public string CreateFraValuationReport(ICoreCache cache, string nameSpace, string id, string baseParty, Fra fra, Market market, AssetValuation assetValuation, NamedValueSet properties)
{
ValuationReport valuationReport = ValuationReportGenerator.Generate(id, baseParty, fra, market, assetValuation);
cache.SaveObject(valuationReport, nameSpace + "." + id, properties);
return(id);
}
public void TestReportingRoundtripOutThenInValuationReport()
{
var orig = new ValuationReport
{
fpmlVersion = "5-10",
header = new NotificationMessageHeader
{
messageId = new MessageId {
messageIdScheme = "scheme/1.0", Value = "12345678"
},
inReplyTo = new MessageId {
messageIdScheme = "scheme/1.0", Value = "87654321"
},
sentBy = new MessageAddress {
messageAddressScheme = "scheme/1.0", Value = "*****@*****.**"
},
creationTimestamp = DateTime.Now
},
correlationId = new CorrelationId {
correlationIdScheme = "scheme/1.0", Value = "12345678"
},
party = GetTestFragment_Parties(),
account = GetTestFragment_Accounts(2),
tradeValuationItem = new[] {
new TradeValuationItem()
}
};
Roundtrip_OutThenIn(orig, true, true);
}
public void TestCreateSwaptionValuationReport()
{
var curves = CreateInterestRateStreamTestEnvironment(DateTime.Now);
Swaption swaption = GenerateSwaptionParametricWithCashflows();
var marketFactory = new MarketFactory();
marketFactory.AddYieldCurve(curves.GetForecastRateCurveFpML());
Market market = marketFactory.Create();
const string baseParty = _NAB;
var assetValuation = new AssetValuation();
var listOfQuotations = new List <Quotation>();
IEnumerable <StringDoubleRangeItem> valuationSet = CreateValuationSetList(54321, 123.5);
foreach (StringDoubleRangeItem item in valuationSet)
{
var quotation = new Quotation
{
measureType = AssetMeasureTypeHelper.Parse(item.StringValue),
value = (decimal)item.DoubleValue,
valueSpecified = true
};
listOfQuotations.Add(quotation);
}
assetValuation.quote = listOfQuotations.ToArray();
ValuationReport valuationReport = ValuationReportGenerator.Generate("some-valuation-Id", baseParty, "0001", DateTime.Now, swaption, market, assetValuation);
Debug.WriteLine("ValuationReport:");
Debug.WriteLine(XmlSerializerHelper.SerializeToString(typeof(Document), valuationReport));
string s1 = XmlSerializerHelper.SerializeToString(typeof(Document), valuationReport);
XmlSerializerHelper.DeserializeFromString <ValuationReport>(typeof(Document), s1);
XmlSerializerHelper.SerializeToFile(typeof(Document), valuationReport, "some-valuation-Id");
XmlSerializerHelper.DeserializeFromFile <ValuationReport>(typeof(Document), "some-valuation-Id");
}
public void TestCreateFraValuationReport1()
{
var rateCurve = TestRateCurve(new DateTime(2009, 7, 15));
var fra = new Fra();
var pair = rateCurve.GetFpMLData();
var marketFactory = new MarketFactory();
marketFactory.AddPricingStructure(pair);
Market market = marketFactory.Create();
const string baseParty = _NAB;
var assetValuation = new AssetValuation();
var listOfQuotations = new List <Quotation>();
IEnumerable <StringDoubleRangeItem> valuationSet = CreateValuationSetList(54321, 123.5);
foreach (StringDoubleRangeItem item in valuationSet)
{
var quotation = new Quotation
{
measureType = AssetMeasureTypeHelper.Parse(item.StringValue),
value = (decimal)item.DoubleValue,
valueSpecified = true
};
listOfQuotations.Add(quotation);
}
assetValuation.quote = listOfQuotations.ToArray();
ValuationReport valuationReport = ValuationReportGenerator.Generate("some-valuation-Id", baseParty, fra, market, assetValuation);
Debug.WriteLine("ValuationReport:");
Debug.WriteLine(XmlSerializerHelper.SerializeToString(valuationReport));
}
public void GetInfoTwoSwaps()
{
string valReportId1 = Guid.NewGuid().ToString();
ValuationReport valuationReport1 = CreateSwapValuationReport(valReportId1);
string valReportId2 = Guid.NewGuid().ToString();
