/// <summary>
/// Maps from a list of asset pairs to a quoted asset set.
/// </summary>
/// <param name="assetPairs"></param>
/// <returns></returns>
internal static QuotedAssetSet MapFromAssetPairs(ICollection <Pair <Asset, BasicAssetValuation> > assetPairs)
{
var quotedAssetSet = new QuotedAssetSet();
var assets = new Asset[assetPairs.Count];
var basicAssetValuations = new BasicAssetValuation[assetPairs.Count];
var types = new List <ItemsChoiceType19>();
var index = 0;
foreach (var pair in assetPairs)
{
assets[index] = pair.First;
basicAssetValuations[index] = pair.Second;
var properties = new PriceableAssetProperties(assets[index].id);
var assetTypeFpML = AssetTypeConvertor.ParseEnumStringToFpML(properties.AssetType.ToString());
types.Add(assetTypeFpML);
index++;
}
quotedAssetSet.assetQuote = basicAssetValuations;
var instrumentSet = new InstrumentSet {
Items = assets.ToArray(), ItemsElementName = types.ToArray()
};
quotedAssetSet.instrumentSet = instrumentSet;
return(quotedAssetSet);
}
public DataTable GetDataTable()
{
if (null != _lastQuotedAssetSet)
{
foreach (DataRow dataRow in _dataTable.Rows)
{
var instrumentId = (string)dataRow["InstrumentId"];
List <BasicAssetValuation> basicAssetValuations =
QuotedAssetSet.GetAssetQuote(_lastQuotedAssetSet, instrumentId);
if (basicAssetValuations.Count > 0)
{
BasicAssetValuation bav0 = basicAssetValuations[0];
foreach (DataColumn dataColumn in _dataTable.Columns)
{
string columnName = dataColumn.ColumnName;
BasicQuotation basicQuotation = BasicAssetValuationHelper.GetQuotationByTiming(bav0, columnName);
if (null != basicQuotation)
{
dataRow[columnName] = basicQuotation.value;
}
}
}
}
}
_dataTable.AcceptChanges();
DataTable copy = _dataTable.Copy();
// remove "InstrumentId" column
//
copy.Columns.Remove("InstrumentId");
copy.AcceptChanges();
return(copy);
}
public QuotedAssetSet Create()
{
var result = new QuotedAssetSet();
var assets = new List <Asset>();
var quotes = new List <BasicAssetValuation>();
var types = new List <ItemsChoiceType19>();
foreach (Pair <Asset, BasicAssetValuation> assetAndQuote in _assetAndQuotes)
{
assets.Add(assetAndQuote.First);
quotes.Add(assetAndQuote.Second);
//Handles the case of tenor curves
var id = assetAndQuote.First?.id ?? assetAndQuote.Second?.objectReference?.href;
var properties = new PriceableAssetProperties(id);
var assetTypeFpML = AssetTypeConvertor.ParseEnumStringToFpML(properties.AssetType.ToString());
types.Add(assetTypeFpML);
}
var instrumentSet = new InstrumentSet {
Items = assets.ToArray(), ItemsElementName = types.ToArray()
};
result.instrumentSet = instrumentSet;
result.assetQuote = quotes.ToArray();
return(result);
}
/// <summary>
/// Initializes a new instance of the <see cref="RateBasisCurve"/> class.
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">The client namespace</param>
/// <param name="underlyingAsset">THe underlying asset used for security.</param>
/// <param name="referenceCurve">The reference parent curveid.</param>
/// <param name="spreadAssets">The spreads by asset.</param>
/// <param name="properties">The properties of the new spread curve.</param>
/// <param name="fixingCalendar">The fixingCalendar.</param>
/// <param name="rollCalendar">The rollCalendar.</param>
public SecuredRateBasisCurve(ILogger logger, ICoreCache cache, string nameSpace, Asset underlyingAsset,
IRateCurve referenceCurve, QuotedAssetSet spreadAssets, NamedValueSet properties,
IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
: base(logger, cache, nameSpace, referenceCurve, spreadAssets, properties, fixingCalendar, rollCalendar)
{
UnderlyingAsset = underlyingAsset;
}
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>
/// Initializes a new instance of the <see cref="RateBasisCurve"/> class.
