private static PresentValue ReadPresentValue(EntryObject o) { foreach (String property in s_Properties.Except(s_PropertiesAmount.Union(s_PropertiesCommon).Union(s_PropertiesTrade).Union(s_PropertiesModel))) { if (!String.IsNullOrEmpty((String)o.GetType().GetProperty(property)?.GetValue(o))) { throw new InvalidDataException($"The CRIF file cannot specify the {property} property for PV entries."); } } if (!Enum.TryParse(o.ProductClass, out Schedule.Product product)) { throw new InvalidDataException("The CRIF file contains a PV entry with an invalid ProductClass property."); } Amount amount = ReadAmount(o); RegulationsInfo regulationsInfo = ReadRegulationsInfo(o); TradeInfo tradeInfo = ReadTradeInfo(o); return(PresentValue.OfUnchecked(product, amount, regulationsInfo, tradeInfo)); }
private bool ReValidate(RegulationsInfo regulate) { bool result = true; StringBuilder errmsg = new StringBuilder(); if (string.IsNullOrEmpty(regulate.RULESNAME)) { errmsg.Append("名称不能为空! \r"); result = false; } if (string.IsNullOrEmpty(regulate.DRAFTPERSON)) { errmsg.Append("起草人不能为空! \r"); result = false; } if (!string.IsNullOrEmpty(errmsg.ToString())) { MessageBox.Show(errmsg.ToString(), "验证失败", MessageBoxButton.OKCancel); } return(result); }
private static AddOnNotional ReadAddOnNotional(EntryObject o) { foreach (String property in s_Properties.Except(s_PropertiesAmount.Union(s_PropertiesCommon).Union(s_PropertiesTrade))) { if (!String.IsNullOrEmpty((String)o.GetType().GetProperty(property)?.GetValue(o))) { throw new InvalidDataException($"The CRIF file cannot specify the {property} property for Notional entries."); } } if (!DataValidator.IsValidNotionalQualifier(o.Qualifier)) { throw new InvalidDataException("The CRIF file contains a Notional entry with an invalid Qualifier property."); } Amount amount = ReadAmount(o); RegulationsInfo regulationsInfo = ReadRegulationsInfo(o); TradeInfo tradeInfo = ReadTradeInfo(o); return(AddOnNotional.OfUnchecked(o.Qualifier, amount, regulationsInfo, tradeInfo)); }
private void dgList_MouseLeftButtonUp_1(object sender, MouseButtonEventArgs e) { regulate = dgList.SelectedItem as RegulationsInfo; if (regulate == null) { return;//防止单击空白或标题等触发该事件 } if (regulate.IsChecked == true) { regulate.IsChecked = false; currentRegulateList.Remove(regulate); } else { regulate.IsChecked = true; currentRegulateList.Add(regulate); } #region 判断全选和保存状态 bool checkedState = regulate.IsChecked; int ischeckCount = (dgList.ItemsSource as List <RegulationsInfo>).Count(p => p.IsChecked == true); if (ischeckCount == 1 || ischeckCount == 0) { btnSave.IsEnabled = true; } else { btnSave.IsEnabled = false; } foreach (RegulationsInfo result in dgList.ItemsSource) { if (result.IsChecked != checkedState) { this.chkAll.IsChecked = null; return; } } chkAll.IsChecked = checkedState; #endregion }
private AddOnNotionalFactor(String qualifier, Decimal factor, RegulationsInfo regulationsInfo) : base(factor, regulationsInfo) { m_Qualifier = qualifier; }
private AddOnFixedAmount(Amount amount, RegulationsInfo regulationsInfo) : base(amount, regulationsInfo, TradeInfo.Empty) { }
/// <summary> /// 保存操作 /// </summary> /// <param name="sender"></param> /// <param name="e"></param> private void Button_Click_1(object sender, RoutedEventArgs e) { //if (currentFileList == null || currentFileList.Count() == 0) //{ // MessageBox.Show("请上传附件"); // return; //} RegulationsInfo regulate = new RegulationsInfo(); if (isAddOrUpdate == 0) { //新增 regulate.GUID = CO_IA.Client.Utility.NewGuid(); regulate.ACTIVITY_GUID = activityId;//活动id } else { //修改 regulate.GUID = currentRegulate.GUID.ToString(); regulate.ACTIVITY_GUID = currentRegulate.ACTIVITY_GUID; //活动id } regulate.RULESNAME = RuleName.Text; //名称 regulate.SENDSTATE = checkresult; //发布状态 regulate.DRAFTPERSON = drawupPerson.Text; //起草人 if (dpDraft.SelectedDate != null) { regulate.DRAFTDATE = Convert.ToDateTime(dpDraft.SelectedDate); //起草时间 } regulate.AUDITINGPERSON = Auditing.Text; //审核人 if (dpAuditing.SelectedDate != null) { regulate.AUDITINGDATE = Convert.ToDateTime(dpAuditing.SelectedDate); //审核时间 } regulate.ISSUEPERSON = Sender.Text; //发布人 regulate.ISSUEDATE = Convert.ToDateTime(dpSend.SelectedDate); //发布时间 regulate.SUMMARY = tbSynopsis.Text; //简介 regulate.RULETYPER = 0; //规章制度 regulate.SENDSTATE = checkresult; //发布状态 regulate.RULESNAME = RuleName.Text; //名称 regulate.SENDSTATE = checkresult; //发布状态 regulate.RuleFiles = currentFileList; //附件列表 currentRegulate = regulate; if (!ReValidate(currentRegulate)) { return; } PT_BS_Service.Client.Framework.BeOperationInvoker.Invoke <I_CO_IA.RuleAndFileManage.I_CO_IA_RuleAndFile> (channel => { try { if (isAddOrUpdate == 0) { bool isResult = channel.SaveRegulationsInfo(currentRegulate); if (isResult == true) { if (dgList.ItemsSource != null) { foreach (RuleFile rulefile in dgList.ItemsSource) { rulefile.GUID = CO_IA.Client.Utility.NewGuid(); rulefile.MAINGUID = currentRegulate.GUID; bool isaddfile = channel.SaveRulesFile(rulefile); //添加附件 if (isaddfile == false) { //删除客户端缓存的附件 string savePath = FileManageHelper.GetPath() + rulefile.FILEFORM.ToString(); string xpsPath = savePath.Substring(0, savePath.LastIndexOf(".")).ToString() + ".xps"; if (System.IO.File.Exists(savePath)) { System.IO.File.Delete(savePath); System.IO.File.Delete(xpsPath); } } } } } } else { bool isupdateResutl = channel.UpdateRegulationsInfo(currentRegulate); if (isupdateResutl == true) { RuleFile[] rulefiles = FileManageHelper.GetRuleFiles(currentRegulate.GUID); //删除附件 if (rulefiles != null && rulefiles.Count() > 0) { //List<RulesFiile> OriginalrulefileList = rulefiles.Where(r => r.MAINGUID == currentRegulate.GUID).ToList(); bool deleteServerFils = channel.DeleteRulesFileMainID(currentRegulate.GUID); if (deleteServerFils == true) { foreach (RuleFile file in rulefiles) { //删除客户端缓存的附件 string savePath = FileManageHelper.GetPath() + file.FILEFORM.ToString(); string xpsPath = savePath.Substring(0, savePath.LastIndexOf(".")).ToString() + ".xps"; if (System.IO.File.Exists(savePath)) { System.IO.File.Delete(savePath); System.IO.File.Delete(xpsPath); } } } } if (dgList.ItemsSource != null) { foreach (RuleFile rulefile in dgList.ItemsSource) { rulefile.GUID = CO_IA.Client.Utility.NewGuid(); rulefile.MAINGUID = currentRegulate.GUID; channel.SaveRulesFile(rulefile); //添加附件 } } MessageBox.Show("修改成功!", "提示", MessageBoxButton.OK); } } } catch (Exception ex) { //MessageBox.Show(ex.GetExceptionMessage()); } }); if (AfterSaveEvent != null) { AfterSaveEvent(); } this.Close(); }
internal static PresentValue OfUnchecked(Product product, Amount amount, RegulationsInfo regulationsInfo, TradeInfo tradeInfo) { return(new PresentValue(product, amount, regulationsInfo, tradeInfo)); }
private AddOnNotional(String qualifier, Amount amount, RegulationsInfo regulationsInfo, TradeInfo tradeInfo) : base(amount, regulationsInfo, tradeInfo) { m_Qualifier = qualifier; }
internal static AddOnProductMultiplier OfUnchecked(Product product, Decimal multiplier, RegulationsInfo regulationsInfo) { return(new AddOnProductMultiplier(product, multiplier, regulationsInfo)); }
private static Sensitivity ParseSensitivityCreditQualifying(EntryObject o) { if (!Enum.TryParse(o.ProductClass, out Model.Product product)) { throw new InvalidDataException($"The CRIF file contains a {o.RiskType} entry with an invalid ProductClass property."); } if (product != Model.Product.Credit) { throw new InvalidDataException($"The CRIF file contains a {o.RiskType} entry associated to a product class other than {Model.Product.Credit}."); } if (!BucketCreditQualifying.TryParse(o.Bucket, out BucketCreditQualifying bucket)) { throw new InvalidDataException($"The CRIF file contains a {o.RiskType} entry with an invalid Bucket property."); } if (!Tenor.TryParse(o.Label1, out Tenor tenor)) { throw new InvalidDataException($"The CRIF file contains a {o.RiskType} entry with an invalid Label1 property."); } if (!tenor.IsCreditTenor) { throw new InvalidDataException($"The CRIF file contains a {o.RiskType} entry associated to an improper tenor (accepted tenors are: {String.Join(", ", Tenor.Values.Where(x => x.IsCreditTenor).Select(x => x.Name))})."); } Amount amount = ReadAmount(o); RegulationsInfo regulationsInfo = ReadRegulationsInfo(o); TradeInfo tradeInfo = ReadTradeInfo(o); if (o.RiskType == "Risk_CreditQ") { if (!DataValidator.IsValidQualifier(o.Qualifier, true)) { throw new InvalidDataException($"The CRIF file contains a {o.RiskType} entry with an invalid Qualifier property."); } Boolean securitization; if (String.IsNullOrEmpty(o.Label2)) { securitization = false; } else if (o.Label2 == "Sec") { securitization = true; } else { throw new InvalidDataException("The CRIF file contains a Risk_CreditQ entry with an invalid Label2 property."); } return(Sensitivity.CreditQualifyingDelta(o.Qualifier, bucket, tenor, securitization, amount, regulationsInfo, tradeInfo)); } if (!String.IsNullOrEmpty(o.Label2)) { throw new InvalidDataException("The CRIF file cannot specify the Label2 property for Risk_CreditVol entries."); } return(Sensitivity.CreditQualifyingVega(o.Qualifier, bucket, tenor, amount, regulationsInfo, tradeInfo)); }
