public override SimplePortfolioNode DeserializeImpl(IFudgeFieldContainer msg, IFudgeDeserializer deserializer)
{
return(new SimplePortfolioNode(
UniqueId.Parse(msg.GetString("identifier")), msg.GetString("name"),
deserializer.FromField <IList <PortfolioNode> >(msg.GetByName("subNodes")) ?? new List <PortfolioNode>(),
deserializer.FromField <IList <IPosition> >(msg.GetByName("positions")) ?? new List <IPosition>()));
}
public static ManageableMarketDataSnapshot FromFudgeMsg(IFudgeFieldContainer ffc,
IFudgeDeserializer deserializer)
{
var uidString = ffc.GetString("uniqueId");
UniqueId uid = uidString == null ? null : UniqueId.Parse(uidString);
var surfaceMessage = ffc.GetMessage("volatilitySurfaces");
Dictionary <VolatilitySurfaceKey, ManageableVolatilitySurfaceSnapshot> surfaces;
if (surfaceMessage == null)
{
//Handle old format
surfaces = new Dictionary <VolatilitySurfaceKey, ManageableVolatilitySurfaceSnapshot>();
}
else
{
surfaces = MapBuilder.FromFudgeMsg <VolatilitySurfaceKey, ManageableVolatilitySurfaceSnapshot>(surfaceMessage, deserializer);
}
var manageableMarketDataSnapshot = new ManageableMarketDataSnapshot(
ffc.GetString("basisViewName"),
deserializer.FromField <ManageableUnstructuredMarketDataSnapshot>(ffc.GetByName("globalValues")),
MapBuilder.FromFudgeMsg <YieldCurveKey, ManageableYieldCurveSnapshot>(ffc.GetMessage("yieldCurves"), deserializer),
MapBuilder.FromFudgeMsg <VolatilityCubeKey, ManageableVolatilityCubeSnapshot>(ffc.GetMessage("volatilityCubes"), deserializer),
surfaces,
uid
)
{
Name = ffc.GetString("name")
};
return(manageableMarketDataSnapshot);
}
public override UnorderedCurrencyPair DeserializeImpl(IFudgeFieldContainer msg, IFudgeDeserializer deserializer)
{
Currency ccy1 = Currency.Create(msg.GetString("currency1"));
Currency ccy2 = Currency.Create(msg.GetString("currency2"));
return(new UnorderedCurrencyPair(ccy1, ccy2));
}
public object Deserialize(IFudgeFieldContainer msg, IFudgeDeserializer deserializer)
{
var address = new Address(msg.GetString("line1"),
msg.GetString("line2"),
msg.GetString("zip"));
deserializer.Register(msg, address);
return address;
}
public static VolatilityPoint FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
return(new VolatilityPoint(
new Tenor(ffc.GetString("swapTenor")),
new Tenor(ffc.GetString("optionExpiry")),
ffc.GetDouble("relativeStrike").Value
));
}
public object Deserialize(IFudgeFieldContainer msg, IFudgeDeserializer deserializer)
{
var address = new Address(msg.GetString("line1"),
msg.GetString("line2"),
msg.GetString("zip"));
deserializer.Register(msg, address);
return(address);
}
public static MarketDataValueSpecification FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
var marketDataValueType = EnumBuilder <MarketDataValueType> .Parse(ffc.GetString("type"));
return(new MarketDataValueSpecification(
marketDataValueType,
UniqueId.Parse(ffc.GetString("uniqueId"))
));
}
public static SABRFittedSurfaces FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
return(new SABRFittedSurfaces(
deserializer.FromField <InterpolatedDoublesSurface>(ffc.GetByName("AlphaSurface")),
deserializer.FromField <InterpolatedDoublesSurface>(ffc.GetByName("BetaSurface")),
deserializer.FromField <InterpolatedDoublesSurface>(ffc.GetByName("NuSurface")),
deserializer.FromField <InterpolatedDoublesSurface>(ffc.GetByName("RhoSurface")),
Currency.Create(ffc.GetString("Currency")),
ffc.GetString("DayCountName")
));
}
public static SecurityDocument FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
DateTimeOffset versionToInstant;
DateTimeOffset correctionFromInstant;
DateTimeOffset correctionToInstant;
DateTimeOffset versionFromInstant = GetDocumentValues(ffc, out versionToInstant, out correctionFromInstant, out correctionToInstant);
var uid = (ffc.GetString("uniqueId") != null) ? UniqueId.Parse(ffc.GetString("uniqueId")) : deserializer.FromField <UniqueId>(ffc.GetByName("uniqueId"));
var security = deserializer.FromField <ISecurity>(ffc.GetByName("security"));