ValuationReport valuationReport2 = CreateSwapValuationReport(valReportId2);
Engine.Cache.SaveObject(valuationReport1, Engine.NameSpace + "." + valReportId1, null);
Engine.Cache.SaveObject(valuationReport2, Engine.NameSpace + "." + valReportId2, null);
var excelValuation = new Valuation();
string mergedReportId = excelValuation.Merge(Engine.Cache, Engine.NameSpace, valReportId1, valReportId2, null, null, null, null, null, null, null, null);
//var valuation = Engine.Cache.LoadObject<ValuationReport>(mergedReportId);
List <ValuationInfoRangeItem> valuationInfoRangeItems = excelValuation.GetInfo(Engine.Cache, Engine.NameSpace, mergedReportId);
object[,] range = ObjectToArrayOfPropertiesConverter.ConvertListToHorizontalArrayRange(valuationInfoRangeItems);
Debug.Print("GetInfo (two swaps)");
Debug.Print(ParameterFormatter.FormatObject(range));
Assert.AreEqual(3, valuationInfoRangeItems.Count);
Assert.AreEqual(mergedReportId, valuationInfoRangeItems[0].Id);
Assert.AreEqual("envelope", valuationInfoRangeItems[0].Description);
Assert.AreEqual(valReportId1, valuationInfoRangeItems[1].Id);
Assert.AreEqual("swap(fixed/float)", valuationInfoRangeItems[1].Description);
Assert.AreEqual(valReportId2, valuationInfoRangeItems[2].Id);
Assert.AreEqual("swap(fixed/float)", valuationInfoRangeItems[2].Description);
}
public static ValuationReport Generate(string valuationId, string baseParty, Fra fra, Market market, AssetValuation assetValuation)
{
var valuationReport = new ValuationReport
{
header = new NotificationMessageHeader
{
messageId = new MessageId
{
Value
=
valuationId
}
},
market = market
};
// Associate id with the valuation
//
var tradeValuationItem = new TradeValuationItem();
valuationReport.tradeValuationItem = new[] { tradeValuationItem };
var trade = new Trade();
XsdClassesFieldResolver.TradeSetFra(trade, fra);
tradeValuationItem.Items = new object[] { trade };
tradeValuationItem.valuationSet = new ValuationSet
{
baseParty = PartyReferenceFactory.Create(baseParty),
assetValuation = new[] { assetValuation }
};
return(valuationReport);
}
public static ValuationReport Generate(string valuationId, string party1Name, string party2Name,
bool isParty1Base, Trade trade, Market market,
AssetValuation assetValuation)
{
var valuationReport = new ValuationReport
{
header = new NotificationMessageHeader
{
messageId = new MessageId
{
Value = valuationId
}
},
market = market
};
// Associate id with the valuation
//
var tradeValuationItem = new TradeValuationItem();
valuationReport.tradeValuationItem = new[] { tradeValuationItem };
string baseParty = isParty1Base ? party1Name : party2Name;
Party party1 = PartyFactory.Create("Party1", party1Name);
Party party2 = PartyFactory.Create("Party2", party2Name);
valuationReport.party = new[] { party1, party2 };
tradeValuationItem.Items = new object[] { trade };
tradeValuationItem.valuationSet = new ValuationSet
{
baseParty = PartyReferenceFactory.Create(baseParty),
assetValuation = new[] { assetValuation }
};
return(valuationReport);
}
public string CreateTradeValuationReport(ICoreCache cache, string nameSpace, string id, string party1, string party2, bool isParty1Base, Trade trade, Market market, AssetValuation assetValuation, NamedValueSet properties)
{
ValuationReport valuationReport = ValuationReportGenerator.Generate(id, party1, party2, isParty1Base, trade, market, assetValuation);
cache.SaveObject(valuationReport, nameSpace + "." + id, properties);
return(id);
}
internal static void AddOtherPartyPayments(ValuationReport valuationReport, List <OtherPartyPaymentRangeItem> otherPartyPaymentList)
{
var otherPartyPayments = new List <Payment>();
// other party payments
//
if (null != otherPartyPaymentList)
{
foreach (OtherPartyPaymentRangeItem item in otherPartyPaymentList)
{
var otherPartyPayment = new Payment
{
payerPartyReference =
PartyReferenceFactory.Create(item.Payer),
