/// <summary>
/// Initializes a new instance of the <see cref="PriceableSimpleOptionAsset"/> class.
/// </summary>
/// <param name="cache">The cache.</param>
/// <param name="logger">The logger.</param>
/// <param name="nameSpace">The client namespace</param>
/// <param name="baseDate">The base date.</param>
/// <param name="expiryTenor">The expiry tenor.</param>
/// <param name="underlyingAssetIdentifier">The underlying asset.</param>
/// <param name="strike">The strike.</param>
/// <param name="volatility">The volatility.</param>
/// <param name="forecastCurve">The forecast rate curve.</param>
/// <param name="discountCurve">The discount rate curve. Not used yet, as only the implied rate is caclulated.</param>
/// <param name="fixingCalendar">The fixingCalendar.</param>
/// <param name="rollCalendar">The rollCalendar.</param>
public PriceableSimpleOptionAsset(ILogger logger, ICoreCache cache, string nameSpace, String underlyingAssetIdentifier, DateTime baseDate,
Period expiryTenor, Decimal?strike, Decimal volatility, IRateCurve discountCurve, ICurve forecastCurve, IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
{
UnderlyingAssetRef = underlyingAssetIdentifier;
var expiryOffset = new Offset
{
period = expiryTenor.period,
periodMultiplier = expiryTenor.periodMultiplier,
periodSpecified = true,
dayType = DayTypeEnum.Calendar,
dayTypeSpecified = true
};
var expiryDate = expiryOffset.Add(baseDate);
var assetProperties = PriceableAssetFactory.BuildPropertiesForAssets(nameSpace, underlyingAssetIdentifier, expiryDate);
var instrument = InstrumentDataHelper.GetInstrumentConfigurationData(cache, nameSpace, underlyingAssetIdentifier);
var quotation = BasicQuotationHelper.CreateRate(0.05m);
var quote = BasicAssetValuationHelper.Create(quotation);
UnderlyingPriceableAsset = PriceableAssetFactory.Create(logger, cache, nameSpace, instrument, quote, assetProperties, fixingCalendar, rollCalendar);
BaseDate = baseDate;
ForwardIndex = UnderlyingPriceableAsset.CalculateImpliedQuote(forecastCurve);
if (strike != null)
{
Strike = (Decimal)strike;
}
else
{
Strike = ForwardIndex;
}
DayCounter = new Actual365();
ExpiryDate = expiryDate;
Volatility = volatility;
TimeToExpiry = DayCounter.DayCount(BaseDate, ExpiryDate);
}
private void SetDayCounter(ICoreCache cache, string nameSpace, string currency)
{
Instrument instrument = InstrumentDataHelper.GetInstrumentConfigurationData(cache, nameSpace, currency, "ZeroRate");
if (instrument.InstrumentNodeItem is ZeroRateNodeStruct zeroRateNode)
{
DayCounter = DayCounterHelper.Parse(zeroRateNode.DayCountFraction.Value);
}
if (DayCounter == null)
{
throw new InvalidOperationException($"DayCounter is invalid for '{currency}'");
}
}
/// <summary>
///
/// </summary>
/// <param name="logger"></param>
/// <param name="cache"></param>
/// <param name="nameSpace"></param>
/// <param name="tradeDate"></param>
/// <param name="effectiveDate"></param>
/// <param name="referenceEquity"></param>
/// <param name="settlementCalendar"></param>
/// <param name="equityFpML"></param>
/// <param name="basePartyReference"></param>
/// <param name="forecastRateInterpolation"></param>
public EquityTransactionPricer(ILogger logger, ICoreCache cache, string nameSpace, DateTime tradeDate, DateTime effectiveDate,