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">The client namespace</param>
/// <param name="baseDiscountingCurve">The reference curve.</param>
/// <param name="clearedRateAssets">The cleared rate asset.</param>
/// <param name="properties">The properties of the new spread curve.</param>
/// <param name="fixingCalendar">The fixingCalendar.</param>
/// <param name="rollCalendar">The rollCalendar.</param>
public ClearedRateCurve(ILogger logger, ICoreCache cache, string nameSpace,
IRateCurve baseDiscountingCurve, QuotedAssetSet clearedRateAssets, NamedValueSet properties,
IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
: base(logger, cache, nameSpace, new RateCurveIdentifier(properties), fixingCalendar, rollCalendar)
{
PricingStructureData = new PricingStructureData(CurveType.Child, AssetClass.Rates, properties);
BaseDiscountingCurve = baseDiscountingCurve;
ReferenceDiscountingCurveId = BaseDiscountingCurve.GetPricingStructureId();
if (PricingStructureIdentifier.PricingStructureType != PricingStructureTypeEnum.ClearedRateCurve)
{
return;
}
var termCurve = SetConfigurationData();
var curveId = GetRateCurveId();
var indexTenor = curveId.ForecastRateIndex?.indexTenor;
//Set the priceable assets.
PriceableClearedRateAssets = PriceableAssetFactory.CreatePriceableClearedRateAssetsWithBasisSwaps(logger, cache, nameSpace, indexTenor, clearedRateAssets, PricingStructureIdentifier.BaseDate, fixingCalendar, rollCalendar);
termCurve.point = ClearedRateBootstrapper.Bootstrap(PriceableClearedRateAssets, BaseDiscountingCurve, curveId.BaseDate, termCurve.extrapolationPermitted,
termCurve.interpolationMethod, Tolerance);
CreatePricingStructure(curveId, termCurve, clearedRateAssets);
// CreatePricingStructure(curveId, termCurve, PriceableAssetFactory.Parse(PriceableClearedRateAssets));
// Interpolate the DiscountFactor curve based on the respective curve interpolation
SetInterpolator(termCurve);
}
protected virtual void OnPublishMarketData(
Guid requestId,
NamedValueSet requestParams,
TimeSpan dataLifetime,
QuotedAssetSet marketDataSet)
{
throw new NotSupportedException("This provider (" + ProviderId.ToString() + ") does not support the OnPublishMarketData method!");
}
public static Boolean QuotedAssetSetIsValid(QuotedAssetSet quotedAssetSet)
{
return(quotedAssetSet != null &&
quotedAssetSet.assetQuote != null &&
quotedAssetSet.instrumentSet != null &&
quotedAssetSet.instrumentSet.Items != null &&
quotedAssetSet.instrumentSet.Items.Length == quotedAssetSet.assetQuote.Length);
}
public void PublishMarketData(
IModuleInfo clientInfo,
Guid requestId,
NamedValueSet requestParams,
TimeSpan dataLifetime,
QuotedAssetSet marketDataSet)
{
OnPublishMarketData(requestId, requestParams, dataLifetime, marketDataSet);
}
/// <summary>
/// Initializes a new instance of the <see cref="RateSpreadCurve"/> class.
