public static SurfaceFittedSmileDataPoints FromFudgeMsg(IFudgeFieldContainer message, IFudgeDeserializer deserializer)
{
IList <IFudgeField> tFields = message.GetAllByName(T_FIELD_NAME);
IList <IFudgeField> kFields = message.GetAllByName(K_FIELD_NAME);
var map = new Dictionary <double, List <double> >();
for (int i = 0; i < tFields.Count; i++)
{
var t = (double)tFields[i].Value;
List <double> ks = GetList <double>(kFields[i]);
map.Add(t, ks);
}
return(new SurfaceFittedSmileDataPoints(map));
}
public static ViewCalculationConfiguration FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
var name = ffc.GetValue <string>("name");
List <ValueRequirement> specificRequirements = GetList <ValueRequirement>(ffc, "specificRequirement", deserializer);
//TODO MAP deserializer by magic
var portfolioRequirementsBySecurityType = new Dictionary <string, HashSet <Tuple <string, ValueProperties> > >();
foreach (var portfolioReqField in ffc.GetAllByName("portfolioRequirementsBySecurityType"))
{
const string securitytypeKey = "securityType";
var securityType = ((IFudgeFieldContainer)portfolioReqField.Value).GetValue <string>(securitytypeKey);
var enumerable = ((IFudgeFieldContainer)portfolioReqField.Value).GetAllByName("portfolioRequirement").Select(f => GetReqPair(f, deserializer));
portfolioRequirementsBySecurityType.Add(securityType, new HashSet <Tuple <string, ValueProperties> >(enumerable));
}
var defaultProperties = deserializer.FromField <ValueProperties>(ffc.GetByName("defaultProperties"));
var deltaDefinition = deserializer.FromField <DeltaDefinition>(ffc.GetByName("deltaDefinition"));
IResolutionRuleTransform transform = null;
IFudgeField transformField = ffc.GetByName("resolutionRuleTransform");
if (transformField != null)
{
transform = deserializer.FromField <IResolutionRuleTransform>(transformField);
}
return(new ViewCalculationConfiguration(name, specificRequirements, portfolioRequirementsBySecurityType, deltaDefinition, defaultProperties, transform));
}
public override VolatilitySurfaceData DeserializeImpl(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
Currency currency = ffc.GetValue <Currency>("currency");
string definitionName = ffc.GetValue <string>("definitionName");
string specificationName = ffc.GetValue <string>("specificationName");
string interpolatorName = ffc.GetValue <string>("interpolatorName");
bool xWrapped;
IList <object> xs = ReadAllAsObjectList(ffc, "xs", deserializer, out xWrapped);
bool yWrapped;
IList <object> ys = ReadAllAsObjectList(ffc, "ys", deserializer, out yWrapped);
Type xType = GetType(xs);
Type yType = GetType(ys);
var values = new Dictionary <Tuple <object, object>, double>();
var valuesFields = ffc.GetAllByName("values");
foreach (var valueField in valuesFields)
{
var subMessage = (IFudgeFieldContainer)valueField.Value;
var xField = subMessage.GetByName("x");
var yField = subMessage.GetByName("y");
object x = xWrapped ? GetWrappedPrimitive(xField) : deserializer.FromField(xField, xType);
object y = yWrapped ? GetWrappedPrimitive(yField) : deserializer.FromField(yField, yType);
double value = subMessage.GetValue <double>("value");
values.Add(new Tuple <object, object>(x, y), value);
}
return(Build(xType, yType, definitionName, specificationName, currency, interpolatorName, xs, ys, values));
}
public static PresentValueSensitivity FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
var data = new Dictionary<string, List<Tuple<double, double>>>();
var curveNames = ffc.GetAllByName("curve name");
var sensitivities = ffc.GetAllByName("sensitivities");
int id = 0;
foreach (var tuple in curveNames.Zip(sensitivities, Tuple.Create))
{
string curveName = new StringBuilder("TODO ").Append(id++).ToString(); //I believe the java is broken
var listSensitivities = (IFudgeFieldContainer) tuple.Item2;
var pairsFields = listSensitivities.GetAllByName(null);
var tuples = pairsFields.Select(ReadPair).ToList();
data.Add(curveName, tuples);
}
return new PresentValueSensitivity(data);
}
public static ViewDefinition FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
var name = ffc.GetValue <string>("name");
var uniqueIdString = ffc.GetString("uniqueId");
var uniqueId = uniqueIdString == null ? null : UniqueId.Parse(uniqueIdString);
