public static ValuationReport Generate(string valuationId, string baseParty, string tradeId, DateTime tradeDate, CapFloor capFloor, Market market, AssetValuation assetValuation) { var valuationReport = new ValuationReport { header = new NotificationMessageHeader { messageId = new MessageId { Value = valuationId } }, market = market }; // Associate id with the valuation // var tradeValuationItem = new TradeValuationItem(); valuationReport.tradeValuationItem = new[] { tradeValuationItem }; var trade = new Trade(); TradeHeader tradeHeader = CreateTradeHeader(tradeDate, tradeId); trade.tradeHeader = tradeHeader; XsdClassesFieldResolver.TradeSetCapFloor(trade, capFloor); tradeValuationItem.Items = new object[] { trade }; tradeValuationItem.valuationSet = new ValuationSet { baseParty = PartyReferenceFactory.Create(baseParty), assetValuation = new[] { assetValuation } }; return(valuationReport); }
public static ValuationReport Generate(string valuationId, string baseParty, string tradeId, DateTime tradeDate, Swap swap, Market market, AssetValuation assetValuation) { var valuationReport = new ValuationReport { header = new NotificationMessageHeader { messageId = new MessageId { Value = valuationId } }, market = market }; // Associate id with the valuation // var tradeValuationItem = new TradeValuationItem(); valuationReport.tradeValuationItem = new[] { tradeValuationItem }; //Party nabParty = PartyFactory.Create("Party1"); //Party counterParty = PartyFactory.Create(_counterpartyName); // // valuationReport.party = new Party[] { nabParty, counterParty }; // PartyOrAccountReference nabPartyReference = PartyOrAccountReferenceFactory.Create(nabParty.id); // PartyOrAccountReference counterPartyReference = PartyOrAccountReferenceFactory.Create(counterParty.id); // // NAB is the payer of pay paystream and receiver of receive stream // // // SwapHelper.GetPayerStream(swap).payerPartyReference = nabPartyReference; // SwapHelper.GetReceiverStream(swap).receiverPartyReference = nabPartyReference; // // // CounterParty is the receiver of paystream and payer of receivestream // // // SwapHelper.GetPayStream(swap).receiverPartyReference = counterPartyReference; // SwapHelper.GetReceiveStream(swap).payerPartyReference = counterPartyReference; var trade = new Trade(); // Generate trade header // TradeHeader tradeHeader = CreateTradeHeader(tradeDate, tradeId); trade.tradeHeader = tradeHeader; XsdClassesFieldResolver.TradeSetSwap(trade, swap); tradeValuationItem.Items = new object[] { trade }; tradeValuationItem.valuationSet = new ValuationSet { baseParty = PartyReferenceFactory.Create(baseParty), assetValuation = new[] { assetValuation } }; return(valuationReport); }
private static TradeHeader CreateTradeHeader(DateTime tradeDate, string tradeId) { var tradeHeader = new TradeHeader { tradeDate = IdentifiedDateHelper.Create(TradeProp.TradeDate, tradeDate), partyTradeIdentifier = new[] { new PartyTradeIdentifier() } }; var tradeIdAsObject = new TradeId { tradeIdScheme = "FpML", Value = tradeId }; XsdClassesFieldResolver.TradeIdentifierSetTradeId(tradeHeader.partyTradeIdentifier[0], tradeIdAsObject); return(tradeHeader); }