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">The client namespace</param>
/// <param name="referenceCurve">The reference parent curve id.</param>
/// <param name="spreadAssets">The spreads by asset.</param>
/// <param name="properties">The properties of the new spread curve.</param>
/// <param name="fixingCalendar">The fixingCalendar.</param>
/// <param name="rollCalendar">The rollCalendar.</param>
public RateSpreadCurve(ILogger logger, ICoreCache cache, string nameSpace,
IRateCurve referenceCurve, QuotedAssetSet spreadAssets, NamedValueSet properties,
IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
: base(logger, cache, nameSpace, ProcessQuotedAssetSet(logger, cache, nameSpace, referenceCurve, spreadAssets, properties, fixingCalendar, rollCalendar), properties, fixingCalendar, rollCalendar)
{
PricingStructureData = new PricingStructureData(CurveType.Child, AssetClass.Rates, properties);
BaseCurve = referenceCurve;
ReferenceCurveId = BaseCurve.GetPricingStructureId();
}
protected virtual MDSResult <QuotedAssetSet> OnRequestMarketData(
IModuleInfo clientInfo,
Guid requestId,
MDSRequestType requestType,
NamedValueSet requestParams,
DateTimeOffset subsExpires,
QuotedAssetSet standardQuotedAssetSet)
{
throw new NotSupportedException("This provider (" + ProviderId + ") does not support the OnRequestMarketData method!");
}
protected override MDSResult <QuotedAssetSet> OnRequestMarketData(
IModuleInfo clientInfo,
Guid requestId,
MDSRequestType requestType,
NamedValueSet requestParams,
DateTimeOffset subsExpires,
QuotedAssetSet standardQuotedAssetSet)
{
return(RunBloombergRequest(clientInfo, requestId, requestParams, MDSRequestType.Current, DateTimeOffset.Now, standardQuotedAssetSet));
}
public void StartRealtimeFeed(
IModuleInfo clientInfo,
Guid subscriptionId,
NamedValueSet requestParams,
QuotedAssetSet instruments,
TimeSpan subsLifetime,
AsyncQueueCallback <QuotedAssetSet> callback)
{
_mds.StartRealtimeFeed(
clientInfo, subscriptionId, requestParams, instruments, subsLifetime, callback);
}
public MDSResult <QuotedAssetSet> GetMarketQuotes(
MDSProviderId provider,
IModuleInfo clientInfo,
Guid requestId,
bool throwOnError,
NamedValueSet requestParams,
QuotedAssetSet instruments)
{
// construct market data request
return(_mds.GetMarketQuotes(
provider, clientInfo, requestId, throwOnError, requestParams, instruments));
}
/// <summary>
/// Handles the case of tenor curves
/// </summary>
/// <returns></returns>
public QuotedAssetSet CreateTenorSet()
{
var result = new QuotedAssetSet();
var quotes = new List <BasicAssetValuation>();
foreach (Pair <Asset, BasicAssetValuation> assetAndQuote in _assetAndQuotes)
{
quotes.Add(assetAndQuote.Second);
}
result.instrumentSet = null;
result.assetQuote = quotes.ToArray();
return(result);
}
private void AddBaseCurveInputs(List <BasicAssetValuation> assetQuotes)
{
QuotedAssetSet baseCurveInputs = ((YieldCurveValuation)BaseCurve?.GetFpMLData().Second)?.inputs;
if (baseCurveInputs?.assetQuote != null)
{
foreach (BasicAssetValuation assetQuote in baseCurveInputs.assetQuote)
{
BasicAssetValuation clonedAssetQuote = XmlSerializerHelper.Clone(assetQuote);
clonedAssetQuote.definitionRef = BaseCurveName;
assetQuotes.Add(clonedAssetQuote);
}
}
}
public void AddQuotedAssetSet(QuotedAssetSet quotedAssetSet)
{
quotedAssetSet = BinarySerializerHelper.Clone(quotedAssetSet);
//_lastQuotedAssetSet = quotedAssetSet;
if (null == _lastQuotedAssetSet)
{
_lastQuotedAssetSet = quotedAssetSet;
}
else
{
MergeQuotedAssetSet(quotedAssetSet);
}
}
private void RemoveMarketQuoteValues(QuotedAssetSet marketData)
{
// strip out market quote values
foreach (var item in marketData.assetQuote)
{
foreach (var quote in item.quote)
{
if (quote.measureType.Value != "MarketQuote")
{
continue;
}
quote.valueSpecified = false;
quote.value = 0.0m;
}
}
}
public MDSResult <QuotedAssetSet> RequestMarketQuotes(
IModuleInfo clientInfo,
Guid requestId,
NamedValueSet requestParams,
MDSRequestType requestType,
DateTimeOffset subsExpires,
QuotedAssetSet standardQuotedAssetSet)
{
Logger.LogDebug("{0}.RequestMarketQuotes", GetType().Name);
Logger.LogDebug(" Inputs:");
Logger.LogDebug(" Request Id : {0}", requestId);
Logger.LogDebug(" Request Type: {0}", requestType);
Logger.LogDebug(" Other params: {0}", requestParams.Serialise());
return(OnRequestMarketData(
clientInfo, requestId, requestType, requestParams, subsExpires, standardQuotedAssetSet));
}
/// <summary>
/// Initializes a new instance of the <see cref="RateBasisCurve"/> class.