var resultModelDefinition = deserializer.FromField <ResultModelDefinition>(ffc.GetByName("resultModelDefinition"));
UniqueId portfolioIdentifier = ValueRequirement.GetUniqueIdentifier(ffc, deserializer, "identifier");
var user = deserializer.FromField <UserPrincipal>(ffc.GetByName("user"));
var currency = ffc.GetValue <Currency>("currency");
var minDeltaCalcPeriod = ReadNullableTimeSpanField(ffc, "minDeltaCalcPeriod");
var maxDeltaCalcPeriod = ReadNullableTimeSpanField(ffc, "maxDeltaCalcPeriod");
var minFullCalcPeriod = ReadNullableTimeSpanField(ffc, "fullDeltaCalcPeriod");
var maxFullCalcPeriod = ReadNullableTimeSpanField(ffc, "maxFullCalcPeriod");
var calculationConfigurationsByName = ffc.GetAllByName("calculationConfiguration")
.Select(deserializer.FromField <ViewCalculationConfiguration>)
.ToDictionary(vcc => vcc.Name);
return(new ViewDefinition(name, resultModelDefinition, portfolioIdentifier, user, currency, minDeltaCalcPeriod, maxDeltaCalcPeriod, minFullCalcPeriod, maxFullCalcPeriod, calculationConfigurationsByName, uniqueId));
}
public static PresentValueSensitivity FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
var data = new Dictionary <string, List <Tuple <double, double> > >();
var curveNames = ffc.GetAllByName("curve name");
var sensitivities = ffc.GetAllByName("sensitivities");
int id = 0;
foreach (var tuple in curveNames.Zip(sensitivities, Tuple.Create))
{
string curveName = new StringBuilder("TODO ").Append(id++).ToString(); //I believe the java is broken
var listSensitivities = (IFudgeFieldContainer)tuple.Item2;
var pairsFields = listSensitivities.GetAllByName(null);
var tuples = pairsFields.Select(ReadPair).ToList();
data.Add(curveName, tuples);
}
return(new PresentValueSensitivity(data));
}
public static InterpolatedYieldCurveSpecificationWithSecurities FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
return(new InterpolatedYieldCurveSpecificationWithSecurities(
new DateTimeOffset(
((FudgeDate)ffc.GetValue("curveDate")).ToDateTime()),
(string)ffc.GetValue("name"),
ffc.GetValue <Currency>("currency"),
ffc.GetAllByName("resolvedStrips").Select(deserializer.FromField <FixedIncomeStripWithSecurity>).ToList()
));
}
public static InterpolatedYieldCurveSpecificationWithSecurities FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
return new InterpolatedYieldCurveSpecificationWithSecurities(
new DateTimeOffset(
((FudgeDate) ffc.GetValue("curveDate")).ToDateTime()),
(string) ffc.GetValue("name"),
ffc.GetValue<Currency>("currency"),
ffc.GetAllByName("resolvedStrips").Select(deserializer.FromField<FixedIncomeStripWithSecurity>).ToList()
);
}
public static CompiledViewDefinitionImpl FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
ViewDefinition defn = deserializer.FromField <ViewDefinition>(ffc.GetByName("viewDefinition"));
IPortfolio portfolio = deserializer.FromField <IPortfolio>(ffc.GetByName("portfolio"));
DateTimeOffset latestValidity = ffc.GetValue <FudgeDateTime>("latestValidity").ToDateTimeOffsetWithDefault();
DateTimeOffset earliestValidity = ffc.GetValue <FudgeDateTime>("earliestValidity").ToDateTimeOffsetWithDefault();
var configs = ffc.GetAllByName("compiledCalculationConfigurations").Select(deserializer.FromField <CompiledViewCalculationConfigurationImpl>).ToDictionary(c => c.Name, c => (ICompiledViewCalculationConfiguration)c);
return(new CompiledViewDefinitionImpl(defn, portfolio, latestValidity, earliestValidity, configs));
}
private static IList <object> ReadAllAsObjectList(IFudgeFieldContainer ffc, string name, IFudgeDeserializer deserializer, out bool wrappedPrimitive)
{
var fields = ffc.GetAllByName(name);
if (IsWrappedPrimitive(fields[0]))
{
wrappedPrimitive = true;
return(fields.Select(GetWrappedPrimitive).ToList());
}
wrappedPrimitive = false;
return(fields.Select(deserializer.FromField <object>).ToList());
}
public static InterpolatedYieldCurveSpecification FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
var curveDate = ffc.GetValue <DateTimeOffset>("curveDate");
string name = ffc.GetString("name");
var currency = ffc.GetValue <Currency>("currency");
var region = ExternalId.Parse(ffc.GetString("region"));
var resolvedStripFields = ffc.GetAllByName("resolvedStrips");
