private void SetProperties(NamedValueSet properties)
{
try
{
DataType = "Trade";
SourceSystem = PropertyHelper.ExtractSourceSystem(properties);
var tradeId = properties.GetValue <string>(TradeProp.TradeId);
Id = tradeId;
Domain = SourceSystem + '.' + DataType;
TradeDate = properties.GetValue <DateTime>(TradeProp.TradeDate);
TradeType = EnumHelper.Parse <ItemChoiceType15>(properties.GetValue <string>(TradeProp.TradeType), true);
ProductType = ProductTypeSimpleScheme.ParseEnumString(properties.GetValue <string>(TradeProp.ProductType, false));
Party1 = properties.GetValue <string>(TradeProp.Party1, false);
Party2 = properties.GetValue <string>(TradeProp.Party2, false);
BaseParty = properties.GetValue <string>(TradeProp.BaseParty);
CounterParty = properties.GetValue <string>(TradeProp.CounterPartyId);
UniqueIdentifier = BuildUniqueId(tradeId);
if (properties.GetValue <string>(CurveProp.UniqueIdentifier) != null)
{
UniqueIdentifier = properties.GetValue <string>(CurveProp.UniqueIdentifier);
}
PropertyHelper.Update(Properties, CurveProp.UniqueIdentifier, UniqueIdentifier);
PropertyHelper.Update(Properties, "Domain", Domain);
}
catch
{
throw new System.Exception("Invalid tradeid.");
}
}
//public static object[,] DoReport(TermDeposit termDeposit)
//{
// if (termDeposit != null)
// {
// var result = new object[10, 2];
// result[0, 0] = "adjustedEffectiveDate";
// result[1, 0] = "fixedRate";
// result[2, 0] = "maturityDate";
// result[3, 0] = "dayCountFraction";
// result[4, 0] = "lenderPartyReference";
// result[5, 0] = "borrowerPartyReference";
// result[6, 0] = "currency";
// result[7, 0] = "notionalamount";
// result[8, 0] = "interest";
// result[9, 0] = "dayCount";
// result[0, 1] = termDeposit.startDate;
// result[1, 1] = termDeposit.fixedRate;
// result[2, 1] = termDeposit.maturityDate;
// result[3, 1] = termDeposit.dayCountFraction.Value;
// result[4, 1] = termDeposit.initialPayerReference.href;
// result[5, 1] = termDeposit.initialReceiverReference.href;
// result[6, 1] = termDeposit.principal.currency.Value;
// result[7, 1] = termDeposit.principal.amount;
// result[8, 1] = termDeposit.interest.amount;
// result[9, 1] = termDeposit.dayCountFraction.Value;
// return result;
// }
// return null;
//}
public override object[,] DoReport(Product product, NamedValueSet properties)
{
if (product is FxSwap fxswap)
{
var party1 = properties.GetValue <string>(TradeProp.Party1, true);
var party2 = properties.GetValue <string>(TradeProp.Party2, true);
var result = new object[7, 2];
result[0, 0] = "payerPartyReference";
result[1, 0] = "receiverPartyReference";
result[2, 0] = "amount";
result[3, 0] = "currency";
result[4, 0] = "paymentDate";
result[5, 0] = "party1";
result[6, 0] = "party2";
var temp1 = fxswap.nearLeg;
result[0, 1] = temp1.exchangedCurrency1.payerPartyReference.href;
result[1, 1] = temp1.exchangedCurrency1.receiverPartyReference.href;
result[2, 1] = temp1.exchangedCurrency1.paymentAmount.amount;
result[3, 1] = temp1.exchangedCurrency1.paymentAmount.currency.Value;
var containdUnadjustedDate = AdjustableOrAdjustedDateHelper.Contains(temp1.exchangedCurrency1.paymentDate, ItemsChoiceType.unadjustedDate, out var unadjustedDate);
if (containdUnadjustedDate)
{
result[4, 1] = ((IdentifiedDate)unadjustedDate).Value;
}
result[5, 1] = party1;
result[6, 1] = party2;
return(result);
}
return(null);
}
public SABRVolatilitySurface(ILogger logger, ICoreCache cache, String nameSpace, NamedValueSet properties, String[] expiryTenors, Double[] strikes,
Double[,] volSurface)
: base(logger, cache, nameSpace, properties, expiryTenors, strikes, volSurface)
{
var assetClass = properties.GetString(CurveProp.AssetClass, true);
var type = EnumHelper.Parse <AssetClass>(assetClass);
var assetId = properties.GetValue <string>(CurveProp.AssetId, true);
var baseDate = properties.GetValue <DateTime>(CurveProp.BaseDate, true);
PricingStructureData = new PricingStructureData(CurveType.Parent, type);
UnderlyingPriceableAssets = new List <IPriceableAssetController>();
foreach (var tenor in expiryTenors)
{
var expiryTenor = PeriodHelper.Parse(tenor);
var offset = new Offset
{
period = expiryTenor.period,
periodMultiplier = expiryTenor.periodMultiplier,
periodSpecified = true,
dayType = DayTypeEnum.Calendar,
dayTypeSpecified = true
};
var expiryDate = offset.Add(baseDate);
var assetProperties = PriceableAssetFactory.BuildPropertiesForAssets(nameSpace, assetId, expiryDate);
var asset = PriceableAssetFactory.Create(logger, cache, nameSpace, null, assetProperties, null, null);
UnderlyingPriceableAssets.Add(asset);
}
}
//public static object[,] DoReport(TermDeposit termDeposit)
//{
// if (termDeposit != null)
// {
// var result = new object[10, 2];
// result[0, 0] = "adjustedEffectiveDate";
// result[1, 0] = "fixedRate";
// result[2, 0] = "maturityDate";
// result[3, 0] = "dayCountFraction";
// result[4, 0] = "lenderPartyReference";
// result[5, 0] = "borrowerPartyReference";
// result[6, 0] = "currency";
// result[7, 0] = "notionalamount";
// result[8, 0] = "interest";
// result[9, 0] = "dayCount";
// result[0, 1] = termDeposit.startDate;
// result[1, 1] = termDeposit.fixedRate;
// result[2, 1] = termDeposit.maturityDate;
// result[3, 1] = termDeposit.dayCountFraction.Value;
// result[4, 1] = termDeposit.initialPayerReference.href;
// result[5, 1] = termDeposit.initialReceiverReference.href;
// result[6, 1] = termDeposit.principal.currency.Value;