return(new SecurityDocument(uid, security, versionFromInstant, versionToInstant, correctionFromInstant, correctionToInstant));
}
public static MarketDataSnapshotDocument FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
DateTimeOffset versionToInstant;
DateTimeOffset correctionFromInstant;
DateTimeOffset correctionToInstant;
DateTimeOffset versionFromInstant = GetDocumentValues(ffc, out versionToInstant, out correctionFromInstant, out correctionToInstant);
var uid = (ffc.GetString("uniqueId") != null) ? UniqueId.Parse(ffc.GetString("uniqueId")) : deserializer.FromField <UniqueId>(ffc.GetByName("uniqueId"));
var snapshot = deserializer.FromField <ManageableMarketDataSnapshot>(ffc.GetByName("snapshot"));
return(new MarketDataSnapshotDocument(uid, snapshot, versionFromInstant, versionToInstant, correctionFromInstant, correctionToInstant));
}
public static MarketDataSnapshotDocument FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
DateTimeOffset versionToInstant;
DateTimeOffset correctionFromInstant;
DateTimeOffset correctionToInstant;
DateTimeOffset versionFromInstant = GetDocumentValues(ffc, out versionToInstant, out correctionFromInstant, out correctionToInstant);
var uid = (ffc.GetString("uniqueId") != null) ? UniqueId.Parse(ffc.GetString("uniqueId")) : deserializer.FromField<UniqueId>(ffc.GetByName("uniqueId"));
var snapshot = deserializer.FromField<ManageableMarketDataSnapshot>(ffc.GetByName("snapshot"));
return new MarketDataSnapshotDocument(uid, snapshot, versionFromInstant, versionToInstant, correctionFromInstant, correctionToInstant);
}
public static SecurityDocument FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
DateTimeOffset versionToInstant;
DateTimeOffset correctionFromInstant;
DateTimeOffset correctionToInstant;
DateTimeOffset versionFromInstant = GetDocumentValues(ffc, out versionToInstant, out correctionFromInstant, out correctionToInstant);
var uid = (ffc.GetString("uniqueId") != null) ? UniqueId.Parse(ffc.GetString("uniqueId")) : deserializer.FromField<UniqueId>(ffc.GetByName("uniqueId"));
var security = deserializer.FromField<ISecurity>(ffc.GetByName("security"));
return new SecurityDocument(uid, security, versionFromInstant, versionToInstant, correctionFromInstant, correctionToInstant);
}
public override PortfolioDocument DeserializeImpl(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
DateTimeOffset versionToInstant;
DateTimeOffset correctionFromInstant;
DateTimeOffset correctionToInstant;
DateTimeOffset versionFromInstant = AbstractDocument.GetDocumentValues(ffc, out versionToInstant, out correctionFromInstant, out correctionToInstant);
var uid = (ffc.GetString("uniqueId") != null) ? UniqueId.Parse(ffc.GetString("uniqueId")) : deserializer.FromField <UniqueId>(ffc.GetByName("uniqueId"));
var portfolio = deserializer.FromField <ManageablePortfolio>(ffc.GetByName("portfolio"));
return(new PortfolioDocument(versionFromInstant, versionToInstant, correctionFromInstant, correctionToInstant, uid, portfolio));
}
public static YieldCurveDefinitionDocument FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
DateTimeOffset versionToInstant;
DateTimeOffset correctionFromInstant;
DateTimeOffset correctionToInstant;
DateTimeOffset versionFromInstant = GetDocumentValues(ffc, out versionToInstant, out correctionFromInstant, out correctionToInstant);
var uid = (ffc.GetString("uniqueId") != null) ? UniqueId.Parse(ffc.GetString("uniqueId")) : deserializer.FromField<UniqueId>(ffc.GetByName("uniqueId"));
var definition = deserializer.FromField<YieldCurveDefinition>(ffc.GetByName("yieldCurveDefinition"));
return new YieldCurveDefinitionDocument(versionFromInstant, versionToInstant, correctionFromInstant, correctionToInstant) { YieldCurveDefinition = definition, UniqueId = uid};
}
public static InterpolatedYieldCurveSpecification FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
var curveDate = ffc.GetValue <DateTimeOffset>("curveDate");
