public static PriceQuoteUnits Copy(PriceQuoteUnits quoteUnits)
{
return(new PriceQuoteUnits
{
Value = quoteUnits.Value
});
}
public static BasicQuotation Create(AssetMeasureType measureType, PriceQuoteUnits priceUnits, string sideAsString)
{
ParseQuotationSideEnum(sideAsString, out var sideSpecified, out var side);
return(new BasicQuotation
{
valueSpecified = false,
measureType = measureType,
quoteUnits = priceUnits,
sideSpecified = sideSpecified,
side = side
});
}
/// <summary>
/// Initializes a new instance of the <see cref="VolatilitySurfaceIdentifier"/> class.
/// </summary>
/// <param name="surfaceId">The surface id.</param>
public VolatilitySurfaceIdentifier(string surfaceId)
: base(surfaceId)
{
var volCurveId = surfaceId.Split('-');
Instrument = volCurveId[volCurveId.Length - 2];
UnderlyingAssetReference = new AssetReference {
href = Instrument
};
StrikeQuoteUnits = new PriceQuoteUnits {
Value = PriceQuoteProp.Absolute
}; //DecimalRate
}
/// <summary>
/// A helper to extract properties from a namedvalueset..
/// </summary>
/// <param name="propertyCollection">The collection of properties.</param>
public static PriceQuoteUnits ExtractStrikeQuoteUnits(NamedValueSet propertyCollection)
{
var priceQuoteUnits = new PriceQuoteUnits {
Value = "Absolute"
};
var dictionaryKeys = propertyCollection.ToDictionary();
if (dictionaryKeys.ContainsKey("StrikeQuoteUnits"))
{
var result = propertyCollection.Get("StrikeQuoteUnits").AsValue <string>();
priceQuoteUnits.Value = result;
}
return(priceQuoteUnits);
}
/// <summary>
/// A helper to extract properties from a namedvalueset..
/// </summary>
/// <param name="propertyCollection">The collection of properties.</param>
public static PriceQuoteUnits ExtractQuoteUnits(NamedValueSet propertyCollection)
{
PriceQuoteUnits priceQuoteUnits = null;
var dictionaryKeys = propertyCollection.ToDictionary();
if (dictionaryKeys.ContainsKey("QuoteUnits"))
{
var result = propertyCollection.Get("QuoteUnits").AsValue <string>();
priceQuoteUnits = new PriceQuoteUnits {
Value = result
};
}
return(priceQuoteUnits);
}
/// <summary>
/// Initializes a new instance of the <see cref="VolatilitySurfaceIdentifier"/> class.
/// </summary>
/// <param name="pricingStructureType"></param>
/// <param name="curveName"></param>
/// <param name="baseDate"></param>
/// <param name="algorithm"></param>
public VolatilitySurfaceIdentifier(PricingStructureTypeEnum pricingStructureType, string curveName, DateTime baseDate, string algorithm)
: base(pricingStructureType, curveName, baseDate, algorithm)
{
var volCurveId = CurveName.Split('-');
Currency = CurrencyHelper.Parse(volCurveId[0]);
Instrument = volCurveId[volCurveId.Length - 2];
UnderlyingAssetReference = new AssetReference {
href = Instrument
};
StrikeQuoteUnits = new PriceQuoteUnits {
Value = PriceQuoteProp.Absolute
}; //DecimalRate
}
///<summary>
/// A swaption ppd grid.