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">The client namespace</param>
/// <param name="referenceCurve">The reference parent curve id.</param>
/// <param name="spreadAssets">The spreads by asset.</param>
/// <param name="properties">The properties of the new spread curve.</param>
/// <param name="fixingCalendar">The fixingCalendar.</param>
/// <param name="rollCalendar">The rollCalendar.</param>
public RateBasisCurve(ILogger logger, ICoreCache cache, string nameSpace,
IRateCurve referenceCurve, QuotedAssetSet spreadAssets, NamedValueSet properties,
IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
: base(logger, cache, nameSpace, ProcessQuotedAssetSet(logger, cache, nameSpace, referenceCurve, spreadAssets, properties, fixingCalendar, rollCalendar), properties, fixingCalendar, rollCalendar)
{
PricingStructureData = new PricingStructureData(CurveType.Child, AssetClass.Rates, properties);
BaseCurve = referenceCurve;
ReferenceCurveId = BaseCurve.GetPricingStructureId();
if (PricingStructureIdentifier.PricingStructureType != PricingStructureTypeEnum.RateBasisCurve)
{
return;
}
//Set the spread sets.
PriceableRateSpreadAssets = PriceableAssetFactory.CreatePriceableRateSpreadAssets(logger, cache, nameSpace, PricingStructureIdentifier.BaseDate, spreadAssets, fixingCalendar, rollCalendar);
Build(logger, cache, nameSpace, fixingCalendar, rollCalendar);
}
private void LogResults(ILogger logger, QuotedAssetSet results)
{
foreach (BasicAssetValuation instrument in results.assetQuote)
{
logger.LogDebug("{0}:", instrument.objectReference.href);
foreach (BasicQuotation field in instrument.quote)
{
logger.LogDebug(" '{0}' ({1}/{2}) = {3} (as at {4}) (received {5})",
(field.timing != null) ? field.timing.Value : "Last", // side (null=last)
field.measureType.Value, // usually "MarketQuote" unless error
field.quoteUnits.Value, // usually "Rate" unless error
field.valueSpecified ? field.value.ToString(CultureInfo.InvariantCulture) : "#N/A",
field.valuationDateSpecified ? field.valuationDate.ToShortTimeString() : "???",
field.timeSpecified ? field.time.ToShortTimeString() : "???");
}
}
}
private static void LogResults(ILogger logger, QuotedAssetSet results)
{
foreach (BasicAssetValuation instrument in results.assetQuote)
{
logger.LogDebug("{0}:", instrument.objectReference.href);
foreach (BasicQuotation field in instrument.quote)
{
logger.LogDebug(" '{0}' ({1}/{2}) = {3} [Source:{4},Recd:{5}]",
field.GetStandardFieldName(), // field name
field.measureType.Value, // usually "MarketQuote" unless error
field.quoteUnits.Value, // usually "Rate" unless error
field.valueSpecified ? field.value.ToString(CultureInfo.InvariantCulture) : "#N/A",
ProviderName(field.informationSource),
//field.valuationDateSpecified ? field.valuationDate.ToShortTimeString() : "???",
field.timeSpecified ? field.time.ToShortTimeString() : "???");
}
}
}
/// <summary>
/// Maps from a list of asset pairs to a quoted asset set.
/// </summary>
/// <param name="assetPairs"></param>
/// <returns></returns>
internal static QuotedAssetSet MapFromAssetPairs(List <Pair <Asset, BasicAssetValuation> > assetPairs)
{
var quotedAssetSet = new QuotedAssetSet();
var assets = new Asset[assetPairs.Count];
var bavs = new BasicAssetValuation[assetPairs.Count];
var index = 0;
foreach (var pair in assetPairs)
{
assets[index] = pair.First;
bavs[index] = pair.Second;
index++;
}
quotedAssetSet.assetQuote = bavs;
quotedAssetSet.instrumentSet = assets;
return(quotedAssetSet);
}
// Assumption - QAS contains one BAV with one BQ
//
private static void MergeQuotedAssetSet(QuotedAssetSet quotedAssetSet)
{
BasicAssetValuation bavNew = quotedAssetSet.assetQuote[0];
BasicQuotation bqNew = bavNew.quote[0];
string newInstrumentId = bavNew.objectReference.href;
List <BasicAssetValuation> basicAssetValuationsOldWithTheSameIdAsNew = QuotedAssetSet.GetAssetQuote(_lastQuotedAssetSet, newInstrumentId);
if (basicAssetValuationsOldWithTheSameIdAsNew.Count == 0)
{
// Add
//
var temp = new List <BasicAssetValuation>(_lastQuotedAssetSet.assetQuote)