string name = ffc.GetString("name");
var currency = ffc.GetValue <Currency>("currency");
var region = ExternalId.Parse(ffc.GetString("region"));
var resolvedStripFields = ffc.GetAllByName("resolvedStrips");
var resolvedStrips = resolvedStripFields.Select(deserializer.FromField <FixedIncomeStripWithIdentifier>)
.ToList();
return(new InterpolatedYieldCurveSpecification(curveDate, name, currency, resolvedStrips, region));
}
public static ChangeEvent FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
var changeType = EnumBuilder<ChangeType>.Parse(ffc.GetMessage("type").GetString(1));
var beforeField = ffc.GetString("beforeId");
var beforeId = beforeField == null ? null : UniqueId.Parse(beforeField);
var afterField = ffc.GetString("afterId");
var afterId = afterField == null ? null : UniqueId.Parse(afterField);
var versionField = ffc.GetByName("versionInstant");
var versionInstant = (FudgeDateTime) versionField.Value;
return new ChangeEvent(changeType,
beforeId,
afterId,
new Instant(versionInstant));
}
public override ITrade DeserializeImpl(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
//TODO: the rest of this
var uniqueIdentifier = UniqueId.Parse(ffc.GetString("uniqueId"));
var tradeDate = ffc.GetValue <DateTimeOffset>("tradeDate");
var securityKey = deserializer.FromField <ExternalIdBundle>(ffc.GetByName("securityKey"));
var counterPartyIdentifier = ExternalId.Parse(ffc.GetString("counterpartyKey") ?? ffc.GetString("counterparty")); //NOTE: this is a hack because we don't use proto yet
var quant = ffc.GetValue <string>("quantity");
return(new SimpleTrade(uniqueIdentifier, tradeDate, securityKey, new CounterpartyImpl(counterPartyIdentifier), decimal.Parse(quant)));
}
public static FixedIncomeStripWithSecurity FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
var originalstrip = deserializer.FromField<FixedIncomeStrip>(ffc.GetByName("strip"));
var resolvedTenor = new Tenor(ffc.GetString("resolvedTenor"));
DateTimeOffset maturity = GetDateTime(ffc.GetByName("maturity"));
ExternalId securityIdentifier = ExternalId.Parse(ffc.GetString("identifier"));
var security = deserializer.FromField<ISecurity>(ffc.GetByName("security"));
return new FixedIncomeStripWithSecurity(originalstrip,
resolvedTenor,
maturity,
securityIdentifier,
security
);
}
public static FixedIncomeStripWithSecurity FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
var originalstrip = deserializer.FromField <FixedIncomeStrip>(ffc.GetByName("strip"));
var resolvedTenor = new Tenor(ffc.GetString("resolvedTenor"));
DateTimeOffset maturity = GetDateTime(ffc.GetByName("maturity"));
ExternalId securityIdentifier = ExternalId.Parse(ffc.GetString("identifier"));
var security = deserializer.FromField <ISecurity>(ffc.GetByName("security"));
return(new FixedIncomeStripWithSecurity(originalstrip,
resolvedTenor,
maturity,
securityIdentifier,
security
));
}
public static YieldCurveDefinitionDocument FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
DateTimeOffset versionToInstant;
DateTimeOffset correctionFromInstant;
DateTimeOffset correctionToInstant;
DateTimeOffset versionFromInstant = GetDocumentValues(ffc, out versionToInstant, out correctionFromInstant, out correctionToInstant);
var uid = (ffc.GetString("uniqueId") != null) ? UniqueId.Parse(ffc.GetString("uniqueId")) : deserializer.FromField <UniqueId>(ffc.GetByName("uniqueId"));
var definition = deserializer.FromField <YieldCurveDefinition>(ffc.GetByName("yieldCurveDefinition"));
return(new YieldCurveDefinitionDocument(versionFromInstant, versionToInstant, correctionFromInstant, correctionToInstant)
{
YieldCurveDefinition = definition, UniqueId = uid
});
}
public static ViewDefinition FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
var name = ffc.GetValue <string>("name");
var uniqueIdString = ffc.GetString("uniqueId");
var uniqueId = uniqueIdString == null ? null : UniqueId.Parse(uniqueIdString);
var resultModelDefinition = deserializer.FromField <ResultModelDefinition>(ffc.GetByName("resultModelDefinition"));
