///// <summary>
///// Builds the market.
///// </summary>
///// <param name="market">The market.</param>
///// <param name="pricingStructureTerms">The pricing structure terms.</param>
///// <param name="resultsContainer">The results container.</param>
///// <returns></returns>
//public static IMarketEnvironment BuildMarket(string market, IDictionary<string, IDictionary<string, object>> pricingStructureTerms, NamedValueSet resultsContainer)
//{
// const string cLowerRateCurve = "ratecurve";
// const string cLowerFXCurve = "fxcurve";
// const string cLowerVolSurface = "ratevolatilitymatrix";
// const string cLowerVolCube = "ratevolatilitycube";
// const string cPricingStructureTypeKey = CurveProp.PricingStructureType;
// IDictionary<string, List<string>> curveTOLegRefMap = new Dictionary<string, List<string>>();
// IDictionary<string, IRateCurveTerms> rateCurveTOCurveTermsMap = new Dictionary<string, IRateCurveTerms>();
// IDictionary<string, IFXCurveTerms> fxCurveTOCurveTermsMap = new Dictionary<string, IFXCurveTerms>();
// IDictionary<string, IVolatilitySurfaceTerms> volSurfaceTOSurfaceTermsMap = new Dictionary<string, IVolatilitySurfaceTerms>();
// IDictionary<string, IVolatilitySurfaceTerms> volCubeTOCubeTermsMap = new Dictionary<string, IVolatilitySurfaceTerms>();
// foreach (string pricingStructureTermsRef in pricingStructureTerms.Keys)
// {
// IDictionary<string, object> termProps = pricingStructureTerms[pricingStructureTermsRef];
// if (termProps == null) continue;
// var propKeys = new List<string>(termProps.Keys);
// string psTypeKey = propKeys.Find(item => string.Compare(item, cPricingStructureTypeKey, true) == 0);
// if (string.IsNullOrEmpty(psTypeKey))
// {
// continue;
// }
// IPricingStructureTerms curveTerms;
// switch (termProps[psTypeKey].ToString().ToLowerInvariant())
// {
// case cLowerRateCurve:
// curveTerms = new RateCurveTerms(termProps);
// UpdateMap(pricingStructureTermsRef, (IRateCurveTerms)curveTerms, rateCurveTOCurveTermsMap, curveTOLegRefMap, curveTerms.ReferenceKey);
// break;
// case cLowerFXCurve:
// curveTerms = new FXCurveTerms(termProps);
// UpdateMap(pricingStructureTermsRef, (IFXCurveTerms)curveTerms, fxCurveTOCurveTermsMap, curveTOLegRefMap, curveTerms.ReferenceKey);
// break;
// case cLowerVolSurface:
// curveTerms = new VolatilitySurfaceTerms(termProps);
// UpdateMap(pricingStructureTermsRef, (VolatilitySurfaceTerms)curveTerms, volSurfaceTOSurfaceTermsMap, curveTOLegRefMap, curveTerms.ReferenceKey);
// break;
// case cLowerVolCube:
// curveTerms = new VolatilitySurfaceTerms(termProps);
// UpdateMap(pricingStructureTermsRef, (VolatilitySurfaceTerms)curveTerms, volCubeTOCubeTermsMap, curveTOLegRefMap, curveTerms.ReferenceKey);
// break;
// }
// }
// IMarketEnvironment marketEnvironment = Create(market, rateCurveTOCurveTermsMap, fxCurveTOCurveTermsMap, volSurfaceTOSurfaceTermsMap, volCubeTOCubeTermsMap, curveTOLegRefMap);
// if (marketEnvironment != null)
// {
// IDictionary<string, IPricingStructure> structures = marketEnvironment.GetPricingStructures();
// resultsContainer.Add(ParsePricingStructures(structures));
// }
// return marketEnvironment;
//}
/// <summary>
/// Validates the market.
/// </summary>
/// <param name="pricingStructures"></param>
/// <param name="market"></param>
public static void ValidateMarket(string[] pricingStructures, IMarketEnvironment market)
{
var missingStructures = new List <string>();
if (market == null)
{
throw new ArgumentNullException(nameof(market), "A valid market has not been supplied");
}
IDictionary <string, IPricingStructure> ps = market.GetPricingStructures();
if (market != null && ps.Count == 0)
{
throw new ApplicationException($"{market.Id} market does not contain any curves");
}
if (ps.Count <= 0)
{
}
else
{
missingStructures.AddRange(pricingStructures.Where(structure => !StructureExists(ps, structure)));
if (missingStructures.Count > 0)
{
throw new ApplicationException(
$"{string.Join(", ", missingStructures.ToArray())} curves not found in {market.Id} market");
}
}
}
/// <summary>
/// Stores the structure.
/// </summary>
/// <param name="marketEnvironment">The market environment.</param>
/// <param name="name">The name.</param>
/// <param name="pricingStructure">The pricing structure.</param>
/// <returns></returns>
public static IMarketEnvironment StoreStructure(IMarketEnvironment marketEnvironment, string name, IPricingStructure pricingStructure)
{
var market = (MarketEnvironment)marketEnvironment;
if (!StructureExists(marketEnvironment, name))
{
market.AddPricingStructure(name, pricingStructure);
}
return(market);
}
/// <summary>
/// Structures the exists.
/// </summary>
/// <param name="marketEnvironment">The market environment.</param>
/// <param name="name">The name.</param>
/// <returns></returns>
internal static Boolean StructureExists(IMarketEnvironment marketEnvironment, string name)
{
return(StructureExists(marketEnvironment.GetPricingStructures(), name));
}
