public void LoadInterestRateCurveGbpNullTenorTest()
{
var curve = CurveEngine.LoadInterestRateCurve(Market, "GBP", null, null);
Assert.IsNotNull(curve);
// curve without tenor exists
Assert.AreEqual("NotFound", curve.GetPricingStructureId().Properties.GetString("IndexTenor", "NotFound"));
}
public void LoadInterestRateCurveAud1MTest()
{
var curve = CurveEngine.LoadInterestRateCurve(Market, "AUD", "1M", null);
Assert.IsNotNull(curve);
// 1M does exist
Assert.AreEqual("1M", curve.GetPricingStructureId().Properties.GetString("IndexTenor", true));
}
public void LoadInterestRateCurveAud6MTest()
{
var curve = CurveEngine.LoadInterestRateCurve(Market, "AUD", "6M", null);
Assert.IsNotNull(curve);
// 6M does not exist, 3M loaded instead
Assert.AreEqual("3M", curve.GetPricingStructureId().Properties.GetString("IndexTenor", true));
}
public static void AssemblyInitialize(TestContext testContext)
{
UTE = new UnitTestEnvironment();
var logger = Reference <ILogger> .Create(UTE.Logger);
PricingStructures = new PricingStructures(logger, UTE.Cache, UTE.NameSpace);
//LpmPublisher = new LpmPublisher(logger, UTE.Cache);
CurveEngine = new CurveEngine(logger.Target, UTE.Cache);
}
public void LoadInterestRateVolCurveWithStrikeTest()
{
CreateStrikeRateVolCurve("AUD", "3M", IrVolInstruments2, IrVolValues2, IrStrikes2);
var curve = CurveEngine.LoadVolatilityCurve(Market, "AUD", "3M", null);
Assert.IsNotNull(curve);
// 3M does exist
Assert.AreEqual("3M", curve.GetPricingStructureId().Properties.GetString("IndexTenor", true));
}
public static void ClassInitialize(TestContext context)
{
UTE = new UnitTestEnvironment();
CurveEngine = new CurveEngine(UTE.Logger, UTE.Cache);
CreateFxCurve("AUD", "USD", AudUsdInstruments, AudUsdValues);
CreateFxCurve("GBP", "USD", GbpUsdInstruments, GbpUsdValues);
CreateFxCurve("USD", "JPY", UsdJpyInstruments, UsdJpyValues);
CreateRateCurve("AUD", "1M", IrInstruments, IrValues);
CreateRateCurve("AUD", "3M", IrInstruments, IrValues);
CreateDiscountCurve("GBP", IrInstruments, IrValues);
CreateBondDiscountCurve("AUD", AudBondInstruments, AudBondValues);
CreateBondCurve("AUD", AudBondForwardInstruments, AudBondForwardValues);
CreateBondFinancingCurve("AUD", AudBondFinancingInstruments, AudBondFinancingValues);
CreateBondFinancingBasisCurve("AUD", AudBondFinancingBasisInstruments, AudBondFinancingBasisValues);
}
private static void CreateDiscountCurve(string currency1, string[] instruments, decimal[] values)
{
NamedValueSet properties = new NamedValueSet();
properties.Set("PricingStructureType", "DiscountCurve");
properties.Set("CreditInstrumentId", "LIBOR");
properties.Set("CreditSeniority", "SENIOR");
properties.Set("CurveName", currency1 + "-LIBOR-SENIOR");
properties.Set("Currency", currency1);
properties.Set("MarketName", Market);
properties.Set("BaseDate", DateTime.Today);
var rateCurve = CurveEngine.CreatePricingStructure(properties, ProcessValues(instruments, values));
string name = rateCurve.GetPricingStructureId().UniqueIdentifier;
Market market = rateCurve.GetMarket();
CurveEngine.SaveCurve(market, name, properties, new TimeSpan(0, 1, 0));
}
private static void CreateRateCurve(string currency1, string indexTenor, string[] instruments, decimal[] values)
{
NamedValueSet properties = new NamedValueSet();
properties.Set("CurveName", "AUD-BBR-BBSW-" + indexTenor);
