private System.Func <double, double> getPriceFunction(int index, ResolvedCdsTrade cds, double flactionalSpread, double pointsUpfront, LocalDate valuationDate, NodalCurve creditCurve, CreditDiscountFactors discountFactors, RecoveryRates recoveryRates, ReferenceData refData)
{
ResolvedCds cdsProduct = cds.Product;
Currency currency = cdsProduct.Currency;
StandardId legalEntityId = cdsProduct.LegalEntityId;
Pair <StandardId, Currency> pair = Pair.of(legalEntityId, currency);
ImmutableCreditRatesProvider ratesbase = ImmutableCreditRatesProvider.builder().valuationDate(valuationDate).discountCurves(ImmutableMap.of(currency, discountFactors)).recoveryRateCurves(ImmutableMap.of(legalEntityId, recoveryRates)).build();
System.Func <double, double> func = (double?x) =>
{
NodalCurve tempCreditCurve = creditCurve.withParameter(index, x.Value);
ImmutableCreditRatesProvider rates = ratesbase.toBuilder().creditCurves(ImmutableMap.of(pair, LegalEntitySurvivalProbabilities.of(legalEntityId, IsdaCreditDiscountFactors.of(currency, valuationDate, tempCreditCurve)))).build();
double price = TradePricer.price(cds, rates, flactionalSpread, PriceType.CLEAN, refData);
return(price - pointsUpfront);
};
return(func);
}
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);
}
}
}