String referenceEquity, IBusinessCalendar settlementCalendar, EquityTransaction equityFpML, string basePartyReference, Boolean forecastRateInterpolation)
{
logger.LogInfo("EquityType set. Commence to build a equity transaction.");
if (equityFpML == null)
{
return;
}
SettlementDate = effectiveDate;
TradeDate = tradeDate;
Multiplier = 1.0m;
BuyerReference = equityFpML.buyerPartyReference.href;
PaymentCurrencies = new List <string> {
equityFpML.unitPrice.currency.Value
};
SellerReference = equityFpML.sellerPartyReference.href;
BasePartyBuyer = basePartyReference == equityFpML.buyerPartyReference.href;
ForecastRateInterpolation = forecastRateInterpolation;
SettlementCalendar = settlementCalendar;
ReferenceEquity = referenceEquity;
NumberOfShares = Convert.ToInt16(equityFpML.numberOfUnits);
PurchasePrice = MoneyHelper.GetAmount(equityFpML.unitPrice.amount, equityFpML.unitPrice.currency.Value);
PaymentCurrencies = new List <string> {
equityFpML.unitPrice.currency.Value
};
var exchangeMIC = equityFpML.equity.exchangeId;
var exchangeMICData = InstrumentDataHelper.CreateEquityExchangeKey(nameSpace, exchangeMIC.Value);
var exchangeData = cache.LoadItem <ExchangeConfigData>(exchangeMICData);
if (exchangeData?.Data is ExchangeConfigData)
{
var exchange = (ExchangeConfigData)exchangeData.Data;
var equityTypeInfo = new EquityNodeStruct {
SettlementDate = exchange.SettlementDate
};
if (equityFpML.equity != null)
{
if (SettlementCalendar == null)
{
SettlementCalendar = BusinessCenterHelper.ToBusinessCalendar(cache,
equityTypeInfo.SettlementDate
.businessCenters,
nameSpace);
}
if (PaymentCalendar == null)
{
PaymentCalendar = SettlementCalendar;
}
var equity = XmlSerializerHelper.Clone(equityFpML.equity);
EquityTypeInfo = XmlSerializerHelper.Clone(equityTypeInfo);
EquityTypeInfo.Equity = equity;;
RiskMaturityDate = SettlementDate;
MaturityDate = SettlementDate;
if (!PaymentCurrencies.Contains(equityFpML.equity.currency.Value))
{
PaymentCurrencies.Add(equityFpML.equity.currency.Value);
}
logger.LogInfo("Equity transaction has been successfully created.");
}
}
else
{
logger.LogInfo("Equity type data not available.");
}
//Add payments like the settlement price
if (PurchasePrice == null || !PurchasePrice.amountSpecified)
{
return;
}
var amount = PurchasePrice.amount * NumberOfShares;
var settlementPayment = PaymentHelper.Create("EquitySettlemetAmount", BuyerReference, SellerReference, amount, SettlementDate);
AdditionalPayments = PriceableInstrumentsFactory.CreatePriceablePayments(basePartyReference, new[] { settlementPayment }, PaymentCalendar);
if (!PaymentCurrencies.Contains(settlementPayment.paymentAmount.currency.Value))
{
PaymentCurrencies.Add(settlementPayment.paymentAmount.currency.Value);
}
}
public FutureTransactionPricer(ILogger logger, ICoreCache cache, string nameSpace, DateTime tradeDate, ExchangeContractTypeEnum futuresType,
IBusinessCalendar settlementCalendar, FutureTransaction futureFpML, string basePartyReference, Boolean forecastRateInterpolation)
{
logger.LogInfo("FuturesType set. Commence to build a future transaction.");
if (futureFpML == null)
{
return;
}
Multiplier = 1.0m;
BuyerReference = futureFpML.buyerPartyReference.href;
