public void GetInfoTwoSwaps()
{
string valReportId1 = Guid.NewGuid().ToString();
ValuationReport valuationReport1 = CreateSwapValuationReport(valReportId1);
string valReportId2 = Guid.NewGuid().ToString();
ValuationReport valuationReport2 = CreateSwapValuationReport(valReportId2);
Engine.Cache.SaveObject(valuationReport1, Engine.NameSpace + "." + valReportId1, null);
Engine.Cache.SaveObject(valuationReport2, Engine.NameSpace + "." + valReportId2, null);
var excelValuation = new Valuation();
string mergedReportId = excelValuation.Merge(Engine.Cache, Engine.NameSpace, valReportId1, valReportId2, null, null, null, null, null, null, null, null);
//var valuation = Engine.Cache.LoadObject<ValuationReport>(mergedReportId);
List <ValuationInfoRangeItem> valuationInfoRangeItems = excelValuation.GetInfo(Engine.Cache, Engine.NameSpace, mergedReportId);
object[,] range = ObjectToArrayOfPropertiesConverter.ConvertListToHorizontalArrayRange(valuationInfoRangeItems);
Debug.Print("GetInfo (two swaps)");
Debug.Print(ParameterFormatter.FormatObject(range));
Assert.AreEqual(3, valuationInfoRangeItems.Count);
Assert.AreEqual(mergedReportId, valuationInfoRangeItems[0].Id);
Assert.AreEqual("envelope", valuationInfoRangeItems[0].Description);
Assert.AreEqual(valReportId1, valuationInfoRangeItems[1].Id);
Assert.AreEqual("swap(fixed/float)", valuationInfoRangeItems[1].Description);
Assert.AreEqual(valReportId2, valuationInfoRangeItems[2].Id);
Assert.AreEqual("swap(fixed/float)", valuationInfoRangeItems[2].Description);
}
public void ConvertObjectToVerticalArrayArrayOfTwoObjects()
{
var classWithParamData1 = new ClassWithParamData
{
Name = "Name 21",
Age = 100,
Size = 40,
Type = PersonType.One,
Adjusted = false
};
var classWithParamData2 = new ClassWithParamData
{
Name = "Name 22",
Age = 200,
Size = 40,
Type = PersonType.Two,
Adjusted = true
};
var classWithParamDatas = new[] { classWithParamData1, classWithParamData2 };
object[,] lists = ObjectToArrayOfPropertiesConverter.ConvertObjectToVerticalArrayRange(classWithParamDatas);
Assert.AreEqual(lists[0, 0], "Name 21");
Assert.AreEqual(lists[1, 0], 100d);
Assert.AreEqual(lists[2, 0], 40);
Assert.AreEqual(lists[3, 0], PersonType.One);
Assert.AreEqual(lists[4, 0], false);
Assert.AreEqual(lists[0, 1], "Name 22");
Assert.AreEqual(lists[1, 1], 200d);
Assert.AreEqual(lists[2, 1], 40);
Assert.AreEqual(lists[3, 1], PersonType.Two);
Assert.AreEqual(lists[4, 1], true);
}
public void CreateObjectSimpleTypes()
{
bool error;
var stringFields = new List <object>(new object[] { "fieldsString" });
var stringValue = ObjectToArrayOfPropertiesConverter.CreateObject <string>(stringFields, out error);
Assert.IsFalse(error);
Assert.AreEqual("fieldsString", stringValue);
var dateTimeFields = new List <object>(new object[] { DateTime.Today.Date });
var dateTimeValue = ObjectToArrayOfPropertiesConverter.CreateObject <DateTime>(dateTimeFields, out error);
Assert.IsFalse(error);
Assert.AreEqual(DateTime.Today.Date, dateTimeValue);
var intFields = new List <object>(new object[] { 1 });
