public void GetDaysDifferenceZero()
{
SimpleDate date = new SimpleDate(31, 01, 1993);
SimpleDate date2 = new SimpleDate(31, 01, 1993);
Assert.AreEqual(date2.DaysDifference(date), 0);
}
public void StoreDate()
{
SimpleDate date = new SimpleDate(1, 2, 1993);
Assert.AreEqual(date.Day, 1);
Assert.AreEqual(date.Month, 2);
Assert.AreEqual(date.Year, 1993);
}
public void GetDaysDifferenceWithLeapYear()
{
SimpleDate date = new SimpleDate(31, 01, 1993);
SimpleDate date2 = new SimpleDate(09, 07, 1998);
Assert.AreEqual(date.DaysDifference(date2), 1985);
}
public SimpleDate AfterNumberOfDays(int days)
{
SimpleDate newDate = new SimpleDate(this.day, this.month, this.year);
// Do something here
int newDay = this.day;
int newMonth = this.month;
int newYear = this.year;
int count = 0;
while (count < days)
{
newDay++;
if (newDay > 30)
{
newDay = 1;
newMonth++;
if (newMonth > 12)
{
newMonth = 1;
newYear++;
}
}
count++;
}
newDate = new SimpleDate(newDay, newMonth, newYear);
return(newDate);
}
public void GetDaysDifference()
{
SimpleDate date = new SimpleDate(31, 01, 1993);
SimpleDate date2 = new SimpleDate(09, 07, 1994);
Assert.AreEqual(date.DaysDifference(date2), 524);
}
public void GetDaysDifferenceRevesed()
{
SimpleDate date = new SimpleDate(31, 01, 1993);
SimpleDate date2 = new SimpleDate(09, 07, 1998);
Assert.AreEqual(date2.DaysDifference(date), -1985);
}
public Customer(int custId, string name, Address address, SimpleDate registrationDate)
{
this.custId = custId;
this.name = name;
this.address = address;
this.registrationDate = registrationDate;
}
/// <summary>
/// Gets the last day of month.
/// </summary>
/// <param name="date">The date.</param>
/// <returns></returns>
private static int GetLastDayOfMonth(SimpleDate date)
{
switch (date.month)
{
case 1:
case 3:
case 5:
case 7:
case 8:
case 10:
case 12:
return(LONG_MONTH_LEN);
case 4:
case 6:
case 9:
case 11:
return(SHORT_MONTH_LEN);
}
if (IsLeapYear(date.year))
{
return(LONG_FEB_LEN);
}
return(SHORT_FEB_LEN);
}
public void DaysDifferenceTest()
{
Dog testSimpleDateDog = new Dog(1, new SimpleDate(15, 4, 2001), "bassie", new SimpleDate(16, 4, 2001));
SimpleDate testDate = new SimpleDate(16, 4, 2001);
Assert.AreNotEqual(testSimpleDateDog.LastWalkDate.Day, testDate.DaysDifference(testDate));
}
public Dividend setDate(SimpleDate date)
{
Dividend dividend = new Dividend(this.getStock(), this.getAmount(), date);
dividend.setComment(this.comment);
return(dividend);
}
public void GetDaysDifferenceRevesed()
{
SimpleDate date = new SimpleDate(31, 01, 1993);
SimpleDate date2 = new SimpleDate(09, 07, 1998);
Assert.AreEqual(date2.DaysDifference(date), -1985);
}
public void TestBadHabits()
{
SimpleDate birthday = new SimpleDate(13, 2, 2001);
Cat cat = new Cat(1, birthday, "smokey", "none", "");
Assert.AreEqual(cat.BadHabits, "none");
}
public void GetDaysDifferenceZero()
{
SimpleDate date = new SimpleDate(31, 01, 1993);
SimpleDate date2 = new SimpleDate(31, 01, 1993);
Assert.AreEqual(date2.DaysDifference(date), 0);
}
void DownloadOneStock(StockServerFactory fact, int stockId, DateTime startDate, DateTime endDate)
{
if (!StockMarketChecker.IsChinaShanghaiStock(stockId))
{
return;
}
Code curCode = Code.newInstance(StockMarketChecker.ToYahooStockId(stockId));
Duration duration = new Duration(startDate, endDate);
StockHistoryServer history = fact.getStockHistoryServer(curCode, duration);
if (history == null)
{
return;
}