properties.Set("PricingStructureType", "RateCurve");
properties.Set("Currency", currency1);
properties.Set("IndexTenor", indexTenor);
properties.Set("IndexName", "AUD-BBR-BBSW");
properties.Set("MarketName", Market);
properties.Set("BaseDate", DateTime.Today);
var rateCurve = CurveEngine.CreatePricingStructure(properties, ProcessValues(instruments, values));
string name = rateCurve.GetPricingStructureId().UniqueIdentifier;
Market market = rateCurve.GetMarket();
CurveEngine.SaveCurve(market, name, properties, new TimeSpan(0, 1, 0));
}
private static void CreateFxCurve(string currency1, string currency2, string[] instruments, decimal[] values)
{
NamedValueSet properties = new NamedValueSet();
properties.Set("CurveName", "FxCurve" + currency1 + "-" + currency2);
properties.Set("PricingStructureType", "FxCurve");
properties.Set("Currency", currency1);
properties.Set("Currency2", currency2);
properties.Set("CurrencyPair", currency1 + "-" + currency2);
properties.Set("QuoteBasis", "Currency2PerCurrency1");
properties.Set("MarketName", Market);
properties.Set("BaseDate", DateTime.Today);
var fxCurve = CurveEngine.CreatePricingStructure(properties, ProcessValues(instruments, values));
string name = fxCurve.GetPricingStructureId().UniqueIdentifier;
Market market = fxCurve.GetMarket();
CurveEngine.SaveCurve(market, name, properties, new TimeSpan(0, 1, 0));
}
private static void CreateBondDiscountCurve(string currency1, string[] instruments, decimal[] values)
{
NamedValueSet properties = new NamedValueSet();
properties.Set("PricingStructureType", "BondDiscountCurve");
properties.Set("Currency", currency1);
properties.Set("CreditInstrumentId", "WATC");
properties.Set("CreditSeniority", "SENIOR");
properties.Set("MarketName", Market1);
properties.Set("Algorithm", "LinearZero");
properties.Set("MarketQuote", "YieldToMaturity");
properties.Set("BaseDate", new DateTime(2010, 3, 1));
var bondCurve = CurveEngine.CreatePricingStructure(properties, ProcessValues(instruments, values));
string name = bondCurve.GetPricingStructureId().UniqueIdentifier;
Market market = bondCurve.GetMarket();
CurveEngine.SaveCurve(market, name, properties, new TimeSpan(0, 1, 0));
}
public void LoadInterestRateVolCurveTest()
{
CreateATMRateVolCurve("AUD", "3M", IrVolInstruments, IrVolValues, IrStrikes);
var curve = (CapVolatilityCurve)CurveEngine.LoadVolatilityCurve(Market, "AUD", "3M", null);
Assert.IsNotNull(curve);
// 3M does exist
Assert.AreEqual("3M", curve.GetPricingStructureId().Properties.GetString("IndexTenor", true));
//var baseDate = curve.GetBaseDate();
var expiration = VolatilitySurfaceHelper.GetDimensionValues(curve.GetVolatilityMatrix().dataPoints?.point,
CubeDimension.Expiration);
var volatilities = VolatilitySurfaceHelper.GetDimensionValues(curve.GetVolatilityMatrix().dataPoints?.point,
CubeDimension.Volatility);
var valArray = new List <Decimal>();
foreach (var vol in volatilities)
{
valArray.Add((decimal)vol);
}
var expiryArray = new List <TimeDimension>();
//var valArray = new List<Decimal>();
//Debug.Print(baseDate.ToString(CultureInfo.InvariantCulture));
foreach (var expiry in expiration)
{
//Temporary
if (expiry is TimeDimension timeDimension)
{
expiryArray.Add(timeDimension);
}
//var date = expiry as DateTime? ?? baseDate.AddDays(1);