{
bavNew
};
_lastQuotedAssetSet.assetQuote = temp.ToArray();
}
else
{
//update
BasicAssetValuation bavOld = basicAssetValuationsOldWithTheSameIdAsNew[0];
bool bqUpdated = false;
foreach (BasicQuotation bqOld in bavOld.quote)
{
if (bqNew.timing.Value == bqOld.timing.Value)
{
bqOld.value = bqNew.value;
bqUpdated = true;
break;
}
}
if (!bqUpdated)
{
// Add
//
var tempBQ = new List <BasicQuotation>(bavOld.quote)
{
bqNew
};
bavOld.quote = tempBQ.ToArray();
}
}
}
public QuotedAssetSet Create()
{
var result = new QuotedAssetSet();
var assets = new List <Asset>();
var quotes = new List <BasicAssetValuation>();
foreach (Pair <Asset, BasicAssetValuation> assetAndQuote in _assetAndQuotes)
{
assets.Add(assetAndQuote.First);
quotes.Add(assetAndQuote.Second);
}
var instrumentSet = new InstrumentSet {
Items = assets.ToArray()
};
result.instrumentSet = instrumentSet;
result.assetQuote = quotes.ToArray();
return(result);
}
public static Market CreateYieldCurveConfiguration(string curveId, QuotedAssetSet quotedAssetSet)
{
var market = new Market {
id = curveId
};
//Create the curve information.
var curve = new YieldCurve {
id = curveId
};
//reate the valuation structure that contains qas.
var curveValuation = new YieldCurveValuation {
id = curveId, inputs = quotedAssetSet
};
//Set the market.
market.Items = new[] { (PricingStructure)curve };
market.Items1 = new[] { (PricingStructureValuation)curveValuation };
return(market);
}
protected override MDSResult <QuotedAssetSet> OnRequestPricingStructure(
IModuleInfo clientInfo,
Guid requestId,
MDSRequestType requestType,
NamedValueSet requestParams,
DateTimeOffset subsExpires,
NamedValueSet structureParams)
{
var combinedResult = new QuotedAssetSet();
var debugRequest = requestParams.GetValue <bool>("DebugRequest", false);
Client.DebugRequests = debugRequest;
IExpression query = Expr.BoolAND(structureParams);
List <QuotedAssetSet> providerResults = Client.LoadObjects <QuotedAssetSet>(query);
Client.DebugRequests = false;
// merge multiple results
combinedResult = providerResults.Aggregate(combinedResult, (current, providerResult) => current.Merge(providerResult, false, true, true));
return(new MDSResult <QuotedAssetSet>
{
Result = combinedResult
});
}
/// <summary>
/// Initializes a new instance of the <see cref="RateXccySpreadCurve"/> class,
/// by applying spreads to an existing RateCurve. Using FX Curve to create synthetic swaps
/// for the period under 1Y.
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">THe client namespace</param>
/// <param name="properties">The properties of the new curve. One of the mandatory properties for this curve type:
/// CutOverTerm, is the tenor at which point all Fx Curve points are removed form the RateXccyCurve bootstrap.
/// Normally this is 1Y.</param>
/// <param name="currency1Curve">The base zero curve.</param>
/// <param name="fxCurve">The FX curve, used for constructing synthetic deposits. The fx points map from the base curve to the non-base curve.</param>
/// <param name="currency2Curve">The non-Base Curve.</param>
/// <param name="spreadInstruments">The spread instruments and their values.</param>
/// <param name="fixingCalendar">The fixingCalendar.</param>
/// <param name="rollCalendar">The rollCalendar.</param>
public RateXccySpreadCurve(ILogger logger, ICoreCache cache, String nameSpace, NamedValueSet properties, RateCurve currency1Curve, IFxCurve fxCurve,
RateCurve currency2Curve, QuotedAssetSet spreadInstruments, IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
: base(logger, cache, nameSpace, new RateCurveIdentifier(properties))
{
//Set the base curve.
BaseCurve = currency1Curve;
ReferenceCurveId = BaseCurve.GetPricingStructureId();
//PricingStructureIdentifier = new RateCurveIdentifier(properties);
Currency2Curve = currency2Curve;
//Get the cut-over date.
var cutOverTerm = properties.GetValue <string>("CutOverTerm");
if (cutOverTerm != null)
{
CutOverTerm = PeriodHelper.Parse(cutOverTerm);
}
//set the fx curve.