int numberOfDate = history.getNumOfCalendar();
for (int i = 0; i < numberOfDate; i++)
{
SimpleDate dt = history.getCalendar(i);
DotNetStock.Engine.Stock stock = history.getStock(dt);
StockData data = StockDataAdapter.ToStockData(stock);
StockSaver_.Add(data);
}
}
/// <summary>
/// Basis 0, 30/360 date convention
/// </summary>
/// <param name="startDateVal">The start date value assumed to be less than or equal to endDateVal.</param>
/// <param name="endDateVal">The end date value assumed to be greater than or equal to startDateVal.</param>
/// <returns></returns>
public static double Basis0(int startDateVal, int endDateVal)
{
SimpleDate startDate = CreateDate(startDateVal);
SimpleDate endDate = CreateDate(endDateVal);
int date1day = startDate.day;
int date2day = endDate.day;
// basis zero has funny adjustments to the day-of-month fields when at end-of-month
if (date1day == LONG_MONTH_LEN && date2day == LONG_MONTH_LEN)
{
date1day = SHORT_MONTH_LEN;
date2day = SHORT_MONTH_LEN;
}
else if (date1day == LONG_MONTH_LEN)
{
date1day = SHORT_MONTH_LEN;
}
else if (date1day == SHORT_MONTH_LEN && date2day == LONG_MONTH_LEN)
{
date2day = SHORT_MONTH_LEN;
// Note: If date2day==31, it STAYS 31 if date1day < 30.
// Special fixes for February:
}
else if (startDate.month == 2 && IsLastDayOfMonth(startDate))
{
// Note - these assignments deliberately set Feb 30 date.
date1day = SHORT_MONTH_LEN;
if (endDate.month == 2 && IsLastDayOfMonth(endDate))
{
// only adjusted when first date is last day in Feb
date2day = SHORT_MONTH_LEN;
}
}
return(CalculateAdjusted(startDate, endDate, date1day, date2day));
}
public static Tuple <DateTime, DateTime> GetCalendarViewPeriod(DateOptions dateOptions, string calendarScope)
{
Tuple <DateTime, DateTime> period;
SimpleDate selDate = dateOptions.SelectedDate;
if (calendarScope == "day")
{
DateTime dt = new DateTime(selDate.Year, selDate.Month, selDate.Day);
period = new Tuple <DateTime, DateTime>(dt, dt.AddHours(23).AddMinutes(59).AddSeconds(59).AddMilliseconds(999));
}
else
{
DateTime firstDayOfCalendarView = (calendarScope == "week") ? new DateTime(selDate.Year, selDate.Month, selDate.Day) : new DateTime(selDate.Year, selDate.Month, 1);
DateTime lastDayOfCalendarView = (calendarScope == "week") ? new DateTime(selDate.Year, selDate.Month, selDate.Day) : new DateTime(selDate.Year, selDate.Month, DateTime.DaysInMonth(selDate.Year, selDate.Month));
// get FIRST date of Calendar view
while ((int)firstDayOfCalendarView.DayOfWeek != dateOptions.FirstDayOfWeek)
{
firstDayOfCalendarView = firstDayOfCalendarView.AddDays(-1);
}
// get LAST date of Calendar view
do
{
lastDayOfCalendarView = lastDayOfCalendarView.AddDays(1);
} while ((int)lastDayOfCalendarView.DayOfWeek != dateOptions.FirstDayOfWeek);
period = new Tuple <DateTime, DateTime>(firstDayOfCalendarView, lastDayOfCalendarView.AddMilliseconds(-1));
}
return(period);
}
public override Task <DialogTurnResult> BeginDialogAsync(DialogContext dc, object options = null, CancellationToken cancellationToken = default(CancellationToken))
{
string inputdate = SimpleDate.GetValue(dc.State);
int separatorIndex = inputdate.IndexOf(" ");
string day = inputdate.Substring(0, separatorIndex);
if (day.Length == 1)
{
day = "0" + day;
}
else if (day.Length > 2)
{
day = day.Substring(0, 2);
}
DateTime current = DateTime.Now;
int year = current.Year;
int curr_month = current.Month;