UniqueId portfolioIdentifier = ValueRequirement.GetUniqueIdentifier(ffc, deserializer, "identifier");
var user = deserializer.FromField <UserPrincipal>(ffc.GetByName("user"));
var currency = ffc.GetValue <Currency>("currency");
var minDeltaCalcPeriod = ReadNullableTimeSpanField(ffc, "minDeltaCalcPeriod");
var maxDeltaCalcPeriod = ReadNullableTimeSpanField(ffc, "maxDeltaCalcPeriod");
var minFullCalcPeriod = ReadNullableTimeSpanField(ffc, "fullDeltaCalcPeriod");
var maxFullCalcPeriod = ReadNullableTimeSpanField(ffc, "maxFullCalcPeriod");
var calculationConfigurationsByName = ffc.GetAllByName("calculationConfiguration")
.Select(deserializer.FromField <ViewCalculationConfiguration>)
.ToDictionary(vcc => vcc.Name);
return(new ViewDefinition(name, resultModelDefinition, portfolioIdentifier, user, currency, minDeltaCalcPeriod, maxDeltaCalcPeriod, minFullCalcPeriod, maxFullCalcPeriod, calculationConfigurationsByName, uniqueId));
}
public static ConstantDoublesSurface FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
double z = ffc.GetDouble("z value").Value;
string name = ffc.GetString("surface name");
return(new ConstantDoublesSurface(z, name));
}
private static UniqueId GetUniqueId(IFudgeFieldContainer msg, string fieldName)
{
//TODO: remove this once PLAT-1683 is fixed
var uidStr = msg.GetString(fieldName);
return(uidStr == string.Empty ? null : UniqueId.Parse(uidStr));
}
public static ChangeEvent FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
var changeType = EnumBuilder <ChangeType> .Parse(ffc.GetMessage("type").GetString(1));
var beforeField = ffc.GetString("beforeId");
var beforeId = beforeField == null ? null : UniqueId.Parse(beforeField);
var afterField = ffc.GetString("afterId");
var afterId = afterField == null ? null : UniqueId.Parse(afterField);
var versionField = ffc.GetByName("versionInstant");
var versionInstant = (FudgeDateTime)versionField.Value;
return(new ChangeEvent(changeType,
beforeId,
afterId,
new Instant(versionInstant)));
}
public object Deserialize(IFudgeFieldContainer msg, IFudgeDeserializer deserializer)
{
var deserialize = Enum.Parse(typeof(SurrogateEnumTest), msg.GetString(1));
deserializer.Register(msg, deserialize);
return(deserialize);
}
public override CompiledViewCalculationConfigurationImpl DeserializeImpl(IFudgeFieldContainer msg, IFudgeDeserializer deserializer)
{
string name = msg.GetString("name");
Dictionary <ValueRequirement, ValueSpecification> marketDataRequirements = MapBuilder.FromFudgeMsg <ValueRequirement, ValueSpecification>(msg.GetMessage("marketDataRequirements"), deserializer);
var computationTargets = new HashSet <ComputationTargetSpecification>(msg.GetMessage("computationTargets").GetAllByOrdinal(1).Select(deserializer.FromField <ComputationTargetSpecification>));
IFudgeFieldContainer specMessage = msg.GetMessage("terminalOutputSpecifications");
Dictionary <ValueSpecification, HashSet <ValueRequirement> > terminalOutputSpecifications = MapBuilder.FromFudgeMsg(specMessage, deserializer.FromField <ValueSpecification>, f => GetRequirementSet(f, deserializer));
return(new CompiledViewCalculationConfigurationImpl(name, marketDataRequirements, computationTargets, terminalOutputSpecifications));
}
public override DependencyNode DeserializeImpl(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
var target = deserializer.FromField <ComputationTarget>(ffc.GetByName("target"));
string parameterizedFunctionUniqueId = ffc.GetString("parameterizedFunctionUniqueId");
var functionParametersField = ffc.GetByName("functionParameters");
var functionParameters = functionParametersField != null?deserializer.FromField <IFunctionParameters>(functionParametersField) : null;
string functionShortName = ffc.GetString("functionShortName");
string functionUniqueId = ffc.GetString("functionUniqueId");
ICompiledFunctionDefinition function = new CompiledFunctionDefinitionStub(target.Type, functionShortName, functionUniqueId);