// result[7, 1] = termDeposit.principal.amount;
// result[8, 1] = termDeposit.interest.amount;
// result[9, 1] = termDeposit.dayCountFraction.Value;
// return result;
// }
// return null;
//}
public override object[,] DoReport(Product product, NamedValueSet properties)
{
if (product is TermDeposit termDeposit)
{
var party1 = properties.GetValue <string>(TradeProp.Party1, true);
var party2 = properties.GetValue <string>(TradeProp.Party2, true);
var result = new object[11, 2];
result[0, 0] = "adjustedEffectiveDate";
result[1, 0] = "fixedRate";
result[2, 0] = "maturityDate";
result[3, 0] = "dayCountFraction";
result[4, 0] = "lenderPartyReference";
result[5, 0] = "borrowerPartyReference";
result[6, 0] = "currency";
result[7, 0] = "notionalAmount";
//result[8, 0] = "interest";
result[8, 0] = "dayCount";
result[9, 0] = "party1";
result[10, 0] = "party2";
result[0, 1] = termDeposit.startDate;
result[1, 1] = termDeposit.fixedRate;
result[2, 1] = termDeposit.maturityDate;
result[3, 1] = termDeposit.dayCountFraction.Value;
result[4, 1] = termDeposit.payerPartyReference.href;
result[5, 1] = termDeposit.receiverPartyReference.href;
result[6, 1] = termDeposit.principal.currency.Value;
result[7, 1] = termDeposit.principal.amount;
//result[8, 1] = termDeposit.interest.amount;
result[8, 1] = termDeposit.dayCountFraction.Value;
result[9, 1] = party1;
result[10, 1] = party2;
return(result);
}
return(null);
}
//public static object[,] DoReport(BulletPayment bulletPayment)
//{
// if (bulletPayment != null)
// {
// var result = new object[7, 2];
// result[0, 0] = "adjustedPaymentDate";
// result[1, 0] = "paymentAmount";
// result[2, 0] = "currency";
// result[3, 0] = "paymentType";
// result[4, 0] = "lenderPartyReference";
// result[5, 0] = "borrowerPartyReference";
// result[6, 0] = "currency";
// result[0, 1] = bulletPayment.payment.adjustedPaymentDate;
// result[1, 1] = bulletPayment.payment.paymentAmount.amount;
// result[2, 1] = bulletPayment.payment.paymentAmount.currency.Value;
// result[3, 1] = bulletPayment.payment.paymentType.Value;
// result[4, 1] = bulletPayment.payment.payerPartyReference.href;
// result[5, 1] = bulletPayment.payment.receiverPartyReference.href;
// result[6, 1] = bulletPayment.payment.presentValueAmount!= null ? bulletPayment.payment.presentValueAmount.amount : 0.0m;
// return result;
// }
// return null;
//}
public override object[,] DoReport(Product product, NamedValueSet properties)
{
if (product is BulletPayment payment)
{
var party1 = properties.GetValue <string>(TradeProp.Party1, true);
var party2 = properties.GetValue <string>(TradeProp.Party2, true);
var result = new object[7, 2];
result[0, 0] = "payerPartyReference";
result[1, 0] = "receiverPartyReference";
result[2, 0] = "amount";
result[3, 0] = "currency";
result[4, 0] = "businessDayConvention";
result[5, 0] = "party1";
result[6, 0] = "party2";
var temp = payment.payment;
result[0, 1] = temp.payerPartyReference.href;
result[1, 1] = temp.receiverPartyReference.href;
result[2, 1] = temp.paymentAmount.amount;
result[3, 1] = temp.paymentAmount.currency.Value;
var containsBusinessCenters = AdjustableOrAdjustedDateHelper.Contains(temp.paymentDate, ItemsChoiceType.dateAdjustments, out var businessDayAdjustments);
if (containsBusinessCenters && businessDayAdjustments != null)
{
var businessDayConvention = ((BusinessDayAdjustments)businessDayAdjustments).businessDayConvention.ToString();
result[4, 1] = businessDayConvention;
}
else
{
result[4, 1] = "NONE";
}
result[5, 1] = party1;
result[6, 1] = party2;
return(result);
}
return(null);
}
public override object[,] DoReport(Product product, NamedValueSet properties)
{
if (product is Fra forwardRateAgreement)
{
var party1 = properties.GetValue <string>(TradeProp.Party1, true);
var party2 = properties.GetValue <string>(TradeProp.Party2, true);
var result = new object[11, 2];
result[0, 0] = "adjustedEffectiveDate";
result[1, 0] = "fixedRate";
result[2, 0] = "paymentDate";
result[3, 0] = "calculationPeriodNumberOfDays";
result[4, 0] = "adjustedTerminationDate";
result[5, 0] = "buyerPartyReference";
result[6, 0] = "sellerPartyReference";
result[7, 0] = "currency";
result[8, 0] = "notionalAmount";
result[9, 0] = "party1";
result[10, 0] = "party2";
result[0, 1] = forwardRateAgreement.adjustedEffectiveDate.Value;
result[1, 1] = forwardRateAgreement.fixedRate;
result[2, 1] = forwardRateAgreement.paymentDate.unadjustedDate.Value;
result[3, 1] = forwardRateAgreement.calculationPeriodNumberOfDays;
result[4, 1] = forwardRateAgreement.adjustedTerminationDate;
result[5, 1] = forwardRateAgreement.buyerPartyReference.href;
result[6, 1] = forwardRateAgreement.sellerPartyReference.href;
result[7, 1] = forwardRateAgreement.notional.currency.Value;
result[8, 1] = forwardRateAgreement.notional.amount;
result[9, 1] = party1;
result[10, 1] = party2;
return(result);
}
return(null);
}
public static void LoadPricingStructures(ILogger logger, ICoreCache targetClient, string nameSpace)
{
logger.LogDebug("Loading pricing structures...");
Assembly assembly = Assembly.GetExecutingAssembly();
const string prefix = "FpML.V5r10.ConfigData.PricingStructures";
Dictionary <string, string> chosenFiles = ResourceHelper.GetResources(assembly, prefix, "xml");
if (chosenFiles.Count == 0)
{
throw new InvalidOperationException("Missing Pricing Structures");
}
foreach (KeyValuePair <string, string> file in chosenFiles)
{