//expiryArray.Add(date);
//Debug.Print(expiry.ToString());
}
var termPoints = TermPointsFactory.Create(expiryArray, valArray);
var termCurve = new TermCurve {
point = termPoints
};
var output = XmlSerializerHelper.SerializeToString(termCurve);
Debug.Print(output);
}
private static void CreateBondFinancingBasisCurve(string currency1, string[] instruments, decimal[] values)
{
NamedValueSet properties = new NamedValueSet();
properties.Set("PricingStructureType", "BondFinancingBasisCurve");
properties.Set("ReferenceBond", "Govt.WATC.Fixed.7.15/10/2019");
properties.Set("ReferenceCurveUniqueId", "Market." + Market + ".DiscountCurve.GBP-LIBOR-SENIOR");
properties.Set("CurveName", "AUD-GC-SECURED");
properties.Set("Currency", currency1);
properties.Set("BondType", "AGB");
properties.Set("CreditSeniority", "SECURED");
properties.Set("CreditInstrumentId", "GC");
properties.Set("MarketName", Market);
properties.Set("Algorithm", "LinearZero");
properties.Set("MarketQuote", "YieldToMaturity");
properties.Set("BaseDate", new DateTime(2010, 3, 1));
var bondCurve = CurveEngine.CreatePricingStructure(properties, ProcessValues(instruments, values));
string name = bondCurve.GetPricingStructureId().UniqueIdentifier;
Market market = bondCurve.GetMarket();
CurveEngine.SaveCurve(market, name, properties, new TimeSpan(0, 1, 0));
}
public void ProcessItems()
{
int count = Interlocked.Decrement(ref _queuedCalls);
// exit if there are more callbacks following us
//if (count % 10000 == 0)
_loggerRef.Target.LogDebug("ProcessItems: Queued calls remaining: {0}", count);
if (count != 0)
{
return;
}
ICoreItem item = null;
_queuedItems.Locked(queue =>
{
if (queue.Count > 0)
{
item = queue.Dequeue();
}
});
while (item != null)
{
var qas = item.Data as QuotedAssetSet;
if (qas != null)
{
// 1. Get the property values that uniquely identify the curves to refresh.
// This is the process for the workflow request. Alternatively, a direct build of the curve can occur.
//
var nameSpace = item.AppProps.GetValue <string>(EnvironmentProp.NameSpace);
var market = item.AppProps.GetValue <string>(CurveProp.Market);//For real time use Market and not MarketAndDate
var curveType = item.AppProps.GetValue <string>(CurveProp.PricingStructureType);
var curveName = item.AppProps.GetValue <string>(CurveProp.CurveName);
var configIdentifier = FunctionProp.Configuration + ".PricingStructures." + market + "." + curveType + "." + curveName;
var identifier = FunctionProp.Market + "." + market + "." + curveType + "." + curveName;
List <ICoreItem> items = null;
// 2.Check if the dependent curves should be refreshed
//
if (chkBoxDependentCurves.Checked)
{
//Find all the QAS's where the ReferenceCurveName is equal to the curveType.curveName!
var requestProperties = new NamedValueSet();
requestProperties.Set(EnvironmentProp.NameSpace, NameSpace);
requestProperties.Set(CurveProp.Market, market);
requestProperties.Set(EnvironmentProp.Function, FunctionProp.Configuration);
requestProperties.Set(CurveProp.ReferenceCurveName, curveType + '.' + curveName);
IExpression queryExpr = Expr.BoolAND(requestProperties);
_loggerRef.Target.LogDebug("Dependent curve property request set at {0}", DateTime.Now.ToLongTimeString());
items = _cache.LoadItems <Market>(queryExpr);
}
// 3. If the build is a local build then use the curve engine.
