public void PricingStructureIdTest()
{
var rateCurveId = new PricingStructureIdentifier(PricingStructureTypeEnum.RateCurve, _liborIndexName, baseDate);
Debug.Print("RateCurveIdentifier : {0} BuildDateTime : {1} CurveName : {2} PricingStructureType : {3} Algorithm : {4}Currency : {5} BaseDate : {6}",
rateCurveId.Id, rateCurveId.BuildDateTime, rateCurveId.CurveName, rateCurveId.PricingStructureType,
rateCurveId.Algorithm, rateCurveId.Currency.Value, rateCurveId.BaseDate);
}
/// <summary>
/// Initializes a new instance of the <see cref="CurveBase"/> class.
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">The nameSpace</param>
/// <param name="curveIdentifier">The curveIdentifier.</param>
protected RateSpreadCurve(ILogger logger, ICoreCache cache, String nameSpace,
PricingStructureIdentifier curveIdentifier)
: base(logger, cache, nameSpace, curveIdentifier)
{
var properties = curveIdentifier.GetProperties();
PricingStructureData = new PricingStructureData(CurveType.Child, AssetClass.Rates, properties);
}
public void PricingStructureIdTestWithdodgyCurveName()
{
var rateCurveId = new PricingStructureIdentifier(PricingStructureTypeEnum.FxCurve, "FxCurve.1", baseDate);
Debug.Print("CurveId : {0} BuildDateTime : {1} CurveName : {2} PricingStructureType : {3} Algorithm : {4}Currency : {5} BaseDate : {6}",
rateCurveId.Id, rateCurveId.BuildDateTime, rateCurveId.CurveName, rateCurveId.PricingStructureType,
rateCurveId.Algorithm, rateCurveId.Currency.Value, rateCurveId.BaseDate);
}
/// <summary>
/// Initializes a new instance of the <see cref="CurveBase"/> class.
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">The nameSpace</param>
/// <param name="curveIdentifier">The curveIdentifier.</param>
protected CommodityCurve(ILogger logger, ICoreCache cache, String nameSpace, PricingStructureIdentifier curveIdentifier)
: base(logger, cache, nameSpace, curveIdentifier)
{
var properties = curveIdentifier.GetProperties();
PricingStructureData = new PricingStructureData(CurveType.Parent, AssetClass.Commodity, properties);
Tolerance = PropertyHelper.ExtractDoubleProperty("Tolerance", properties) ?? GetDefaultTolerance(Holder);
}
/// <summary>
/// Initializes a new instance of the <see cref="CurveBase"/> class.
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">The nameSpace</param>
/// <param name="curveIdentifier">The curveIdentifier.</param>
protected CurveBase(ILogger logger, ICoreCache cache, String nameSpace, PricingStructureIdentifier curveIdentifier)
{
PricingStructureIdentifier = curveIdentifier;
NameSpace = nameSpace;
if (cache != null)
{
Holder = new PricingStructureAlgorithmsHolder(logger, cache, nameSpace, curveIdentifier.PricingStructureType, curveIdentifier.Algorithm);
}
}
public void PricingStructureIdTestWithProperties5()
{
var rateCurveId = new PricingStructureIdentifier("RateCurve." + _liborIndexName + "." + baseDate);
Assert.IsNotNull(rateCurveId);
Assert.IsNotNull(rateCurveId.Currency);
Debug.Print("RateCurveIdentifier : {0} BuildDateTime : {1} CurveName : {2} PricingStructureType : {3} Algorithm : {4}Currency : {5} BaseDate : {6}",
rateCurveId.Id, rateCurveId.BuildDateTime, rateCurveId.CurveName, rateCurveId.PricingStructureType,
rateCurveId.Algorithm, rateCurveId.Currency.Value, rateCurveId.BaseDate);
}
public void PricingStructureIdTestWithProperties4()
{
NamedValueSet props = new NamedValueSet();
props.Set(CurveProp.PricingStructureType, "RateCurve");
props.Set("Identifier", "RateCurve." + _liborIndexName + "." + baseDate);
props.Set("BuildDateTime", baseDate);
props.Set(CurveProp.BaseDate, baseDate);
props.Set(CurveProp.CurveName, _liborIndexName);
props.Set("Algorithm", "Default");
var rateCurveId = new PricingStructureIdentifier(props);
Debug.Print("RateCurveIdentifier : {0} BuildDateTime : {1} CurveName : {2} PricingStructureType : {3} Algorithm : {4}Currency : {5} BaseDate : {6}",
rateCurveId.Id, rateCurveId.BuildDateTime, rateCurveId.CurveName, rateCurveId.PricingStructureType,
rateCurveId.Algorithm, rateCurveId.Currency.Value, rateCurveId.BaseDate);
}
/// <summary>
/// Creates the yield curve valuation.