receiverPartyReference =
PartyReferenceFactory.Create(item.Receiver),
paymentAmount = MoneyHelper.GetNonNegativeAmount(item.Amount),
paymentDate = AdjustableOrAdjustedDateHelper.CreateAdjustedDate(item.PaymentDate),
paymentType = PaymentTypeHelper.Create(item.PaymentType)
};
otherPartyPayments.Add(otherPartyPayment);
}
}
TradeValuationItem valuationItem = valuationReport.tradeValuationItem[0];
Trade[] tradeArray = XsdClassesFieldResolver.TradeValuationItemGetTradeArray(valuationItem);
Trade trade = tradeArray[0];
trade.otherPartyPayment = otherPartyPayments.ToArray();
}
public void TestMergeTwoValuationReports()
{
string valReportId1 = Guid.NewGuid().ToString();
ValuationReport valuationReport1 = CreateSwapValuationReport(valReportId1);
Assert.AreEqual(
valReportId1,
(((Trade)valuationReport1.tradeValuationItem[0].Items[0]).tradeHeader.partyTradeIdentifier[0].Items[0] as TradeId).Value
);
string valReportId2 = Guid.NewGuid().ToString();
ValuationReport valuationReport2 = CreateSwapValuationReport(valReportId2);
Assert.AreEqual(
valReportId2,
((valuationReport2.tradeValuationItem[0].Items[0] as Trade).tradeHeader.partyTradeIdentifier[0].Items[0] as TradeId).Value
);
Engine.Cache.SaveObject(valuationReport1, Engine.NameSpace + "." + valReportId1, null);
Engine.Cache.SaveObject(valuationReport2, Engine.NameSpace + "." + valReportId2, null);
var excelValuation = new Valuation();
string mergedReportId = excelValuation.Merge(Engine.Cache, Engine.NameSpace, valReportId1, valReportId2, null, null, null, null, null, null, null, null);
var mergedReport = Engine.Cache.LoadObject <ValuationReport>(Engine.NameSpace + "." + mergedReportId);
Assert.AreEqual(2, mergedReport.tradeValuationItem.Length);
Assert.AreNotEqual(mergedReport.header.messageId.Value, valReportId1);
Assert.AreNotEqual(mergedReport.header.messageId.Value, valReportId2);
Assert.AreEqual(
valReportId1,
((mergedReport.tradeValuationItem[0].Items[0] as Trade).tradeHeader.partyTradeIdentifier[0].Items[0] as TradeId).Value
);
Assert.AreEqual(
valReportId2,
((mergedReport.tradeValuationItem[1].Items[0] as Trade).tradeHeader.partyTradeIdentifier[0].Items[0] as TradeId).Value
);
}
public static ValuationReport Generate(string valuationId, string baseParty,
string tradeId, DateTime tradeDate,
Swap swap, Market market,
AssetValuation assetValuation)
{
var valuationReport = new ValuationReport
{
header = new NotificationMessageHeader
{
messageId = new MessageId
{
Value
=
valuationId
}
},
market = market
};
// Associate id with the valuation
//
var tradeValuationItem = new TradeValuationItem();
valuationReport.tradeValuationItem = new[] { tradeValuationItem };
//Party nabParty = PartyFactory.Create("Party1");
//Party counterParty = PartyFactory.Create(_counterpartyName);
//
// valuationReport.party = new Party[] { nabParty, counterParty };
// PartyOrAccountReference nabPartyReference = PartyOrAccountReferenceFactory.Create(nabParty.id);
// PartyOrAccountReference counterPartyReference = PartyOrAccountReferenceFactory.Create(counterParty.id);
// // NAB is the payer of pay paystream and receiver of receive stream
// //
// SwapHelper.GetPayerStream(swap).payerPartyReference = nabPartyReference;
// SwapHelper.GetReceiverStream(swap).receiverPartyReference = nabPartyReference;
//
// // CounterParty is the receiver of paystream and payer of receivestream
// //
// SwapHelper.GetPayStream(swap).receiverPartyReference = counterPartyReference;
// SwapHelper.GetReceiveStream(swap).payerPartyReference = counterPartyReference;
var trade = new Trade();
// Generate trade header
//
TradeHeader tradeHeader = CreateTradeHeader(tradeDate, tradeId);
trade.tradeHeader = tradeHeader;
XsdClassesFieldResolver.TradeSetSwap(trade, swap);
tradeValuationItem.Items = new object[] { trade };
tradeValuationItem.valuationSet = new ValuationSet
{
baseParty = PartyReferenceFactory.Create(baseParty),