PaymentCurrencies = new List <string> {
futureFpML.unitPrice.currency.Value
};
SellerReference = futureFpML.sellerPartyReference.href;
BasePartyBuyer = basePartyReference == futureFpML.buyerPartyReference.href;
if (!BasePartyBuyer)
{
Multiplier = -1.0m;
}
ForecastRateInterpolation = forecastRateInterpolation;
SettlementCalendar = settlementCalendar;
FuturesType = futuresType;
ReferenceContract = futureFpML.future.id;
var futuresCode = ReferenceContract.Split('-')[2];
NumberOfContracts = Convert.ToInt16(futureFpML.numberOfUnits);
PurchasePrice = MoneyHelper.GetAmount(futureFpML.unitPrice.amount, futureFpML.unitPrice.currency.Value);
var exchangeMIC = futureFpML.future.exchangeId;
FuturesCurveName = CurveNameHelpers.GetExchangeTradedCurveName(futureFpML.unitPrice.currency.Value, exchangeMIC.Value, futuresCode);
DiscountCurveName = CurveNameHelpers.GetDiscountCurveName(futureFpML.unitPrice.currency, true);
FuturesTypeInfo = new FutureNodeStruct();
var exchangeMICData = InstrumentDataHelper.CreateEquityExchangeKey(nameSpace, exchangeMIC.Value);
var exchangeData = cache.LoadItem <ExchangeConfigData>(exchangeMICData);
if (exchangeData?.Data is ExchangeConfigData)
{
Exchange = (ExchangeConfigData)exchangeData.Data;
FuturesTypeInfo.SpotDate = Exchange.SettlementDate;
}
if (futureFpML.future != null)
{
if (SettlementCalendar == null)
{
SettlementCalendar = BusinessCenterHelper.ToBusinessCalendar(cache,
FuturesTypeInfo.SpotDate
.businessCenters,
nameSpace);
}
var future = XmlSerializerHelper.Clone(futureFpML.future);
FuturesTypeInfo.Future = future;
if (FuturesTypeInfo.SpotDate != null)
{
SettlementDate = GetSettlementDate(tradeDate, SettlementCalendar,
FuturesTypeInfo.SpotDate);
}
//Instantiate the priceable future.
NamedValueSet namedValueSet = PriceableAssetFactory.BuildPropertiesForAssets(nameSpace, FuturesTypeInfo.Future.id, tradeDate);
var asset = AssetHelper.Parse(FuturesTypeInfo.Future.id, 0.0m, 0.0m);
UnderlyingFuture = PriceableAssetFactory.Create(logger, cache, nameSpace, asset.Second, namedValueSet, null, null) as IPriceableFuturesAssetController;
if (UnderlyingFuture != null)
{
RiskMaturityDate = UnderlyingFuture.GetRiskMaturityDate();
MaturityDate = RiskMaturityDate;
LastTradeDate = UnderlyingFuture.LastTradeDate;
}
if (!PaymentCurrencies.Contains(futureFpML.future.currency.Value))
{
PaymentCurrencies.Add(futureFpML.future.currency.Value);
}
logger.LogInfo("Futures transaction has been successfully created.");
}
else
{
logger.LogInfo("Futures type data not available.");
}
//Add payments like the settlement price
if (!PurchasePrice.amountSpecified)
{
return;
}
var amount = PurchasePrice.amount * NumberOfContracts / 100;
var settlementPayment = PaymentHelper.Create("FuturesSettlemetAmount", BuyerReference, SellerReference, amount, SettlementDate);
AdditionalPayments = PriceableInstrumentsFactory.CreatePriceablePayments(basePartyReference, new[] { settlementPayment }, SettlementCalendar);
if (!PaymentCurrencies.Contains(settlementPayment.paymentAmount.currency.Value))
{
PaymentCurrencies.Add(settlementPayment.paymentAmount.currency.Value);
}
}
/// <summary>
///
/// </summary>
/// <param name="logger"></param>
/// <param name="cache"></param>
/// <param name="nameSpace"></param>