var market = XmlSerializerHelper.DeserializeFromString <Market>(file.Value);
string nvs = ResourceHelper.GetResource(assembly, file.Key.Replace(".xml", ".nvs"));
var extraProps = new NamedValueSet(nvs);
string idSuffix =
$"{extraProps.GetValue<string>(CurveProp.Market)}.{extraProps.GetValue<string>(CurveProp.PricingStructureType)}.{extraProps.GetValue<string>(CurveProp.CurveName)}";
ItemInfo itemInfo = MakePricingStructureConfigProps("PricingStructures", idSuffix, extraProps, nameSpace);
logger.LogDebug(" {0} ...", idSuffix);
targetClient.SaveObject(market, itemInfo.ItemName, itemInfo.ItemProps, false, TimeSpan.MaxValue);
} // foreach file
logger.LogDebug("Loaded {0} pricing structures.", chosenFiles.Count);
}
private void SetProperties(NamedValueSet properties)
{
try
{
DataType = FunctionProp.ValuationReport.ToString();
SourceSystem = PropertyHelper.ExtractSourceSystem(properties);
PortfolioId = properties.GetValue <string>(ValueProp.PortfolioId, false);
TradeId = properties.GetValue <string>(TradeProp.TradeId, true);
TradeType = properties.GetValue <string>(TradeProp.TradeType, true);
Id = SourceSystem + "." + TradeType + "." + TradeId;
Market = PropertyHelper.ExtractMarket(Properties);
MarketAndDate = PropertyHelper.ExtractMarketAndDate(Properties);
MarketName = properties.GetValue <string>(ValueProp.MarketName, false) ?? MarketAndDate;
DateTime?marketDate = PropertyHelper.ExtractMarketDate(Properties);
MarketDate = marketDate ?? MarketDate;
Domain = SourceSystem + '.' + DataType;
CalculationDateTime = properties.GetValue <DateTime>(ValueProp.CalculationDateTime);
BaseParty = properties.GetValue <string>(ValueProp.BaseParty);
CalculationDateTime = properties.GetValue <DateTime>(ValueProp.CalculationDateTime);
UniqueIdentifier = BuildUniqueId();
if (properties.GetValue <string>(ValueProp.UniqueIdentifier) != null)
{
UniqueIdentifier = properties.GetValue <string>(ValueProp.UniqueIdentifier);
}
Scenario = properties.GetValue <string>(ValueProp.Scenario);
PropertyHelper.Update(Properties, ValueProp.UniqueIdentifier, UniqueIdentifier);
PropertyHelper.Update(Properties, "Domain", Domain);
}
catch
{
throw new System.Exception("Invalid tradeId.");
}
}
public override object[,] DoReport(Product product, NamedValueSet properties)
{
if (product is PropertyTransaction propertyTransaction)
{
var party1 = properties.GetValue <string>(TradeProp.Party1, true);
var party2 = properties.GetValue <string>(TradeProp.Party2, true);
var result = new object[9, 2];
result[0, 0] = "buyerPartyReference";
result[1, 0] = "sellerPartyReference";
result[2, 0] = "numberOfUnits";
result[3, 0] = "unitPriceCurrency";
result[4, 0] = "unitPriceAmount";
result[5, 0] = "id";
result[6, 0] = "paryt1";
result[7, 0] = "party2";
result[8, 0] = "description";
var temp = propertyTransaction.property;
result[0, 1] = propertyTransaction.buyerPartyReference.href;
result[1, 1] = propertyTransaction.sellerPartyReference.href;
result[2, 1] = propertyTransaction.purchasePrice.amount;
result[3, 1] = temp.currency.Value;
result[4, 1] = propertyTransaction.purchasePrice.amount;
result[5, 1] = temp.id;
result[6, 1] = party1;
result[7, 1] = party2;
result[8, 1] = temp.description;
return(result);
}
return(null);
}
private void SendAlertSignalEmail(InternalSignal signal, NamedValueSet props)
{
try
{
var smtpHost = props.GetValue <string>(AlertRule.MailHost);
IEnumerable <string> recipients = ResolveMultipleEmailAddresses(props.GetArray <string>(AlertRule.MailTo));
string sender = ResolveSingleEmailAddress(props.GetValue <string>(AlertRule.MailFrom));
var email = new MailMessage();
string instanceMsg = GetInstanceMsg(signal.ReminderCount);
signal.ReminderCount += 1;
email.Subject =
$"QDS Alert {EnvHelper.EnvName(IntClient.Target.ClientInfo.ConfigEnv)}. {signal.RuleName}: {signal.Status}";
if (signal.Status == AlertStatus.Alerted)
{
email.Subject += $"({instanceMsg})";
}
var body = new StringBuilder(signal.SignalMessage);
if (props.GetValue <bool>("rule.DebugEnabled", false))
{
body.AppendLine();
body.AppendLine();
body.AppendLine("[debug-begin]");
props.LogValues(text => body.AppendLine(" " + text));
body.AppendLine("[debug-end]");
}
email.Body = body.ToString();
SendEmail(smtpHost, email, sender, recipients);
}
catch (Exception excp)
{
ReportUncaughtError("EmailAlertSignal", signal.RuleName, excp, props);
}
}
/// <summary>
/// Create a series of CapFloor engines from a raw volatility grid and a DF curve
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">The client namespace</param>
/// <param name="properties">The properties of the engine, including the reference handle to access this engine collection</param>
/// <param name="instruments">An array of instrument types.</param>
/// <param name="rawVolatilityGrid">The raw grid used to build the engines. Assume that all volatility and strike values are 100x true</param>
/// <param name="dfDataTimeGrid">The discount factor dates array.</param>
/// <param name="dfGrid">The discount factors required for bootstrapping</param>
/// <returns>The engine handle or an error message</returns>
public string CreateCapFloorATMCurve(ILogger logger, ICoreCache cache, string nameSpace, NamedValueSet properties,
String[] instruments, Decimal[] rawVolatilityGrid, DateTime[] dfDataTimeGrid, Decimal[] dfGrid)
{
var volatilityCheck = CheckVolatilities(rawVolatilityGrid);
if (volatilityCheck != null)
{
throw new ArgumentException(volatilityCheck);