var intValue = ObjectToArrayOfPropertiesConverter.CreateObject <int>(intFields, out error);
Assert.IsFalse(error);
Assert.AreEqual(1, intValue);
var doubleFields = new List <object>(new object[] { 1.1 });
var doubleValue = ObjectToArrayOfPropertiesConverter.CreateObject <double>(doubleFields, out error);
Assert.IsFalse(error);
Assert.AreEqual(1.1, doubleValue);
var decimalFields = new List <object>(new object[] { 1.2m });
var decimalValue = ObjectToArrayOfPropertiesConverter.CreateObject <decimal>(decimalFields, out error);
Assert.IsFalse(error);
Assert.AreEqual(1.2m, decimalValue);
}
public void CreateListFromHorizontalArrayRangeMattsRequest()
{
var sourceArrayWithExtraData = new object[4, 4];
// first two rows is almost empty (except 0-s)
//
sourceArrayWithExtraData[0, 0] = "";
sourceArrayWithExtraData[0, 1] = "";
sourceArrayWithExtraData[0, 2] = "";
sourceArrayWithExtraData[0, 3] = "";
sourceArrayWithExtraData[1, 0] = "";
sourceArrayWithExtraData[1, 1] = "";
sourceArrayWithExtraData[1, 2] = "";
sourceArrayWithExtraData[1, 3] = "";
sourceArrayWithExtraData[2, 0] = DateTime.Today;
sourceArrayWithExtraData[2, 1] = 1000;
sourceArrayWithExtraData[2, 2] = 0.0;
sourceArrayWithExtraData[2, 3] = 0.0;
sourceArrayWithExtraData[3, 0] = DateTime.Today.AddYears(10);
sourceArrayWithExtraData[3, 1] = -1000;
sourceArrayWithExtraData[3, 2] = 0.0;
sourceArrayWithExtraData[3, 3] = 0.0;
List <InputPrincipalExchangeCashflowRangeItem> list = ObjectToArrayOfPropertiesConverter.CreateListFromHorizontalArrayRange <InputPrincipalExchangeCashflowRangeItem>(sourceArrayWithExtraData);
Assert.AreEqual(list.Count, 2);
}
public void CreateObjectTest()
{
var fields = new List <object> {
"Samuel Clemmens", 50, 1223, PersonType.One, false
};
bool error;
var paramData = ObjectToArrayOfPropertiesConverter.CreateObject <ClassWithParamData>(fields, out error);
Assert.IsFalse(error);
Assert.AreEqual(paramData.Name, "Samuel Clemmens");
Assert.AreEqual(paramData.Age, 50);
Assert.AreEqual(paramData.Size, 1223);
Assert.AreEqual(paramData.Type, PersonType.One);
Assert.AreEqual(paramData.Adjusted, false);
var fields2 = new List <object> {
null, 50, 1223, PersonType.Two, null
};
var paramData2 = ObjectToArrayOfPropertiesConverter.CreateObject <ClassWithParamData>(fields2, out error);
Assert.IsFalse(error);
Assert.IsNull(paramData2.Name);//default value
Assert.AreEqual(paramData2.Age, 50);
Assert.AreEqual(paramData2.Size, 1223);
Assert.AreEqual(paramData2.Type, PersonType.Two);
Assert.AreEqual(paramData2.Adjusted, false);//default value
}
public void CreateObjectPropertiesTest()
{
var fields = new List <object> {
"18", "M", true, "ID-1"
};
bool error;
var paramData = ObjectToArrayOfPropertiesConverter.CreateObject <Period>(fields, out error);
Assert.AreEqual(paramData.periodMultiplier, "18");
Assert.AreEqual(paramData.period, PeriodEnum.M);
Assert.AreEqual(paramData.id, "ID-1");
}
public void CreateListFromVerticalArrayRangeSimpleTypes()
{
var dateTimeArray = new object[1, 3];
