public PrivateCoreTests()
{
_client = new PrivateCore(new TraceLogger(false));
Dictionary <string, object> properties = new Dictionary <string, object>();
NamedValueSet namedValueSet = new NamedValueSet(properties);
Market market0 = new Market {
id = "Market0"
};
_client.SaveObject(market0, market0.id, namedValueSet, TimeSpan.MaxValue);
Market market1 = new Market {
id = "Market1"
};
_client.SaveObject(market1, market1.id, namedValueSet, TimeSpan.MaxValue);
Market market2 = new Market {
id = "Market2"
};
_client.SaveObject(market2, market2.id, namedValueSet, TimeSpan.MaxValue);
Market market3 = new Market {
id = "Market3"
};
_client.SaveObject(market3, market3.id, namedValueSet, TimeSpan.MaxValue);
}
private static void PublishWorkerResponse(ICoreClient client, InternalRequest internalRequest, string hostInstance)
{
if (internalRequest.Status == RequestStatusEnum.Undefined)
{
throw new ArgumentNullException("status");
}
WorkerResponse response = new WorkerResponse()
{
RequestId = internalRequest.RequestId.ToString(),
WorkerHostComputer = Environment.MachineName,
WorkerHostInstance = hostInstance,
Status = internalRequest.Status,
FaultDetail = internalRequest.FaultDetail
};
UserIdentity requesterId = null;
if (internalRequest.ExternalRequest != null)
{
requesterId = internalRequest.ExternalRequest.RequesterId;
}
if ((requesterId == null) && (internalRequest.Cancellation != null))
{
requesterId = internalRequest.Cancellation.RequesterId;
}
response.RequesterId = requesterId;
if ((response.Status == RequestStatusEnum.Cancelled) && (internalRequest.Cancellation != null))
{
response.CancelReason = internalRequest.Cancellation.CancelReason;
}
client.SaveObject <WorkerResponse>(response);
}
private static void PublishManagerResponse(ICoreClient client, InternalRequest internalRequest)
{
if (internalRequest.Status == RequestStatusEnum.Undefined)
{
throw new ArgumentNullException("status");
}
ManagerResponse response = new ManagerResponse()
{
RequestId = internalRequest.RequestId.ToString(),
Status = internalRequest.Status,
FaultDetail = internalRequest.FaultDetail
};
UserIdentity requesterId = null;
if (internalRequest.ExternalRequest != null)
{
requesterId = internalRequest.ExternalRequest.RequesterId;
}
if ((requesterId == null) && (internalRequest.Cancellation != null))
{
requesterId = internalRequest.Cancellation.RequesterId;
}
response.RequesterId = requesterId;
if ((response.Status == RequestStatusEnum.Cancelled) && (internalRequest.Cancellation != null))
{
response.CancelReason = internalRequest.Cancellation.CancelReason;
}
client.SaveObject <ManagerResponse>(response);
}
public void ConvertQuotedAssetSetsToRateCurveDefinition()
{
const string curveType = "RateCurve";
using (var logger = Reference <ILogger> .Create(new TraceLogger(true)))
{
using (ICoreClient client = (new CoreClientFactory(logger)).SetEnv(BuildConst.BuildEnv).Create())
{
IterateCurveProperties((ccy, index, marketName, tenor) =>
{
string indexName = $"{ccy}-{index}";
string curveName = $"{indexName}-{tenor}";
string qasItemName = String.Format("Orion.V5r3.QuotedAssetSet.{0}.{4}.{1}-{2}-{3}",
marketName, ccy, index, tenor, curveType);
// outputs
string curveItemName = String.Format("Orion.V5r3.Configuration.PricingStructures.{0}.{4}.{1}-{2}-{3}",
marketName, ccy, index, tenor, curveType);