string month_string = inputdate.Substring((separatorIndex + 1), (inputdate.Length - separatorIndex - 1));
int month = 0;
string[] monthsArray = { "januari", "februari", "mars", "april", "maj", "juni", "juli", "augusti", "september", "oktober", "november", "december" };
month_string = month_string.ToLower();
for (int i = 0; i < monthsArray.Length; i++)
{
if (month_string == monthsArray[i])
{
month = (i + 1);
break;
}
else
{
month = 0;
}
}
if (curr_month > month && month != 0)
{
year++;
}
string year_string = year.ToString().Substring(2, 2);
month_string = month.ToString();
if (month_string.Length == 1)
{
month_string = "0" + month_string;
}
string fulldate = year_string + "/" + month_string + "/" + day;
if (this.DateResult != null)
{
dc.State.SetValue(this.DateResult.GetValue(dc.State), fulldate);
}
return(dc.EndDialogAsync(result: fulldate, cancellationToken: cancellationToken));
}
public override bool Equals(object compared)
{
// DO SOMETHING HERE
if (this == compared)
{
return(true);
}
// if the compared object is null or not of type Book, the objects are not equal
if ((compared == null) || !this.GetType().Equals(compared.GetType()))
{
return(false);
}
//
SimpleDate comparedSimpledate = (SimpleDate)compared;
if (this.year == comparedSimpledate.year && this.month == comparedSimpledate.month && this.day == comparedSimpledate.day)
{
// convert the object to a Book object
// if the values of the object variables are equal, the objects are, too
return(true);
}
return(false);
}
public void GetDaysDifferenceWithLeapYear()
{
SimpleDate date = new SimpleDate(31, 01, 1993);
SimpleDate date2 = new SimpleDate(09, 07, 1998);
Assert.AreEqual(date.DaysDifference(date2), 1985);
}
public void GetDaysDifference()
{
SimpleDate date = new SimpleDate(31, 01, 1993);
SimpleDate date2 = new SimpleDate(09, 07, 1994);
Assert.AreEqual(date.DaysDifference(date2), 524);
}
public void TestCatPriceLess20()
{
SimpleDate birthday = new SimpleDate(13, 2, 2001);
Cat cat = new Cat(1, birthday, "Kevin", "heisabitsickandheisabittiredheisabitsickandheisabittiredheisabitsickandheisabittired", "");
Assert.AreEqual(cat.Price, 20);
}
public void TestCatPriceLess60()
{
SimpleDate birthday = new SimpleDate(13, 2, 2001);
Cat cat = new Cat(1, birthday, "Kevin", "sick", "");
Assert.AreEqual(cat.Price, 56);
}
public void AddAnimalWithNegativeChipnumber()
{
SimpleDate birthday = new SimpleDate(13, 2, 2001);
Administration a = new Administration();
Cat cat = new Cat(-1, birthday, "smokey", "none", "");
a.Add(cat);
}
public void StoreDate()
{
SimpleDate date = new SimpleDate(1, 2, 1993);
Assert.AreEqual(date.Day, 1);
Assert.AreEqual(date.Month, 2);
Assert.AreEqual(date.Year, 1993);
}
public SimpleDate AfterNumberOfDays(int days)
{
SimpleDate newDate = new SimpleDate(this.day, this.month, this.year);
// Do something here
newDate.Advance(days);
return(newDate);
}
public void TestDogLastwalkdate()
{
MakeDog();
SimpleDate expected = new SimpleDate(5, 5, 2016);
SimpleDate actual = dogtest.LastWalkDate;
Assert.AreEqual(expected.ToString(), actual.ToString());
}
public void IncorrectLastWalkDate()
{
SimpleDate testLastWalkDate = new SimpleDate(16, 4, 2001);
Assert.AreEqual(testLastWalkDate.Day, testHond3.LastWalkDate.Day);
Assert.AreEqual(testLastWalkDate.Month, testHond3.LastWalkDate.Month);
Assert.AreNotEqual(testLastWalkDate.Year, testHond3.LastWalkDate.Year);
}
/// <summary>
/// Determines whether [is last day of month] [the specified date].