}
var id = properties.GetString("EngineHandle", true);
var baseDate = properties.GetValue <DateTime>("BaseDate", true);
var valuationDate = properties.GetValue("ValuationDate", DateTime.MinValue);
if (valuationDate == DateTime.MinValue)
{
properties.Set("ValuationDate", baseDate);
}
properties.Set("PricingStructureType", PricingStructureTypeEnum.CapVolatilityCurve.ToString());
var strikeQuoteUnits = properties.GetString("StrikeQuoteUnits", null);
if (strikeQuoteUnits == null)
{
properties.Set("StrikeQuoteUnits", StrikeQuoteUnitsEnum.ATMFlatMoneyness.ToString());
}
var measureType = properties.GetString("MeasureType", null);
if (measureType == null)
{
properties.Set("MeasureType", MeasureTypesEnum.Volatility.ToString());
}
var quoteUnits = properties.GetString("QuoteUnits", null);
if (quoteUnits == null)
{
properties.Set("QuoteUnits", QuoteUnitsEnum.LogNormalVolatility.ToString());
}
var algorithm = properties.GetString("Algorithm", null);
if (algorithm == null)
{
properties.Set("Algorithm", "Default");
}
InterpolationMethod interp = InterpolationMethodHelper.Parse("LogLinearInterpolation");
// Check there are valid strikes
IRateCurve discountCurve =
new SimpleDiscountFactorCurve(baseDate, interp, true, dfDataTimeGrid, dfGrid);
// Create the engines and either add to, or overwrite the existing, collection
if (_capFloorEngine.ContainsKey(id))
{
_capFloorEngine[id] = CreateCurves(logger, cache, nameSpace, properties, discountCurve, discountCurve, instruments, rawVolatilityGrid);
}
else
{
_capFloorEngine.Add(id, CreateCurves(logger, cache, nameSpace, properties, discountCurve, discountCurve, instruments, rawVolatilityGrid));
}
return(id);
}
/// <summary>
/// Create a series of CapFloor engines from a raw volatility grid and a DF curve
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">The client namespace</param>
/// <param name="properties">The properties of the engine, including the reference handle to access this engine collection</param>
/// <param name="instruments">An array of instrument types.</param>
/// <param name="rawVolatilityGrid">The raw grid used to build the engines. Assume that all volatility and strike values are 100x true</param>
/// <returns>The engine handle or an error message</returns>
public string CreateCapFloorATMCurve(ILogger logger, ICoreCache cache, string nameSpace, NamedValueSet properties,
String[] instruments, Decimal[] rawVolatilityGrid)
{
var volatilityCheck = CheckVolatilities(rawVolatilityGrid);
if (volatilityCheck != null)
{
throw new ArgumentException(volatilityCheck);
}
var id = properties.GetString("EngineHandle", true);
var baseDate = properties.GetValue <DateTime>("BaseDate", true);
var valuationDate = properties.GetValue("ValuationDate", DateTime.MinValue);
if (valuationDate == DateTime.MinValue)
{
properties.Set("ValuationDate", baseDate);
}
properties.Set("PricingStructureType", PricingStructureTypeEnum.CapVolatilityCurve.ToString());
var strikeQuoteUnits = properties.GetString("StrikeQuoteUnits", null);
if (strikeQuoteUnits == null)
{
properties.Set("StrikeQuoteUnits", StrikeQuoteUnitsEnum.ATMFlatMoneyness.ToString());
}
var measureType = properties.GetString("MeasureType", null);
if (measureType == null)
{
properties.Set("MeasureType", MeasureTypesEnum.Volatility.ToString());
}
var quoteUnits = properties.GetString("QuoteUnits", null);
if (quoteUnits == null)
{
properties.Set("QuoteUnits", QuoteUnitsEnum.LogNormalVolatility.ToString());
}
var algorithm = properties.GetString("Algorithm", null);
if (algorithm == null)
{
properties.Set("Algorithm", "Default");
}
var referenceDiscountCurve = properties.GetString("ReferenceCurveUniqueId", true);
var referenceForecastCurve = properties.GetString("ReferenceCurrency2CurveId", referenceDiscountCurve);
var discountCurve = CurveLoader.LoadInterestRateCurve(logger, cache, nameSpace, null, null, referenceDiscountCurve);
var forecastCurve = CurveLoader.LoadInterestRateCurve(logger, cache, nameSpace, null, null, referenceForecastCurve);
// Create the engines and either add to, or overwrite the existing, collection
if (_capFloorEngine.ContainsKey(id))
{
_capFloorEngine[id] = CreateCurves(logger, cache, nameSpace, properties, discountCurve, forecastCurve, instruments, rawVolatilityGrid);
}
else
{
_capFloorEngine.Add(id, CreateCurves(logger, cache, nameSpace, properties, discountCurve, forecastCurve, instruments, rawVolatilityGrid));
}
return(id);
}
/// <summary>
/// A helper to extract properties from a named value set..
/// </summary>
/// <param name="properties">The collection of properties.</param>
public static string ExtractMarket(NamedValueSet properties)
{
string market = properties.GetValue(CurveProp.Market, "");
if (string.IsNullOrEmpty(market))
{
market = properties.GetValue(CurveProp.MarketAndDate, "Unspecified");
}
return(market);
}
public CapVolatilityCurve(ILogger logger, ICoreCache cache, string nameSpace, NamedValueSet properties, QuotedAssetSet instrumentData,
IRateCurve discountCurve, IRateCurve forecastCurve, IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
: this(logger, cache, nameSpace, new VolatilitySurfaceIdentifier(properties), fixingCalendar, rollCalendar)
{
DiscountCurve = discountCurve;
ForecastCurve = forecastCurve;
var curveId = GetCurveId();
var volCurve = SetConfigurationData();
//TODO This for backwards compatability. AnalyticalResults is the current interface.
