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); }
public void TestMDSBloomberg() { // test basic start, request snapshot, and stop functions // - create a MDS client with direct connection to provider using (Reference <ILogger> loggerRef = Reference <ILogger> .Create(new TraceLogger(true))) { IModuleInfo clientInfo = new V131ModuleInfo(new V131ClientInfo()); using (ICoreClient client = new CoreClientFactory(loggerRef).SetEnv(BuildConst.BuildEnv).Create()) { const string curveName = "Orion.V5r3.Configuration.PricingStructures.QR_LIVE.RateCurve.AUD-BBR-BBSW-3M"; ICoreItem marketItem = client.LoadItem <Market>(curveName); if (marketItem == null) { throw new ApplicationException("Market '" + curveName + "' not found!"); } var market = (Market)marketItem.Data; //PricingStructure ps = market.Items[0]; PricingStructureValuation psv = market.Items1[0]; QuotedAssetSet quotedAssetSet = ((YieldCurveValuation)psv).inputs; using (IMarketDataClient mdc = new MarketDataRealtimeClient( loggerRef, null, client, MDSProviderId.Bloomberg))//MDSProviderId.GlobalIB { QuotedAssetSet data = mdc.GetMarketQuotes( MDSProviderId.Bloomberg, clientInfo, Guid.NewGuid(), true, null, quotedAssetSet).Result; Assert.IsNotNull(data); } } } }
/// <summary> /// Adds the extra points defined using the spreadcontrollers. /// </summary> /// <param name="yieldCurveValuation"></param> /// <param name="priceableSpreadAssets"></param> /// <returns></returns> public static YieldCurveValuation SpreadController(PricingStructureValuation yieldCurveValuation, IPriceableSpreadAssetController[] priceableSpreadAssets) { var curveValuation = (YieldCurveValuation)yieldCurveValuation; var curve = curveValuation.discountFactorCurve; return(curveValuation); }
/// <summary> /// /// </summary> /// <param name="commodityCurve"></param> /// <param name="curveId"></param> /// <returns></returns> public static Pair <PricingStructure, PricingStructureValuation> CloneCurve(Pair <PricingStructure, PricingStructureValuation> commodityCurve, string curveId) { PricingStructure ycCurveCloned = XmlSerializerHelper.Clone(commodityCurve.First); PricingStructureValuation ycvCurveCloned = XmlSerializerHelper.Clone(commodityCurve.Second); // assign id to the cloned YieldCurve // var yc = (FpML.V5r10.Reporting.FxCurve)ycCurveCloned; yc.id = curveId; // nullify the discount factor curve to make sure that bootstrapping will happen) // var ycv = (FxCurveValuation)ycvCurveCloned; return(new Pair <PricingStructure, PricingStructureValuation>(yc, ycv)); }
/// <summary> /// Initializes a new instance of the <see cref="BootstrapControllerData"/> class. /// </summary> /// <param name="yieldCurve">The yield curve.</param> /// <param name="pricingStructureValuation">The pricing structure valuation.</param> public BootstrapControllerData(PricingStructure yieldCurve, PricingStructureValuation pricingStructureValuation) { PricingStructureData = new Pair <PricingStructure, PricingStructureValuation>(yieldCurve, pricingStructureValuation); }
static void Main(string[] args) { using (Reference <ILogger> loggerRef = Reference <ILogger> .Create(new ConsoleLogger("TestMds: "))) { loggerRef.Target.LogInfo("{0} Started.", DateTime.Now); try { const MDSProviderId provider = MDSProviderId.Bloomberg; var settings = new NamedValueSet(); const int port = 9123; settings.Set(MdsPropName.Port, port); settings.Set(MdsPropName.EnabledProviders, new[] { MDSProviderId.GlobalIB.ToString(), provider.ToString() }); using (Reference <ICoreClient> clientRef = Reference <ICoreClient> .Create(new CoreClientFactory(loggerRef).SetEnv(BuildConst.BuildEnv).Create())) using (var mds = new MarketDataServer()) { mds.LoggerRef = loggerRef; mds.Client = clientRef; mds.OtherSettings = settings; mds.Start(); loggerRef.Target.LogDebug("Waiting..."); Thread.Sleep(15000); loggerRef.Target.LogDebug("Continuing..."); List <ICoreItem> marketItems; { marketItems = clientRef.Target.LoadItems <Market>(Expr.StartsWith(Expr.SysPropItemName, "Orion.V5r3.Configuration.")); } if (marketItems.Count == 0) { throw new ApplicationException("No curve definitions found!"); } using (IMarketDataClient mdc = MarketDataFactory.Create(loggerRef, null, "localhost:" + port.ToString(CultureInfo.InvariantCulture))) { foreach (ICoreItem marketItem in marketItems) { loggerRef.Target.LogDebug("Curve: {0}", marketItem.Name); var market = (Market)marketItem.Data; //PricingStructure ps = market.Items[0]; PricingStructureValuation psv = market.Items1[0]; QuotedAssetSet curveDefinition; if (psv is YieldCurveValuation valuation) { curveDefinition = valuation.inputs; } else { if (psv is FxCurveValuation curveValuation) { curveDefinition = new QuotedAssetSet { instrumentSet = curveValuation.spotRate.instrumentSet, assetQuote = curveValuation.spotRate.assetQuote } } ; else { throw new NotSupportedException("Unsupported PricingStructureValuation type: " + psv.GetType().Name); } } // call MDS MDSResult <QuotedAssetSet> mdsResponse = mdc.GetMarketQuotes( provider, null, Guid.NewGuid(), false, null, // caspar-specific parameters curveDefinition); if (mdsResponse.Error != null) { throw mdsResponse.Error; } foreach (BasicAssetValuation result in mdsResponse.Result.assetQuote) { string instrId = result.objectReference.href; foreach (BasicQuotation quote in result.quote) { string fieldId = quote.GetStandardFieldName(); loggerRef.Target.LogDebug("{0}/{1} ({2}/{3}) = [{4}]", instrId, fieldId, quote.measureType.Value, quote.quoteUnits.Value, quote.value); } } } } // using MDC mds.Stop(); }// using MDS } catch (Exception e) { loggerRef.Target.Log(e); } loggerRef.Target.LogInfo("{0} Completed.", DateTime.Now); loggerRef.Target.LogInfo("Press ENTER to exit."); Console.ReadLine(); } }