private static RegulationsInfo ReadRegulationsInfo(EntryObject o) { if (o.CollectRegulations == null) { throw new InvalidDataException($"The CRIF file contains a {o.RiskType} entry with an invalid CollectRegulations property."); } if (o.PostRegulations == null) { throw new InvalidDataException($"The CRIF file contains a {o.RiskType} entry with an invalid PostRegulations property."); } List <Regulation> collectRegulations; if (DataValidator.BlankRegulations(o.CollectRegulations)) { collectRegulations = new List <Regulation>(0); } else if (DataValidator.FilledRegulations(o.CollectRegulations)) { List <String> collectRegulationsTokens = o.CollectRegulations .Split(',') .Select(x => String.Concat(x.Substring(0, 1), x.Substring(1).ToLowerInvariant())) .ToList(); collectRegulations = new List <Regulation>(collectRegulationsTokens.Count); foreach (String collectRegulationsToken in collectRegulationsTokens) { if (!Enum.TryParse(collectRegulationsToken, out Regulation regulation)) { throw new InvalidDataException($"The CRIF file contains a {o.RiskType} entry with one or more invalid items in the CollectRegulations property."); } if (collectRegulations.Contains(regulation)) { throw new InvalidDataException($"The CRIF file contains a {o.RiskType} entry with one or more duplicate items in the CollectRegulations property."); } collectRegulations.Add(regulation); } } else { throw new InvalidDataException($"The CRIF file contains a {o.RiskType} entry with an invalid CollectRegulations property."); } List <Regulation> postRegulations; if (DataValidator.BlankRegulations(o.PostRegulations)) { postRegulations = new List <Regulation>(0); } else if (DataValidator.FilledRegulations(o.PostRegulations)) { List <String> postRegulationsTokens = o.PostRegulations .Split(',') .Select(x => String.Concat(x.Substring(0, 1), x.Substring(1).ToLowerInvariant())) .ToList(); postRegulations = new List <Regulation>(postRegulationsTokens.Count); foreach (String postRegulationsToken in postRegulationsTokens) { if (!Enum.TryParse(postRegulationsToken, out Regulation regulation)) { throw new InvalidDataException($"The CRIF file contains a {o.RiskType} entry with one or more invalid items in the PostRegulations property."); } if (postRegulations.Contains(regulation)) { throw new InvalidDataException($"The CRIF file contains a {o.RiskType} entry with one or more duplicate items in the PostRegulations property."); } postRegulations.Add(regulation); } } else { throw new InvalidDataException($"The CRIF file contains a {o.RiskType} entry with an invalid PostRegulations property."); } return(RegulationsInfo.OfUnchecked(collectRegulations, postRegulations)); }
internal static Notional OfUnchecked(Product product, Amount amount, RegulationsInfo regulationsInfo, TradeInfo tradeInfo) { return(new Notional(product, amount, regulationsInfo, tradeInfo)); }
private Notional(Product product, Amount amount, RegulationsInfo regulationsInfo, TradeInfo tradeInfo) : base(amount, regulationsInfo, tradeInfo) { m_Product = product; }
internal static AddOnNotionalFactor OfUnchecked(String qualifier, Decimal factor, RegulationsInfo regulationsInfo) { return(new AddOnNotionalFactor(qualifier, factor, regulationsInfo)); }
private AddOnProductMultiplier(Product product, Decimal multiplier, RegulationsInfo regulationsInfo) : base(multiplier, regulationsInfo) { m_Product = product; }
private static Sensitivity ReadSensitivityInterestRate(EntryObject o) { if (!Enum.TryParse(o.ProductClass, out Model.Product product)) { throw new InvalidDataException($"The CRIF file contains a {o.RiskType} entry with an invalid ProductClass property."); } if (product != Model.Product.RatesFx) { throw new InvalidDataException($"The CRIF file contains a {o.RiskType} entry associated to a product class other than {Model.Product.RatesFx}."); } if (!Currency.TryParse(o.Qualifier, out Currency currency)) { throw new InvalidDataException($"The CRIF file contains a {o.RiskType} entry with an invalid Qualifier property."); } if (!Tenor.TryParse(o.Label1, out Tenor tenor)) { throw new InvalidDataException($"The CRIF file contains a {o.RiskType} entry with an invalid Label1 property."); } Amount amount = ReadAmount(o); RegulationsInfo regulationsInfo = ReadRegulationsInfo(o); TradeInfo tradeInfo = ReadTradeInfo(o); if (o.RiskType == "Risk_IRCurve") { if (String.IsNullOrEmpty(o.Bucket)) { throw new InvalidDataException("The CRIF file contains