Handle = properties.GetString(CurveProp.EngineHandle, null);
BootstrapResults = new VolCurveBootstrapResults();
//Set the underlying asset information.
var instrument = properties.GetString(CurveProp.Instrument, true);
Asset = new AnyAssetReference {
href = instrument
};
UnderlyingAssetDetails = CreateUnderlyingAssetWithProperties();
var extrapolationPermitted = ExtrapolationPermittedInput ?? ExtrapolationPermitted;
PriceableOptionAssets = PriceableAssetFactory.CreatePriceableRateOptionAssets(logger, cache, nameSpace, curveId.BaseDate, instrumentData, fixingCalendar, rollCalendar);
BootstrapResults.Results = CapFloorBootstrapper.Bootstrap(PriceableOptionAssets, properties, DiscountCurve, ForecastCurve, curveId.BaseDate, extrapolationPermitted,
InterpolationMethod, Tolerance);
IsBootstrapSuccessful = true;
InitialiseVolatilities(curveId.BaseDate, BootstrapResults.Results);
QuoteUnits = EnumHelper.Parse <QuoteUnitsEnum>(properties.GetValue(CurveProp.QuoteUnits, QuoteUnitsEnum.LogNormalVolatility.ToString()));
MeasureType = EnumHelper.Parse <MeasureTypesEnum>(properties.GetValue(CurveProp.MeasureType, MeasureTypesEnum.Volatility.ToString()));
StrikeQuoteUnits = EnumHelper.Parse <StrikeQuoteUnitsEnum>(properties.GetValue(CurveProp.StrikeQuoteUnits, StrikeQuoteUnitsEnum.ATMFlatMoneyness.ToString()));
//If there is a strike specified for the curve, use it!
IsATMBootstrap = true;
Strike = curveId.Strike;
if (Strike != null)
{
ValidateStrike((decimal)Strike);
IsFixedStrikeBootstrap = true;
IsATMBootstrap = false;
}
if (StrikeQuoteUnits == StrikeQuoteUnitsEnum.ATMFlatMoneyness || StrikeQuoteUnits == StrikeQuoteUnitsEnum.ATMMoneyness)
{
IsFixedStrikeBootstrap = false;
}
//The points use tenor strings for expiry.
var termTenors = new List <String>();
foreach (var daysDifference in VolatilityOffsets)
{
termTenors.Add(daysDifference + "D");
}
volCurve.point = ProcessRawSurface(termTenors, Strike, VolatilityValues, curveId.StrikeQuoteUnits, curveId.UnderlyingAssetReference);
// Interpolate the curve based on the respective curve interpolation
SetInterpolator(volCurve, curveId.Algorithm, curveId.PricingStructureType);
CreatePricingStructure(curveId, volCurve, instrumentData);
}
/// <summary>
/// Initializes a new instance of the <see cref="FXCurveTerms"/> class.
/// </summary>
/// <param name="terms">The terms.</param>
public FXCurveTerms(IDictionary <string, object> terms)
{
Terms = terms;
var nvs = new NamedValueSet();
nvs.Add(terms);
Market = nvs.GetValue <string>("Market", null);
Currency1 = nvs.GetValue <string>("Currency1", null);
Currency2 = nvs.GetValue <string>("Currency2", null);
ReferenceKey = BuildKey();
CurveReferenceIdentifier = null;
}
/// <summary>
/// Create a series of Volatility engines from a raw volatility grid
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">The client namespace</param>
/// <param name="properties">The properties of the engine, including the reference handle to access this engine collection</param>
/// <param name="instruments">An array of instrument types.</param>
/// <param name="rawVolatilityGrid">The raw grid used to build the engines. Assume that all volatility and strike values are 100x true</param>
/// <returns>The engine handle or an error message</returns>
public string CreateATMVolatilityCurve(ILogger logger, ICoreCache cache, string nameSpace, NamedValueSet properties,
String[] instruments, Decimal[] rawVolatilityGrid)
{
var volatilityCheck = CheckVolatilties(rawVolatilityGrid);
if (volatilityCheck != null)
{
throw new ArgumentException(volatilityCheck);
}
var id = properties.GetString(CurveProp.EngineHandle, true);
var baseDate = properties.GetValue <DateTime>(CurveProp.BaseDate, true);
var valuationDate = properties.GetValue(CurveProp.ValuationDate, DateTime.MinValue);
if (valuationDate == DateTime.MinValue)
{
properties.Set(CurveProp.ValuationDate, baseDate);
}
var strikeQuoteUnits = properties.GetString(CurveProp.StrikeQuoteUnits, null);
if (strikeQuoteUnits == null)
{
properties.Set(CurveProp.StrikeQuoteUnits, StrikeQuoteUnitsEnum.ATMFlatMoneyness.ToString());
}
var measureType = properties.GetString(CurveProp.MeasureType, null);
if (measureType == null)
{
properties.Set(CurveProp.MeasureType, MeasureTypesEnum.Volatility.ToString());
}
var quoteUnits = properties.GetString(CurveProp.QuoteUnits, null);
if (quoteUnits == null)
{
properties.Set(CurveProp.QuoteUnits, QuoteUnitsEnum.LogNormalVolatility.ToString());
}
var algorithm = properties.GetString(CurveProp.Algorithm, null);
if (algorithm == null)
{
properties.Set(CurveProp.Algorithm, "Default");
}
// Create the engines and either add to, or overwrite the existing, collection
if (_volCurveEngines.ContainsKey(id))
{
_volCurveEngines[id] = VolatilityCurveCreate(logger, cache, nameSpace, properties, instruments, rawVolatilityGrid);
}
else
{
_volCurveEngines.Add(id, VolatilityCurveCreate(logger, cache, nameSpace, properties, instruments, rawVolatilityGrid));
}
return(id);
}
/// <summary>
/// Initializes a new instance of the <see cref="GenericVolatilityCurve"/> class.
/// This constructor is used to clone perturbed copies of a base curve.
