public void PartPredeliverForexTrade()
{
#region Arrange
var ccyAUD = ObjectSpace.FindObject <Currency>(CriteriaOperator.Parse("Name = ?", "AUD"));
var ccyUSD = ObjectSpace.FindObject <Currency>(CriteriaOperator.Parse("Name = ?", "USD"));
// create counterparty
var fxCounterparty = ObjectSpace.CreateObject <ForexCounterparty>();
fxCounterparty.Name = "ANZ";
var counterparty = ObjectSpace.FindObject <Counterparty>(CriteriaOperator.Parse("Name = ?", "ANZ"));
if (counterparty == null)
{
counterparty = ObjectSpace.CreateObject <Counterparty>();
counterparty.Name = "ANZ";
}
fxCounterparty.CashFlowCounterparty = counterparty;
// create accounts
var usdAccount = ObjectSpace.CreateObject <Account>();
usdAccount.Name = "VHA ANZ USD";
usdAccount.Currency = ccyUSD;
var audAccount = ObjectSpace.CreateObject <Account>();
audAccount.Name = "VHA ANZ AUD";
audAccount.Currency = ccyAUD;
// create standard settlement accounts
var usdSsa = ObjectSpace.CreateObject <ForexStdSettleAccount>();
usdSsa.Account = usdAccount;
usdSsa.Counterparty = fxCounterparty;
usdSsa.Currency = ccyUSD;
var audSsa = ObjectSpace.CreateObject <ForexStdSettleAccount>();
audSsa.Account = audAccount;
audSsa.Counterparty = fxCounterparty;
audSsa.Currency = ccyAUD;
// create forex trade 1
var ft1 = ObjectSpace.CreateObject <ForexTrade>();
ft1.CalculateEnabled = true;
ft1.ValueDate = new DateTime(2013, 12, 31);
ft1.PrimaryCcy = ccyAUD;
ft1.CounterCcy = ccyUSD;
ft1.CounterSettleAccount = usdAccount;
ft1.PrimarySettleAccount = audAccount;
ft1.Rate = 0.9M;
ft1.CounterCcyAmt = 1000;
ft1.Counterparty = fxCounterparty;
ObjectSpace.CommitChanges();
#endregion
#region Act
// define values
const decimal pdCounterCcyAmt1 = 500;
DateTime pdValueDate1 = new DateTime(2013, 11, 30);
decimal pdRate1 = 0.92M;
decimal pdPrimaryCcyAmt1 = Math.Round(pdCounterCcyAmt1 / pdRate1, 2);
// assign values to new forex trade
ForexTrade newFt = ForexTradeLogic.Initialize(ft1);
newFt.CounterCcyAmt = pdCounterCcyAmt1;
newFt.ValueDate = pdValueDate1;
newFt.Rate = pdRate1;
newFt.PrimaryCcyAmt = newFt.CounterCcyAmt / newFt.Rate;
ForexTradeLogic.UpdateReverseForexTrade(newFt); //HACK
ObjectSpace.CommitChanges();
var uploader = new ForexToCashFlowUploader(ObjectSpace);
uploader.Process();
ObjectSpace.Refresh();
ft1 = ObjectSpace.GetObjectByKey <ForexTrade>(ft1.Oid);
newFt = ObjectSpace.GetObjectByKey <ForexTrade>(newFt.Oid);
#endregion
#region Assert
// Assert predelivery object values
Assert.AreEqual(ft1, newFt.OrigTrade);
Assert.AreEqual(pdCounterCcyAmt1, newFt.CounterCcyAmt);
Assert.AreEqual(pdRate1, newFt.Rate);
Assert.AreEqual(Math.Round(pdPrimaryCcyAmt1, 2), Math.Round(newFt.PrimaryCcyAmt, 2));
Assert.AreEqual(pdValueDate1, newFt.ValueDate);
Assert.AreEqual(Math.Round(-pdCounterCcyAmt1, 2), Math.Round(newFt.ReverseTrade.CounterCcyAmt, 2));
Assert.AreEqual(ft1.Rate, newFt.ReverseTrade.Rate);
Assert.AreEqual(Math.Round(-pdCounterCcyAmt1 / ft1.Rate, 2), Math.Round(newFt.ReverseTrade.PrimaryCcyAmt, 2));
// Assert cashflow object values
var cfs2 = ObjectSpace.GetObjects <CashFlow>();
var couCf2 = cfs2.FirstOrDefault(x => x == newFt.CounterCashFlow);
var priCf2 = cfs2.FirstOrDefault(x => x == newFt.PrimaryCashFlow);
Assert.AreEqual(pdPrimaryCcyAmt1, couCf2.FunctionalCcyAmt);