/// <param name="tradeDate"></param>
/// <param name="settlementDate">The payment settlement date.</param>
/// <param name="settlementCalendar"></param>
/// <param name="paymentCalendar"></param>
/// <param name="bondFpML"></param>
/// <param name="basePartyReference"></param>
/// <param name="bondType"></param>
/// <param name="forecastRateInterpolation"></param>
public BondTransactionPricer(ILogger logger, ICoreCache cache, string nameSpace, DateTime tradeDate,
DateTime settlementDate, IBusinessCalendar settlementCalendar, IBusinessCalendar paymentCalendar,
BondTransaction bondFpML, string basePartyReference, string bondType, Boolean forecastRateInterpolation)
{
Multiplier = 1.0m;
TradeDate = tradeDate;
BondType = EnumHelper.Parse <BondTypesEnum>(bondType);
logger.LogInfo("BondType set. Commence to build a bond transaction.");
if (bondFpML == null)
{
return;
}
BuyerReference = bondFpML.buyerPartyReference.href;
PaymentCurrencies = new List <string> {
bondFpML.notionalAmount.currency.Value
};
SellerReference = bondFpML.sellerPartyReference.href;
BasePartyBuyer = basePartyReference == bondFpML.buyerPartyReference.href;
if (!BasePartyBuyer)
{
Multiplier = -1.0m;
}
ForecastRateInterpolation = forecastRateInterpolation;
SettlementCalendar = settlementCalendar;
PaymentCalendar = paymentCalendar;
//Set the bond price information
BondPrice = new BondPrice();
if (bondFpML.price.accrualsSpecified)
{
BondPrice.accrualsSpecified = true;
BondPrice.accruals = bondFpML.price.accruals;
}
if (bondFpML.price.dirtyPriceSpecified)
{
BondPrice.dirtyPriceSpecified = true;
BondPrice.dirtyPrice = bondFpML.price.dirtyPrice;
}
BondPrice.cleanOfAccruedInterest = bondFpML.price.cleanOfAccruedInterest;
BondPrice.cleanPrice = bondFpML.price.cleanPrice;
//Set the notional information
NotionalAmount = MoneyHelper.GetAmount(bondFpML.notionalAmount.amount, bondFpML.notionalAmount.currency.Value);
//Determines the quotation and units
QuoteType = BondPriceEnum.YieldToMaturity;
//We need to get the ytm in until there is a bond market price/spread.
if (BondPrice.dirtyPriceSpecified)
{
QuoteType = BondPriceEnum.DirtyPrice;
Quote = BasicQuotationHelper.Create(BondPrice.dirtyPrice, RateQuotationType);
}
//Get the insturment configuration information.
var assetIdentifier = bondFpML.bond.currency.Value + "-Bond-" + BondType;
BondNodeStruct bondTypeInfo = null;
var instrument = InstrumentDataHelper.GetInstrumentConfigurationData(cache, nameSpace, assetIdentifier);
if (instrument != null)
{
bondTypeInfo = instrument.InstrumentNodeItem as BondNodeStruct;
}
if (bondFpML.bond != null && bondTypeInfo != null)
{
if (SettlementCalendar == null)
{
SettlementCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, bondTypeInfo.SettlementDate.businessCenters, nameSpace);
}
if (PaymentCalendar == null)
{
PaymentCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, bondTypeInfo.BusinessDayAdjustments.businessCenters, nameSpace);
}
//Preprocesses the data for the priceableasset.
var bond = XmlSerializerHelper.Clone(bondFpML.bond);
BondTypeInfo = XmlSerializerHelper.Clone(bondTypeInfo);
BondTypeInfo.Bond = bond;
//This is done because the config data is not stored in the ciorrect way. Need to add a price quote units.