///</summary>
///<param name="rows"></param>
///<param name="cols"></param>
///<param name="data"></param>
public SwaptionPPDGrid(string[] rows, string[] cols, object[][] data)
: this()
{
measureType = new AssetMeasureType {
Value = "PPD"
};
quoteUnits = new PriceQuoteUnits {
Value = "points"
};
// build the co-ordinate tree.. data[row][column]
// row = expiry, column = tenor
var points = new List <PricingStructurePoint>();
for (int row = 0; row < rows.Length; row++)
{
for (int col = 0; col < cols.Length; col++)
{
if (data[row][col] != null)
{
var currentPoint = new PricingStructurePoint {
coordinate = new PricingDataPointCoordinate[1]
};
// Set up the coordinate for this point
currentPoint.coordinate[0] = new PricingDataPointCoordinate {
expiration = new TimeDimension[1]
};
// The row - Expiry
currentPoint.coordinate[0].expiration[0] = new TimeDimension
{
Items =
new object[] { PeriodHelper.Parse(rows[row]) }
};
// The column - Tenor
currentPoint.coordinate[0].term = new TimeDimension[1];
currentPoint.coordinate[0].term[0] = new TimeDimension
{
Items = new object[] { PeriodHelper.Parse(cols[col]) }
};
// The data value
currentPoint.valueSpecified = true;
currentPoint.value = Convert.ToDecimal(data[row][col]);
points.Add(currentPoint);
}
}
}
point = points.ToArray();
}
/// <summary>
/// Generate an array of PricingStructurePoint from a set of input arrays
/// The array can then be added to the Matrix
/// </summary>
/// <param name="expiry">Expiry values to use</param>
/// <param name="strike">Strike values to use</param>
/// <param name="volatility">An array of volatility values</param>
/// <param name="strikeQuoteUnits">The strike quote units.</param>
/// <param name="underlyingAssetReference">The underlying asset.</param>
/// <returns></returns>
private PricingStructurePoint[] ProcessRawSurface(String[] expiry, Double[] strike, double[,] volatility, PriceQuoteUnits strikeQuoteUnits, AssetReference underlyingAssetReference)
{
var expiryLength = expiry.Length;
var strikeLength = strike.Length;
var pointIndex = 0;
var points = new PricingStructurePoint[expiryLength * strikeLength];
for (var expiryIndex = 0; expiryIndex < expiryLength; expiryIndex++)
{
// extract the current expiry
var expiryKeyPart = expiry[expiryIndex];
for (var strikeIndex = 0; strikeIndex < strikeLength; strikeIndex++)
{
// Extract the strike to use in the helper key
var strikeKeyPart = strike[strikeIndex];
// extract the current tenor (term) of null if there are no tenors
// Extract the row,column indexed volatility
var vol = (decimal)volatility[expiryIndex, strikeIndex];
var key = new ExpiryTenorStrikeKey(expiryKeyPart, strikeKeyPart);
_matrixIndexHelper.Add(key, pointIndex);
// Add the value to the points array (dataPoints entry in the matrix)
var coordinates = new PricingDataPointCoordinate[1];
coordinates[0] = PricingDataPointCoordinateFactory.Create(expiry[expiryIndex], null, (Decimal)strike[strikeIndex]);
var pt = new PricingStructurePoint
{
value = vol,
valueSpecified = true,
coordinate = coordinates,
underlyingAssetReference = underlyingAssetReference,
quoteUnits = strikeQuoteUnits
};
points[pointIndex++] = pt;
}
}
return(points);
}
private static PricingStructurePoint[] ProcessRawSurface(string[] expiries, string[] tenors, decimal[] strikes, decimal[,] volatility, PriceQuoteUnits strikeQuoteUnits, AssetReference underlyingAssetReference)
{
var expiryLength = expiries.Length;
var strikeLength = strikes.Length;
var tenorLength = tenors.Length;
var points = new List <PricingStructurePoint>();
for (var expiryIndex = 0; expiryIndex < expiryLength; expiryIndex++)
{
for (var strikeIndex = 0; strikeIndex < strikeLength; strikeIndex++)
{
for (var tenorIndex = 0; tenorIndex < tenorLength; tenorIndex++)
{
// Extract the row,column indexed volatility
var vol = volatility[expiryIndex + tenorIndex * expiryLength, strikeIndex];
// Add the value to the points array (dataPoints entry in the matrix)
var coordinates = new PricingDataPointCoordinate[1];
coordinates[0] = PricingDataPointCoordinateFactory.Create(expiries[expiryIndex], tenors[tenorIndex],
strikes[strikeIndex]);
var point = new PricingStructurePoint
{
value = vol,
valueSpecified = true,
coordinate = coordinates,
underlyingAssetReference = underlyingAssetReference,
quoteUnits = strikeQuoteUnits
};
points.Add(point);
}
}
}
return(points.ToArray());
}