dateTimeArray[0, 0] = DateTime.Today.Date.AddDays(1);
dateTimeArray[0, 1] = null;
dateTimeArray[0, 2] = DateTime.Today.Date.AddDays(2);
List <DateTime> dateTimesList = ObjectToArrayOfPropertiesConverter.CreateListFromVerticalArrayRange <DateTime>(dateTimeArray);
Assert.AreEqual(2, dateTimesList.Count);
Assert.AreEqual(DateTime.Today.Date.AddDays(1), dateTimesList[0]);
Assert.AreEqual(DateTime.Today.Date.AddDays(2), dateTimesList[1]);
var stringArray = new object[1, 3];
stringArray[0, 0] = "One";
stringArray[0, 1] = null;
stringArray[0, 2] = "Three";
List <string> stringList = ObjectToArrayOfPropertiesConverter.CreateListFromVerticalArrayRange <string>(stringArray);
Assert.AreEqual(2, stringList.Count);
Assert.AreEqual("One", stringList[0]);
Assert.AreEqual("Three", stringList[1]);
var intArray = new object[1, 3];
intArray[0, 0] = 1;
intArray[0, 1] = null;
intArray[0, 2] = 3;
List <int> intList = ObjectToArrayOfPropertiesConverter.CreateListFromVerticalArrayRange <int>(intArray);
Assert.AreEqual(2, intList.Count);
Assert.AreEqual(1, intList[0]);
Assert.AreEqual(3, intList[1]);
var doubleArray = new object[1, 3];
doubleArray[0, 0] = 1;
doubleArray[0, 1] = null;
doubleArray[0, 2] = 3;
var doubleList = ObjectToArrayOfPropertiesConverter.CreateListFromVerticalArrayRange <double>(doubleArray);
Assert.AreEqual(2, doubleList.Count);
Assert.AreEqual(1, doubleList[0]);
Assert.AreEqual(3, doubleList[1]);
var decimalArray = new object[1, 3];
decimalArray[0, 0] = 1.1m;
decimalArray[0, 1] = null;
decimalArray[0, 2] = 3.1m;
var decimalList = ObjectToArrayOfPropertiesConverter.CreateListFromVerticalArrayRange <decimal>(decimalArray);
Assert.AreEqual(2, decimalList.Count);
Assert.AreEqual(1.1m, decimalList[0]);
Assert.AreEqual(3.1m, decimalList[1]);
}
/// <summary>
/// Gets a dates schedule.
/// </summary>
/// <param name="metaScheduleDefinitionRange">This must have 3 columns: interval, interval, rollconventionenum.</param>
/// <param name="startDate">The start date of the schedule to be generated.</param>
/// <param name="calendar">The relevant calendar.</param>
/// <param name="businessDayAdjustment">The business day adjustments.</param>
/// <returns>A vertical arrray of dates.</returns>
public object[,] GetMetaDatesSchedule(Excel.Range metaScheduleDefinitionRange,
DateTime startDate,
string calendar,
string businessDayAdjustment)
{
var values = metaScheduleDefinitionRange.Value[System.Reflection.Missing.Value] as object[, ];
List <ThreeStringsRangeItem> metaScheduleDefinition = ObjectToArrayOfPropertiesConverter.CreateListFromHorizontalArrayRange <ThreeStringsRangeItem>(values);
BusinessCenters centers = BusinessCentersHelper.Parse(calendar);
IBusinessCalendar businessCalendar = Engine.ToBusinessCalendar(centers);
var metaSchedule = AdjustedDatesMetaSchedule.GetMetaDatesSchedule(metaScheduleDefinition, startDate, businessCalendar, calendar, businessDayAdjustment);
var result = RangeHelper.ConvertArrayToRange(metaSchedule);
return(result);
}
public void ConvertObjectToVerticalArraySingleObject()
{
