public void TestJsonSerializerFormat()
{
var x = new[]
{
new MktDepositJson
{
IndexType = "Fr007",
DepositInfo = new DepositInfo
{
StartDate = "2015-02-02"
}
},
new MktDepositJson
{
IndexType = "Fr001",
DepositInfo = new DepositInfo
{
StartDate = "2015-02-22"
}
},
};
var strX = DataContractJsonObjectSerializer.Serialize(x);
Console.WriteLine(strX);
var configReader = new ConfigFileTextReader("Configurations", "MarketInstrumentConventions", "Deposit.cfg");
var depositRule2 = DataContractJsonObjectSerializer.Deserialize <MktDepositJson[]>(configReader.ReadAllText())
.ToDictionary(item => item.IndexType, item => item);
Console.WriteLine(depositRule2.Count);
Assert.AreEqual(depositRule2.Count, 9);
}
static MktInstrumentIrsRule()
{
var configReader = new ConfigFileTextReader("Configurations", "MarketInstrumentConventions", "Irs.cfg");
MktIrsRule = DataContractJsonObjectSerializer.Deserialize <MktIrsJson[]>(configReader.ReadAllText())
.ToDictionary(x => x.IndexType.ToIndexType(), x => x);
}
static CalendarImpl()
{
if (!_cacheCalendarData)
{
const string filenameSuffix = ".txt";
#if !NETCOREAPP2_1
//TODO: fix it
try
{
if (System.AppDomain.CurrentDomain.DomainManager.HostExecutionContextManager.ToString().IndexOf("System.Web") >= 0)
{
FileLocationType = ConfigFileLocationType.Web;
}
}
catch
{
// ignore the error for now.
}
#endif
var calendarFiles =
ConfigFilePathHelper.GetFiles(FileLocationType, "Data", "Calendars")
.Where(x => x.EndsWith(filenameSuffix))
.ToArray();
var calendars = calendarFiles.Select(x =>
{
var calendarName = Path.GetFileNameWithoutExtension(x).ToUpper();
var s = File.ReadAllText(x);
var calendarHolidays = DataContractJsonObjectSerializer.Deserialize <CalendarHoliday>(s);
return(new CalendarImpl(calendarName, calendarHolidays));
});
AllCalendars = calendars.ToDictionary(x => x.CalendarName, x => x as ICalendar);
}
}
public static ConvertibleBondInfo ToConvertibleBondInfo(BondInfoBase bondInfo,
string conversionStartDate,
string conversionEndDate,
string conversionStockcode,
double conversionPrice,
string dividenCurveName,
bool treatAsCommonBond = false,
string[] ebcStrikeQuoteTypes = null,
string[] ebpStrikeQuoteTypes = null)
{
var json = DataContractJsonObjectSerializer.Serialize(bondInfo);
var bondPart = DataContractJsonObjectSerializer.Deserialize <BondInfoBase>(json);
bondPart.OptionToAssPut = null;
bondPart.OptionToCall = null;
bondPart.OptionToPut = null;
var hasPut = !(bondInfo.OptionToPut == null || !bondInfo.OptionToPut.Any());
var hasCall = !(bondInfo.OptionToCall == null || !bondInfo.OptionToCall.Any());
if (!hasPut)
{
bondInfo.OptionToPut = new Dictionary <string, double>();
}
if (!hasCall)
{
bondInfo.OptionToCall = new Dictionary <string, double>();
}
var ebos = bondInfo.OptionToPut.Select(x => new VanillaOptionInfo
(tradeId: "",
strike: x.Value,
underlyingTicker: bondInfo.BondId,
underlyingInstrumentType: "Bond",
valuationParameter: null,
startDate: bondInfo.StartDate,
underlyingMaturityDate: bondInfo.MaturityDate,
exerciseDates: x.Key,
calendar: bondInfo.Calendar,
dayCount: bondInfo.DayCount,
exercise: "European",
notional: 1.0,
optionType: "Call"
)).Union(
bondInfo.OptionToCall.Select(x => new VanillaOptionInfo
("",
strike: x.Value,
underlyingTicker: bondInfo.BondId,
underlyingInstrumentType: "Bond",
valuationParameter: null,
startDate: bondInfo.StartDate,
underlyingMaturityDate: bondInfo.MaturityDate,
exerciseDates: x.Key,
calendar: bondInfo.Calendar,
optionType: "Put",
dayCount: bondInfo.DayCount,
notional: 1.0)
)
).ToArray();
var eboStrikQuoteTypes = ebcStrikeQuoteTypes ?? new string[0]
.Union(ebpStrikeQuoteTypes ?? new string[0])
.ToArray();
var conversion = new VanillaOptionInfo(
tradeId: "",
strike: conversionPrice,
underlyingTicker: bondInfo.BondId,
underlyingInstrumentType: "Stock",
valuationParameter: null,
startDate: conversionStartDate,
underlyingMaturityDate: conversionEndDate,
calendar: bondInfo.Calendar,
optionType: "Call",
exercise: "American",
dayCount: bondInfo.DayCount,
notional: 1.0,
exerciseDates: bondInfo.OptionToCall.Keys.First()
);
return(new ConvertibleBondInfo(bondPart.BondId)
{
BondPart = bondPart,
ConversionOption = conversion,
EmbeddedOptions = ebos.Any() ? ebos : null,
EboStrikeQuoteTypes = eboStrikQuoteTypes.Any() ? eboStrikQuoteTypes : null,
ValuationParameters = new OptionValuationParameters(discountCurveName: bondInfo.ValuationParamters.DiscountCurveName,
dividendCurveName: dividenCurveName,
volSurfName: conversionStockcode + "Vol",
underlyingId: conversionStockcode),
TreatAsCommonBond = treatAsCommonBond
});
}
