//public static Market CreateYieldCurveConfiguration(string curveId, string[] assetIdentifiers)
//{
// var market = new Market {id = curveId};
// //Create the quotedAssetSet.
// var qas = QuotedAssetSetFactory.Parse(assetIdentifiers);
// //Create the curve information.
// var curve = new YieldCurve {id = curveId};
// //reate the valuation structure that contains qas.
// var curveValuation = new YieldCurveValuation {id = curveId, inputs = qas};
// //Set the market.
// market.Items = new[] { (PricingStructure)curve };
// market.Items1 = new[] { (PricingStructureValuation)curveValuation };
// return market;
//}
public static Market CreateFxCurveConfiguration(string curveId, string currency1, string currency2, string quoteBasis, FxRateSet quotedAssetSet)
{
//<QuoteBasisEnum>
var basis = EnumHelper.Parse <QuoteBasisEnum>(quoteBasis, true);
var quotedCurrencyPair = QuotedCurrencyPair.Create(currency1, currency2, basis);
var currency = CurrencyHelper.Parse(currency1);
var market = new Market {
id = curveId
};
//Create the curve information.
var curve = new FxCurve {
id = curveId, name = curveId, currency = currency, quotedCurrencyPair = quotedCurrencyPair
};
//reate the valuation structure that contains qas.
var curveValuation = new FxCurveValuation {
id = curveId, spotRate = quotedAssetSet
};
//Set the market.
market.Items = new[] { (PricingStructure)curve };
market.Items1 = new[] { (PricingStructureValuation)curveValuation };
return(market);
}
public static AssetValuation Copy(AssetValuation baseValuation)
{
AssetValuation result = null;
if (baseValuation != null)
{
result = new AssetValuation();
if (baseValuation.quote != null)
{
result.quote = QuotationHelper.Copy(baseValuation.quote).ToArray();
}
if (baseValuation.fxRate != null)
{
result.fxRate = new FxRate();
if (baseValuation.fxRate.quotedCurrencyPair != null)
{
result.fxRate.quotedCurrencyPair = new QuotedCurrencyPair
{
currency1 =
CurrencyHelper.Copy(
baseValuation.fxRate.quotedCurrencyPair.
currency1),
currency2 =
CurrencyHelper.Copy(
baseValuation.fxRate.quotedCurrencyPair.
currency2),
quoteBasis =
baseValuation.fxRate.quotedCurrencyPair.
quoteBasis
};
}
result.fxRate.rate = baseValuation.fxRate.rate;
}
if (baseValuation.valuationScenarioReference != null)
{
result.valuationScenarioReference = new ValuationScenarioReference
{
href = baseValuation.valuationScenarioReference.href
};
}
if (baseValuation.id != null)
{
result.id = baseValuation.id;
}
if (baseValuation.objectReference != null)
{
result.objectReference = new AnyAssetReference {
href = baseValuation.objectReference.href
};
}
}
return(result);
}
public static Money Normalise(string currency, decimal amount, bool isPayerBase)
{
var money = new Money {
currency = CurrencyHelper.Parse(currency)
};
money.amount = System.Math.Abs(money.amount);
if (isPayerBase)
{
money.amount = -1 * money.amount;
}
return(money);
}
public static Quotation Create(decimal value, DateTime valuationDate,
string businessCenter, string currency,
string rateSourceProvider, string rateSource, string rateSourcePage,
string assetMeasureType, string quoteUnits)
{
var quotation = new Quotation
{
businessCenter = BusinessCentersHelper.Parse(businessCenter).businessCenter[0],
currency = CurrencyHelper.Parse(currency),
informationSource =
InformationSourceHelper.Create(
InformationSourceHelper.Create(rateSourceProvider, rateSource,
rateSourcePage)),
measureType = AssetMeasureTypeHelper.Parse(assetMeasureType),
quoteUnits = PriceQuoteUnitsHelper.Create(quoteUnits),
valuationDate = valuationDate,
valuationDateSpecified = true,
value = value,
valueSpecified = true
};
return(quotation);
}
public static Quotation Copy(Quotation baseQuotation)
{
Quotation quotation = null;
if (baseQuotation != null)
{
quotation = new Quotation();
if (baseQuotation.businessCenter != null)
{
quotation.businessCenter = BusinessCentersHelper.Parse(baseQuotation.businessCenter.Value).businessCenter[0];
}
if (baseQuotation.currency != null)
{
quotation.currency = CurrencyHelper.Parse(baseQuotation.currency.Value);
}
if (baseQuotation.valueSpecified)
{
quotation.value = baseQuotation.value;
quotation.valueSpecified = true;
}
if (baseQuotation.valuationDateSpecified)
{
quotation.valuationDate = baseQuotation.valuationDate;
quotation.valuationDateSpecified = true;
}
if (baseQuotation.expiryTimeSpecified)
{
quotation.expiryTime = baseQuotation.expiryTime;
quotation.expiryTimeSpecified = true;
}
if (baseQuotation.sideSpecified)
{
quotation.side = baseQuotation.side;
quotation.sideSpecified = true;
}
if (baseQuotation.timeSpecified)
{
quotation.time = baseQuotation.time;
quotation.timeSpecified = true;
}
if (baseQuotation.sensitivitySet != null)
{
quotation.sensitivitySet = SensitivitySetHelper.Copy(baseQuotation.sensitivitySet);
}
if (baseQuotation.measureType != null)
{
quotation.measureType = AssetMeasureTypeHelper.Copy(baseQuotation.measureType);
}
if (baseQuotation.quoteUnits != null)
{
quotation.quoteUnits = PriceQuoteUnitsHelper.Copy(baseQuotation.quoteUnits);
}
if (baseQuotation.informationSource != null)
{
quotation.informationSource = InformationSourceHelper.Copy(baseQuotation.informationSource).ToArray();
}
if (baseQuotation.exchangeId != null)
{
quotation.exchangeId = ExchangeIdHelper.Copy(baseQuotation.exchangeId);
}
}
return(quotation);
}