assetValuation = new[] { assetValuation }
};
return(valuationReport);
}
public string CreateSwapValuationReport(ICoreCache cache, string nameSpace, string valuationId, string baseParty,
string tradeId, DateTime tradeDate,
Swap swap, Market market, AssetValuation assetValuation)
{
ValuationReport valuationReport = ValuationReportGenerator.Generate(valuationId, baseParty,
tradeId, tradeDate,
swap, market, assetValuation);
cache.SaveObject(valuationReport, nameSpace + "." + valuationId, null);
return(valuationId);
}
public string CreateValuation(
ILogger logger, ICoreCache cache,
String nameSpace,
IBusinessCalendar fixingCalendar,
IBusinessCalendar paymentCalendar,
List <StringObjectRangeItem> valuationSet,
ValuationRange valuationRange,
TradeRange tradeRange,
CapFloorLegParametersRange_Old legParametersRange,
List <InputCashflowRangeItem> legDetailedCashflowsListArray,
List <InputPrincipalExchangeCashflowRangeItem> legPrincipleExchangeCashflowListArray,
List <AdditionalPaymentRangeItem> legAdditionalPaymentListArray,
List <PartyIdRangeItem> partyIdList, //optional
List <OtherPartyPaymentRangeItem> otherPartyPaymentList, //optional
List <FeePaymentRangeItem> feePaymentList //optional
)
{
Pair <ValuationResultRange, CapFloor> fpML = GetPriceAndGeneratedFpML(logger, cache, nameSpace, fixingCalendar, paymentCalendar, valuationRange, tradeRange,
legParametersRange, legDetailedCashflowsListArray, legPrincipleExchangeCashflowListArray,
legAdditionalPaymentListArray, feePaymentList);
CapFloor capFloor = fpML.Second;
string valuationReportAndProductId = tradeRange.Id ?? Guid.NewGuid().ToString();
capFloor.id = valuationReportAndProductId;
AssetValuation assetValuation = InterestRateProduct.CreateAssetValuationFromValuationSet(valuationSet);
//Valuation valuation = new Valuation();
// TODO: add Trade Id & Trade data into valuation. (Trade.Id & Trade.TradeHeader.TradeDate)
//
string baseParty = valuationRange.BaseParty;
var uniqueCurves = new List <IRateCurve>();
foreach (string curveName in new[] { legParametersRange.ForecastCurve, legParametersRange.DiscountCurve })
{
if (!String.IsNullOrEmpty(curveName))
{
var curve = CurveLoader.LoadInterestRateCurve(logger, cache, nameSpace, curveName);
if (!uniqueCurves.Contains(curve))
{
uniqueCurves.Add(curve);
}
}
}
Market fpMLMarket = InterestRateProduct.CreateFpMLMarketFromCurves(uniqueCurves);
ValuationReport valuationReport = ValuationReportGenerator.Generate(valuationReportAndProductId, baseParty, valuationReportAndProductId, tradeRange.TradeDate, capFloor, fpMLMarket, assetValuation);
cache.SaveObject(valuationReport, valuationReportAndProductId, null);
InterestRateProduct.ReplacePartiesInValuationReport(valuationReport, partyIdList);
InterestRateProduct.AddOtherPartyPayments(valuationReport, otherPartyPaymentList);
return(valuationReportAndProductId);
}
internal static void ReplacePartiesInValuationReport(ValuationReport valuationReport, List <PartyIdRangeItem> partyIdList)
{
if (null == partyIdList)
{
return;
}
var listOfParties = new List <Party>();
foreach (PartyIdRangeItem partyIdRangeItem in partyIdList)
{
Party party = PartyFactory.Create(partyIdRangeItem.IdOrRole);
var partyId = new PartyId {
Value = partyIdRangeItem.PartyId
};
party.partyId = new[] { partyId };
listOfParties.Add(party);
}
valuationReport.party = listOfParties.ToArray();
}
public static ValuationReport Merge(ValuationReport valuation1,
ValuationReport valuation2)
{
ValuationReport result = XmlSerializerHelper.Clone(valuation1);
ValuationReport copyOfValuation2 = XmlSerializerHelper.Clone(valuation2);
// generate new id from a valuation report
//
string valuationIdForCombinedValuationReport = Guid.NewGuid().ToString();
result.header.messageId.Value = valuationIdForCombinedValuationReport;
// copy tradeValuationItems from valuation2 to result.