/// </summary>
/// <param name="curveId"></param>
/// <param name="quotedAssetSet">The quoted asset set.</param>
/// <param name="commodityurveId">The commodity curve id.</param>
/// <param name="forwardCurve">The curve</param>
/// <returns></returns>
protected static FxCurveValuation CreateCommodiyCurveValuation(PricingStructureIdentifier curveId, FxRateSet quotedAssetSet,
string commodityurveId, TermCurve forwardCurve)
{
var yieldCurveValuation = new FxCurveValuation
{
baseDate = IdentifiedDateHelper.Create(curveId.BaseDate),
buildDateTime = curveId.BuildDateTime,
buildDateTimeSpecified = true,
spotRate = quotedAssetSet,
id = commodityurveId,
definitionRef = curveId.PricingStructureType.ToString(),
fxForwardCurve = forwardCurve
};
return(yieldCurveValuation);
}
public void PricingStructureIdTestWithProperties7()
{
NamedValueSet props = new NamedValueSet();
props.Set(CurveProp.PricingStructureType, "DiscountCurve");
props.Set(CurveProp.CurveName, "AUD-NAB-SEN");
props.Set("BuildDateTime", baseDate);
props.Set(CurveProp.BaseDate, baseDate);
props.Set("Algorithm", "Default");
props.Set("Identifier", "Alex");
props.Set("CreditInstrumentId", "NAB");
props.Set("CreditSeniority", "SENIOR");
var rateCurveId = new PricingStructureIdentifier(props);
Debug.Print("RateCurveIdentifier : {0} BuildDateTime : {1} CurveName : {2} PricingStructureType : {3} Algorithm : {4}Currency : {5} BaseDate : {6}",
rateCurveId.Id, rateCurveId.BuildDateTime, rateCurveId.CurveName, rateCurveId.PricingStructureType,
rateCurveId.Algorithm, rateCurveId.Currency.Value, rateCurveId.BaseDate);
}
public void PricingStructureIdTestWithProperties8()
{
NamedValueSet props = new NamedValueSet();
props.Set(CurveProp.PricingStructureType, "InflationCurve");
props.Set(CurveProp.CurveName, _liborIndexName);
props.Set("BuildDateTime", _baseDate);
props.Set(CurveProp.BaseDate, _baseDate);
props.Set("Algorithm", "Default");
props.Set("Identifier", "Alex");
props.Set(CurveProp.IndexName, "AUD-LIBOR-BBA");
props.Set(CurveProp.IndexTenor, "3M");
props.Set("InflationLag", "3M");
var rateCurveId = new PricingStructureIdentifier(props);
Debug.Print("RateCurveIdentifier : {0} BuildDateTime : {1} CurveName : {2} PricingStructureType : {3} Algorithm : {4}Currency : {5} BaseDate : {6}",
rateCurveId.Id, rateCurveId.BuildDateTime, rateCurveId.CurveName, rateCurveId.PricingStructureType,
rateCurveId.Algorithm, rateCurveId.Currency.Value, rateCurveId.BaseDate);
}
public void ProcessRequest(RequestBase baseRequest, HandlerResponse response)
{
if (baseRequest == null)
{
throw new ArgumentNullException(nameof(baseRequest));
}
var request = baseRequest as OrdinaryCurveGenRequest;
if (request == null)
{
throw new InvalidCastException(
$"{typeof(RequestBase).Name} is not a {typeof(OrdinaryCurveGenRequest).Name}");
}
CurveSelection[] curveSelectors = request.CurveSelector ?? new List <CurveSelection>().ToArray();
response.ItemCount = curveSelectors.Length;
DateTime lastStatusPublishedAt = DateTime.Now;
// check for workflow cancellation
if (Cancelled)
{
throw new OperationCanceledException(CancelReason);
}
// iterate selected curves
foreach (CurveSelection curveSelector in curveSelectors)
{
// publish 'intermediate' in-progress result (throttled)
if ((DateTime.Now - lastStatusPublishedAt) > TimeSpan.FromSeconds(5))
{
lastStatusPublishedAt = DateTime.Now;
response.Status = RequestStatusEnum.InProgress;
Context.Cache.SaveObject(response);
}
string nameSpace = curveSelector.NameSpace;
string inputMarketName = curveSelector.MarketName;
string inputCurveName = curveSelector.CurveName;
string inputCurveType = curveSelector.CurveType;
// given a curve definition, this workflow generates:
// - a live base curve using current market data
// load curve definition
Context.Logger.LogDebug("Building ordinary curve: {0}.{1}.{2}", inputMarketName, inputCurveType, inputCurveName);
string curveUniqueId =
$"Configuration.PricingStructures.{inputMarketName}.{inputCurveType}.{inputCurveName}";
//TODO This does not work for MArket=Test_EOD because the market date propeerty
//is not included in the identifier and unique identifier!
ICoreItem marketItem = LoadAndCheckMarketItem(Context.Cache, nameSpace, curveUniqueId);
// check data is not mutated
//AssertNotModified<Market>(marketItem);
// note: we must clone the definition to avoid updating it in the cache!
