/// <summary>
/// Returns the npv.
/// </summary>
/// <param name="reportingParty"></param>
/// <param name="baseCurrency"></param>
/// <param name="valuationDate"></param>
/// <param name="market"></param>
/// <returns></returns>
public double GetNPV(string reportingParty, string baseCurrency, DateTime valuationDate, IMarketEnvironment market)
{
var modelData = CreateInstrumentModelData(new List <string> {
InstrumentMetrics.NPV.ToString()
}, valuationDate, market, baseCurrency, reportingParty);
var av = PriceableProduct.Calculate(modelData);
return((double)av.quote[0].value);
}
/// <summary>
/// Prices the product.
/// </summary>
/// <param name="reportingParty"></param>
/// <param name="valuationDate"></param>
/// <param name="market"></param>
/// <returns></returns>
public double GetParRate(string reportingParty, DateTime valuationDate, IMarketEnvironment market)
{
var modelData = CreateInstrumentModelData(new List <string> {
InstrumentMetrics.ImpliedQuote.ToString()
}, valuationDate, market, PriceableProduct.PaymentCurrencies[0], reportingParty);
var av = PriceableProduct.Calculate(modelData);
return((double)av.quote[0].value);
}
/// <summary>
/// Builds the product with the calculated data.
/// </summary>
/// <returns></returns>
public override Product BuildTheProduct()
{
return(PriceableProduct.BuildTheProduct());
}
///<summary>
/// Prices the trade.
///</summary>
///<returns></returns>
public override ValuationReport Price(IInstrumentControllerData modelData, ValuationReportType reportType)
{
//Price.
if (TradeHelper.IsImplementedProductType(ProductType))
{
// A new valuationReport.
var valuationReport = new ValuationReport();
//var valSet = new ValuationSet();
InstrumentControllerBase priceableProduct = PriceableProduct;
if (priceableProduct == null)
{
throw new ApplicationException("PriceableProduct is null!");
}
//This makes sure the marketenvironment has curves in it, otherwise the pricer will not function.
if (modelData.MarketEnvironment == null)
{
throw new ApplicationException("MarketEnvironment is null!");
}
//Set the appropriate Multiplier based on the reporting party
var result = new AssetValuation();
var reportingParty = modelData.BaseCalculationParty.Id;
if (BaseParty == TradeProp.Party1)
{
if (reportingParty == TradeProp.Party1)
{
result = priceableProduct.Calculate(modelData);
}
if (Parties[0].partyName.Value == reportingParty)
{
result = priceableProduct.Calculate(modelData);
}
if (Parties[1].partyName.Value == reportingParty || reportingParty == TradeProp.Party2)
{
priceableProduct.Multiplier = -1;
result = priceableProduct.Calculate(modelData);
priceableProduct.Multiplier = 1;
}
}
if (BaseParty == TradeProp.Party2)
{
if (reportingParty == TradeProp.Party2)
{
result = priceableProduct.Calculate(modelData);
}
if (Parties[1].partyName.Value == reportingParty)
{
result = priceableProduct.Calculate(modelData);
}
if (Parties[0].partyName.Value == reportingParty || reportingParty == TradeProp.Party1)
{
priceableProduct.Multiplier = -1;
result = priceableProduct.Calculate(modelData);
priceableProduct.Multiplier = 1;
}
}
if (modelData.IsReportingCounterpartyRequired)
{
priceableProduct.Multiplier = 0;
result = priceableProduct.Calculate(modelData);
priceableProduct.Multiplier = 1;
}
var valSet = new ValuationSet {
assetValuation = new[] { result }
};
//The tradevaluation item.
var trade = new Trade {
id = TradeIdentifier.UniqueIdentifier, tradeHeader = TradeHeader
};
//Checks to see if the deatil data is required and if so builds the product.//TODO Add other ItemChoice types.e.g. Fra
if (reportType == ValuationReportType.Full)
{
var item = PriceableProduct.BuildTheProduct();
trade.Item = item;
trade.ItemElementName = trade.GetTradeTypeFromItem();
}
var tradeValuationItem = new TradeValuationItem {
Items = new object[] { trade }, valuationSet = valSet
};
valuationReport.tradeValuationItem = new[] { tradeValuationItem };
return(valuationReport);
}
throw new NotSupportedException("Product pricing is not supported!");
}