var classWithParamData = new ClassWithParamData
{
Name = "Name 21",
Age = 100,
Size = 40,
Type = PersonType.One,
Adjusted = false
};
object[,] lists = ObjectToArrayOfPropertiesConverter.ConvertObjectToVerticalArrayRange(classWithParamData);
Assert.AreEqual(lists[0, 0], "Name 21");
Assert.AreEqual(lists[1, 0], 100d);
Assert.AreEqual(lists[2, 0], 40);
Assert.AreEqual(lists[3, 0], PersonType.One);
Assert.AreEqual(lists[4, 0], false);
}
/// <summary>
///
/// </summary>
/// <param name="underlying"></param>
/// <param name="spot"></param>
/// <param name="callStrike"></param>
/// <param name="style"></param>
/// <param name="tradeDate"></param>
/// <param name="expiryDate"></param>
/// <param name="zeroRange"></param>
/// <param name="divRange"></param>
/// <param name="orcParamsRange"></param>
/// <returns></returns>
public double CallCollarPricer(string underlying, double spot, double callStrike,
string style, DateTime tradeDate, DateTime expiryDate,
Excel.Range zeroRange,
Excel.Range divRange, Excel.Range orcParamsRange)
{
var values = orcParamsRange.Value[System.Reflection.Missing.Value] as object[, ];
values = (object[, ])DataRangeHelper.TrimNulls(values);
var orcParams = RangeHelper.Convert2DArrayToClass <WingParamsRange>(ArrayHelper.RangeToMatrix(values));
var zeroArray = zeroRange.Value[System.Reflection.Missing.Value] as object[, ];
var zeroes = ObjectToArrayOfPropertiesConverter.CreateListFromHorizontalArrayRange <ZeroCurveRange>(zeroArray);
var divArray = zeroRange.Value[System.Reflection.Missing.Value] as object[, ];
var divs = ObjectToArrayOfPropertiesConverter.CreateListFromHorizontalArrayRange <DividendRange>(divArray);
var result = Orion.EquityCollarPricer.Collar.CallCollarPricer(underlying, spot, callStrike,
style, tradeDate, expiryDate,
zeroes, divs, orcParams);
return(result);
}
public void ConvertClassTo2DArraySingleObject()
{
var classWithParamData = new ClassWithParamData
{
Name = "Jonh Doe",
Age = 100,
Size = 40,
Type = PersonType.One,
Adjusted = false
};
object[,] array = ObjectToArrayOfPropertiesConverter.ConvertObjectToVerticalArrayRange(classWithParamData);
Assert.AreEqual(array.GetLength(0), 5);
Assert.AreEqual(array.GetLength(1), 1);
Assert.AreEqual(array[0, 0], "Jonh Doe");
Assert.AreEqual(array[1, 0], 100d);
Assert.AreEqual(array[2, 0], 40);
Assert.AreEqual(array[3, 0], PersonType.One);
Assert.AreEqual(array[4, 0], false);
}
public void GetDetailedCapFloorCashflowsVanilla()
{
DateTime valuationDate = DateTime.Today;
var irCapFloorPricer = new CapFloorPricer();
var curveId = BuildAndCacheRateCurve(valuationDate);
foreach (CapFloorType legType in new[] { CapFloorType.Cap, CapFloorType.Floor })
{
Debug.Print("LegType: {0}", legType);
CapFloorLegParametersRange_Old capLeg = GetCapFloorInputParameters(valuationDate, valuationDate.AddMonths(6), valuationDate.AddYears(5),
legType, "Standard", curveId, curveId);
ValuationRange valuationRange = CreateValuationRange(valuationDate);
List <DateTimeDoubleRangeItem> notional = GetAmortNotional(capLeg, 3);