var market = marketItem.GetData <Market>(true);
//AssertSomeQuotesMissing(((YieldCurveValuation)(cachedMarket.Items1[0])).inputs);
//Market clonedMarket = BinarySerializerHelper.Clone<Market>(cachedMarket);
PricingStructure ps = market.Items[0];
PricingStructureValuation psv = market.Items1[0];
// supply base data and build datetime
psv.baseDate = new IdentifiedDate {
Value = request.BaseDate
};
QuotedAssetSet curveDefinition;
if (psv is YieldCurveValuation curveValuation)
{
curveDefinition = curveValuation.inputs;
}
else
{
if (psv is FxCurveValuation valuation)
{
curveDefinition = valuation.spotRate;
}
else
{
throw new NotSupportedException("Unsupported PricingStructureValuation type: " + psv.GetType().Name);
}
}
//AssertSomeQuotesMissing(curveDefinition);
// default outputs
var curveDefProps = new NamedValueSet(marketItem.AppProps);
var curveType = PropertyHelper.ExtractPricingStructureType(curveDefProps);//.GetValue<string>(CurveProp.PricingStructureType, true));
var curveName = curveDefProps.GetValue <string>(CurveProp.CurveName, true);
string marketDataItemName = String.Format(FunctionProp.QuotedAssetSet.ToString() + ".{0}.{1}.{2}", inputMarketName, curveType, curveName);
curveDefProps.Set("BootStrap", true);
curveDefProps.Set(CurveProp.BaseDate, request.BaseDate);
IPricingStructureIdentifier liveCurveId = PricingStructureIdentifier.CreateMarketCurveIdentifier(curveDefProps, inputMarketName, null, null, null, null);
NamedValueSet liveCurveProps = liveCurveId.Properties;
var liveCurveItemName = liveCurveProps.GetValue <string>(CurveProp.UniqueIdentifier, true);
var liveCurve = new Market(); // empty
try
{
// build a request/response map (indexed by instrument id)
var instrumentMap = new Dictionary <string, Asset>();
foreach (Asset asset in curveDefinition.instrumentSet.Items)
{
instrumentMap[asset.id.ToLower()] = asset;
}
int bavNum = 0;
foreach (BasicAssetValuation quoteInstr in curveDefinition.assetQuote)
{
if (quoteInstr.objectReference?.href == null)
{
throw new ApplicationException($"Missing objectReference in BasicAssetValuation[{bavNum}]");
}
string instrId = quoteInstr.objectReference.href;
if (!instrumentMap.TryGetValue(instrId.ToLower(), out _))
{
throw new ApplicationException($"Cannot find instrument '{instrId}' for assetQuote");
}
bavNum++;
}
// request market data from MDS
QuotedAssetSet marketData;
if (request.UseSavedMarketData)
{
// get saved market data
marketData = Context.Cache.LoadObject <QuotedAssetSet>(nameSpace + "." + marketDataItemName);
if (marketData == null)
{
throw new ApplicationException(
$"Could not load saved market data with name: '{marketDataItemName}'");
}
}
else
{
//throw new NotImplementedException();
using (var mdc = MarketDataFactory.Create(Reference <ILogger> .Create(Context.Logger), Assembly.GetExecutingAssembly(), null))
{
// call MDS
//AssertSomeQuotesMissing(curveDefinition);
Guid mdsRequestId = Guid.NewGuid();
MDSResult <QuotedAssetSet> mdsResponse = mdc.GetMarketQuotes(
MDSProviderId.Bloomberg, null, mdsRequestId, true, null,
curveDefinition);
if (mdsResponse.Error != null)
{
throw mdsResponse.Error;
}
marketData = mdsResponse.Result;
if ((marketData.assetQuote == null) || marketData.assetQuote.Length < 1)
{
throw new ApplicationException($"MDS response contains no quotes! ({mdsRequestId})");
}
// save transient market data for later offline use
if (request.SaveMarketData)
{
var marketDataProps = new NamedValueSet();
marketDataProps.Set(liveCurveProps.Get(EnvironmentProp.NameSpace));//TODO Added to filter on client namespace!
marketDataProps.Set(liveCurveProps.Get(CurveProp.Market));
marketDataProps.Set(liveCurveProps.Get(CurveProp.PricingStructureType));
marketDataProps.Set(liveCurveProps.Get(CurveProp.CurveName));
marketDataProps.Set(liveCurveProps.Get(CurveProp.Currency1));
Context.Cache.SaveObject(marketData, marketDataItemName, marketDataProps, true, TimeSpan.FromDays(7));
}
}
}
// check market data for undefined/invalid quotes
foreach (BasicAssetValuation asset in marketData.assetQuote)
{
if (asset.quote.Any(quote => quote.measureType.Value.Equals("undefined", StringComparison.OrdinalIgnoreCase)))
{
throw new ApplicationException(
$"Market quote undefined/missing for asset '{asset.objectReference.href}'");
}
}
// merge MDS results with stored quotes in the curve definition
curveDefinition.Replace(marketData);//Merge(marketData, true, false, true);
// generate ordinary base curve
if (psv is YieldCurveValuation valuation)
{
valuation.inputs = curveDefinition;
}
else
{
((FxCurveValuation)psv).spotRate = new FxRateSet
{
instrumentSet = curveDefinition.instrumentSet,
assetQuote = curveDefinition.assetQuote
};
}
// hack - if rate basis curve then call new triplet fn, else call old pair fn.
IPricingStructure ips;
switch (curveType)
{
case PricingStructureTypeEnum.RateBasisCurve:
{
// rate basis curves require a reference curve
string refCurveUniqueId =
$"Market.{inputMarketName}.{curveDefProps.GetValue<string>(CurveProp.ReferenceCurveName, true)}";
// load the reference curve
ICoreItem refCurveItem = LoadAndCheckMarketItem(Context.Cache, nameSpace, refCurveUniqueId);
var refCurve = (Market)refCurveItem.Data;
//Format the ref curve data and call the pricing structure helper.
var refCurveFpMLTriplet = new Triplet <PricingStructure, PricingStructureValuation, NamedValueSet>(refCurve.Items[0],
refCurve.Items1[0], refCurveItem.AppProps);
liveCurveProps.Set(CurveProp.ReferenceCurveUniqueId, refCurveUniqueId);
var spreadCurveFpMLTriplet = new Triplet <PricingStructure, PricingStructureValuation, NamedValueSet>(ps, psv, liveCurveProps);
//create and set the pricingstructure
ips = CurveLoader.LoadInterestRateCurve(Context.Logger, Context.Cache, nameSpace, refCurveFpMLTriplet, spreadCurveFpMLTriplet);
//Creator.Create(refCurveFpMLTriplet, spreadCurveFpMLTriplet);
}
break;
case PricingStructureTypeEnum.RateXccyCurve:
{
// rate basis curves require a base curve
string baseCurveUniqueId = String.Format(nameSpace + ".Market.{0}.{1}",
inputMarketName, curveDefProps.GetValue <string>(CurveProp.ReferenceCurveName, true));
// load the reference curve
ICoreItem baseCurveItem = LoadAndCheckMarketItem(Context.Cache, nameSpace, baseCurveUniqueId);
var baseCurve = (Market)baseCurveItem.Data;
// rate basis curves require an fx curve
string fxCurveUniqueId = String.Format(nameSpace + ".Market.{0}.{1}",
inputMarketName, curveDefProps.GetValue <string>(CurveProp.ReferenceFxCurveName, true));
// load the reference curve
ICoreItem fxCurveItem = LoadAndCheckMarketItem(Context.Cache, nameSpace, fxCurveUniqueId);
var fxCurve = (Market)fxCurveItem.Data;
// rate basis curves require a reference curve
string refCurveUniqueId = String.Format(nameSpace + ".Market.{0}.{1}",
inputMarketName, curveDefProps.GetValue <string>(CurveProp.ReferenceCurrency2CurveName, true));
// load the reference curve
ICoreItem refCurveItem = LoadAndCheckMarketItem(Context.Cache, nameSpace, refCurveUniqueId);
var refCurve = (Market)refCurveItem.Data;
//Format the ref curve data and call the pricing structure helper.