a Risk_IRCurve entry with an invalid Bucket property."); } String currencyVolatility = ((Int32)currency.Volatility + 1).ToString(); if (o.Bucket != currencyVolatility) { throw new InvalidDataException($"The CRIF file contains a Risk_IRCurve entry with mismatching currency volatility and volatility bucket (for {currency} the Bucket property must be set to {currencyVolatility})."); } o.Label2 = DataValidator.FormatLibor(o.Label2, true); if (!Enum.TryParse(o.Label2, out Curve curve)) { throw new InvalidDataException("The CRIF file contains a Risk_IRCurve entry with an invalid Label2 property."); } if ((currency != Currency.Usd) && ((curve == Curve.Municipal) || (curve == Curve.Prime))) { throw new InvalidDataException($"The CRIF file contains a {o.RiskType} entry with a {curve} curve associated to a currency other than {Currency.Usd}."); } return(Sensitivity.InterestRateDelta(currency, tenor, curve, amount, regulationsInfo, tradeInfo)); } if (!String.IsNullOrEmpty(o.Bucket) || !String.IsNullOrEmpty(o.Label2)) { throw new InvalidDataException("The CRIF file cannot specify Bucket and Label2 properties for Risk_IRVol entries."); } return(Sensitivity.InterestRateVega(currency, tenor, amount, regulationsInfo, tradeInfo)); }
internal static AddOnFixedAmount OfUnchecked(Amount amount, RegulationsInfo regulationsInfo) { return(new AddOnFixedAmount(amount, regulationsInfo)); }
private static ReadOnlyCollection <DataEntity> CreateDataEntities() { DateTime today = DateTime.Today; DateTime todayPlus3M = today.AddMonths(3); DateTime todayPlus4Y = today.AddYears(4); DateTime todayPlus10Y = today.AddYears(10); Int32 tradeId = 0; RegulationsInfo ri = RegulationsInfo.Of(Regulation.Cftc); List <DataEntity> dataEntities = new List <DataEntity> { // Model - Sensitivities - Base Correlation Sensitivity.BaseCorrelation("CDX HY", Amount.Of(Currency.Usd, 200000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.BaseCorrelation("CDX HY", Amount.Of(Currency.Usd, -300000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.BaseCorrelation("CDX IG", Amount.Of(Currency.Usd, 100000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.BaseCorrelation("iTraxx XO", Amount.Of(Currency.Usd, 450000m), ri, CreateTradeInfoModel(++tradeId)), // Model - Sensitivities - Delta - Commodity Sensitivity.CommodityDelta("Coal Americas", BucketCommodity.Bucket1, Amount.Of(Currency.Usd, 3000000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.CommodityDelta("Coal Europe", BucketCommodity.Bucket1, Amount.Of(Currency.Usd, -5000000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.CommodityDelta("Middle Distillates America", BucketCommodity.Bucket3, Amount.Of(Currency.Usd, 15000000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.CommodityDelta("Middle Distillates Europe", BucketCommodity.Bucket3, Amount.Of(Currency.Usd, -20000000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.CommodityDelta("Middle Distillates Asia", BucketCommodity.Bucket3, Amount.Of(Currency.Usd, 32000000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.CommodityDelta("NA Natural Gas Gulf Coast", BucketCommodity.Bucket6, Amount.Of(Currency.Usd, 6500000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.CommodityDelta("NA Natural Gas West", BucketCommodity.Bucket6, Amount.Of(Currency.Usd, 4000000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.CommodityDelta("Freight Wet", BucketCommodity.Bucket10, Amount.Of(Currency.Usd, 35000000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.CommodityDelta("Freight Dry", BucketCommodity.Bucket10, Amount.Of(Currency.Usd, -10000000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.CommodityDelta("Softs Coffee", BucketCommodity.Bucket14, Amount.Of(Currency.Usd, 2500000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.CommodityDelta("Livestock Feeder Cattle", BucketCommodity.Bucket15, Amount.Of(Currency.Usd, -1200000m), ri, CreateTradeInfoModel(++tradeId)), // Model - Sensitivities - Delta - Credit Qualifying Sensitivity.CreditQualifyingDelta("ISIN:US3949181045", BucketCreditQualifying.Bucket1, Tenor.Y2, false, Amount.Of(Currency.Usd, 100000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.CreditQualifyingDelta("ISIN:US3949181045", BucketCreditQualifying.Bucket1, Tenor.Y5, false, Amount.Of(Currency.Usd, -1500000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.CreditQualifyingDelta("ISIN:US3949181045", BucketCreditQualifying.Bucket1, Tenor.Y3, false, Amount.Of(Currency.Usd, 