public static DateTime[] GenerateDateSchedule(this DatePeriodType period, DateTime start, DateTime end)
{
var o = new List <DateTime>();
var d = start;
while (d < end)
{
o.Add(d);
d = d.AddPeriod(RollType.F, null, new Frequency(1, period));
}
o.Add(end);
return(o.ToArray());
}
public async Task <PagedListResult <Core.Entities.Financial.Order.Order> > GetOrdersAsPagedList(
Expression <Func <Core.Entities.Financial.Order.Order, bool> > predicate,
string orderNumber,
int pageNumber = 0,
int pageSize = ApplicationSettings.Pagination.PageSize,
OrderStatusType?orderStatus = null,
DatePeriodType periodType = DatePeriodType.All
)
{
#region Pagination Set
var skipCount = (pageNumber - 1) * pageSize;
#endregion
#region set time period filter
DateTime periodDateTime;
switch (periodType)
{
case DatePeriodType.Day:
periodDateTime = DateTime.Now.Date;
break;
case DatePeriodType.Week:
var dayOfWeek = PersianDateTime.Now.PersianDayOfWeek;
periodDateTime = DateTime.Now.Date.AddDays(-(int)dayOfWeek);
break;
case DatePeriodType.Month:
periodDateTime = new PersianDateTime(PersianDateTime.Now.Year, PersianDateTime.Now.Month, 1).ToDateTime();
break;
case DatePeriodType.Year:
periodDateTime = new PersianDateTime(PersianDateTime.Now.Year, 1, 1).ToDateTime();
break;
case DatePeriodType.All:
periodDateTime = default(DateTime);
break;
default:
throw new ArgumentOutOfRangeException(nameof(periodType), periodType, null);
}
#endregion set time period filter
var resultCount = await(from order in GetQueryable()
join tariff in _tariffRepository.GetQueryable() on order.TariffId equals tariff.Id
join tariffPrice in _tariffPriceRepository.GetQueryable() on tariff.Id equals tariffPrice.TariffId
join tariffItem in _tariffItemRepository.GetQueryable() on tariff.Id equals tariffItem.TariffId
where orderStatus == null || order.OrderStatus == orderStatus
where periodDateTime == default(DateTime) || order.CreateDateTime > periodDateTime
where orderNumber == null || orderNumber == "" || order.OrderNumber.Contains(orderNumber)
orderby order.CreateDateTime descending
select order
).Distinct().CountAsync();
var result = await(from order in GetQueryable()
join tariff in _tariffRepository.GetQueryable() on order.TariffId equals tariff.Id
join tariffPrice in _tariffPriceRepository.GetQueryable() on tariff.Id equals tariffPrice.TariffId
join tariffItem in _tariffItemRepository.GetQueryable() on tariff.Id equals tariffItem.TariffId
where orderStatus == null || order.OrderStatus == orderStatus
where periodDateTime == default(DateTime) || order.CreateDateTime > periodDateTime
where orderNumber == null || orderNumber == "" || order.OrderNumber.Contains(orderNumber)
orderby order.CreateDateTime descending
select new { order, tariff, tariffItem, tariffPrice }
).ToListAsync();
foreach (var item in result)
{
var firstOrDefault = result.Select(x => x.tariffPrice)
.FirstOrDefault(x => x.TariffId == item.order.TariffId && x.IsValid);
if (firstOrDefault != null)
{
item.order.Price = firstOrDefault.Price;
}
item.order.TariffName = item.tariff.TariffName;
var quantityExists = result.Select(x => x.tariffItem)
.FirstOrDefault(x => x.Type == TariffItemType.Quantity);
if (quantityExists != null)
{
item.order.Quantity = Int64.Parse(quantityExists.Name) * item.order.Count;
}
else
{
item.order.Quantity = 1;
}
item.order.FinalPrice = item.order.Price * item.order.Count + item.order.DesignPrice;
}
var finalResult = result.Select(x => x.order).AsQueryable();
if (predicate != null)
{
finalResult = finalResult.Where(predicate);
}
var listItems = finalResult.Distinct().Skip(skipCount).Take(pageSize).ToList();
return(new PagedListResult <Core.Entities.Financial.Order.Order>()
{
PageNumber = pageNumber,
Result = listItems,
PageSize = pageSize,
TotalCount = resultCount
});
}
public Frequency(int periodCount, DatePeriodType periodType)
{
PeriodCount = periodCount;
PeriodType = periodType;
}
public static ICube Calculate(IAssetFxModel model, Portfolio portfolio, double confidenceInterval, Currency reportingCcy, ICurrencyProvider currencyProvider,
ICalendarProvider calendarProvider, DateTime[] exposureDates = null, DatePeriodType sampleFreq = DatePeriodType.Month, bool correlationCorrection = true)
{
var types = portfolio.Instruments.Select(x => x.GetType()).Distinct();
if (!types.All(t => AllowedTypes.Contains(t)))
{
throw new Exception("Unsupported instrument types detected");
}
var pf = portfolio.UnStripStrips();
var assetIns = pf.Instruments.Select(x => ((IAssetInstrument)x));
//check everything facting in same direction
var pos = assetIns.Select(x => x.IsLongDeltaPosition()).Distinct();
if (pos.Count() > 1)
{
throw new Exception("All trades must have same delta direction");
}
//check everything same asset/currency
var keys = assetIns.Select(x => $"{x.Currency}~{string.Join("-",x.AssetIds)}").Distinct();
if (keys.Count() > 1)
{
throw new Exception("All trades must have same underlying and currency");
}
//flip tail of distribution if we are short
var ci = pos.Single() ? confidenceInterval : 1.0 - confidenceInterval;
if (exposureDates == null)
{
exposureDates = pf.ComputeSimDates(model.BuildDate, sampleFreq);
}
var m = model.TrimModel(portfolio);
var day0Pv = 0.0;
if (exposureDates.Contains(model.BuildDate))
{
day0Pv = Max(0, pf.PV(m, reportingCcy, true).SumOfAllRows);
}
//adjust fx surface for correlation if needed
var pairs = assetIns.Select(x => x.FxPair(model)).Where(x => !string.IsNullOrEmpty(x));
if (correlationCorrection && pairs.Any())
{
var pd = pairs.Distinct();
if (pd.Count() != 1)
{
throw new Exception("Expecting a single Fx pair, if any");
}
var pair = pd.Single();
var assetId = assetIns.SelectMany(x => x.AssetIds).Distinct().Single();
var(fxSurface, assetSurface) = model.ImplySurfaceToCorrelation(assetId, pair, assetIns.First().Currency, currencyProvider);
m.FundingModel.VolSurfaces[pair] = fxSurface;
m.AddVolSurface(assetId, assetSurface);
}
var fxPairsToRoll = assetIns.SelectMany(x => x.AssetIds).Where(x => x.Length == 7 && x.Substring(3, 1) == "/")
.Concat(assetIns.Select(x => x.FxPair(model)))
.Where(x => !string.IsNullOrWhiteSpace(x))
.Distinct().ToList();
var o = new double[exposureDates.Length];
for (var i = 0; i < exposureDates.Length; i++)
{
var mm = m.RollModelPfe(exposureDates[i], ci, currencyProvider, calendarProvider, fxPairsToRoll);
o[i] = exposureDates[i] == model.BuildDate ? day0Pv : Max(0, pf.PV(mm, reportingCcy, true).SumOfAllRows);
}
return(PackToCube(exposureDates, o, "PFE"));
}