List <DetailedCashflowRangeItem> cashflowList =
irCapFloorPricer.GetDetailedCashflowsWithNotionalSchedule(Engine.Logger, Engine.Cache, Engine.NameSpace, null, null, capLeg, notional, valuationRange);
object[,] arrayOfCashflows = ObjectToArrayOfPropertiesConverter.ConvertListToHorizontalArrayRange(cashflowList);
Debug.WriteLine("Cashflows:");
Debug.WriteLine(ParameterFormatter.FormatObject(arrayOfCashflows));
}
}
public void CreateListFromHorizontalArrayRangeNonZeroBasedArray()
{
var sourceArrayWithExtraData = (object[, ])Array.CreateInstance(typeof(object), new[] { 3, 10 }, new[] { 2, 2 });
sourceArrayWithExtraData[2, 2] = "Jonh Doe";
sourceArrayWithExtraData[2, 3] = 100;
sourceArrayWithExtraData[2, 4] = 40;
sourceArrayWithExtraData[2, 5] = PersonType.One;
sourceArrayWithExtraData[2, 6] = false;
sourceArrayWithExtraData[2, 7] = null;
sourceArrayWithExtraData[2, 8] = "#N/A";
sourceArrayWithExtraData[2, 9] = null;
sourceArrayWithExtraData[2, 10] = "#N/A";
sourceArrayWithExtraData[2, 11] = null;
sourceArrayWithExtraData[3, 2] = "Jonh Doe ";
sourceArrayWithExtraData[3, 3] = 200;
sourceArrayWithExtraData[3, 4] = 50;
sourceArrayWithExtraData[3, 5] = PersonType.Two;
sourceArrayWithExtraData[3, 6] = true;
sourceArrayWithExtraData[3, 7] = null;
sourceArrayWithExtraData[3, 8] = "#N/A";
sourceArrayWithExtraData[3, 9] = null;
sourceArrayWithExtraData[3, 10] = "#N/A";
sourceArrayWithExtraData[3, 11] = null;
// Third row is empty and should be not converted to object.
//
sourceArrayWithExtraData[4, 2] = null;
sourceArrayWithExtraData[4, 3] = null;
sourceArrayWithExtraData[4, 4] = null;
sourceArrayWithExtraData[4, 5] = null;
sourceArrayWithExtraData[4, 6] = null;
sourceArrayWithExtraData[4, 7] = null;
sourceArrayWithExtraData[4, 8] = null;
sourceArrayWithExtraData[4, 9] = null;
sourceArrayWithExtraData[4, 10] = null;
sourceArrayWithExtraData[4, 11] = null;
List <ClassWithParamData> list = ObjectToArrayOfPropertiesConverter.CreateListFromHorizontalArrayRange <ClassWithParamData>(sourceArrayWithExtraData);
Assert.AreEqual(list.Count, 2);
}
public void CreateListFromVerticalArrayRange()
{
var sourceArrayWithExtraData = new object[10, 3];
sourceArrayWithExtraData[0, 0] = "Jonh Doe";
sourceArrayWithExtraData[1, 0] = 100;
sourceArrayWithExtraData[2, 0] = 40;
sourceArrayWithExtraData[3, 0] = PersonType.One;
sourceArrayWithExtraData[4, 0] = false;
sourceArrayWithExtraData[5, 0] = null;
sourceArrayWithExtraData[6, 0] = "#N/A";
sourceArrayWithExtraData[7, 0] = null;
sourceArrayWithExtraData[8, 0] = "#N/A";
sourceArrayWithExtraData[9, 0] = null;
sourceArrayWithExtraData[0, 1] = "Jonh Doe ";
sourceArrayWithExtraData[1, 1] = 200;
sourceArrayWithExtraData[2, 1] = 50;
sourceArrayWithExtraData[3, 1] = PersonType.Two;
sourceArrayWithExtraData[4, 1] = true;
sourceArrayWithExtraData[5, 1] = null;
sourceArrayWithExtraData[6, 1] = "#N/A";
sourceArrayWithExtraData[7, 1] = null;
sourceArrayWithExtraData[8, 1] = "#N/A";
sourceArrayWithExtraData[9, 1] = null;
// Third row is empty and should be not converted to object.