//
var listOfTradeValuations = new List <TradeValuationItem>();
listOfTradeValuations.AddRange(result.tradeValuationItem);
listOfTradeValuations.AddRange(copyOfValuation2.tradeValuationItem);
result.tradeValuationItem = listOfTradeValuations.ToArray();
return(result);
}
public string CreateValuation(
ILogger logger,
ICoreCache cache,
String nameSpace,
IBusinessCalendar fixingCalendar,
IBusinessCalendar paymentCalendar,
List <StringObjectRangeItem> valuationSet,
ValuationRange valuationRange,
TradeRange tradeRange,
SwapLegParametersRange_Old leg1ParametersRange,
List <DetailedCashflowRangeItem> leg1DetailedCashflowsListArray,
List <PrincipalExchangeCashflowRangeItem> leg1PrincipalExchangeCashflowListArray,
List <AdditionalPaymentRangeItem> leg1AdditionalPaymentListArray,
List <PartyIdRangeItem> partyIdList,//optional
List <OtherPartyPaymentRangeItem> otherPartyPaymentList
)
{
Swap floater = GetPriceAndGeneratedFpMLSwap(logger, cache, nameSpace, fixingCalendar, paymentCalendar, valuationRange, tradeRange, leg1ParametersRange, leg1DetailedCashflowsListArray, leg1PrincipalExchangeCashflowListArray, leg1AdditionalPaymentListArray).Second;
string baseParty = valuationRange.BaseParty;
string valuationReportAndProductId = tradeRange.Id ?? Guid.NewGuid().ToString();
floater.id = valuationReportAndProductId;
var uniqueCurves = GetUniqueCurves(logger, cache, nameSpace, leg1ParametersRange);
Market fpMLMarket = InterestRateProduct.CreateFpMLMarketFromCurves(uniqueCurves);
var valuation = new Valuations.Valuation();
// TODO: add Trade Id & Trade data into valuation. (Trade.Id & Trade.TradeHeader.TradeDate)
//
AssetValuation assetValuation = InterestRateProduct.CreateAssetValuationFromValuationSet(valuationSet);
valuation.CreateSwapValuationReport(cache, nameSpace, valuationReportAndProductId, baseParty, tradeRange.Id, tradeRange.TradeDate, floater, fpMLMarket, assetValuation);
ValuationReport valuationReport = valuation.Get(cache, nameSpace, valuationReportAndProductId);
InterestRateProduct.ReplacePartiesInValuationReport(valuationReport, partyIdList);
InterestRateProduct.AddOtherPartyPayments(valuationReport, otherPartyPaymentList);
return(valuationReportAndProductId);
}
public static ValuationReport Generate(string valuationId, string baseParty,
string tradeId, DateTime tradeDate,
Swaption swaption, Market market, AssetValuation assetValuation)
{
var valuationReport = new ValuationReport
{
header = new NotificationMessageHeader
{
messageId = new MessageId
{
Value
=
valuationId
}
},
market = market
};
// Associate id with the valuation
//
var tradeValuationItem = new TradeValuationItem();
valuationReport.tradeValuationItem = new[] { tradeValuationItem };
// Generate trade header
//
var trade = new Trade();
TradeHeader tradeHeader = CreateTradeHeader(tradeDate, tradeId);
trade.tradeHeader = tradeHeader;
XsdClassesFieldResolver.TradeSetSwaption(trade, swaption);
tradeValuationItem.Items = new object[] { trade };
tradeValuationItem.valuationSet = new ValuationSet
{
baseParty = PartyReferenceFactory.Create(baseParty),
assetValuation = new[] { assetValuation }
};
return(valuationReport);
}
public CachedSummary(string uniqueId, NamedValueSet properties, ValuationReport summary)
{
UniqueId = uniqueId;
Properties = properties;
Summary = summary;
}
///<summary>
/// Prices the trade.