/// </summary>
/// <param name="date">The date.</param>
/// <returns>
/// <c>true</c> if [is last day of month] [the specified date]; otherwise, <c>false</c>.
/// </returns>
private static bool IsLastDayOfMonth(SimpleDate date)
{
if (date.day < SHORT_FEB_LEN)
{
return(false);
}
return(date.day == GetLastDayOfMonth(date));
}
private Manager(Gender gender, string firstname, string lastname, SimpleDate dateOfBirth, string country)
{
Gender = gender;
Firstname = firstname;
Lastname = lastname;
DateOfBirth = dateOfBirth;
Country = country;
}
public void TestCatDateofbirth()
{
MakeCat();
SimpleDate expected = new SimpleDate(2, 3, 2015);
SimpleDate actual = cattest.DateOfBirth;
Assert.AreEqual(expected.ToString(), actual.ToString());
}
public void TestDogPrice20002()
{
SimpleDate birthday = new SimpleDate(13, 2, 2001);
SimpleDate walked = new SimpleDate(15, 2, 2001);
Dog dog = new Dog(200002, birthday, "Kevin", walked, "");
Assert.AreEqual(dog.Price, 200);
}
public void TestLastDayWalked()
{
SimpleDate birthday = new SimpleDate(13, 2, 2001);
SimpleDate walked = new SimpleDate(15, 2, 2001);
Dog dog = new Dog(1, birthday, "Kevin", walked, "");
Assert.AreEqual(dog.LastWalkDate, walked);
}
public SimpleDate AfterNumberOfDays(int days)
{
SimpleDate newDate = new SimpleDate(/* Do something here?*/);
// Do something here
return(newDate);
}
internal static async Task <IEnumerable <Vote> > GetAndParseVotesAsync(VoteDumpVersion version)
{
var url = version == VoteDumpVersion.One ? Constants.VotesDump : Constants.VotesDump2;
Debug.WriteLine($"Requesting Votes Dump via {url}");
// .Net Core removed WebClient and Http/WebRequests, so we need to use HttpClient.
var request = new HttpRequestMessage(HttpMethod.Get, new Uri(url));
// Manually add the headers every request rather then using the default headers,
// incase the client was rebuilt with a new name / version mid-application session
request.Headers.Add("User-Agent", $"{VndbUtils.ClientName} (v{VndbUtils.ClientVersion})");
var response = await VndbUtils.HttpClient.SendAsync(request);
response.EnsureSuccessStatusCode(); // Ensure we got data
var gzipStream = await response.Content.ReadAsStreamAsync();
var rawContents = await VndbUtils.UnGzip(gzipStream);
response.Dispose();
request.Dispose();
var results = new List <Vote>();
var votes = rawContents.Split(new[] { '\n' }, StringSplitOptions.RemoveEmptyEntries);
var expectedValues = version == VoteDumpVersion.One ? 3 : 4;
// Resharper "Loop can be converted to LINQ-expression won't work due to inline "out var" declaration
foreach (var vote in votes)
{
var values = vote.Split(new [] { ' ' }, expectedValues, StringSplitOptions.RemoveEmptyEntries);
if (values.Length != expectedValues)
{
continue;
}
SimpleDate date = null;
if (!UInt32.TryParse(values[0], out var vnId) ||
!UInt32.TryParse(values[1], out var uid) ||
!Byte.TryParse(values[2], out var value))
{
continue;
}
if (version == VoteDumpVersion.Two &&
