpace + "." + stressCurveName, stressCurveProps, true, baseCurveItem.Expires); } // foreach stress rule } // foreach base curve // success response.Status = RequestStatusEnum.Completed; }
private static PricingStructureValuation ApplyStress(CachedStressRule stressRule, PricingStructureValuation psvInput) { string marketQuote = AssetMeasureScheme.GetEnumString(AssetMeasureEnum.MarketQuote); string decimalRate = PriceQuoteUnitsScheme.GetEnumString(PriceQuoteUnitsEnum.DecimalRate); var psv = BinarySerializerHelper.Clone(psvInput); // extract the market quotes from the cloned base curve QuotedAssetSet curveDefinition; if (psv is YieldCurveValuation yieldCurveValuation) { curveDefinition = yieldCurveValuation.inputs; } else { if (psv is FxCurveValuation curveValuation) { curveDefinition = new QuotedAssetSet { instrumentSet = curveValuation.spotRate.instrumentSet, assetQuote = curveValuation.spotRate.assetQuote }; } else { throw new NotSupportedException("Unsupported PricingStructureValuation type: " + psv.GetType().Name); } } // stress the market quotes foreach (BasicAssetValuation asset in curveDefinition.assetQuote) { var stressDefQuotes = new List <BasicQuotation>(); foreach (BasicQuotation quote in asset.quote) { if (quote.measureType.Value.Equals(marketQuote) && quote.quoteUnits.Value.Equals(decimalRate)) { var exprProps = new NamedValueSet(new NamedValue("MarketQuote", quote.value)); quote.valueSpecified = true; quote.value = Convert.ToDecimal(stressRule.UpdateExpr.Evaluate(exprProps)); } quote.informationSource = null; quote.timeSpecified = false; quote.valuationDateSpecified = false; stressDefQuotes.Add(quote); } asset.quote = stressDefQuotes.ToArray(); } // replace the market quotes in the cloned base curve with the stressed values if (psv is YieldCurveValuation valuation) { valuation.inputs = curveDefinition; valuation.discountFactorCurve = null; valuation.zeroCurve = null; } else { ((FxCurveValuation)psv).spotRate = new FxRateSet { instrumentSet = curveDefinition.instrumentSet, assetQuote = curveDefinition.assetQuote }; } return(psv); }