//
sourceArrayWithExtraData[0, 2] = null;
sourceArrayWithExtraData[1, 2] = null;
sourceArrayWithExtraData[2, 2] = null;
sourceArrayWithExtraData[3, 2] = null;
sourceArrayWithExtraData[4, 2] = null;
sourceArrayWithExtraData[5, 2] = null;
sourceArrayWithExtraData[6, 2] = null;
sourceArrayWithExtraData[7, 2] = null;
sourceArrayWithExtraData[8, 2] = null;
sourceArrayWithExtraData[9, 2] = null;
List <ClassWithParamData> list = ObjectToArrayOfPropertiesConverter.CreateListFromVerticalArrayRange <ClassWithParamData>(sourceArrayWithExtraData);
Assert.AreEqual(list.Count, 2);
}
public void CreateListFromHorizontalArrayRange()
{
var sourceArrayWithExtraData = new object[3, 10];
sourceArrayWithExtraData[0, 0] = "Jonh Doe";
sourceArrayWithExtraData[0, 1] = 100;
sourceArrayWithExtraData[0, 2] = 40;
sourceArrayWithExtraData[0, 3] = PersonType.One;
sourceArrayWithExtraData[0, 4] = false;
sourceArrayWithExtraData[0, 5] = null;
sourceArrayWithExtraData[0, 6] = "#N/A";
sourceArrayWithExtraData[0, 7] = null;
sourceArrayWithExtraData[0, 8] = "#N/A";
sourceArrayWithExtraData[0, 9] = null;
sourceArrayWithExtraData[1, 0] = "Jonh Doe ";
sourceArrayWithExtraData[1, 1] = 200;
sourceArrayWithExtraData[1, 2] = 50;
sourceArrayWithExtraData[1, 3] = PersonType.Two;
sourceArrayWithExtraData[1, 4] = true;
sourceArrayWithExtraData[1, 5] = null;
sourceArrayWithExtraData[1, 6] = "#N/A";
sourceArrayWithExtraData[1, 7] = null;
sourceArrayWithExtraData[1, 8] = "#N/A";
sourceArrayWithExtraData[1, 9] = null;
// Third row is empty and should be not converted to object.
//
sourceArrayWithExtraData[2, 0] = null;
sourceArrayWithExtraData[2, 1] = null;
sourceArrayWithExtraData[2, 2] = null;
sourceArrayWithExtraData[2, 3] = null;
sourceArrayWithExtraData[2, 4] = null;
sourceArrayWithExtraData[2, 5] = null;
sourceArrayWithExtraData[2, 6] = null;
sourceArrayWithExtraData[2, 7] = null;
sourceArrayWithExtraData[2, 8] = null;
sourceArrayWithExtraData[2, 9] = null;
List <ClassWithParamData> list = ObjectToArrayOfPropertiesConverter.CreateListFromHorizontalArrayRange <ClassWithParamData>(sourceArrayWithExtraData);
Assert.AreEqual(list.Count, 2);
}
public void CreateListOfObjectsTest()
{
var fields = new List <object> {
"Samuel Clemmens", 50, 1223, PersonType.One, false
};
var fields2 = new List <object> {
null, 50, 1223, PersonType.Two, null
};
var listOfFields = new List <List <object> > {
fields, fields2
};
List <ClassWithParamData> listParamData = ObjectToArrayOfPropertiesConverter.CreateListOfObjectsFromListOfListOfFields <ClassWithParamData>(listOfFields);
Assert.AreEqual(listParamData[0].Name, "Samuel Clemmens");
Assert.AreEqual(listParamData[0].Age, 50);
Assert.AreEqual(listParamData[0].Size, 1223);
Assert.AreEqual(listParamData[0].Type, PersonType.One);
Assert.AreEqual(listParamData[0].Adjusted, false);
Assert.IsNull(listParamData[1].Name);//default value
Assert.AreEqual(listParamData[1].Age, 50);
Assert.AreEqual(listParamData[1].Size, 1223);
Assert.AreEqual(listParamData[1].Type, PersonType.Two);
Assert.AreEqual(listParamData[1].Adjusted, false);//default value
}