var resolvedStrips = resolvedStripFields.Select(deserializer.FromField <FixedIncomeStripWithIdentifier>)
.ToList();
return(new InterpolatedYieldCurveSpecification(curveDate, name, currency, resolvedStrips, region));
}
public static FittedSmileDataPoints FromFudgeMsg(IFudgeFieldContainer message, IFudgeDeserializer deserializer)
{
var tenorPairFields = message.GetAllByName(TENOR_PAIR_FIELD_NAME);
var externalIdsFields = message.GetAllByName(EXTERNAL_IDS_ARRAY_FIELD_NAME);
var relativeStrikesFields = message.GetAllByName(RELATIVE_STRIKES_ARRAY_FIELD_NAME);
var externalIds = new Dictionary <Pair <Tenor, Tenor>, ExternalId[]>();
var relativeStrikes = new Dictionary <Pair <Tenor, Tenor>, double[]>();
if (tenorPairFields.Count != externalIdsFields.Count || tenorPairFields.Count != relativeStrikesFields.Count)
{
throw new OpenGammaException("Should never happen");
}
for (int i = 0; i < tenorPairFields.Count; i++)
{
var tenors = deserializer.FromField <Pair <Tenor, Tenor> >(tenorPairFields[i]);
var externalIdList = GetList <string>(externalIdsFields[i]).Select(ExternalId.Parse).ToList();
var relativeStrikesList = GetList <double>(relativeStrikesFields[i]);
externalIds.Add(tenors, externalIdList.ToArray());
relativeStrikes.Add(tenors, relativeStrikesList.ToArray());
}
return(new FittedSmileDataPoints(externalIds, relativeStrikes));
}
private static List <T> GetList <T>(IFudgeFieldContainer ffc, string fieldName, IFudgeDeserializer deserializer) where T : class
{
return(ffc.GetAllByName(fieldName).Select(deserializer.FromField <T>).ToList());
}
public static CompiledViewDefinitionImpl FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
ViewDefinition defn = deserializer.FromField<ViewDefinition>(ffc.GetByName("viewDefinition"));
IPortfolio portfolio = deserializer.FromField<IPortfolio>(ffc.GetByName("portfolio"));
DateTimeOffset latestValidity = ffc.GetValue<FudgeDateTime>("latestValidity").ToDateTimeOffsetWithDefault();
DateTimeOffset earliestValidity = ffc.GetValue<FudgeDateTime>("earliestValidity").ToDateTimeOffsetWithDefault();
var configs = ffc.GetAllByName("compiledCalculationConfigurations").Select(deserializer.FromField<CompiledViewCalculationConfigurationImpl>).ToDictionary(c => c.Name, c => (ICompiledViewCalculationConfiguration)c);
return new CompiledViewDefinitionImpl(defn, portfolio, latestValidity, earliestValidity, configs);
}
public static ViewDefinition FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
var name = ffc.GetValue<string>("name");
var uniqueIdString = ffc.GetString("uniqueId");
var uniqueId = uniqueIdString == null ? null : UniqueId.Parse(uniqueIdString);
var resultModelDefinition = deserializer.FromField<ResultModelDefinition>(ffc.GetByName("resultModelDefinition"));
UniqueId portfolioIdentifier = ValueRequirement.GetUniqueIdentifier(ffc, deserializer, "identifier");
var user = deserializer.FromField<UserPrincipal>(ffc.GetByName("user"));
var currency = ffc.GetValue<Currency>("currency");
var minDeltaCalcPeriod = ReadNullableTimeSpanField(ffc, "minDeltaCalcPeriod");
var maxDeltaCalcPeriod = ReadNullableTimeSpanField(ffc, "maxDeltaCalcPeriod");
var minFullCalcPeriod = ReadNullableTimeSpanField(ffc, "fullDeltaCalcPeriod");
var maxFullCalcPeriod = ReadNullableTimeSpanField(ffc, "maxFullCalcPeriod");
var calculationConfigurationsByName = ffc.GetAllByName("calculationConfiguration")
.Select(deserializer.FromField<ViewCalculationConfiguration>)
.ToDictionary(vcc => vcc.Name);
return new ViewDefinition(name, resultModelDefinition, portfolioIdentifier, user, currency, minDeltaCalcPeriod, maxDeltaCalcPeriod, minFullCalcPeriod, maxFullCalcPeriod, calculationConfigurationsByName, uniqueId);
}
public static InterpolatedYieldCurveSpecification FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
var curveDate = ffc.GetValue<DateTimeOffset>("curveDate");
string name = ffc.GetString("name");
var currency = ffc.GetValue<Currency>("currency");
var region = ExternalId.Parse(ffc.GetString("region"));
var resolvedStripFields = ffc.GetAllByName("resolvedStrips");
var resolvedStrips = resolvedStripFields.Select(deserializer.FromField<FixedIncomeStripWithIdentifier>)
.ToList();
return new InterpolatedYieldCurveSpecification(curveDate, name, currency, resolvedStrips, region);
}