/// </summary>
/// <param name="priceableRateOptionAssets">The priceableRateAssets.</param>
/// <param name="pricingStructureAlgorithmsHolder">The pricingStructureAlgorithmsHolder.</param>
/// <param name="curveProperties">The Curve Properties.</param>
/// <param name="discountCurve">The discount rate curve.</param>
/// <param name="forecastCurve">The forecast rate curve.</param>
public GenericVolatilityCurve(NamedValueSet curveProperties, List <IPriceableOptionAssetController> priceableRateOptionAssets,
IRateCurve discountCurve, IRateCurve forecastCurve, PricingStructureAlgorithmsHolder pricingStructureAlgorithmsHolder)
: base(curveProperties, pricingStructureAlgorithmsHolder)
{
DiscountCurve = discountCurve;
ForecastCurve = forecastCurve;
var curveId = GetCurveId();
var volCurve = SetConfigurationData();
Handle = curveProperties.GetString(CurveProp.EngineHandle, null);
BootstrapResults = new VolCurveBootstrapResults();
//Set the underlying asset information.
var instrument = curveProperties.GetString(CurveProp.Instrument, true);
Asset = new AnyAssetReference {
href = instrument
};
UnderlyingAssetDetails = CreateUnderlyingAssetWithProperties();
PriceableOptionAssets = priceableRateOptionAssets;
BootstrapResults.Results = VolatilityCurveBootstrapper.Bootstrap(PriceableOptionAssets);
IsBootstrapSuccessful = true;
InitialiseVolatilities(curveId.BaseDate, BootstrapResults.Results);
QuoteUnits = EnumHelper.Parse <QuoteUnitsEnum>(curveProperties.GetValue(CurveProp.QuoteUnits, QuoteUnitsEnum.LogNormalVolatility.ToString()));
MeasureType = EnumHelper.Parse <MeasureTypesEnum>(curveProperties.GetValue(CurveProp.MeasureType, MeasureTypesEnum.Volatility.ToString()));
StrikeQuoteUnits = EnumHelper.Parse <StrikeQuoteUnitsEnum>(curveProperties.GetValue(CurveProp.StrikeQuoteUnits, StrikeQuoteUnitsEnum.ATMFlatMoneyness.ToString()));
//If there is a strike specified for the curve, use it!
Strike = curveId.Strike;
if (Strike != null)
{
ValidateStrike((decimal)Strike);
IsFixedStrikeBootstrap = true;
}
if (StrikeQuoteUnits == StrikeQuoteUnitsEnum.ATMFlatMoneyness || StrikeQuoteUnits == StrikeQuoteUnitsEnum.ATMMoneyness)
{
IsATMBootstrap = true;
IsFixedStrikeBootstrap = false;
}
//The points use tenor strings for expiry.
var termTenors = new List <String>();
foreach (var daysDifference in VolatilityOffsets)
{
termTenors.Add(daysDifference + "D");
}
volCurve.point = ProcessRawSurface(termTenors, Strike, VolatilityValues, curveId.StrikeQuoteUnits, curveId.UnderlyingAssetReference);
// Interpolate the curve based on the respective curve interpolation
SetInterpolator(volCurve, curveId.Algorithm, curveId.PricingStructureType);
CreatePricingStructure(curveId, volCurve, PriceableOptionAssets);
}
private static TimeSpan GetLifetime(NamedValueSet publishProperties)
{
int expiryInterval = publishProperties.GetValue("ExpiryIntervalInMins", 60);
var lifetime = new TimeSpan(0, expiryInterval, 0);
return(lifetime);
}
private void SetProperties(NamedValueSet properties)
{
try
{
var baseDate = PropertyHelper.ExtractDateTimeProperty(CurveProp.BaseDate, properties);
if (baseDate != null)
{
BaseDate = (DateTime)baseDate;
}
Id = PropertyHelper.ExtractStringProperty("AssetId", properties);
//AssetType property - make sure it exists.
var assetType = PropertyHelper.ExtractStringProperty("AssetType", properties);
if (assetType != null)
{
AssetType = EnumHelper.Parse <AssetTypesEnum>(assetType);
}
Coupon = PropertyHelper.ExtractDecimalProperty("Coupon", properties);
MaturityDate = PropertyHelper.ExtractDateTimeProperty("Maturity", properties);
UniqueIdentifier = properties.GetValue <string>(CurveProp.UniqueIdentifier) ?? BuildUniqueId();
PropertyHelper.Update(Properties, CurveProp.UniqueIdentifier, UniqueIdentifier);
}
catch
{
throw new Exception("Invalid asset id.");
}
}
private void AddPricingStructure(PricingStructure ps, PricingStructureValuation psv, NamedValueSet nvs)
{
var triple = new Triplet <PricingStructure, PricingStructureValuation, NamedValueSet>(ps, psv, nvs);
var identifier = nvs.GetValue <string>("UniqueIdentifier");
_curves.Add(identifier, triple);
}
//Backs out the implied quotes for the asset provided and adds the spread to it.
//
protected static QuotedAssetSet MappedQuotedAssetSet(ILogger logger, ICoreCache cache,
string nameSpace, IInterpolatedSpace referenceCurve, QuotedAssetSet spreadValues,
NamedValueSet properties, IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
{
var index = 0;
var baseDate = properties.GetValue <DateTime>(CurveProp.BaseDate);
//Find the backed out implied quote for each asset.
//
foreach (var asset in spreadValues.instrumentSet.Items)
{
NamedValueSet namedValueSet = PriceableAssetFactory.BuildPropertiesForAssets(nameSpace, asset.id, baseDate);
var quote = spreadValues.assetQuote[index];
//Get the implied quote to use as the input market quote. Make sure it is rate controller.
var priceableAsset = (PriceableRateAssetController)PriceableAssetFactory.Create(logger, cache, nameSpace, quote, namedValueSet, fixingCalendar, rollCalendar);
var value = priceableAsset.CalculateImpliedQuote(referenceCurve);
//Replace the market quote in the bav and remove the spread.
var quotes = new List <BasicQuotation>(quote.quote);
var impliedQuote = MarketQuoteHelper.ReplaceQuotationByMeasureType("MarketQuote", quotes, value);
var marketQuote = new List <BasicQuotation>(impliedQuote);
spreadValues.assetQuote[index].quote = MarketQuoteHelper.MarketQuoteRemoveSpreadAndNormalise(marketQuote);
index++;
}
return(spreadValues);
}
private static WorkflowOutput <HandlerResponse> RunStressGenerator(NamedValueSet properties)
{
var wfGenerateStressCurve = new WFGenerateStressedCurve();
IWorkContext context = new WorkContext(Engine.Logger, Engine.Cache, "UnitTest");
wfGenerateStressCurve.Initialise(context);
var request = new StressedCurveGenRequest
{
RequestId = Guid.NewGuid().ToString(),
RequesterId = new UserIdentity
{
Name = Engine.Cache.ClientInfo.Name,
DisplayName = "Unit Test Agent"
},
BaseDate = properties.GetValue <DateTime>("BaseDate", true),
CurveSelector = new[] { new CurveSelection
{
NameSpace = properties.GetString("NameSpace", true),
CurveName = properties.GetString("CurveName", true),
CurveType = properties.GetString("PricingStructureType", true),
MarketName = properties.GetString("MarketName", true)
} }
};
return(wfGenerateStressCurve.Execute(request));
}
/// <summary>
/// Helper method used by the Caplet Bootstrap Engine to compute the
/// discount factor from the Calculation Date to some date beyond
/// or equal to the Calculation Date.