1450000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.CreditQualifyingDelta("ISIN:XS1061333921", BucketCreditQualifying.Bucket1, Tenor.Y10, false, Amount.Of(Currency.Usd, 400000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.CreditQualifyingDelta("ISIN:CH0419041295", BucketCreditQualifying.Bucket4, Tenor.Y1, true, Amount.Of(Currency.Usd, -650000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.CreditQualifyingDelta("ISIN:JP1718441K71", BucketCreditQualifying.Bucket4, Tenor.Y1, false, Amount.Of(Currency.Usd, 200000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.CreditQualifyingDelta("ISIN:RU000A100H37", BucketCreditQualifying.Bucket7, Tenor.Y2, false, Amount.Of(Currency.Usd, -100000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.CreditQualifyingDelta("ISIN:RU000A100H37", BucketCreditQualifying.Bucket7, Tenor.Y3, false, Amount.Of(Currency.Usd, 150000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.CreditQualifyingDelta("ISIN:XS1886258598", BucketCreditQualifying.Bucket7, Tenor.Y1, false, Amount.Of(Currency.Usd, -120000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.CreditQualifyingDelta("ISIN:XS1120672716", BucketCreditQualifying.Bucket7, Tenor.Y2, false, Amount.Of(Currency.Usd, 330000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.CreditQualifyingDelta("ISIN:GB0702134646", BucketCreditQualifying.Bucket11, Tenor.Y2, false, Amount.Of(Currency.Usd, 1000000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.CreditQualifyingDelta("ISIN:GB0702134646", BucketCreditQualifying.Bucket11, Tenor.Y10, false, Amount.Of(Currency.Usd, -475000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.CreditQualifyingDelta("ISIN:GB0702134646", BucketCreditQualifying.Bucket11, Tenor.Y3, false, Amount.Of(Currency.Usd, -500000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.CreditQualifyingDelta("ISIN:FR0003504418", BucketCreditQualifying.BucketResidual, Tenor.Y2, false, Amount.Of(Currency.Usd, 400000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.CreditQualifyingDelta("ISIN:XS2023221601", BucketCreditQualifying.BucketResidual, Tenor.Y10, false, Amount.Of(Currency.Usd, -300000m), ri, CreateTradeInfoModel(++tradeId)), // Model - Sensitivities - Delta - Credit Non-qualifying Sensitivity.CreditNonQualifyingDelta("ISIN:US3949181045", BucketCreditNonQualifying.Bucket1, Tenor.Y3, Amount.Of(Currency.Usd, 300000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.CreditNonQualifyingDelta("ISIN:US3949181045", BucketCreditNonQualifying.Bucket1, Tenor.Y5, Amount.Of(Currency.Usd, 700000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.CreditNonQualifyingDelta("ISIN:XS1061333921", BucketCreditNonQualifying.Bucket1, Tenor.Y2, Amount.Of(Currency.Usd, -500000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.CreditNonQualifyingDelta("ISIN:XS1980681200", BucketCreditNonQualifying.Bucket2, Tenor.Y1, Amount.Of(Currency.Usd, -220000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.CreditNonQualifyingDelta("ISIN:XS1980681200", BucketCreditNonQualifying.Bucket2, Tenor.Y10, Amount.Of(Currency.Usd, 200000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.CreditNonQualifyingDelta("ISIN:DE000HVB34J9", BucketCreditNonQualifying.Bucket2, Tenor.Y2, Amount.Of(Currency.Usd, 800000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.CreditNonQualifyingDelta("ISIN:FR0003507418", BucketCreditNonQualifying.BucketResidual, Tenor.Y5, Amount.Of(Currency.Usd, 300000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.CreditNonQualifyingDelta("ISIN:XS2023221601", BucketCreditNonQualifying.BucketResidual, Tenor.Y3, Amount.Of(Currency.Usd, -270000m), ri, CreateTradeInfoModel(++tradeId)), // Model - Sensitivities - Delta - Equity Sensitivity.EquityDelta("ISIN:XS1980681200", BucketEquity.Bucket2, Amount.Of(Currency.Usd, 200000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.EquityDelta("ISIN:DE000HVB34J9", BucketEquity.Bucket2, Amount.Of(Currency.Usd, 500000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.EquityDelta("ISIN:DE000TK0T291", BucketEquity.Bucket5, Amount.Of(Currency.Usd, -1000000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.EquityDelta("ISIN:DE000FF2AKA7", BucketEquity.Bucket5, Amount.Of(Currency.Usd, 3300000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.EquityDelta("ISIN:XS1896686544", BucketEquity.Bucket5, Amount.Of(Currency.Usd, 500000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.EquityDelta("ISIN:BE5631439402", BucketEquity.Bucket9, Amount.Of(Currency.Usd, 100000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.EquityDelta("ISIN:XS1006556794", BucketEquity.Bucket10, Amount.Of(Currency.Usd, 