ReferenceFxCurve = fxCurve;
IsCurrency1RateCurve = properties.GetValue <bool>("Currency1RateCurve");
//Check the pricing structure type.
var pricingStructureId = (RateCurveIdentifier)PricingStructureIdentifier;
if (pricingStructureId.PricingStructureType != PricingStructureTypeEnum.RateXccyCurve ||
ReferenceFxCurve == null)
{
return;
}
//There must be a valid quoted asset set in order to bootstrap.
if (!XsdClassesFieldResolver.QuotedAssetSetIsValid(spreadInstruments))
{
return;
}
PriceableRateSpreadAssets =
PriceableAssetFactory.CreatePriceableRateSpreadAssets(logger, cache, nameSpace, pricingStructureId.BaseDate, spreadInstruments, fixingCalendar, rollCalendar);
Build(logger, cache, nameSpace, fixingCalendar, rollCalendar);
}
/// <summary>
/// Initializes a new instance of the <see cref="RateBasisCurve"/> class.
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">The client namespace</param>
/// <param name="properties">The properties.</param>
/// <param name="refCurve">The reference parent curve id.</param>
/// <param name="spreadValueSet">The spread ValueSet.</param>
/// <param name="fixingCalendar">The fixingCalendar.</param>
/// <param name="rollCalendar">The rollCalendar.</param>
public RateBasisCurve(ILogger logger, ICoreCache cache, string nameSpace, NamedValueSet properties, IPricingStructure refCurve, QuotedAssetSet spreadValueSet,
IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
: base(logger, cache, nameSpace, AdjustMarketQuotes(spreadValueSet, refCurve.GetFpMLData(), PropertyHelper.ExtractUniqueCurveIdentifier(properties)), properties,
fixingCalendar, rollCalendar)
{
PricingStructureData = new PricingStructureData(CurveType.Child, AssetClass.Rates, properties);
ReferenceCurveId = refCurve.GetPricingStructureId();
}
protected override MDSResult <QuotedAssetSet> OnRequestMarketData(
IModuleInfo clientInfo,
Guid requestId,
MDSRequestType requestType,
NamedValueSet requestParams,
DateTimeOffset subsExpires,
QuotedAssetSet standardQuotedAssetSet)
{
// process request parameters
RequestProperties requestProperties = ProcessRequestParams(requestParams);
// process the asset/quote lists to produce 1 or more instrument/field matrices
RequestContext requestContext = ConvertStandardAssetQuotesToProviderInstrFieldCodes(requestType, standardQuotedAssetSet);
// process the instr/field code sets
var results = new List <BasicAssetValuation>();
foreach (ProviderInstrFieldCodeSet instrFieldCodeSet in requestContext.ProviderInstrFieldCodeSets)
{
var providerResults = new Dictionary <string, BasicQuotation>();
// simulated reply
var rng = new Random();
//List<BasicAssetValuation> results = new List<BasicAssetValuation>();
foreach (string t in instrFieldCodeSet.InstrumentIds)
{
var quote = new BasicAssetValuation
{
objectReference =
new AnyAssetReference {
href = t
},
quote = new BasicQuotation[instrFieldCodeSet.FieldNames.Count]
};
foreach (string t1 in instrFieldCodeSet.FieldNames)
{
var providerQuote = new BasicQuotation
{
measureType =
new AssetMeasureType
{
Value = AssetMeasureEnum.MarketQuote.ToString()
},
quoteUnits =
new PriceQuoteUnits
{
Value = PriceQuoteUnitsEnum.Rate.ToString()
},
value = Convert.ToDecimal(rng.NextDouble() * 10.0),
valueSpecified = true
};
// field value
// simulator returns a random decimal value
// field done
string providerQuoteKey = FormatProviderQuoteKey(t, t1);
providerResults[providerQuoteKey] = providerQuote;
}
}
// process provider results
//Dictionary<string, BasicQuotation> providerResults = BuildProviderResultsIndex(pages);
results.AddRange(ConvertProviderResultsToStandardValuations(providerResults, requestContext));
}
return(new MDSResult <QuotedAssetSet>
{
Result = new QuotedAssetSet {
assetQuote = results.ToArray()
}
});
}
