private DataSet prepareDataSet(OPTION outputOption)
{
DataSet ret = new DataSet();
// Create a new DataTable.
_returnedTable = new DataTable("BondPricer");
_returnedTable.Columns.Add(_ISINColumn);
_returnedTable.Columns.Add(_DATEColumn);
if (outputOption.Equals(OPTION.ALL) || outputOption.Equals(OPTION.DURATION))
{
_returnedTable.Columns.Add(_columns[OPTION.DURATION]);
}
if (outputOption.Equals(OPTION.ALL) || outputOption.Equals(OPTION.ACCRUEDINTEREST))
{
_returnedTable.Columns.Add(_columns[OPTION.ACCRUEDINTEREST]);
}
if (outputOption.Equals(OPTION.ALL) || outputOption.Equals(OPTION.CLEANPRICE))
{
_returnedTable.Columns.Add(_columns[OPTION.CLEANPRICE]);
}
if (outputOption.Equals(OPTION.ALL) || outputOption.Equals(OPTION.DIRTYPRICE))
{
_returnedTable.Columns.Add(_columns[OPTION.DIRTYPRICE]);
}
ret.Tables.Add(_returnedTable);
return(ret);
}
/// <summary>
/// Remplit la dataset donnée en paramètre avec le resultat du calcul de :
/// OPTION.DURATION , ou ou CLEANPRICE ou DIRTYPRICE ou ACCRUEDPRICE
/// sur la base source
/// </summary>
/// <param name="DS"></param>
public DataSet Execute(DataSet INPUTS, OPTION outputOption = OPTION.ALL)
{
DataRow row;
DataSet ret = prepareDataSet(outputOption);
// lecture input
foreach (DataTable dt in INPUTS.Tables)
{
IntegratorBatch.InfoLogger.Debug("Nb de bonds à pricer :" + dt.Rows.Count);
foreach (DataRow dr in dt.Rows)
{
// calcul pour une oblig
string ISIN = dr.Field <string>("ISIN");
DateTime DATE = dr.Field <DateTime>("DATE");
DateTime maturity = dr.Field <DateTime>("MATURITY");
double ttm = (dr.Field <double?>("TTM") ?? getDays_30E360(DATE, maturity));
double c = dr.Field <double>("COUPON");
double r = dr.Field <double>("RATE");
int nbPeriods;
if (ttm != null)
{
nbPeriods = (int)Math.Truncate((double)ttm);
}
else
{
// Calcul impossible
continue;
}
double?cp = null, ai = null;
row = _returnedTable.NewRow();
row["ISIN"] = ISIN;
row["DATE"] = DATE;
if (outputOption.Equals(OPTION.ALL) || outputOption.Equals(OPTION.CLEANPRICE))
{
cp = CleanPrice(c, nbPeriods, r);
row["CLEANPRICE"] = cp;
}
if (outputOption.Equals(OPTION.ALL) || outputOption.Equals(OPTION.DURATION))
{
if (c == 0 || nbPeriods <= 1)
{
row["DURATION"] = ttm;
}
else
{
cp = cp ?? CleanPrice(c, nbPeriods, r);
double duration = Duration((double)cp, c, nbPeriods, r);
row["DURATION"] = duration;
}
}
if (outputOption.Equals(OPTION.ALL) || outputOption.Equals(OPTION.ACCRUEDINTEREST))
{
ai = AccruedInterest(c, nbPeriods, ttm);
row["ACCRUEDINTEREST"] = ai;
}
if (outputOption.Equals(OPTION.ALL) || outputOption.Equals(OPTION.DIRTYPRICE))
{
cp = cp ?? CleanPrice(c, nbPeriods, r);
ai = ai ?? AccruedInterest(c, nbPeriods, ttm);
row["DIRTYPRICE"] = cp + ai;
}
_returnedTable.Rows.Add(row);
}
}
return(ret);
}