if (bond.couponRateSpecified)
{
var coupon = bond.couponRate;
BondTypeInfo.Bond.couponRate = coupon;
}
BondTypeInfo.Bond.faceAmount = NotionalAmount.amount;
if (BondTypeInfo.Bond.maturitySpecified)
{
RiskMaturityDate = BondTypeInfo.Bond.maturity;
}
SettlementDate = settlementDate;
if (!PaymentCurrencies.Contains(bondFpML.bond.currency.Value))
{
PaymentCurrencies.Add(bondFpML.bond.currency.Value);
}
logger.LogInfo("Bond transaction has been successfully created.");
}
else
{
logger.LogInfo("Bond type data not available.");
}
//Add payments like the settlement price
if (!BondPrice.dirtyPriceSpecified)
{
return;
}
var amount = BondPrice.dirtyPrice * NotionalAmount.amount / 100;
var settlementPayment = PaymentHelper.Create("BondSettlemetAmount", BuyerReference, SellerReference, amount, SettlementDate);
AdditionalPayments = PriceableInstrumentsFactory.CreatePriceablePayments(basePartyReference, new[] { settlementPayment }, SettlementCalendar);
if (!PaymentCurrencies.Contains(settlementPayment.paymentAmount.currency.Value))
{
PaymentCurrencies.Add(settlementPayment.paymentAmount.currency.Value);
}
}
/// <summary>
///
/// </summary>
/// <param name="logger"></param>
/// <param name="cache"></param>
/// <param name="nameSpace"></param>
/// <param name="tradeDate"></param>
/// <param name="settlementDate">The payment settlement date.</param>
/// <param name="settlementCalendar"></param>
/// <param name="paymentCalendar"></param>
/// <param name="bondFpML"></param>
/// <param name="basePartyReference"></param>
/// <param name="bondType"></param>
/// <param name="forecastRateInterpolation"></param>
public BondTransactionPricer(ILogger logger, ICoreCache cache, string nameSpace, DateTime tradeDate,
DateTime settlementDate, IBusinessCalendar settlementCalendar, IBusinessCalendar paymentCalendar,
BondTransaction bondFpML, string basePartyReference, string bondType, bool forecastRateInterpolation)
{
Multiplier = 1.0m;
TradeDate = tradeDate;
BondType = EnumHelper.Parse <BondTypesEnum>(bondType);
logger.LogInfo("BondType set. Commence to build a bond transaction.");
if (bondFpML == null)
{
return;
}
BuyerReference = bondFpML.buyerPartyReference.href;
PaymentCurrencies = new List <string> {
bondFpML.notionalAmount.currency.Value
};
SellerReference = bondFpML.sellerPartyReference.href;
BasePartyBuyer = basePartyReference == bondFpML.buyerPartyReference.href;
if (!BasePartyBuyer)
{
Multiplier = -1.0m;
}
ForecastRateInterpolation = forecastRateInterpolation;
SettlementCalendar = settlementCalendar;
PaymentCalendar = paymentCalendar;
//Set the bond price information
BondPrice = new BondPrice();
if (bondFpML.price.accrualsSpecified)
{
BondPrice.accrualsSpecified = true;
BondPrice.accruals = bondFpML.price.accruals;
}
if (bondFpML.price.dirtyPriceSpecified)
{
BondPrice.dirtyPriceSpecified = true;
BondPrice.dirtyPrice = bondFpML.price.dirtyPrice;
}
BondPrice.cleanOfAccruedInterest = bondFpML.price.cleanOfAccruedInterest;
BondPrice.cleanPrice = bondFpML.price.cleanPrice;
//Set the currencies
CouponCurrency = bondFpML.notionalAmount.currency;
PaymentCurrency = bondFpML.notionalAmount.currency;//This could be another currency!
//Set the notional information
NotionalAmount = MoneyHelper.GetAmount(bondFpML.notionalAmount.amount, bondFpML.notionalAmount.currency.Value);
//Determines the quotation and units
QuoteType = BondPriceEnum.YieldToMaturity;
//We need to get the ytm in until there is a bond market price/spread.
if (BondPrice.dirtyPriceSpecified)
{
QuoteType = BondPriceEnum.DirtyPrice;
Quote = BasicQuotationHelper.Create(BondPrice.dirtyPrice, RateQuotationType);
}
//Get the instrument configuration information.
var assetIdentifier = bondFpML.bond.currency.Value + "-Bond-" + BondType;
BondNodeStruct bondTypeInfo = null;
//TODO Set the swap curves for asset swap valuation.