var baseCurveFpMLTriplet = new Triplet <PricingStructure, PricingStructureValuation, NamedValueSet>(baseCurve.Items[0],
baseCurve.Items1[0], baseCurveItem.AppProps);
var fxCurveFpMLTriplet = new Triplet <PricingStructure, PricingStructureValuation, NamedValueSet>(fxCurve.Items[0],
fxCurve.Items1[0], fxCurveItem.AppProps);
var refCurveFpMLTriplet = new Triplet <PricingStructure, PricingStructureValuation, NamedValueSet>(refCurve.Items[0],
refCurve.Items1[0], refCurveItem.AppProps);
liveCurveProps.Set(CurveProp.ReferenceCurveUniqueId, baseCurveUniqueId);
liveCurveProps.Set(CurveProp.ReferenceFxCurveUniqueId, fxCurveUniqueId);
liveCurveProps.Set(CurveProp.ReferenceCurrency2CurveId, refCurveUniqueId);
var spreadCurveFpMLTriplet = new Triplet <PricingStructure, PricingStructureValuation, NamedValueSet>(ps, psv, liveCurveProps);
//create and set the pricingstructure
ips = CurveLoader.LoadInterestRateCurve(Context.Logger, Context.Cache, nameSpace, baseCurveFpMLTriplet,
fxCurveFpMLTriplet, refCurveFpMLTriplet, spreadCurveFpMLTriplet);
//Creator.Create(baseCurveFpMLTriplet, fxCurveFpMLTriplet, refCurveFpMLTriplet, spreadCurveFpMLTriplet);
}
break; //TODO Add Volatility types as well
default:
{
ips = CurveLoader.LoadCurve(Context.Logger, Context.Cache,
nameSpace, new Pair <PricingStructure, PricingStructureValuation>(ps, psv),
liveCurveProps);
//Creator.Create(new Pair<PricingStructure, PricingStructureValuation>(ps, psv), liveCurveProps);
}
break;
}
// retrieve curve
liveCurve = PricingStructureHelper.CreateMarketFromFpML(
ips.GetPricingStructureId().UniqueIdentifier,
ips.GetFpMLData());
// curve done
response.IncrementItemsPassed();
}
catch (Exception innerExcp)
{
response.IncrementItemsFailed();
Context.Logger.Log(innerExcp);
liveCurveProps.Set(WFPropName.ExcpName, WFHelper.GetExcpName(innerExcp));
liveCurveProps.Set(WFPropName.ExcpText, WFHelper.GetExcpText(innerExcp));
}
// ================================================================================
// calculate curve lifetimes
// SOD = 8am, EOD = 4:30pm
// live curves
// - publish anytime
// - expires SOD next day
// EOD (today) curves
// - publish for 15 minutes prior to EOD today
// - expires in 7 days
// EOD (dated) - 7 days
// - publish for 15 minutes prior to EOD today
// - expires in 7 days
DateTime dtNow = DateTime.Now;
DateTime dtToday = dtNow.Date;
DateTime dtEODPublishBegin = dtToday.AddHours(16.25); // 4:15pm today
DateTime dtEODPublishUntil = dtToday.AddHours(16.5); // 4:30pm today
DateTime dtSODTomorrow = dtToday.AddHours(24 + 8); // 8am tomorrow
//DateTime dtEODTomorrow = dtToday.AddHours(24 + 16); // 4pm tomorrow
// publish live curve
Context.Cache.SaveObject(liveCurve, nameSpace + "." + liveCurveItemName, liveCurveProps, true, dtSODTomorrow);
// republish as latest EOD curve
if (request.ForceGenerateEODCurves || ((dtNow >= dtEODPublishBegin) && (dtNow <= dtEODPublishUntil)))
{
NamedValueSet itemProps = PricingStructureIdentifier.CreateMarketCurveIdentifier(liveCurveProps, CurveConst.QR_EOD, null, null, null, null).Properties;
var itemName = itemProps.GetValue <string>(CurveProp.UniqueIdentifier, true);
// persistent
Context.Cache.SaveObject(liveCurve, nameSpace + "." + itemName, itemProps, false, TimeSpan.FromDays(7));
}
// republish as dated EOD curve
if (request.ForceGenerateEODCurves || ((dtNow >= dtEODPublishBegin) && (dtNow <= dtEODPublishUntil)))
{
NamedValueSet itemProps = PricingStructureIdentifier.CreateMarketCurveIdentifier(liveCurveProps, CurveConst.QR_EOD, dtToday, null, null, null).Properties;
var itemName = itemProps.GetValue <string>(CurveProp.UniqueIdentifier, true);
// persistent
Context.Cache.SaveObject(liveCurve, nameSpace + "." + itemName, itemProps, false, TimeSpan.FromDays(7));
}
} // foreach curve
// success
response.Status = RequestStatusEnum.Completed;
}
/// <summary>
/// Initializes a new instance of the <see cref="CurveBase"/> class.