(date = (SimpleDate)SimpleDateConverter.ParseString(values[3])) == null)
{
continue;
}
results.Add(new Vote(version, vnId, uid, value, date));
}
return(results);
}
public void ToStringTestDog()
{
SimpleDate birthday = new SimpleDate(13, 2, 2001);
SimpleDate walked = new SimpleDate(15, 2, 2001);
Dog dog = new Dog(1, birthday, "Kevin", walked, "");
string testString = dog.ToString();
Assert.AreEqual(testString, "Dog: 1, 13-02-2001, Kevin, not reserved, 200, 15-02-2001");
}
public void NormallyInsertDate()
{
using (var container = new RhetosTestContainer())
{
var repository = container.Resolve<Common.DomRepository>();
var entity = new SimpleDate { Value = new DateTime(2013, 7, 3) };
repository.TestMaxValue.SimpleDate.Insert(new[] { entity });
}
}
public void NormallyInsertDate()
{
using (var executionContext = new CommonTestExecutionContext())
{
var repository = new Common.DomRepository(executionContext);
var entity = new SimpleDate { Value = new DateTime(2013, 7, 3) };
repository.TestMaxValue.SimpleDate.Insert(new[] { entity });
}
}
public static double GetCurrentNominal(Trade trade, SimpleDate date, DateTime effectiveDate)
{
if (trade.Product != null)
{
var nominal = Math.Abs(trade.CurrentNominal(date, effectiveDate, false));
int sign = 1;
if (trade.Product.IsMultiplyTraded) sign = trade.Quantity > 0 ? 1 : -1;
else
{
string ss = trade.Product.GetBuySell(trade);
if (ss != null && ss.Equals("Sell")) sign = -1;
}
return sign * nominal;
}
return 0;
}
public string GenerateFileName(string dir, string fileName, SimpleDate date, DateTime time, IDictionary<string, string> parms)
{
string type = fileName;
var files = Directory.GetFiles(dir, "*" + type + "*");
DateTime found = DateTime.MinValue;
string fileFound = null;
foreach (var file in files)
{
var path = Path.Combine(dir, file);
var dt = File.GetCreationTime(path);
if (found == DateTime.MinValue || found < dt)
{
found = dt;
fileFound = file;
}
}
return fileFound == null ? null : Path.GetFileName(fileFound);
}
static public void Main(string[] args)
{
var scount = Env.GetOption("-count", args);
var client = new ClientSession(args);
client.StartAndConnect("ApplyTermination");
Logger.Info(".....Apply Termination Started ........................");
var trade =new Trade(); //Get the Trade for which to apply the Termaition
var market = new Market(); //Should get the Real Market
var asOfDate = new DateTime(); //negotiated Trade Date of the Termination/StepOut
var effDate = new SimpleDate(23,2,2012);
double fee =10000; //Total Proceeds (Fee > 0, you receive the Amount Fee < 0 you pay to the Counterpary)
string party = "GS"; //Fill it in case this is a StepOut
ApplyFullTermination(trade, fee, party, market, asOfDate, effDate);
//Then you can save the Trade
if (trade.Id <= 0) Env.Current.Trade.SaveTrade(trade);
Console.WriteLine("Enter to Exit ...");
Console.ReadLine();
Environment.Exit(0);
}
static public void ApplyExpiry(Trade trade, SimpleDate effectiveDate, Market market)
{
var tdate = effectiveDate.ToDateTime();