//
if (!chkBoxWorkflow.Checked)
{
_loggerRef.Target.LogDebug("Request to build base curve {0} locally at : {1}", identifier,
DateTime.Now.ToLongTimeString());
var curve = CurveEngine.RefreshPricingStructureFromConfiguration(_loggerRef.Target, _cache, nameSpace, configIdentifier, identifier, qas, DateTime.Now, DateTime.Now);
_loggerRef.Target.LogDebug("Built the base curve {0} locally at : {1}", curve,
DateTime.Now.ToLongTimeString());
if (items != null)
{
foreach (var dataItem in items)
{
var spreadCurve = dataItem.Data as Market;
if (spreadCurve == null)
{
continue;
}
//var bootstrap = dataItem.AppProps.GetValue<bool>(CurveProp.BootStrap, false);
//if (!bootstrap) { dataItem.AppProps.Set(CurveProp.BootStrap, true); }
try
{
var curveId = spreadCurve.id;
if (String.IsNullOrEmpty(curveId))
{
curveId = spreadCurve.Items[0].id;
//use yieldCurve.id, CurveGen 1.X compatible
}
dataItem.AppProps.Set(CurveProp.BaseDate, DateTime.Now);
dataItem.AppProps.Set(CurveProp.BuildDateTime, DateTime.Now);
var marketData =
new Pair <PricingStructure, PricingStructureValuation>(spreadCurve.Items[0],
spreadCurve.Items1[0]);
var ps = PricingStructureFactory.Create(_loggerRef.Target, _cache, nameSpace, null, null,
marketData, dataItem.AppProps);
if (ps != null)
{
CurveEngine.SaveCurve(_cache, nameSpace, ps);
}
_loggerRef.Target.LogDebug("Built the spread curve {0} locally at : {1}",
curveId,
DateTime.Now.ToLongTimeString());
}
catch (Exception e)
{
_loggerRef.Target.LogDebug(e.ToString());
}
}
}
}
else
{
// 4. Set the parameters for the work request.
//
var curveGenRequest = new OrdinaryCurveGenRequest
{
NameSpace = nameSpace,
BaseDate = DateTime.Now,
RequestId = Guid.NewGuid().ToString(),
RequesterId = new UserIdentity
{
Name = _cache.ClientInfo.Name,
DisplayName = _cache.ClientInfo.UserFullName
//Name = _clientRef.Target.ClientInfo.Name,
//DisplayName = _clientRef.Target.ClientInfo.UserFullName
},
UseSavedMarketData = true,
ForceGenerateEODCurves = true
};
// 5. Set the base curve in the curve selection for the work request.
//
var curveSelector = new List <CurveSelection>
{
new CurveSelection
{
NameSpace = nameSpace,
MarketName = market,
CurveType = curveType,
CurveName = curveName
}
};
// 6.Include all other dependent curvenames i.e. spread curves.
//
if (items != null)
{
curveSelector.AddRange(from childCurve in items
let spreadCurveType =
childCurve.AppProps.GetValue <string>(
CurveProp.PricingStructureType)
let spreadCurveName =
childCurve.AppProps.GetValue <string>(CurveProp.CurveName)
select new CurveSelection
{
NameSpace = nameSpace,
MarketName = market,
CurveType = spreadCurveType,
CurveName = spreadCurveName
});
}
curveGenRequest.CurveSelector = curveSelector.ToArray();
// 7. Set the actual work request.