/// </summary>
/// <param name="curveIdentifier">The curveIdentifier.</param>
/// <param name="nameSpace">The nameSpace</param>
/// <param name="curveAlgorithm">The curve algorithm.</param>
protected CurveBase(string nameSpace, PricingStructureIdentifier curveIdentifier, Algorithm curveAlgorithm)
{
PricingStructureIdentifier = curveIdentifier;
NameSpace = nameSpace;
Holder = new PricingStructureAlgorithmsHolder(curveAlgorithm);
}
/// <summary>
/// Creates the pricing structure with ADDITIONAL
/// </summary>
/// <param name="baseDate">The base date.</param>
/// <param name="curveId">The curve id.</param>
/// <param name="assetSet">The FxRateSet.</param>
/// <param name="termCurve">The bootstrapped term curve.</param>
/// <returns></returns>
private static Pair <PricingStructure, PricingStructureValuation> CreateFpMLPair(DateTime baseDate,
PricingStructureIdentifier curveId,
FxRateSet assetSet,
TermCurve termCurve)
{
var commodityCurve = CreateCommodityCurve(curveId.Id, curveId.CurveName, curveId.Currency);
var commodityCurveValuation = CreateCommodityCurveValuation(baseDate, assetSet, commodityCurve.id, termCurve);
return(new Pair <PricingStructure, PricingStructureValuation>(commodityCurve, commodityCurveValuation));
}
private void InitialiseInstance(ILogger logger, ICoreCache cache, string nameSpace, PricingStructureIdentifier curveId,
DateTime baseDate, FxRateSet assetSet, IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar, double tolerance)
{
FixingCalendar = fixingCalendar;
PaymentCalendar = rollCalendar;
// The bootstrapper to use
//
BootstrapperName = Holder.GetValue("Bootstrapper");
var termCurve = new TermCurve
{
extrapolationPermitted =
bool.Parse(Holder.GetValue("ExtrapolationPermitted")),
extrapolationPermittedSpecified = true,
interpolationMethod =
InterpolationMethodHelper.Parse(
Holder.GetValue("BootstrapperInterpolation"))
};
PriceableCommodityAssets = PriceableAssetFactory.CreatePriceableCommodityAssets(logger, cache, nameSpace, curveId.BaseDate, assetSet, fixingCalendar, rollCalendar);
termCurve.point = CommodityBootstrapper.Bootstrap(PriceableCommodityAssets, curveId.BaseDate, termCurve.extrapolationPermitted,
termCurve.interpolationMethod, tolerance);
// Pull out the fx curve and fx curve valuation
//
var quotedAssetSet = PriceableCommodityAssets != null?PriceableAssetFactory.Parse(PriceableCommodityAssets) : assetSet;
var fpmlData = CreateFpMLPair(baseDate, curveId, quotedAssetSet, termCurve);
//Bootstrapper = Bootstrap(bootstrapperName, fpmlData.First, fpmlData.Second);
SetFpMLData(fpmlData);
// Interpolate the DiscountFactor curve based on the respective curve interpolation
//
SetInterpolator(baseDate, Holder);
}
public void ProcessRequest(RequestBase baseRequest, HandlerResponse response)
{
if (baseRequest == null)
{
throw new ArgumentNullException("request");
}
OrdinaryCurveGenRequest request = baseRequest as OrdinaryCurveGenRequest;
if (request == null)
{
throw new InvalidCastException(String.Format("{0} is not a {1}", typeof(RequestBase).Name, typeof(OrdinaryCurveGenRequest).Name));
}
CurveSelection[] curveSelectors = request.CurveSelector ?? new List <CurveSelection>().ToArray();
response.ItemCount = curveSelectors.Length;
DateTime lastStatusPublishedAt = DateTime.Now;
// check for workflow cancellation
if (this.Cancelled)
{
throw new OperationCanceledException(this.CancelReason);
}
// iterate selected curves
foreach (CurveSelection curveSelector in curveSelectors)
{
// publish 'intermediate' in-progress result (throttled)
if ((DateTime.Now - lastStatusPublishedAt) > TimeSpan.FromSeconds(5))
{
lastStatusPublishedAt = DateTime.Now;
response.Status = RequestStatusEnum.InProgress;
_Context.Cache.SaveObject <HandlerResponse>(response);
}
string inputMarketName = curveSelector.MarketName;
string inputCurveName = curveSelector.CurveName;
string inputCurveType = curveSelector.CurveType;
// given a curve definition, this workflow generates:
// - a live base curve using current market data
// load curve definition
_Context.Logger.LogDebug("Building ordinary curve: {0}.{1}.{2}", inputMarketName, inputCurveType, inputCurveName);
string curveUniqueId = string.Format("Orion.Configuration.PricingStructures.{0}.{1}.{2}", inputMarketName, inputCurveType, inputCurveName);
ICoreItem marketItem = LoadAndCheckMarketItem(_Context.Cache, curveUniqueId);
var marketDate = curveSelector.MarketDate;
Market market = marketItem.GetData <Market>(true);
//AssertSomeQuotesMissing(((YieldCurveValuation)(cachedMarket.Items1[0])).inputs);
//Market clonedMarket = BinarySerializerHelper.Clone<Market>(cachedMarket);
PricingStructure ps = market.Items[0];
PricingStructureValuation psv = market.Items1[0];