var pevent = new ExpiryEvent(trade)
{
ClearerId = trade.ClearerId,
TradeType = trade.TradeType,
InputTime = tdate,
ActivityTime = tdate,
ProcessedTime = tdate,
Action = TradeEventWorkflowConst.PROCESS
};
pevent.ActivityTime = tdate;
var handler = (ExpiryProductEventHandler)ProductEvent.Handler(pevent.EventType, trade.Product.ProcessingType);
var newTrades = new List<Trade>();
var modifiedTrades = new List<Trade>();
handler.Process(pevent, market, trade, newTrades, modifiedTrades, new List<IProductEvent>());
trade.Status = "Expired";
}
virtual protected bool IsBadMaturity(SimpleDate date1, SimpleDate date2, bool isMurex)
{
//return false;
if (!isMurex && date1.Day == 1) return false;
return Math.Abs(date1 - date2) >= 7;
}
protected void AddTrade(Trade initTrade, Trade tradeToAdd, DateTime reconcileDate)
{
var valDate = new SimpleDate(reconcileDate);
var valTime = reconcileDate;
/*
if (tradeToAdd.Product is NDF)
{
var ndfx = (NDF)tradeToAdd.Product;
var trades = ndfx.ToFxTrades(tradeToAdd);
AddTrade(initTrade, trades[0], reconcileDate);
if (trades.Count == 2)
{
if (ndfx.FXFixingDate <= new SimpleDate(reconcileDate))
{
var tr = trades[1];
tr.Id = -tr.Id;
AddTrade(initTrade, tr, reconcileDate);
}
}
return;
}*/
if (initTrade.Product is FX)
{
if (initTrade.Id == tradeToAdd.Id)
{
var fx1 = (FX)initTrade.Product;
if (tradeToAdd.Quantity > 0) fx1.QuotingAmount = -fx1.QuotingAmount;
else fx1.PrimaryAmount = -fx1.PrimaryAmount;
return;
}
initTrade.Quantity += tradeToAdd.Quantity;
initTrade.SettleAmount += tradeToAdd.SettleAmount;
initTrade.Accrual += tradeToAdd.Accrual;
var fx = (FX)initTrade.Product;
var ofx = (FX)tradeToAdd.Product;
if (tradeToAdd.Quantity > 0)
{
fx.PrimaryAmount += ofx.PrimaryAmount;
fx.QuotingAmount -= ofx.QuotingAmount;
}
else
{
fx.PrimaryAmount -= ofx.PrimaryAmount;
fx.QuotingAmount += ofx.QuotingAmount;
}
}
else if (initTrade.Product.IsMultiplyTraded)
{
if (initTrade.Id == tradeToAdd.Id) return;
initTrade.Quantity += tradeToAdd.Quantity;
initTrade.SettleAmount += tradeToAdd.SettleAmount;
initTrade.Accrual += tradeToAdd.Accrual;
}
else if (initTrade.Product is VolSwap)
{
var volswap1 = (VolSwap)initTrade.Product;
var volswap2 = (VolSwap)tradeToAdd.Product;
if (initTrade.Id == tradeToAdd.Id)
{
if (volswap1.BuySell == BuySell.Buy)
{
initTrade.Quantity = volswap1.CurrentNominal(valDate, valTime, false);
}
else
{
initTrade.Quantity = -volswap1.CurrentNominal(valDate, valTime, false);
}
}
else
{
if (volswap2.BuySell == BuySell.Buy)
{
initTrade.Quantity += volswap2.CurrentNominal(valDate, valTime, false);
}
else
{
initTrade.Quantity -= volswap2.CurrentNominal(valDate, valTime, false);
}
}
}
else if (initTrade.Product is FXOption)
{
if (initTrade.Id == tradeToAdd.Id)
{
var fx1 = (FXOption)initTrade.Product;
if (tradeToAdd.Quantity > 0) fx1.QuotingAmount = -fx1.QuotingAmountAsOfDate(valDate, valTime);
else fx1.PrimaryAmount = -fx1.PrimaryAmountAsOfDate(valDate, valTime);