static void Main(string[] args) { Reference <ILogger> loggerRef = Reference <ILogger> .Create(new ConsoleLogger("TestWebMdc: ")); loggerRef.Target.LogInfo("Running..."); try { // get some market quotes from for a Highlander FX curve // and get a Highlander volatility matrix const string curveName = "Orion.V5r3.Configuration.PricingStructures.QR_LIVE.FxCurve.AUD-USD"; QuotedAssetSet quotedAssetSet; using (ICoreClient client = new CoreClientFactory(loggerRef).SetEnv(BuildConst.BuildEnv).Create()) { ICoreItem marketItem = client.LoadItem <Market>(curveName); if (marketItem == null) { throw new ApplicationException("Market '" + curveName + "' not found!"); } var market = (Market)marketItem.Data; //PricingStructure ps = market.Items[0]; PricingStructureValuation psv = market.Items1[0]; var valuation = psv as YieldCurveValuation; if (valuation != null) { quotedAssetSet = valuation.inputs; } else { var curveValuation = psv as FxCurveValuation; if (curveValuation != null) { quotedAssetSet = new QuotedAssetSet { instrumentSet = curveValuation.spotRate.instrumentSet, assetQuote = curveValuation.spotRate.assetQuote } } ; else { throw new NotSupportedException("Unsupported PricingStructureValuation type: " + psv.GetType().Name); } } } //Copied from the working version const int port = 9123; // create MDS client using (IMarketDataClient mdc = MarketDataFactory.Create(loggerRef, null, "localhost:" + port.ToString(CultureInfo.InvariantCulture)))//This was null in the 3rd parameter. { { const MDSProviderId providerId = MDSProviderId.Bloomberg; loggerRef.Target.LogInfo("----- {0} Market Quotes -----", providerId); QuotedAssetSet quotes = mdc.GetMarketQuotes( providerId, null, Guid.NewGuid(), true, null, quotedAssetSet).Result; LogResults(loggerRef.Target, quotes); } { const MDSProviderId providerId = MDSProviderId.GlobalIB; loggerRef.Target.LogInfo("----- {0} Volatility Matrix -----", providerId); var matrixProps = new NamedValueSet(); matrixProps.Set("Function", "MarketData"); matrixProps.Set("Market", "EOD"); matrixProps.Set("CurveName", "AUD-Swap"); matrixProps.Set("PricingStructureType", "RateATMVolatilityMatrix"); QuotedAssetSet matrix = mdc.GetPricingStructure( providerId, null, Guid.NewGuid(), true, null, matrixProps).Result; LogResults(loggerRef.Target, matrix); } } } catch (Exception e) { loggerRef.Target.Log(e); } loggerRef.Target.LogInfo("Completed."); loggerRef.Target.LogInfo("Press ENTER to exit."); Console.ReadLine(); }
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; }
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); }
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; }
private static PricingStructureValuation ApplyStress(CachedStressRule stressRule, PricingStructureValuation psvInput) { string marketQuote = AssetMeasureScheme.GetEnumString(AssetMeasureEnum.MarketQuote); string decimalRate = PriceQuoteUnitsScheme.GetEnumString(PriceQuoteUnitsEnum.DecimalRate); var psv = BinarySerializerHelper.Clone(psvInput); // extract the market quotes from the cloned base curve QuotedAssetSet curveDefinition; if (psv is YieldCurveValuation yieldCurveValuation) { curveDefinition = yieldCurveValuation.inputs; } else { if (psv is FxCurveValuation curveValuation) { curveDefinition = new QuotedAssetSet { instrumentSet = curveValuation.spotRate.instrumentSet, assetQuote = curveValuation.spotRate.assetQuote }; } else { throw new NotSupportedException("Unsupported PricingStructureValuation type: " + psv.GetType().Name); } } // stress the market quotes foreach (BasicAssetValuation asset in curveDefinition.assetQuote) { var stressDefQuotes = new List <BasicQuotation>(); foreach (BasicQuotation quote in asset.quote) { if (quote.measureType.Value.Equals(marketQuote) && quote.quoteUnits.Value.Equals(decimalRate)) { var exprProps = new NamedValueSet(new NamedValue("MarketQuote", quote.value)); quote.valueSpecified = true; quote.value = Convert.ToDecimal(stressRule.UpdateExpr.Evaluate(exprProps)); } quote.informationSource = null; quote.timeSpecified = false; quote.valuationDateSpecified = false; stressDefQuotes.Add(quote); } asset.quote = stressDefQuotes.ToArray(); } // replace the market quotes in the cloned base curve with the stressed values if (psv is YieldCurveValuation valuation) { valuation.inputs = curveDefinition; valuation.discountFactorCurve = null; valuation.zeroCurve = null; } else { ((FxCurveValuation)psv).spotRate = new FxRateSet { instrumentSet = curveDefinition.instrumentSet, assetQuote = curveDefinition.assetQuote }; } return(psv); }