// supply base data and build datetime
psv.baseDate = new IdentifiedDate {
Value = request.BaseDate
};
QuotedAssetSet curveDefinition;
if (psv is YieldCurveValuation)
{
curveDefinition = ((YieldCurveValuation)psv).inputs;
}
else if (psv is FxCurveValuation)
{
curveDefinition = ((FxCurveValuation)psv).spotRate;
}
else
{
throw new NotSupportedException("Unsupported PricingStructureValuation type: " + psv.GetType().Name);
}
// default outputs
var curveDefProps = new NamedValueSet(marketItem.AppProps);
var curveType = PropertyHelper.ExtractPricingStructureType(curveDefProps);//.GetValue<string>(CurveProp.PricingStructureType, true));
var curveName = curveDefProps.GetValue <string>(CurveProp.CurveName, true);
string marketDataItemName = String.Format("Highlander.MarketData.{0}.{1}.{2}", inputMarketName, curveType, curveName);
curveDefProps.Set("BootStrap", true);
curveDefProps.Set(CurveProp.BaseDate, request.BaseDate);
IPricingStructureIdentifier liveCurveId = PricingStructureIdentifier.CreateMarketCurveIdentifier(curveDefProps, inputMarketName, null, null, null, null);
NamedValueSet liveCurveProps = liveCurveId.Properties;
var liveCurveItemName = liveCurveProps.GetValue <string>(CurveProp.UniqueIdentifier, true);
var liveCurve = new Market(); // empty
// given a curve definition, this workflow generates:
// - a live base curve using current market data
var curveGenProps = new NamedValueSet();
curveGenProps.Set(CurveProp.BaseDate, request.BaseDate);
IPricingStructureIdentifier curveUniqueId =
PricingStructureIdentifier.CreateMarketCurveIdentifier(curveGenProps, inputMarketName, marketDate, inputCurveType, inputCurveName, null);
var baseCurveUniqueId = curveUniqueId.Properties.GetValue <string>(CurveProp.UniqueIdentifier, true);
ICoreItem marketItem = LoadAndCheckMarketItem(_Context.Cache, baseCurveUniqueId);
// load curve definition
_Context.Logger.LogDebug("Copy curve: {0} to {1}", baseCurveUniqueId, inputMarketName);
// default outputs
curveDefProps = new NamedValueSet(marketItem.AppProps);
curveDefProps.Set(CurveProp.MarketAndDate, inputMarketName);
curveDefProps.Set(CurveProp.MarketDate, null);
var curveType = PropertyHelper.ExtractPricingStructureType(curveDefProps);
IPricingStructureIdentifier newCurveUniqueId =
PricingStructureIdentifier.CreateMarketCurveIdentifier(curveGenProps, inputMarketName, null, inputCurveType, inputCurveName, null);
var curveId = newCurveUniqueId.Properties.GetValue <string>(CurveProp.UniqueIdentifier, true);
//var curveName = curveDefProps.GetValue<string>(CurveProp.CurveName, true);
//string marketItemName = String.Format("Highlander.Market.{0}.{1}.{2}", inputMarketName, curveType, curveName);
curveDefProps.Set(CurveProp.UniqueIdentifier, curveId);
_Context.Cache.SaveObject <Market>((Market)marketItem.Data, curveId, curveDefProps, true, TimeSpan.FromDays(50));
// curve done
requestStatus.IncrementItemsPassed();
// publish 'completed' in-progress result
requestStatus.Publish(_Context.Logger, _Context.Cache);
}
// success
requestStatus.Status = RequestStatusEnum.Completed;
// publish 'completed' in-progress result
requestStatus.Publish(_Context.Logger, _Context.Cache);
return(requestStatus);
}
/// <summary>
/// Initializes a new instance of the <see cref="CapVolatilityCurve"/> class.
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">The nameSpace</param>
/// <param name="curveIdentifier">The curveIdentifier.</param>
protected CapVolatilityCurve(ILogger logger, ICoreCache cache, String nameSpace, PricingStructureIdentifier curveIdentifier)
: base(logger, cache, nameSpace, curveIdentifier)
{
BootstrapperName = "CapFloorBootstrapper";
UnderlyingInterpolatedCurve = "CapVolatilityCurve";
var properties = curveIdentifier.GetProperties();
PricingStructureData = new PricingStructureData(CurveType.Parent, AssetClass.Rates, properties);
Tolerance = PropertyHelper.ExtractDoubleProperty("Tolerance", properties) ?? GetDefaultTolerance(Holder);
var compoundingFrequency = properties.GetString("CompoundingFrequency", null);
CompoundingFrequency = compoundingFrequency != null
? EnumHelper.Parse <CompoundingFrequencyEnum>(compoundingFrequency)
: GetDefaultCompounding(Holder);
}
/// <summary>
/// GetPricingStructureId
/// </summary>
/// <returns></returns>
public override IIdentifier GetPricingStructureId()
{
IPricingStructureIdentifier id = new PricingStructureIdentifier(PricingStructureTypeEnum.RateCurve, "Simple", new DateTime());
return(id);
}
public void PricingStructureIdTestWithProperties6()
{
var rateCurveId = new PricingStructureIdentifier("Alex");
Assert.AreNotEqual(new DateTime(), rateCurveId.BuildDateTime);
}
/// <summary>
/// Initializes a new instance of the <see cref="CurveBase"/> class.