50000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.EquityDelta("ISIN:GB02BALKJB79", BucketEquity.Bucket10, Amount.Of(Currency.Usd, -150000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.EquityDelta("FTSE100", BucketEquity.Bucket11, Amount.Of(Currency.Usd, 600000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.EquityDelta("S&P500", BucketEquity.Bucket11, Amount.Of(Currency.Usd, -450000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.EquityDelta("ISIN:FR0003504418", BucketEquity.BucketResidual, Amount.Of(Currency.Usd, -75000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.EquityDelta("ISIN:XS2023221601", BucketEquity.BucketResidual, Amount.Of(Currency.Usd, 56000m), ri, CreateTradeInfoModel(++tradeId)), // Model - Sensitivities - Delta - FX Sensitivity.FxDelta(Currency.Eur, Amount.Of(Currency.Usd, 10000000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.FxDelta(Currency.Eur, Amount.Of(Currency.Usd, -10000000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.FxDelta(Currency.Nok, Amount.Of(Currency.Usd, 200000000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.FxDelta(Currency.Mru, Amount.Of(Currency.Usd, 60000000m), ri, CreateTradeInfoModel(++tradeId)), // Model - Sensitivities - Delta - Rates - Cross-currency Basis Sensitivity.CrossCurrencyBasis(Currency.Gbp, Amount.Of(Currency.Usd, -15000000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.CrossCurrencyBasis(Currency.Usd, Amount.Of(Currency.Usd, 10000000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.CrossCurrencyBasis(Currency.Usd, Amount.Of(Currency.Usd, 10000000m), ri, CreateTradeInfoModel(++tradeId)), // Sensitivities - Delta - Rates - Inflation Sensitivity.InflationDelta(Currency.Cad, Amount.Of(Currency.Usd, 3000000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.InflationDelta(Currency.Gbp, Amount.Of(Currency.Usd, -10000000m), ri, CreateTradeInfoModel(++tradeId)), // Model - Sensitivities - Delta - Rates - Interest Rate Sensitivity.InterestRateDelta(Currency.Gbp, Tenor.Y5, Curve.Libor6M, Amount.Of(Currency.Usd, -5000000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.InterestRateDelta(Currency.Gbp, Tenor.M6, Curve.Ois, Amount.Of(Currency.Usd, 20000000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.InterestRateDelta(Currency.Gbp, Tenor.Y2, Curve.Ois, Amount.Of(Currency.Usd, 30000000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.InterestRateDelta(Currency.Jpy, Tenor.Y10, Curve.Libor3M, Amount.Of(Currency.Usd, 9000000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.InterestRateDelta(Currency.Jpy, Tenor.Y20, Curve.Libor3M, Amount.Of(Currency.Usd, 1000000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.InterestRateDelta(Currency.Inr, Tenor.W2, Curve.Ois, Amount.Of(Currency.Usd, -2000000m), ri, CreateTradeInfoModel(++tradeId)), // Model - Sensitivities - Vega - Commodity Sensitivity.CommodityVega("Precious Metals Silver", BucketCommodity.Bucket12, Tenor.W2, Amount.Of(Currency.Usd, 3500000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.CommodityVega("Precious Metals Silver", BucketCommodity.Bucket12, Tenor.Y5, Amount.Of(Currency.Usd, -3200000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.CommodityVega("Precious Metals Gold", BucketCommodity.Bucket12, Tenor.M6, Amount.Of(Currency.Usd, 1500000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.CommodityVega("EU Power Germany", BucketCommodity.Bucket9, Tenor.Y1, Amount.Of(Currency.Usd, 1000000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.CommodityVega("EU Power Germany", BucketCommodity.Bucket9, Tenor.W2, Amount.Of(Currency.Usd, 4500000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.CommodityVega("Crude Oil Americas", BucketCommodity.Bucket2, Tenor.Y15, Amount.Of(Currency.Usd, -1500000m), ri, CreateTradeInfoModel(++tradeId)), // Model - Sensitivities - Vega - Credit Qualifying Sensitivity.CreditQualifyingVega("EU.HY", BucketCreditQualifying.BucketResidual, Tenor.Y5, Amount.Of(Currency.Usd, -4000000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.CreditQualifyingVega("EU.IG", BucketCreditQualifying.BucketResidual, Tenor.Y1, Amount.Of(Currency.Usd, 1500000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.CreditQualifyingVega("EU.IG", BucketCreditQualifying.Bucket2, Tenor.Y2, Amount.Of(Currency.Usd, 3000000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.CreditQualifyingVega("EU.IG", BucketCreditQualifying.Bucket2, Tenor.Y2, Amount.Of(Currency.Usd, -2000000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.CreditQualifyingVega("US.HY", BucketCreditQualifying.Bucket7, Tenor.Y10, Amount.Of(Currency.Usd, 