var marketData = client.LoadObject <QuotedAssetSet>(qasItemName);
if (marketData != null)
{
RemoveMarketQuoteValues(marketData);
var curveDef = new Market
{
id = curveName,
Items = new PricingStructure[] { new YieldCurve {
id = curveName
} },
Items1 = new PricingStructureValuation[] {
new YieldCurveValuation {
id = curveName, inputs = marketData
}
}
};
var curveProps = new NamedValueSet();
curveProps.Set(CurveProp.Market, marketName);
curveProps.Set(CurveProp.PricingStructureType, curveType);
curveProps.Set(CurveProp.IndexName, indexName);
curveProps.Set(CurveProp.IndexTenor, tenor);
curveProps.Set(CurveProp.CurveName, curveName);
curveProps.Set("Algorithm", "FastLinearZero");
curveProps.Set(CurveProp.Currency1, ccy);
curveProps.Set(CurveProp.DataGroup, "Orion.V5r3.Configuration.PricingStructureType");
curveProps.Set("SourceSystem", "Orion");
curveProps.Set("Function", "Configuration");
curveProps.Set("Type", CurveProp.PricingStructureType);
curveProps.Set(CurveProp.UniqueIdentifier, curveItemName);
client.SaveObject(curveDef, curveItemName, curveProps, TimeSpan.MaxValue);
}
});
}
}
}
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);
}
}
}
public void ConvertQuotedAssetSetsToDiscountCurveDefinition()
{
using (var logger = Reference <ILogger> .Create(new TraceLogger(true)))
{
using (ICoreClient client = (new CoreClientFactory(logger)).SetEnv(BuildConst.BuildEnv).Create())
{
const string instrument = "LIBOR";
const string seniority = "SENIOR";
foreach (string ccy in "AUD;USD;EUR;NZD;GBP".Split(';'))
{
foreach (string marketName in CurveConst.QR_LIVE.Split(';'))
{
//foreach (string tenor in "3M".Split(';'))
{
//string indexName = String.Format("{0}-{1}", ccy, index);
string curveName = $"{ccy}-{instrument}-{seniority}";
string qasItemName = $"Orion.V5r3.MarketData.{marketName}.DiscountCurve.{curveName}";
// outputs
string curveItemName =
$"Orion.V5r3.Configuration.PricingStructures.{marketName}.DiscountCurve.{curveName}";
var marketData = client.LoadObject <QuotedAssetSet>(qasItemName);
if (marketData != null)
{
// strip out market quote values
foreach (var tradeItem in marketData.assetQuote)
{
foreach (var quote in tradeItem.quote)
{
if (quote.measureType.Value == "MarketQuote")
{
quote.valueSpecified = false;
quote.value = 0.0m;
}
}
}
var curveDef = new Market
{
id = curveName,
Items = new PricingStructure[] { new YieldCurve {
id = curveName
} },
Items1 = new PricingStructureValuation[] {
new YieldCurveValuation {
id = curveName, inputs = marketData
}
}
};
var curveProps = new NamedValueSet();
curveProps.Set(CurveProp.Market, marketName);
curveProps.Set(CurveProp.PricingStructureType, "DiscountCurve");
//curveProps.Set(CurveProp.IndexName, indexName);
//curveProps.Set(CurveProp.IndexTenor, tenor);
curveProps.Set("CreditInstrumentId", instrument);
curveProps.Set("CreditSeniority", seniority);
curveProps.Set(CurveProp.CurveName, curveName);
curveProps.Set("Algorithm", "FastLinearZero");
curveProps.Set(CurveProp.Currency1, ccy);
curveProps.Set(CurveProp.DataGroup, "Orion.V5r3.Configuration.PricingStructureType");
curveProps.Set("SourceSystem", "Orion");
curveProps.Set("Function", "Configuration");
curveProps.Set("Type", CurveProp.PricingStructureType);
curveProps.Set(CurveProp.UniqueIdentifier, curveItemName);
client.SaveObject(curveDef, curveItemName, curveProps, TimeSpan.MaxValue);
}
}
}
}
}
}
}