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">The nameSpace</param>
/// <param name="curveIdentifier">The curveIdentifier.</param>
protected RateBasisCurve(ILogger logger, ICoreCache cache, String nameSpace,
PricingStructureIdentifier curveIdentifier)
: base(logger, cache, nameSpace, curveIdentifier)
{
}
public void ProcessRequest(RequestBase baseRequest, HandlerResponse response)
{
if (baseRequest == null)
{
throw new ArgumentNullException(nameof(baseRequest));
}
var request = baseRequest as StressedCurveGenRequest;
if (request == null)
{
throw new InvalidCastException(
$"{typeof(RequestBase).Name} is not a {typeof(StressedCurveGenRequest).Name}");
}
// check for workflow cancellation
if (Cancelled)
{
throw new OperationCanceledException(CancelReason);
}
DateTime lastStatusPublishedAt = DateTime.Now;
CurveSelection[] curveSelectors = request.CurveSelector ?? new List <CurveSelection>().ToArray();
#region Load stress rules
//find the uniques namespaces
var uniquesNameSpaces = new List <string>();
foreach (CurveSelection curveSelector in curveSelectors)
{
if (!uniquesNameSpaces.Contains(curveSelector.NameSpace))
{
uniquesNameSpaces.Add(curveSelector.NameSpace);
}
}
var cachedStressRules = new Dictionary <string, List <CachedStressRule> >();
{
IExpression queryExpr = Expr.IsEQU(EnvironmentProp.NameSpace, uniquesNameSpaces[0]);//TODO only does the first namespace....
List <StressRule> storedStressRules = Context.Cache.LoadObjects <StressRule>(queryExpr);
foreach (StressRule storedStressRule in storedStressRules)
{
if ((storedStressRule.Disabled) || (storedStressRule.StressId == null))
{
continue;
}
string key = storedStressRule.StressId.ToLower();
List <CachedStressRule> rules;
if (!cachedStressRules.TryGetValue(key, out rules))
{
rules = new List <CachedStressRule>();
cachedStressRules[key] = rules;
}
rules.Add(new CachedStressRule(storedStressRule));
rules.Sort();
}
}
#endregion
response.ItemCount = curveSelectors.Length * cachedStressRules.Count;
// iterate selected base curves
foreach (CurveSelection curveSelector in curveSelectors)
{
// check for workflow cancellation
if (Cancelled)
{
throw new OperationCanceledException(CancelReason);
}
// publish 'intermediate' in-progress result (throttled)
if ((DateTime.Now - lastStatusPublishedAt) > TimeSpan.FromSeconds(5))
{
lastStatusPublishedAt = DateTime.Now;
response.Status = RequestStatusEnum.InProgress;
Context.Cache.SaveObject(response);
}
string nameSpace = curveSelector.NameSpace;
string inputMarketName = curveSelector.MarketName;
var marketDate = curveSelector.MarketDate;
if (marketDate != null && marketDate != DateTime.MinValue)
{
inputMarketName += "." + ((DateTime)marketDate).ToString(CurveProp.MarketDateFormat);
}
string inputCurveName = curveSelector.CurveName;
string inputCurveType = curveSelector.CurveType;
Context.Logger.LogDebug("Building stressed curve(s): {0}.{1}.{2}", inputMarketName, inputCurveType, inputCurveName);
#region Load base curve
var curveGenProps = new NamedValueSet();
curveGenProps.Set(CurveProp.BaseDate, request.BaseDate);
IPricingStructureIdentifier baseCurveId =
PricingStructureIdentifier.CreateMarketCurveIdentifier(curveGenProps, inputMarketName, null, inputCurveType, inputCurveName, null);
var baseCurveUniqueId = baseCurveId.Properties.GetValue <string>(CurveProp.UniqueIdentifier, true);
ICoreItem baseCurveItem = LoadAndCheckMarketItem(Context.Cache, nameSpace, baseCurveUniqueId);
var stressNameProp = baseCurveItem.AppProps.GetValue <string>(CurveProp.StressName, null);
if (stressNameProp != null)
{
throw new ApplicationException("The Market with name '" + baseCurveUniqueId + "' is NOT a base curve! (Stress name is not null)");
}
var baseCurveFpml = (Market)baseCurveItem.Data;
var baseCurveType = PropertyHelper.ExtractPricingStructureType(baseCurveItem.AppProps);
#endregion
#region Load the reference curves - if required
string fxCurveName = null, refCurveName = null, quoteCurveName = null;
NamedValueSet fxProperties = null, refProperties = null, quoteProperties = null;
Market fxMarket = null, refMarket = null, quoteMarket = null;
if (baseCurveType == PricingStructureTypeEnum.RateBasisCurve ||
baseCurveType == PricingStructureTypeEnum.RateXccyCurve)
{
// rate basis curves require a reference curve
refCurveName = baseCurveItem.AppProps.GetValue <string>(CurveProp.ReferenceCurveUniqueId, true);
// load the reference curve
var refCurveItem = LoadAndCheckMarketItem(Context.Cache, nameSpace, refCurveName);
refMarket = (Market)refCurveItem.Data;
refProperties = refCurveItem.AppProps;
}
if (baseCurveType == PricingStructureTypeEnum.RateXccyCurve)
{
// rate basis curves require an fx curve
fxCurveName = baseCurveItem.AppProps.GetValue <string>(CurveProp.ReferenceFxCurveUniqueId, true);
// load the reference curve
var fxCurveItem = LoadAndCheckMarketItem(Context.Cache, nameSpace, fxCurveName);
fxMarket = (Market)fxCurveItem.Data;
fxProperties = fxCurveItem.AppProps;
// rate basis curves require a reference curve
quoteCurveName = baseCurveItem.AppProps.GetValue <string>(CurveProp.ReferenceCurrency2CurveId, true);
// load the reference curve
var quoteCurveItem = LoadAndCheckMarketItem(Context.Cache, nameSpace, quoteCurveName);
quoteMarket = (Market)quoteCurveItem.Data;
quoteProperties = quoteCurveItem.AppProps;
}
#endregion
// process stress rules
foreach (var kvp in cachedStressRules)
{
CachedStressRule stressRule = kvp.Value.FirstOrDefault(item => (item.FilterExpr == null) || (Expr.CastTo(item.FilterExpr.Evaluate(baseCurveItem.AppProps), false)));
// find stress rule that applies
if (stressRule == null)
{
// this stress does not apply to this base curve
Context.Logger.LogWarning("Stress '{0}' does not apply to base curve '{1}'!", kvp.Key, baseCurveUniqueId);
response.IncrementItemsPassed();
continue;
}
// apply the stress rule
//_Context.Logger.LogDebug("Applying stress '{0}' (rule {1}) to base curve '{2}'", stressRule.StressId, stressRule.RuleId, baseCurveUniqueId);
var stressDefProps = new NamedValueSet(baseCurveItem.AppProps, curveGenProps);
stressDefProps.Set("Identifier", null);//THis is done for backward compatability eith the old ratecurves.