var parameterizedFunction = new ParameterizedFunction(function, functionParameters, parameterizedFunctionUniqueId);
var inputValues = DeserializeSet <ValueSpecification>(deserializer, ffc, "inputValues");
var outputValues = DeserializeSet <ValueSpecification>(deserializer, ffc, "outputValues");
var terminalOutputValues = DeserializeSet <ValueSpecification>(deserializer, ffc, "terminalOutputValues");
return(new DependencyNode(target, inputValues, outputValues, terminalOutputValues, parameterizedFunction));
}
public static SABRFittedSurfaces FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
return new SABRFittedSurfaces(
deserializer.FromField<InterpolatedDoublesSurface>(ffc.GetByName("AlphaSurface")),
deserializer.FromField<InterpolatedDoublesSurface>(ffc.GetByName("BetaSurface")),
deserializer.FromField<InterpolatedDoublesSurface>(ffc.GetByName("NuSurface")),
deserializer.FromField<InterpolatedDoublesSurface>(ffc.GetByName("RhoSurface")),
Currency.Create(ffc.GetString("Currency")),
ffc.GetString("DayCountName")
);
}
public void Deserialize(IFudgeFieldContainer msg, IFudgeDeserializer deserializer)
{
Ticker = msg.GetString("ticker");
Bid = msg.GetDouble("bid") ?? 0.0;
Offer = msg.GetDouble("offer") ?? 0.0;
}
public static FixedIncomeStripWithIdentifier FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
return new FixedIncomeStripWithIdentifier(ExternalId.Parse(ffc.GetString("identifier")), deserializer.FromField<FixedIncomeStrip>(ffc.GetByName("strip")));
}
public static InterpolatedYieldCurveSpecification FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
var curveDate = ffc.GetValue<DateTimeOffset>("curveDate");
string name = ffc.GetString("name");
var currency = ffc.GetValue<Currency>("currency");
var region = ExternalId.Parse(ffc.GetString("region"));
var resolvedStripFields = ffc.GetAllByName("resolvedStrips");
var resolvedStrips = resolvedStripFields.Select(deserializer.FromField<FixedIncomeStripWithIdentifier>)
.ToList();
return new InterpolatedYieldCurveSpecification(curveDate, name, currency, resolvedStrips, region);
}
public static DateTimeNumericEncoding FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
string value = ffc.GetString(1);
return(Build(value));
}
public static DateTimeNumericEncoding FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
string value = ffc.GetString(1);
return Build(value);
}
public override TMatrix DeserializeImpl(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
string labelsTitle = ffc.GetString("labelsTitle");
string valuesTitle = ffc.GetString("valuesTitle");
var msg = ffc.GetMessage(MatrixField);
var labelTypes = new Queue <string>();
var labelValues = new Queue <IFudgeField>();
IList <TKey> keys = new List <TKey>();
IList <object> labels = new List <object>();
IList <double> values = new List <double>();
foreach (IFudgeField field in msg)
{
switch (field.Ordinal)
{
case LabelTypeOrdinal:
labelTypes.Enqueue((string)field.Value);
break;
case KeyOrdinal:
TKey key = GetKey(field);
keys.Add(key);
break;
case LabelOrdinal:
labelValues.Enqueue(field);
break;
case ValueOrdinal:
values.Add((double)field.Value);
break;
}
if (labelTypes.Count != 0 && labelValues.Count != 0)
{
// Have a type and a value, which can be consumed
string labelTypeName = labelTypes.Dequeue();
IFudgeField labelValue = labelValues.Dequeue();
switch (labelTypeName)
{
case "java.lang.String":
var value = (string)labelValue.Value;
labels.Add(value);
break;
case "com.opengamma.util.time.Tenor":
//TODO DOTNET-14 this is serialized as a string here
string period = (string)labelValue.Value;
labels.Add(new Tenor(period));
break;
case "com.opengamma.util.money.Currency":
string iso = (string)labelValue.Value;
labels.Add(Currency.Create(iso));
break;
case "com.opengamma.id.ExternalId":
string str = (string)labelValue.Value;
labels.Add(ExternalId.Parse(str));
break;
default:
//TODO work out whether this is right (and fast enough) in the general case
var typeMapper =
(IFudgeTypeMappingStrategy)