//
//Gets the template bond type
var instrument = InstrumentDataHelper.GetInstrumentConfigurationData(cache, nameSpace, assetIdentifier);
if (instrument != null)
{
bondTypeInfo = instrument.InstrumentNodeItem as BondNodeStruct;
}
if (bondFpML.bond != null && bondTypeInfo != null)
{
if (SettlementCalendar == null)
{
SettlementCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, bondTypeInfo.SettlementDate.businessCenters, nameSpace);
}
if (PaymentCalendar == null)
{
PaymentCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, bondTypeInfo.BusinessDayAdjustments.businessCenters, nameSpace);
}
//Pre-processes the data for the priceable asset.
var bond = XmlSerializerHelper.Clone(bondFpML.bond);
Bond = bond;
bondTypeInfo.Bond = Bond;
//Set the curves to use for valuations.
BondCurveName = CurveNameHelpers.GetBondCurveName(Bond.currency.Value, Bond.id);
//THe discount curve is only for credit calculations.
DiscountCurveName = CurveNameHelpers.GetDiscountCurveName(Bond.currency.Value, true);
if (bond.maturitySpecified)
{
MaturityDate = bond.maturity;
}
SettlementDateConvention = bondTypeInfo.SettlementDate;
BusinessDayAdjustments = bondTypeInfo.BusinessDayAdjustments;
ExDivDateConvention = bondTypeInfo.ExDivDate;
//This is done because the config data is not stored in the correct way. Need to add a price quote units.
if (bond.couponRateSpecified)
{
var coupon = bond.couponRate;
Bond.couponRate = coupon;
}
bondTypeInfo.Bond.faceAmount = NotionalAmount.amount;
bondTypeInfo.Bond.faceAmountSpecified = true;
Bond.faceAmount = NotionalAmount.amount;
if (Bond.maturitySpecified)
{
RiskMaturityDate = Bond.maturity;
}
SettlementDate = settlementDate;
if (!PaymentCurrencies.Contains(bondFpML.bond.currency.Value))
{
PaymentCurrencies.Add(bondFpML.bond.currency.Value);
}
logger.LogInfo("Bond transaction has been successfully created.");
}
else
{
logger.LogInfo("Bond type data not available.");
}
//Set the underlying bond
UnderlyingBond = new PriceableSimpleBond(tradeDate, bondTypeInfo, SettlementCalendar, PaymentCalendar, Quote, QuoteType);
BondIssuer = UnderlyingBond.Issuer;
if (BondPrice.dirtyPriceSpecified)
{
UnderlyingBond.PurchasePrice = BondPrice.dirtyPrice / 100; //PriceQuoteUnits
}
//Set the coupons
var bondId = Bond.id;//Could use one of the instrumentIds
//bondStream is an interest Rate Stream but needs to be converted to a bond stream.
//It automatically contains the coupon currency.
Coupons = new PriceableBondCouponRateStream(logger, cache, nameSpace, bondId, tradeDate,
bondFpML.notionalAmount.amount, CouponStreamType.GenericFixedRate, Bond,
BusinessDayAdjustments, ForecastRateInterpolation, null, PaymentCalendar);
//Add payments like the settlement price
if (!BondPrice.dirtyPriceSpecified)
{
return;
}
var amount = BondPrice.dirtyPrice * NotionalAmount.amount / 100;
var settlementPayment = PaymentHelper.Create(BuyerReference, SellerReference, PaymentCurrency.Value, amount, SettlementDate);
AdditionalPayments = PriceableInstrumentsFactory.CreatePriceablePayments(basePartyReference, new[] { settlementPayment }, SettlementCalendar);
//
var finalPayment = PaymentHelper.Create(BondIssuer, BuyerReference, CouponCurrency.Value, NotionalAmount.amount, RiskMaturityDate);
FinalRedemption =
PriceableInstrumentsFactory.CreatePriceablePayment(basePartyReference, finalPayment, PaymentCalendar);
AdditionalPayments.Add(FinalRedemption);
if (!PaymentCurrencies.Contains(settlementPayment.paymentAmount.currency.Value))
{
PaymentCurrencies.Add(settlementPayment.paymentAmount.currency.Value);
}
}