///</summary>
///<returns></returns>
public override ValuationReport Price(IInstrumentControllerData modelData, ValuationReportType reportType)
{
//Price.
if (TradeHelper.IsImplementedProductType(ProductType))
{
// A new valuationReport.
var valuationReport = new ValuationReport();
//var valSet = new ValuationSet();
InstrumentControllerBase priceableProduct = PriceableProduct;
if (priceableProduct == null)
{
throw new ApplicationException("PriceableProduct is null!");
}
//This makes sure the marketenvironment has curves in it, otherwise the pricer will not function.
if (modelData.MarketEnvironment == null)
{
throw new ApplicationException("MarketEnvironment is null!");
}
//Set the appropriate Multiplier based on the reporting party
var result = new AssetValuation();
var reportingParty = modelData.BaseCalculationParty.Id;
if (BaseParty == TradeProp.Party1)
{
if (reportingParty == TradeProp.Party1)
{
result = priceableProduct.Calculate(modelData);
}
if (Parties[0].partyName.Value == reportingParty)
{
result = priceableProduct.Calculate(modelData);
}
if (Parties[1].partyName.Value == reportingParty || reportingParty == TradeProp.Party2)
{
priceableProduct.Multiplier = -1;
result = priceableProduct.Calculate(modelData);
priceableProduct.Multiplier = 1;
}
}
if (BaseParty == TradeProp.Party2)
{
if (reportingParty == TradeProp.Party2)
{
result = priceableProduct.Calculate(modelData);
}
if (Parties[1].partyName.Value == reportingParty)
{
result = priceableProduct.Calculate(modelData);
}
if (Parties[0].partyName.Value == reportingParty || reportingParty == TradeProp.Party1)
{
priceableProduct.Multiplier = -1;
result = priceableProduct.Calculate(modelData);
priceableProduct.Multiplier = 1;
}
}
if (modelData.IsReportingCounterpartyRequired)
{
priceableProduct.Multiplier = 0;
result = priceableProduct.Calculate(modelData);
priceableProduct.Multiplier = 1;
}
var valSet = new ValuationSet {
assetValuation = new[] { result }
};
//The tradevaluation item.
var trade = new Trade {
id = TradeIdentifier.UniqueIdentifier, tradeHeader = TradeHeader
};
//Checks to see if the deatil data is required and if so builds the product.//TODO Add other ItemChoice types.e.g. Fra
if (reportType == ValuationReportType.Full)
{
var item = PriceableProduct.BuildTheProduct();
trade.Item = item;
trade.ItemElementName = trade.GetTradeTypeFromItem();
}
var tradeValuationItem = new TradeValuationItem {
Items = new object[] { trade }, valuationSet = valSet
};
valuationReport.tradeValuationItem = new[] { tradeValuationItem };
return(valuationReport);
}
throw new NotSupportedException("Product pricing is not supported!");
}
public string CreateValuation(
ILogger logger,
ICoreCache cache,
String nameSpace,
IBusinessCalendar fixingCalendar,
IBusinessCalendar paymentCalendar,
SwaptionParametersRange swaptionParametersRange,
List <StringObjectRangeItem> valuationSet,
ValuationRange valuationRange,
TradeRange tradeRange,
SwapLegParametersRange leg1ParametersRange,
SwapLegParametersRange leg2ParametersRange,
List <InputCashflowRangeItem> leg1DetailedCashflowsListArray,
List <InputCashflowRangeItem> leg2DetailedCashflowsListArray,
List <InputPrincipalExchangeCashflowRangeItem> leg1PrincipalExchangeCashflowListArray,
List <InputPrincipalExchangeCashflowRangeItem> leg2PrincipalExchangeCashflowListArray,
List <AdditionalPaymentRangeItem> leg1AdditionalPaymentListArray,
List <AdditionalPaymentRangeItem> leg2AdditionalPaymentListArray,
List <PartyIdRangeItem> partyIdList, //optional
List <OtherPartyPaymentRangeItem> otherPartyPaymentList, //opt
List <FeePaymentRangeItem> feePaymentList //opt
)
{
var swap = GetPriceAndGeneratedFpMLSwap(logger, cache, nameSpace,
fixingCalendar, paymentCalendar, valuationRange,
tradeRange, leg1ParametersRange, leg2ParametersRange,
leg1DetailedCashflowsListArray, leg2DetailedCashflowsListArray,
leg1PrincipalExchangeCashflowListArray, leg2PrincipalExchangeCashflowListArray,
leg1AdditionalPaymentListArray, leg2AdditionalPaymentListArray).Second;
string baseParty = valuationRange.BaseParty;
List <IRateCurve> uniqueCurves = GetUniqueCurves(logger, cache, nameSpace, leg1ParametersRange, leg2ParametersRange);
Market fpMLMarket = InterestRateProduct.CreateFpMLMarketFromCurves(uniqueCurves);
// TODO: add Trade Id & Trade data into valuation. (Trade.Id & Trade.TradeHeader.TradeDate)
//
// create ValuationReport and add it to in-memory collection.