/// </summary>
/// <param name="capletBootstrapSettings">The Caplet Bootstrap
/// settings object that stores the Calculation Date.</param>
/// <param name="offsets">Array of offsets (number of days) from
/// the Calculation Date.</param>
/// <param name="discountFactors">Array of discount factors.</param>
/// <param name="endDate">Target date.
/// Precondition: End date cannot be before the Calculation Date.</param>
/// <returns>Discount factor.</returns>
public static decimal ComputeDiscountFactor
(NamedValueSet capletBootstrapSettings,
double[] offsets,
double[] discountFactors,
DateTime endDate)
{
// Compute and validate the offset from the start date to the
// end date.
var calcDate = capletBootstrapSettings.GetValue("Calculation Date", DateTime.MinValue);
var timeDiff =
endDate - calcDate;
var offset = (double)timeDiff.Days;
const string errorMessage =
"End date for a discount factor cannot be before Calculation Date";
DataQualityValidator.ValidateMinimum
(offset, 0.0d, errorMessage, true);
// Compute the discount factor by interpolation at the target.
var discountFactor = 1.0m;
if (offset > 0.0d)
{
var interpObj =
new Analytics.Interpolations.LinearInterpolation();
interpObj.Initialize(offsets, discountFactors);
discountFactor = (decimal)interpObj.ValueAt(offset, true);
}
return(discountFactor);
}
private void Initialize(ILogger logger, ICoreCache cache, string nameSpace, NamedValueSet properties, IRateCurve baseCurve, IRateCurve quoteCurve,
string[] instruments, decimal[] values, FxCurve fxCurve, IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
{
var curveId = (RateCurveIdentifier)PricingStructureIdentifier;
BaseCurve = baseCurve;
QuoteCurve = quoteCurve;
//Holder = new PricingStructureAlgorithmsHolder(logger, cache, curveId.PricingStructureType, curveId.Algorithm);
Initialize(properties, Holder);
var currency = properties.GetValue <string>(CurveProp.Currency1);
if (fxCurve != null && baseCurve == null)
{
var holder = new GenericRateCurveAlgorithmHolder(logger, cache, nameSpace);
// Create discount factors, without any input points
RateCurve basisAdjustedDiscountCurve = CreateBasisAdjustedDiscountCurve(fxCurve, quoteCurve, currency, curveId.BaseDate, holder);
TermCurve discountCurve = ((YieldCurveValuation)basisAdjustedDiscountCurve.PricingStructureValuation).discountFactorCurve;
CreateYieldCurve();
GetYieldCurveValuation().discountFactorCurve = discountCurve;
SetInterpolator(discountCurve, curveId.Algorithm, PricingStructureTypeEnum.RateSpreadCurve);
// Put FX curve into inputs
var assetQuotes = new List <BasicAssetValuation>();
BasicAssetValuation[] fxAssetQuotes = ((FxCurveValuation)fxCurve.GetFpMLData().Second).spotRate.assetQuote;
foreach (BasicAssetValuation assetQuote in fxAssetQuotes)
{
BasicAssetValuation clonedAssetQuote = XmlSerializerHelper.Clone(assetQuote);
clonedAssetQuote.definitionRef = FxCurveName;
assetQuotes.Add(clonedAssetQuote);
}
AddQuoteCurveInputs(assetQuotes);
((YieldCurveValuation)PricingStructureValuation).inputs = new QuotedAssetSet {
assetQuote = assetQuotes.ToArray()
};
}
else
{
List <IPriceableRateAssetController> swaps
= PriceableAssetFactory.CreatePriceableRateAssets(logger, cache, nameSpace, curveId.BaseDate, instruments, values, null, fixingCalendar, rollCalendar);
if (fxCurve == null)
{
// only use the input swaps
PriceableRateAssets = swaps;
}
else
{
var holder = new GenericRateCurveAlgorithmHolder(logger, cache, nameSpace);
// Add synthetic input points
RateCurve basisAdjustedDiscountCurve = CreateBasisAdjustedDiscountCurve(fxCurve, quoteCurve, currency, curveId.BaseDate, holder);
//TODO Add some extra short end point: 1D and 1W
string[] syntheticSwapPoints = { "1M", "2M", "3M", "6M", "9M" };
PriceableRateAssets = CreateSyntheticSwaps(logger, cache, nameSpace, BaseCurve, basisAdjustedDiscountCurve,
currency, curveId.BaseDate, syntheticSwapPoints, fixingCalendar, rollCalendar);
PriceableRateAssets.AddRange(swaps);
}
// bootstrap to create the discount factors
PriceableRateAssets = PriceableRateAssets.OrderBy(a => a.GetRiskMaturityDate()).ToList();
Bootstrap((YieldCurveValuation)GetFpMLData().Second);
}
}
public string PublishLpmCapFloorVolMatrix(object[][] structurePropertiesRange, object[][] publishPropertiesRange, object[][] valuesRange, object[][] rateCurveFiltersRange)
{
// Translate into useful objects
NamedValueSet structureProperties = structurePropertiesRange.ToNamedValueSet();
object[,] values = valuesRange.ConvertArrayToMatrix();
string[] columnNames = Array.ConvertAll(values.GetRow(0), Convert.ToString);
object[] ppd = values.GetColumn(1);
for (int index = 0; index < ppd.Length; index++)
{
ppd[index] = ppd[index] is Double?Convert.ToDouble(ppd[index]) / 100 : ppd[index];
}
values.SetColumn(1, ppd);
object[][] data = values.GetRows(1, values.RowCount());
// Create matrix
var baseDate = structureProperties.GetValue <DateTime>(CurveProp.BaseDate, false);
if (baseDate == DateTime.MinValue)
{
baseDate = structureProperties.GetValue <DateTime>(CurveProp.BuildDateTime, false).Date;
if (baseDate == DateTime.MinValue)
{
baseDate = DateTime.Today;
}
}
string sourceName = structureProperties.GetString("Source", true);
string currency = structureProperties.GetString(CurveProp.Currency1, true);
string marketName = structureProperties.GetString(CurveProp.MarketAndDate, true);
string indexName = structureProperties.GetString(CurveProp.IndexName, true);
int year = baseDate.Year;
int weekOfYear = CultureInfo.CurrentCulture.Calendar.GetWeekOfYear(baseDate, CalendarWeekRule.FirstDay, DayOfWeek.Monday);
string id = $"LPMCapFloorCurve.{currency}.{baseDate:yyyy-MM-dd}";
var matrix = new CapFloorATMMatrix(columnNames, data, structurePropertiesRange, baseDate, id);
// Load underlying curve
Market market = GetCurve(Logger.Target, Cache, NameSpace, rateCurveFiltersRange);
// Create the capFloors and properties
Market capFloors = LPMCapFloorCurve.ProcessCapFloor(Logger.Target, Cache, NameSpace, market, matrix);
string newId = $"{marketName}.{indexName}.CapFloor.{currency}.{sourceName}.{year}.Week{weekOfYear}";
string name = $"CapFloor-{currency}-{sourceName}-{baseDate:dd/MM/yyyy}";
structureProperties.Set("Identifier", newId);
structureProperties.Set("Name", name);
// Save
Publish(capFloors, "Market." + newId, structureProperties, publishPropertiesRange);
return(newId);
}
/// <summary>
/// A helper to extract properties from a named value set.