Assert.AreEqual(-pdPrimaryCcyAmt1, priCf2.FunctionalCcyAmt);
#endregion
}
public void UploadForexTradeToCashFlow2()
{
#region Create Forex objects
// Currencies
var ccyAUD = ObjectSpace.FindObject <Currency>(CriteriaOperator.Parse("Name = ?", "AUD"));
var ccyUSD = ObjectSpace.FindObject <Currency>(CriteriaOperator.Parse("Name = ?", "USD"));
// Forex Rates
var rate = ObjectSpace.CreateObject <ForexRate>();
rate.ConversionDate = new DateTime(2013, 11, 01);
rate.FromCurrency = ccyAUD;
rate.ToCurrency = ccyUSD;
rate.ConversionRate = 0.9M;
rate.Save();
ObjectSpace.CommitChanges();
#endregion
#region Create Lookup Objects
var priAccount = ObjectSpace.CreateObject <Account>();
priAccount.Name = "VHA ANZ 70086";
priAccount.Currency = ccyAUD;
var couAccount = ObjectSpace.CreateObject <Account>();
couAccount.Name = "VHA ANZ USD";
couAccount.Currency = ccyUSD;
var outActivity = ObjectSpace.CreateObject <Activity>();
outActivity.Name = "AP Pymt";
var outCounterparty = ObjectSpace.CreateObject <Counterparty>();
outCounterparty.Name = "UNDEFINED";
var inCounterparty = ObjectSpace.CreateObject <Counterparty>();
inCounterparty.Name = "ANZ";
var forexCounterparty = ObjectSpace.CreateObject <ForexCounterparty>();
forexCounterparty.Name = "ANZ";
forexCounterparty.CashFlowCounterparty = inCounterparty;
#endregion
#region Create Forex Trades
var ft1 = ObjectSpace.CreateObject <ForexTrade>();
ft1.ValueDate = new DateTime(2013, 11, 16);
ft1.Counterparty = forexCounterparty;
ft1.PrimarySettleAccount = priAccount;
ft1.CounterSettleAccount = couAccount;
ft1.PrimaryCcy = ccyAUD;
ft1.CounterCcy = ccyUSD;
ft1.Rate = 0.95M;
ft1.CounterCcyAmt = 100;
ft1.SettleGroupId = 1;
var ft2 = ObjectSpace.CreateObject <ForexTrade>();
ft2.ValueDate = new DateTime(2013, 11, 30);
ft2.Counterparty = forexCounterparty;
ft2.PrimarySettleAccount = priAccount;
ft2.CounterSettleAccount = couAccount;
ft2.PrimaryCcy = ccyAUD;
ft2.CounterCcy = ccyUSD;
ft2.Rate = 0.99M;
ft2.CounterCcyAmt = 50;
ft2.SettleGroupId = 2;
var ft3 = ObjectSpace.CreateObject <ForexTrade>();
ft3.ValueDate = new DateTime(2013, 11, 30);
ft3.Counterparty = forexCounterparty;
ft3.PrimarySettleAccount = priAccount;
ft3.CounterSettleAccount = couAccount;
ft3.PrimaryCcy = ccyAUD;
ft3.CounterCcy = ccyUSD;
ft3.Rate = 0.87M;
ft3.CounterCcyAmt = 30;
ft3.SettleGroupId = 3;
ObjectSpace.CommitChanges();
#endregion
#region Act
var uploader = new ForexToCashFlowUploader(ObjectSpace);
uploader.Process();
#endregion
#region Assert
var fts = ObjectSpace.GetObjects <ForexTrade>();
var cashFlows = ObjectSpace.GetObjects <CashFlow>();
Assert.AreEqual(6, cashFlows.Count);
Assert.AreEqual(0, Math.Round(cashFlows.Sum(x => x.FunctionalCcyAmt), 2));
var cfAUD = cashFlows.Where(c => c.Account.Name == priAccount.Name);
Assert.AreEqual(fts.Sum(f => f.PrimaryCcyAmt), -cfAUD.Sum(c => c.FunctionalCcyAmt));
var cfUSD = cashFlows.Where(c => c.Account.Name == couAccount.Name);
Assert.AreEqual(fts.Sum(f => f.CounterCcyAmt), cfUSD.Sum(c => c.CounterCcyAmt));
#endregion
}
public void UploadForexTradeToCashFlow()
{
#region Arrange
var ccyAUD = ObjectSpace.FindObject <Currency>(CriteriaOperator.Parse("Name = ?", "AUD"));
var ccyUSD = ObjectSpace.FindObject <Currency>(CriteriaOperator.Parse("Name = ?", "USD"));
// create counterparty