if (fx1.InitialPremiumPayReceive == PayReceive.Pay)
fx1.InitialPremiumAmount = -fx1.InitialPremiumAmount;
var fxinfo = fx1.OptionInfo as DigitalInfo;
if (fxinfo != null)
{
if (tradeToAdd.Quantity > 0)
fxinfo.SettlementAmount = fxinfo.SettlementAmount;
else fxinfo.SettlementAmount = -fxinfo.SettlementAmount;
}
return;
}
var fx = (FXOption)initTrade.Product;
var ofx = (FXOption)tradeToAdd.Product;
if (ofx.IsBuy)
{
fx.PrimaryAmount += ofx.PrimaryAmountAsOfDate(valDate, valTime);
fx.QuotingAmount -= ofx.QuotingAmountAsOfDate(valDate, valTime);
}
else
{
fx.PrimaryAmount -= ofx.PrimaryAmountAsOfDate(valDate, valTime);
fx.QuotingAmount += ofx.QuotingAmountAsOfDate(valDate, valTime);
}
if (ofx.InitialPremiumPayReceive == PayReceive.Pay)
fx.InitialPremiumAmount -= ofx.InitialPremiumAmount;
else fx.InitialPremiumAmount += ofx.InitialPremiumAmount;
if (fx.PrimaryAmount < 0)
{
initTrade.Quantity = -1;
fx.IsBuy = false;
}
else
{
initTrade.Quantity = 1;
fx.IsBuy = true;
}
var optionInfo = ofx.OptionInfo;
if (optionInfo != null)
{
if (optionInfo is DigitalInfo)
{
var fxinfo = fx.OptionInfo as DigitalInfo;
if (fxinfo != null)
{
if (tradeToAdd.Quantity > 0)
fxinfo.SettlementAmount += (optionInfo as DigitalInfo).SettlementAmount;
else fxinfo.SettlementAmount -= (optionInfo as DigitalInfo).SettlementAmount;
}
}
}
}
else if (initTrade.Product is MTMCurrencySwap)
{
if (initTrade.Id == tradeToAdd.Id)
{
var sw1 = (MTMCurrencySwap)initTrade.Product;
if (tradeToAdd.Product.GetBuySellEnum(tradeToAdd) == BuySell.Buy)
{
initTrade.Quantity = sw1.PayLeg.Notional;
initTrade.SettleAmount = sw1.ReceiveLeg.CurrentNominal(valDate, valTime, false);
}
else
{
initTrade.Quantity = -sw1.PayLeg.Notional;
initTrade.SettleAmount = -sw1.ReceiveLeg.CurrentNominal(valDate, valTime, false);
}
sw1.PayLeg.Notional = Math.Abs(initTrade.Quantity);
sw1.ReceiveLeg.Notional = Math.Abs(initTrade.SettleAmount);
initTrade.SettleCurrency = sw1.PayLeg.NotionalCurrency;
return;
}
var sw = (Swap)initTrade.Product;
var osw = (Swap)tradeToAdd.Product;
if (initTrade.SettleCurrency == osw.PayLeg.NotionalCurrency)
{
if (tradeToAdd.Product.GetBuySellEnum(tradeToAdd) == BuySell.Buy)
{
initTrade.Quantity += osw.PayLeg.CurrentNominal(valDate, valTime, false);
initTrade.SettleAmount += osw.ReceiveLeg.CurrentNominal(valDate, valTime, false);
}
else
{
initTrade.Quantity -= osw.PayLeg.CurrentNominal(valDate, valTime, false);
initTrade.SettleAmount -= osw.ReceiveLeg.CurrentNominal(valDate, valTime, false);
}
sw.PayLeg.Notional = Math.Abs(initTrade.Quantity);
sw.ReceiveLeg.Notional = Math.Abs(initTrade.SettleAmount);
}
else
{
if (tradeToAdd.Product.GetBuySellEnum(tradeToAdd) == BuySell.Buy)
{
initTrade.Quantity += osw.ReceiveLeg.CurrentNominal(valDate, valTime, false);
initTrade.SettleAmount += osw.PayLeg.CurrentNominal(valDate, valTime, false);
}
else
{
initTrade.Quantity -= osw.ReceiveLeg.CurrentNominal(valDate, valTime, false);
initTrade.SettleAmount -= osw.PayLeg.CurrentNominal(valDate, valTime, false);
}