stressDefProps.Set(CurveProp.BaseCurveType, baseCurveType);
IPricingStructureIdentifier stressCurveId = PricingStructureIdentifier.CreateMarketCurveIdentifier(
stressDefProps, inputMarketName, null, baseCurveType.ToString(), inputCurveName, stressRule.StressId);
NamedValueSet stressCurveProps = stressCurveId.Properties;
var stressCurveName = stressCurveProps.GetValue <string>(CurveProp.UniqueIdentifier, true);
// from here on a curve will be published (with error details included)
var stressCurve = new Market(); // empty
try
{
// clone the base curve and adjust the market quotes
var ps = BinarySerializerHelper.Clone(baseCurveFpml.Items[0]);
PricingStructureValuation psv = ApplyStress(stressRule, baseCurveFpml.Items1[0]);
// hack - supply base date
psv.baseDate = new IdentifiedDate {
Value = request.BaseDate
};
Triplet <PricingStructure, PricingStructureValuation, NamedValueSet> refCurveFpmlTriplet = null;
if (baseCurveType == PricingStructureTypeEnum.RateBasisCurve ||
baseCurveType == PricingStructureTypeEnum.RateXccyCurve)
{
var psRef = BinarySerializerHelper.Clone(refMarket.Items[0]);
//var psvRef = BinarySerializerHelper.Clone<PricingStructureValuation>(refcurveFpml.Items1[0]);
var psvRef = ApplyStress(stressRule, refMarket.Items1[0]);
refCurveFpmlTriplet =
new Triplet <PricingStructure, PricingStructureValuation, NamedValueSet>(
psRef, psvRef, refProperties);
}
IPricingStructure ips;
switch (baseCurveType)
{
case PricingStructureTypeEnum.RateBasisCurve:
stressCurveProps.Set(CurveProp.ReferenceCurveUniqueId, refCurveName);
var basisCurveFpmlTriplet =
new Triplet <PricingStructure, PricingStructureValuation, NamedValueSet>(
ps, psv, stressCurveProps);
//create and set the pricingstructure
ips = CurveLoader.LoadInterestRateCurve(Context.Logger, Context.Cache, nameSpace, refCurveFpmlTriplet, basisCurveFpmlTriplet);
//Creator.Create(refCurveFpmlTriplet, basisCurveFpmlTriplet);
break;
case PricingStructureTypeEnum.RateXccyCurve:
stressCurveProps.Set(CurveProp.ReferenceCurveUniqueId, refCurveName);
stressCurveProps.Set(CurveProp.ReferenceFxCurveUniqueId, fxCurveName);
stressCurveProps.Set(CurveProp.ReferenceCurrency2CurveId, quoteCurveName);
var xccyCurveFpmlTriplet =
new Triplet <PricingStructure, PricingStructureValuation, NamedValueSet>(ps, psv,
stressCurveProps);
//Format the ref curve data and call the pricing structure helper.
var psvFx = ApplyStress(stressRule, fxMarket.Items1[0]);
var fxCurveFpmlTriplet
= new Triplet <PricingStructure, PricingStructureValuation, NamedValueSet>(
fxMarket.Items[0],
psvFx, fxProperties);
var psvRef = ApplyStress(stressRule, quoteMarket.Items1[0]);
var quoteCurveFpmlTriplet
= new Triplet <PricingStructure, PricingStructureValuation, NamedValueSet>(
quoteMarket.Items[0],
psvRef, quoteProperties);
//create and set the pricingstructure
ips = CurveLoader.LoadInterestRateCurve(Context.Logger, Context.Cache, nameSpace, refCurveFpmlTriplet, fxCurveFpmlTriplet, quoteCurveFpmlTriplet,
xccyCurveFpmlTriplet);
//Creator.Create(refCurveFpmlTriplet, fxCurveFpmlTriplet, quoteCurveFpmlTriplet, xccyCurveFpmlTriplet);
break;
default:
ips = CurveLoader.LoadCurve(Context.Logger, Context.Cache,
nameSpace, new Pair <PricingStructure, PricingStructureValuation>(ps, psv),
stressCurveProps);
//Creator.Create( new Pair<PricingStructure, PricingStructureValuation>(ps, psv), stressCurveProps);
break;
}
var identifier = ips.GetPricingStructureId().UniqueIdentifier;
// retrieve curve
stressCurve = PricingStructureHelper.CreateMarketFromFpML(
identifier,
ips.GetFpMLData());
// curve done
response.IncrementItemsPassed();
}
catch (Exception innerExcp)
{
response.IncrementItemsFailed();
Context.Logger.Log(innerExcp);
stressCurveProps.Set(WFPropName.ExcpName, WFHelper.GetExcpName(innerExcp));
stressCurveProps.Set(WFPropName.ExcpText, WFHelper.GetExcpText(innerExcp));
}
// save stressed curve with same lifetime as base curve
stressCurveProps.Set(EnvironmentProp.NameSpace, nameSpace);
Context.Cache.SaveObject(stressCurve, nameSpace + "." + stressCurveName, stressCurveProps, true, baseCurveItem.Expires);
} // foreach stress rule
} // foreach base curve
// success
response.Status = RequestStatusEnum.Completed;
}