Context.GetProperty(ContextProperties.TypeMappingStrategyProperty);
Type labelType = typeMapper.GetType(labelTypeName);
object label = deserializer.FromField(labelValue, labelType);
labels.Add(label);
break;
}
}
}
var constructorInfo = typeof(TMatrix).GetConstructor(new[]
{
typeof(IList <TKey>),
typeof(IList <object>), //TODO type up this (if the java side does)
typeof(IList <double>),
typeof(string),
typeof(string),
});
return((TMatrix)constructorInfo.Invoke(new object[] { keys, labels, values, labelsTitle, valuesTitle }));
}
public override ManageablePortfolio DeserializeImpl(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
return(new ManageablePortfolio(ffc.GetString("name"), UniqueId.Parse(ffc.GetString("uniqueId"))));
}
public object Deserialize(IFudgeFieldContainer msg, IFudgeDeserializer deserializer)
{
var deserialize = Enum.Parse(typeof (SurrogateEnumTest), msg.GetString(1));
deserializer.Register(msg, deserialize);
return deserialize;
}
public static ConstantDoublesSurface FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
double z = ffc.GetDouble("z value").Value;
string name = ffc.GetString("surface name");
return new ConstantDoublesSurface(z, name);
}
public static ViewDefinition FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
var name = ffc.GetValue<string>("name");
var uniqueIdString = ffc.GetString("uniqueId");
var uniqueId = uniqueIdString == null ? null : UniqueId.Parse(uniqueIdString);
var resultModelDefinition = deserializer.FromField<ResultModelDefinition>(ffc.GetByName("resultModelDefinition"));
UniqueId portfolioIdentifier = ValueRequirement.GetUniqueIdentifier(ffc, deserializer, "identifier");
var user = deserializer.FromField<UserPrincipal>(ffc.GetByName("user"));
var currency = ffc.GetValue<Currency>("currency");
var minDeltaCalcPeriod = ReadNullableTimeSpanField(ffc, "minDeltaCalcPeriod");
var maxDeltaCalcPeriod = ReadNullableTimeSpanField(ffc, "maxDeltaCalcPeriod");
var minFullCalcPeriod = ReadNullableTimeSpanField(ffc, "fullDeltaCalcPeriod");
var maxFullCalcPeriod = ReadNullableTimeSpanField(ffc, "maxFullCalcPeriod");
var calculationConfigurationsByName = ffc.GetAllByName("calculationConfiguration")
.Select(deserializer.FromField<ViewCalculationConfiguration>)
.ToDictionary(vcc => vcc.Name);
return new ViewDefinition(name, resultModelDefinition, portfolioIdentifier, user, currency, minDeltaCalcPeriod, maxDeltaCalcPeriod, minFullCalcPeriod, maxFullCalcPeriod, calculationConfigurationsByName, uniqueId);
}
public override object DeserializeImpl(IFudgeFieldContainer msg, IFudgeDeserializer deserializer)
{
return(Parse(msg.GetString(1)));
}
public override IPortfolio DeserializeImpl(IFudgeFieldContainer msg, IFudgeDeserializer deserializer)
{
return(new SimplePortfolio(deserializer.FromField <PortfolioNode>(msg.GetByName("root")), UniqueId.Parse(msg.GetString("identifier")), msg.GetString("name")));
}
public static LocalDate FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
return(new LocalDate(DateTime.Parse(ffc.GetString("date"))));
}
public static LocalDateEpochDaysConverter FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
return new LocalDateEpochDaysConverter(ffc.GetString(1));
}
public static VolatilitySurfaceKey FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
return(new VolatilitySurfaceKey(UniqueId.Parse(ffc.GetString("target")), ffc.GetString("name"), ffc.GetString("instrumentType"), ffc.GetString("quoteType"), ffc.GetString("quoteUnits")));
}
protected static string GetName(IFudgeFieldContainer ffc)
{
return ffc.GetString("name") ?? ffc.GetString("curve name");
}
public void Deserialize(IFudgeFieldContainer msg, IFudgeDeserializer deserializer)
{
Ticker = msg.GetString("ticker");
Bid = msg.GetDouble("bid") ?? 0.0;
Offer = msg.GetDouble("offer") ?? 0.0;
}
public static VolatilityCubeKey FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
return(new VolatilityCubeKey(ffc.GetValue <Currency>("currency"), ffc.GetString("name")));
}