var fxCounterparty = ObjectSpace.CreateObject <ForexCounterparty>();
fxCounterparty.Name = "ANZ";
var counterparty = ObjectSpace.FindObject <Counterparty>(CriteriaOperator.Parse("Name = ?", "ANZ"));
if (counterparty == null)
{
counterparty = ObjectSpace.CreateObject <Counterparty>();
counterparty.Name = "ANZ";
}
fxCounterparty.CashFlowCounterparty = counterparty;
// create accounts
var usdAccount = ObjectSpace.CreateObject <Account>();
usdAccount.Name = "VHA ANZ USD";
usdAccount.Currency = ccyUSD;
var audAccount = ObjectSpace.CreateObject <Account>();
audAccount.Name = "VHA ANZ AUD";
audAccount.Currency = ccyAUD;
// create standard settlement accounts
var usdSsa = ObjectSpace.CreateObject <ForexStdSettleAccount>();
usdSsa.Account = usdAccount;
usdSsa.Counterparty = fxCounterparty;
usdSsa.Currency = ccyUSD;
var audSsa = ObjectSpace.CreateObject <ForexStdSettleAccount>();
audSsa.Account = audAccount;
audSsa.Counterparty = fxCounterparty;
audSsa.Currency = ccyAUD;
ObjectSpace.CommitChanges();
#endregion
#region Act
// create forex trade 1
var ft1 = ObjectSpace.CreateObject <ForexTrade>();
ft1.CalculateEnabled = true;
ft1.SettleGroupId = 1;
ft1.ValueDate = new DateTime(2013, 12, 31);
ft1.PrimaryCcy = ccyAUD;
ft1.CounterCcy = ccyUSD;
ft1.Rate = 0.9M;
ft1.CounterCcyAmt = 1000;
ft1.Counterparty = fxCounterparty;
// create forex trade 2
var ft2 = ObjectSpace.CreateObject <ForexTrade>();
ft2.CalculateEnabled = true;
ft2.SettleGroupId = 1;
ft2.ValueDate = new DateTime(2013, 12, 31);
ft2.PrimaryCcy = ccyAUD;
ft2.CounterCcy = ccyUSD;
ft2.Rate = 0.95M;
ft2.CounterCcyAmt = 2000;
ft2.Counterparty = fxCounterparty;
ft2.CounterSettleAccount = usdAccount;
ft2.PrimarySettleAccount = audAccount;
ObjectSpace.CommitChanges();
var uploader = new ForexToCashFlowUploader(ObjectSpace);
uploader.Process();
ObjectSpace.Refresh();
ft1 = ObjectSpace.GetObjectByKey <ForexTrade>(ft1.Oid);
ft2 = ObjectSpace.GetObjectByKey <ForexTrade>(ft2.Oid);
usdAccount = ObjectSpace.GetObjectByKey <Account>(usdAccount.Oid);
audAccount = ObjectSpace.GetObjectByKey <Account>(audAccount.Oid);
#endregion
#region Assert
Assert.AreEqual(ft1.PrimaryCashFlow, ft2.PrimaryCashFlow);
Assert.AreEqual(ft1.CounterCashFlow, ft2.CounterCashFlow);
Assert.AreEqual(audAccount.Oid, ft1.PrimarySettleAccount.Oid);
Assert.AreEqual(usdAccount.Oid, ft1.CounterSettleAccount.Oid);
decimal targetPrimaryCcyAmt = Math.Round(1000 / 0.9M, 2);
Assert.AreEqual(targetPrimaryCcyAmt, ft1.PrimaryCcyAmt);
var cashFlows = ObjectSpace.GetObjects <CashFlow>();
var priCf1 = cashFlows.FirstOrDefault(x => x.Oid == ft1.PrimaryCashFlow.Oid);
Assert.AreEqual(-ft1.PrimaryCcyAmt - ft2.PrimaryCcyAmt, priCf1.AccountCcyAmt);
Assert.AreEqual(-ft1.PrimaryCcyAmt - ft2.PrimaryCcyAmt, priCf1.FunctionalCcyAmt);
Assert.AreEqual(-ft1.CounterCcyAmt - ft2.CounterCcyAmt, priCf1.CounterCcyAmt);
Assert.AreEqual("USD", priCf1.CounterCcy.Name);
var couCf1 = cashFlows.FirstOrDefault(x => x.Oid == ft1.CounterCashFlow.Oid);
Assert.AreEqual(ft1.CounterCcyAmt + ft2.CounterCcyAmt, couCf1.CounterCcyAmt);
Assert.AreEqual(ft1.PrimaryCcyAmt + ft2.PrimaryCcyAmt, couCf1.FunctionalCcyAmt);
Assert.AreEqual(ft1.CounterCcyAmt + ft2.CounterCcyAmt, couCf1.CounterCcyAmt);
Assert.AreEqual("USD", couCf1.CounterCcy.Name);
#endregion
}