3500000m), ri, CreateTradeInfoModel(++tradeId)), // Model - Sensitivities - Vega - Credit Non-qualifying Sensitivity.CreditNonQualifyingVega("EU.HY", BucketCreditNonQualifying.BucketResidual, Tenor.Y3, Amount.Of(Currency.Usd, 1200000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.CreditNonQualifyingVega("EU.IG", BucketCreditNonQualifying.Bucket1, Tenor.Y2, Amount.Of(Currency.Usd, -2300000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.CreditNonQualifyingVega("EU.IG", BucketCreditNonQualifying.BucketResidual, Tenor.Y3, Amount.Of(Currency.Usd, 4000000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.CreditNonQualifyingVega("EU.IG", BucketCreditNonQualifying.BucketResidual, Tenor.Y1, Amount.Of(Currency.Usd, -3500000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.CreditNonQualifyingVega("US.HY", BucketCreditNonQualifying.BucketResidual, Tenor.Y10, Amount.Of(Currency.Usd, -2600000m), ri, CreateTradeInfoModel(++tradeId)), // Model - Sensitivities - Vega - Equity Sensitivity.EquityVega("ISIN:US3949181045", BucketEquity.Bucket1, Tenor.Y5, Amount.Of(Currency.Usd, 2000000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.EquityVega("ISIN:US3949181045", BucketEquity.Bucket1, Tenor.Y2, Amount.Of(Currency.Usd, -1800000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.EquityVega("ISIN:US3949181045", BucketEquity.Bucket1, Tenor.W2, Amount.Of(Currency.Usd, 6000000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.EquityVega("ISIN:CH0419041295", BucketEquity.Bucket4, Tenor.Y3, Amount.Of(Currency.Usd, 5000000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.EquityVega("ISIN:DE000HVB34J9", BucketEquity.Bucket4, Tenor.Y10, Amount.Of(Currency.Usd, -4500000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.EquityVega("ISIN:RU000A100H37", BucketEquity.Bucket7, Tenor.Y20, Amount.Of(Currency.Usd, -2700000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.EquityVega("VIX", BucketEquity.Bucket12, Tenor.Y15, Amount.Of(Currency.Usd, -1500000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.EquityVega("ISIN:FR0003504418", BucketEquity.BucketResidual, Tenor.M6, Amount.Of(Currency.Usd, 3000000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.EquityVega("ISIN:FR0003504418", BucketEquity.BucketResidual, Tenor.M1, Amount.Of(Currency.Usd, -3200000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.EquityVega("ISIN:XS2023221601", BucketEquity.BucketResidual, Tenor.M3, Amount.Of(Currency.Usd, 4400000m), ri, CreateTradeInfoModel(++tradeId)), // Model - Sensitivities - Vega - FX Sensitivity.FxVega(CurrencyPair.Of(Currency.Usd, Currency.Eur), Tenor.M6, Amount.Of(Currency.Usd, 2500000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.FxVega(CurrencyPair.Of(Currency.Eur, Currency.Usd), Tenor.Y3, Amount.Of(Currency.Usd, 8500000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.FxVega(CurrencyPair.Of(Currency.Usd, Currency.Eur), Tenor.Y20, Amount.Of(Currency.Usd, -10000000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.FxVega(CurrencyPair.Of(Currency.Brl, Currency.Cny), Tenor.Y2, Amount.Of(Currency.Usd, 6500000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.FxVega(CurrencyPair.Of(Currency.Jpy, Currency.Sgd), Tenor.M6, Amount.Of(Currency.Usd, -2500000m), ri, CreateTradeInfoModel(++tradeId)), // Sensitivities - Delta - Vega - Inflation Sensitivity.InflationVega(Currency.Eur, Tenor.Y5, Amount.Of(Currency.Usd, 15000000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.InflationVega(Currency.Eur, Tenor.Y15, Amount.Of(Currency.Usd, -50000000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.InflationVega(Currency.Usd, Tenor.Y20, Amount.Of(Currency.Usd, 100000000m), ri, CreateTradeInfoModel(++tradeId)), // Model - Sensitivities - Vega - Rates - Interest Rate Sensitivity.InterestRateVega(Currency.Usd, Tenor.M3, Amount.Of(Currency.Usd, 20000000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.InterestRateVega(Currency.Usd, Tenor.Y1, Amount.Of(Currency.Usd, -30000000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.InterestRateVega(Currency.Aud, Tenor.W2, Amount.Of(Currency.Usd, -13000000m), ri, CreateTradeInfoModel(++tradeId)), Sensitivity.InterestRateVega(Currency.Aud, Tenor.Y2, Amount.Of(Currency.Usd, -2500000m), ri, CreateTradeInfoModel(++tradeId)), // Model - Add-on - Fixed Amounts AddOnFixedAmount.Of(Amount.Of(Currency.Usd, 1650000m), ri), AddOnFixedAmount.Of(Amount.Of(Currency.Usd, 