//
IWorkContext context = new WorkContext(_loggerRef.Target, _cache, "DEV");
//IWorkContext context = new WorkContext(_loggerRef.Target, _clientRef.Target, "DEV");
_loggerRef.Target.LogDebug("WorkContext set at {0}", DateTime.Now.ToLongTimeString());
using (var workflow = new WFGenerateOrdinaryCurve())
{
workflow.Initialise(context);
WorkflowOutput <HandlerResponse> output = workflow.Execute(curveGenRequest);
WorkflowHelper.ThrowErrors(output.Errors);
foreach (var error in output.Errors)
{
_loggerRef.Target.LogInfo("WorkFlow error: {0} at {1}", error.Message, DateTime.Now.ToLongTimeString());
}
}
_loggerRef.Target.LogDebug("WorkFlow executed at {0}", DateTime.Now.ToLongTimeString());
//item = null;
//_queuedItems.Locked(queue =>
// {
// if (queue.Count > 0)
// item = queue.Dequeue();
// });
}
}
}
}
private void ValueStripMenuItemClick(object sender, EventArgs e)
{
var itemToValue = treeNavigation.SelectedNode?.Tag as ICoreItem;
if (itemToValue == null)
{
return;
}
var schema = itemToValue.AppProps.GetValue <string>(TradeProp.Schema, true);
Trade trade;
if (schema == FpML5R3NameSpaces.ConfirmationSchema)
{
var xml = itemToValue.Text; //XmlSerializerHelper.SerializeToString(itemToValue.Data);
var newxml = xml.Replace("FpML-5/confirmation", "FpML-5/reporting");
trade = XmlSerializerHelper.DeserializeFromString <Trade>(newxml);
}
else
{
trade = XmlSerializerHelper.DeserializeFromString <Trade>(itemToValue.Text);
}
if (trade != null)
{
// the item
var properties = itemToValue.AppProps;
var party1 = properties.GetValue <string>(TradeProp.Party1, true);
var baseParty = comboBoxParty.Text == party1 ? "Party1" : "Party2";
var nameSpace = properties.GetValue <string>(EnvironmentProp.NameSpace, true);
var valuationDate = dateTimePickerValuation.Value;
var market = comboBoxMarket.Items[comboBoxMarket.SelectedIndex].ToString();
var reportingCurrency = comboBoxCurrency.Items[comboBoxCurrency.SelectedIndex].ToString();
//Predefined metrics
var metrics = new List <string> {
"NPV", "Delta0", "Delta1", "LocalCurrencyNPV", "NFV"
};
var requestedMetrics = listBoxMetrics.SelectedItems;
foreach (var metric in requestedMetrics)
{
if (!metrics.Contains(metric.ToString()))
{
metrics.Add(metric.ToString());
}
}
var uniqueTradeId = itemToValue.Name;
var product = trade.Item;
try
{
_loggerRef.Target.LogDebug("Valuing the trade: ." + uniqueTradeId);
var pricer = new TradePricer(_loggerRef.Target, _client, nameSpace, null, trade, itemToValue.AppProps);
//Get the market
var marketEnviroment = CurveEngine.GetMarket(_loggerRef.Target, _client, nameSpace, product, market, reportingCurrency, false);
var controller = TradePricer.CreateInstrumentModelData(metrics, valuationDate, marketEnviroment, reportingCurrency, baseParty);
var assetValuationReport = pricer.Price(controller, ValuationReportType.Full);
_loggerRef.Target.LogDebug("Valued the trade: ." + uniqueTradeId);
var id = uniqueTradeId.Split('.')[uniqueTradeId.Split('.').Length - 1];
//Build the val report properties
var valProperties = properties.Clone();
//Trade type
var tradeType = ProductTypeHelper.TradeTypeHelper(product);
valProperties.Set(ValueProp.PortfolioId, tradeType + "." + id);
valProperties.Set(ValueProp.BaseParty, baseParty);
valProperties.Set(ValueProp.MarketName, market);
valProperties.Set(ValueProp.CalculationDateTime, valuationDate);
valProperties.Set(TradeProp.UniqueIdentifier, null);
//The unique identifier for the valuation report
var valuationIdentifier = new ValuationReportIdentifier(valProperties);
_client.SaveObject(assetValuationReport, nameSpace + "." + valuationIdentifier.UniqueIdentifier, valProperties);
_loggerRef.Target.LogDebug("Valued and saved results for the trade: {0}", uniqueTradeId);
}
catch (Exception excp)
{
MessageBox.Show(excp.ToString(), Resources.CoreViewerForm_ValueStripMenuItemClick_Value_failed, MessageBoxButtons.OK, MessageBoxIcon.Error);
}
}
}
public static void Setup(TestContext context)
{
UTE = new UnitTestEnvironment();
//Set the calendar engine
CurveEngine = new CurveEngine(UTE.Logger, UTE.Cache, UTE.NameSpace);
}
public void LoadInterestRateCurveFailTest()
{
var curve = CurveEngine.LoadInterestRateCurve(Market, "NZD", "3M", null);
Assert.IsNull(curve);
}