/// </summary>
/// <param name="properties">The collection of properties.</param>
public static PriceQuoteUnits ExtractStrikeQuoteUnits(NamedValueSet properties)
{
string value = properties.GetValue("StrikeQuoteUnits", "ATMFlatMoneyness");
return(new PriceQuoteUnits {
Value = value
});
}
///// <summary>
///// An id for a ratecurve.
///// </summary>
///// <param name="sourceSystem">The source system.</param>
///// <param name="baseParty">The base Party.</param>
///// <param name="reportId">The report Id.</param>
///// <param name="calculationDateTime">The calculationDateTime</param>
//public ValuationReportIdentifier(String sourceSystem, string baseParty, string reportId, DateTime calculationDateTime)
//{
// SetProperties(sourceSystem, baseParty, reportId, calculationDateTime);
//}
private void SetProperties(NamedValueSet properties)
{
try
{
DataType = "ValuationReport";
SourceSystem = PropertyHelper.ExtractSourceSystem(properties);
Id = properties.GetValue <string>(ValueProp.PortfolioId, false);
TradeId = properties.GetValue <string>(TradeProp.TradeId, true);
MarketName = properties.GetValue <string>(ValueProp.MarketName, false);
Domain = SourceSystem + '.' + DataType;
CalculationDateTime = properties.GetValue <DateTime>("CalculationDateTime");
BaseParty = properties.GetValue <string>(ValueProp.BaseParty);
UniqueIdentifier = BuildUniqueId();
if (properties.GetValue <string>(CurveProp.UniqueIdentifier) != null)
{
UniqueIdentifier = properties.GetValue <string>(CurveProp.UniqueIdentifier);
}
PropertyHelper.Update(Properties, CurveProp.UniqueIdentifier, UniqueIdentifier);
PropertyHelper.Update(Properties, "Domain", Domain);
}
catch
{
throw new System.Exception("Invalid tradeid.");
}
}
public override object[,] DoReport(Product product, NamedValueSet properties)
{
if (product is FutureTransaction futureTransaction)
{
var party1 = properties.GetValue <string>(TradeProp.Party1, true);
var party2 = properties.GetValue <string>(TradeProp.Party2, true);
var result = new object[10, 2];
result[0, 0] = "buyerPartyReference";
result[1, 0] = "sellerPartyReference";
result[2, 0] = "numberOfUnits";
result[3, 0] = "currency";
result[4, 0] = "amount";
result[5, 0] = "maturity";
result[6, 0] = "id";
result[7, 0] = "paryt1";
result[8, 0] = "party2";
result[9, 0] = "exchangeId";
var temp = futureTransaction.future;
result[0, 1] = futureTransaction.buyerPartyReference.href;
result[1, 1] = futureTransaction.sellerPartyReference.href;
result[2, 1] = futureTransaction.numberOfUnits;
result[3, 1] = futureTransaction.unitPrice.currency.Value;
result[4, 1] = 0.0m;
if (futureTransaction.unitPrice.amountSpecified)
{
result[4, 1] = futureTransaction.unitPrice.amount;
}
result[5, 1] = DateTime.MinValue;
if (temp.maturitySpecified)
{
result[5, 1] = temp.maturity;
}
result[6, 1] = temp.id;
result[7, 1] = party1;
result[8, 1] = party2;
result[9, 1] = "Unknown";
if (futureTransaction.future.exchangeId != null)
{
result[9, 1] = futureTransaction.future.exchangeId.Value;
}
return(result);
}
return(null);
}
/// <summary>
/// A helper to extract properties from a named value set.
/// </summary>
/// <param name="properties">The collection of properties.</param>
public static PricingStructureTypeEnum ExtractPricingStructureType(NamedValueSet properties)
{
var pricingStructureType = properties.GetValue <string>(CurveProp.PricingStructureType, true);
if (!EnumHelper.TryParse(pricingStructureType, true, out PricingStructureTypeEnum pricingStructureTypeEnum))
{
throw new ArgumentException($"PricingStructureType '{pricingStructureType}' not recognized.");
}
return(pricingStructureTypeEnum);
}
/// <summary>
/// Initializes a new instance of the <see cref="VolatilitySurfaceTerms"/> class.
/// </summary>
/// <param name="terms">The terms.</param>
public VolatilitySurfaceTerms(IDictionary <string, object> terms)
{
Terms = terms;
var nvs = new NamedValueSet();
nvs.Add(terms);
if (nvs.Get(CurveProp.Market, false) != null)
{
Market = nvs.GetValue <string>(CurveProp.Market, null);
}
else if (nvs.Get("Market", false) != null)
{
Market = nvs.GetValue <string>("Market", null);
}
Currency = nvs.GetValue <string>(CurveProp.Currency1, null);
BaseDate = nvs.GetValue(CurveProp.BaseDate, DateTime.MinValue);
ReferenceKey = BuildKey();
SurfaceReferenceIdentifier = null;
}