// Add methods!
AssetValuation assetValuation = InterestRateProduct.CreateAssetValuationFromValuationSet(valuationSet);
NonNegativeMoney premium = MoneyHelper.GetNonNegativeAmount(swaptionParametersRange.Premium, swaptionParametersRange.PremiumCurrency);
AdjustableDate expirationDate = DateTypesHelper.ToAdjustableDate(swaptionParametersRange.ExpirationDate, swaptionParametersRange.ExpirationDateBusinessDayAdjustments, swaptionParametersRange.ExpirationDateCalendar);
AdjustableOrAdjustedDate paymentDate = DateTypesHelper.ToAdjustableOrAdjustedDate(swaptionParametersRange.PaymentDate, swaptionParametersRange.PaymentDateBusinessDayAdjustments, swaptionParametersRange.PaymentDateCalendar);
TimeSpan earliestExerciseTimeAsTimeSpan = TimeSpan.FromDays(swaptionParametersRange.EarliestExerciseTime);
DateTime earliestExerciseTime = DateTime.MinValue.Add(earliestExerciseTimeAsTimeSpan);
TimeSpan expirationTimeAsTimeSpan = TimeSpan.FromDays(swaptionParametersRange.ExpirationTime);
DateTime expirationTime = DateTime.MinValue.Add(expirationTimeAsTimeSpan);
var swaption = SwaptionFactory.Create(swap, premium, swaptionParametersRange.PremiumPayer, swaptionParametersRange.PremiumReceiver,
paymentDate, expirationDate,
earliestExerciseTime, expirationTime, swaptionParametersRange.AutomaticExcercise);
// overrides the premium created by SwaptionFactort.Create
//
var feeList = new List <Payment>();
if (null != feePaymentList)
{
feeList.AddRange(feePaymentList.Select(feePaymentRangeItem => new Payment
{
paymentDate = DateTypesHelper.ToAdjustableOrAdjustedDate(feePaymentRangeItem.PaymentDate),
paymentAmount = MoneyHelper.GetNonNegativeAmount(feePaymentRangeItem.Amount),
payerPartyReference = PartyReferenceFactory.Create(feePaymentRangeItem.Payer),
receiverPartyReference = PartyReferenceFactory.Create(feePaymentRangeItem.Receiver)
}));
}
swaption.premium = feeList.ToArray();
string valuationReportAndProductId = tradeRange.Id ?? Guid.NewGuid().ToString();
swaption.id = valuationReportAndProductId;
ValuationReport valuationReport = ValuationReportGenerator.Generate(valuationReportAndProductId, baseParty, valuationReportAndProductId, tradeRange.TradeDate, swaption, fpMLMarket, assetValuation);
cache.SaveObject(valuationReport, valuationReportAndProductId, null);
InterestRateProduct.ReplacePartiesInValuationReport(valuationReport, partyIdList);
InterestRateProduct.AddOtherPartyPayments(valuationReport, otherPartyPaymentList);
return(valuationReportAndProductId);
}