2000000m), ri), // Model - Add-on - Notionals AddOnNotional.Of("FlexiCallOption", Amount.Of(Currency.Usd, 1000000m), ri, CreateTradeInfoModel(++tradeId)), AddOnNotional.Of("FlexiCallOption", Amount.Of(Currency.Usd, -2000000m), ri, CreateTradeInfoModel(++tradeId)), AddOnNotional.Of("FlexiCallOption", Amount.Of(Currency.Usd, 1500000m), ri, CreateTradeInfoModel(++tradeId)), AddOnNotional.Of("FlexiPutOption", Amount.Of(Currency.Usd, -800000m), ri, CreateTradeInfoModel(++tradeId)), AddOnNotional.Of("FlexiPutOption", Amount.Of(Currency.Usd, -2200000m), ri, CreateTradeInfoModel(++tradeId)), // Model - Add-on - Notional Factors AddOnNotionalFactor.Of("FlexiCallOption", 0.06105m, ri), AddOnNotionalFactor.Of("FlexiPutOption", 0.02055m, ri), // Model - Add-on - Product Multipliers AddOnProductMultiplier.Of(Model.Product.Commodity, 0.075m, ri), AddOnProductMultiplier.Of(Model.Product.Credit, 0.11m, ri), AddOnProductMultiplier.Of(Model.Product.Equity, 0.015m, ri), AddOnProductMultiplier.Of(Model.Product.RatesFx, 0.205m, ri), // Schedule - Notionals Notional.Of(Schedule.Product.Commodity, Amount.Of(Currency.Cad, 1850000m), ri, CreateTradeInfoSchedule(1, todayPlus3M)), Notional.Of(Schedule.Product.Credit, Amount.Of(Currency.Usd, 2300000m), ri, CreateTradeInfoSchedule(2, todayPlus3M)), Notional.Of(Schedule.Product.Credit, Amount.Of(Currency.Usd, -900000m), ri, CreateTradeInfoSchedule(3, todayPlus10Y)), Notional.Of(Schedule.Product.Fx, Amount.Of(Currency.Usd, -5200000m), ri, CreateTradeInfoSchedule(4, todayPlus3M)), Notional.Of(Schedule.Product.Equity, Amount.Of(Currency.Usd, 1200000m), ri, CreateTradeInfoSchedule(5, todayPlus4Y)), Notional.Of(Schedule.Product.Rates, Amount.Of(Currency.Usd, 3700000m), ri, CreateTradeInfoSchedule(6, todayPlus3M)), Notional.Of(Schedule.Product.Rates, Amount.Of(Currency.Usd, -2000000m), ri, CreateTradeInfoSchedule(7, todayPlus4Y)), Notional.Of(Schedule.Product.Rates, Amount.Of(Currency.Gbp, -1750000m), ri, CreateTradeInfoSchedule(8, todayPlus10Y)), Notional.Of(Schedule.Product.Rates, Amount.Of(Currency.Eur, 1620000m), ri, CreateTradeInfoSchedule(8, todayPlus10Y)), Notional.Of(Schedule.Product.Other, Amount.Of(Currency.Usd, -120000m), ri, CreateTradeInfoSchedule(9, todayPlus3M)), Notional.Of(Schedule.Product.Other, Amount.Of(Currency.Usd, 2140000m), ri, CreateTradeInfoSchedule(9, todayPlus3M)), Notional.Of(Schedule.Product.Other, Amount.Of(Currency.Usd, 4350000m), ri, CreateTradeInfoSchedule(10, todayPlus4Y)), Notional.Of(Schedule.Product.Other, Amount.Of(Currency.Usd, 4100000m), ri, CreateTradeInfoSchedule(11, todayPlus10Y)), Notional.Of(Schedule.Product.Other, Amount.Of(Currency.Usd, -5120000m), ri, CreateTradeInfoSchedule(11, todayPlus10Y)), // Schedule - Present Values PresentValue.Of(Schedule.Product.Commodity, Amount.Of(Currency.Usd, 490000m), ri, CreateTradeInfoSchedule(1, todayPlus3M)), PresentValue.Of(Schedule.Product.Credit, Amount.Of(Currency.Usd, -60000m), ri, CreateTradeInfoSchedule(2, todayPlus3M)), PresentValue.Of(Schedule.Product.Credit, Amount.Of(Currency.Usd, 610000m), ri, CreateTradeInfoSchedule(3, todayPlus10Y)), PresentValue.Of(Schedule.Product.Fx, Amount.Of(Currency.Usd, 320000m), ri, CreateTradeInfoSchedule(4, todayPlus3M)), PresentValue.Of(Schedule.Product.Equity, Amount.Of(Currency.Usd, -230000m), ri, CreateTradeInfoSchedule(5, todayPlus4Y)), PresentValue.Of(Schedule.Product.Rates, Amount.Of(Currency.Usd, 1850000m), ri, CreateTradeInfoSchedule(6, todayPlus3M)), PresentValue.Of(Schedule.Product.Rates, Amount.Of(Currency.Usd, -450000m), ri, CreateTradeInfoSchedule(7, todayPlus4Y)), PresentValue.Of(Schedule.Product.Rates, Amount.Of(Currency.Gbp, -170000m), ri, CreateTradeInfoSchedule(8, todayPlus10Y)), PresentValue.Of(Schedule.Product.Rates, Amount.Of(Currency.Eur, 260000m), ri, CreateTradeInfoSchedule(8, todayPlus10Y)), PresentValue.Of(Schedule.Product.Other, Amount.Of(Currency.Usd, -60000m), ri, CreateTradeInfoSchedule(9, todayPlus3M)), PresentValue.Of(Schedule.Product.Other, Amount.Of(Currency.Usd, -240000m), ri, CreateTradeInfoSchedule(11, todayPlus10Y)), }; return(dataEntities.AsReadOnly()); }
internal static AddOnNotional OfUnchecked(String qualifier, Amount amount, RegulationsInfo regulationsInfo, TradeInfo tradeInfo) { return(new AddOnNotional(qualifier, amount, regulationsInfo, tradeInfo)); }
private PresentValue(Product product, Amount amount, RegulationsInfo regulationsInfo, TradeInfo tradeInfo) : base(amount, regulationsInfo, tradeInfo) { m_Product = product; }