sw.PayLeg.Notional = Math.Abs(initTrade.Quantity);
sw.ReceiveLeg.Notional = Math.Abs(initTrade.SettleAmount);
}
}
else if (initTrade.Product is CurrencySwap)
{
if (initTrade.Id == tradeToAdd.Id)
{
var sw1 = (CurrencySwap)initTrade.Product;
if (tradeToAdd.Product.GetBuySellEnum(tradeToAdd) == BuySell.Buy)
{
initTrade.Quantity = sw1.PayLeg.CurrentNominal(valDate, valTime, false);
initTrade.SettleAmount = sw1.ReceiveLeg.CurrentNominal(valDate, valTime, false);
}
else
{
initTrade.Quantity = -sw1.PayLeg.CurrentNominal(valDate, valTime, false);
initTrade.SettleAmount = -sw1.ReceiveLeg.CurrentNominal(valDate, valTime, false);
}
sw1.PayLeg.Notional = Math.Abs(initTrade.Quantity);
sw1.ReceiveLeg.Notional = Math.Abs(initTrade.SettleAmount);
initTrade.SettleCurrency = sw1.PayLeg.NotionalCurrency;
return;
}
var sw = (Swap)initTrade.Product;
var osw = (Swap)tradeToAdd.Product;
if (initTrade.SettleCurrency == osw.PayLeg.NotionalCurrency)
{
if (tradeToAdd.Product.GetBuySellEnum(tradeToAdd) == BuySell.Buy)
{
initTrade.Quantity += osw.PayLeg.CurrentNominal(valDate, valTime, false);
initTrade.SettleAmount += osw.ReceiveLeg.CurrentNominal(valDate, valTime, false);
}
else
{
initTrade.Quantity -= osw.PayLeg.CurrentNominal(valDate, valTime, false);
initTrade.SettleAmount -= osw.ReceiveLeg.CurrentNominal(valDate, valTime, false);
}
sw.PayLeg.Notional = Math.Abs(initTrade.Quantity);
sw.ReceiveLeg.Notional = Math.Abs(initTrade.SettleAmount);
}
else
{
if (tradeToAdd.Product.GetBuySellEnum(tradeToAdd) == BuySell.Buy)
{
initTrade.Quantity += osw.ReceiveLeg.CurrentNominal(valDate, valTime, false);
initTrade.SettleAmount += osw.PayLeg.CurrentNominal(valDate, valTime, false);
}
else
{
initTrade.Quantity -= osw.ReceiveLeg.CurrentNominal(valDate, valTime, false);
initTrade.SettleAmount -= osw.PayLeg.CurrentNominal(valDate, valTime, false);
}
sw.PayLeg.Notional = Math.Abs(initTrade.Quantity);
sw.ReceiveLeg.Notional = Math.Abs(initTrade.SettleAmount);
}
}
else if (initTrade.Product is Swap)
{
if (initTrade.Id == tradeToAdd.Id)
{
var sw1 = (Swap)initTrade.Product;
if (tradeToAdd.Product.GetBuySellEnum(tradeToAdd) == BuySell.Buy)
initTrade.Quantity = initTrade.Product.CurrentNominal(valDate, valTime, false);
else initTrade.Quantity = -initTrade.Product.CurrentNominal(valDate, valTime, false);
sw1.PayLeg.Notional = Math.Abs(initTrade.Quantity);
sw1.ReceiveLeg.Notional = Math.Abs(initTrade.Quantity);
return;
}
var sw = (Swap)initTrade.Product;
var osw = (Swap)tradeToAdd.Product;
if (tradeToAdd.Product.GetBuySellEnum(tradeToAdd) == BuySell.Buy)
{
initTrade.Quantity += osw.CurrentNominal(valDate, valTime, false);
}
else
{
initTrade.Quantity -= osw.CurrentNominal(valDate, valTime, false);
}
sw.PayLeg.Notional = Math.Abs(initTrade.Quantity);
sw.ReceiveLeg.Notional = Math.Abs(initTrade.Quantity);
}
else if (initTrade.Product is Swaption)
{
if (initTrade.Id == tradeToAdd.Id)
{
if (tradeToAdd.Product.GetBuySellEnum(tradeToAdd) == BuySell.Buy)
initTrade.Quantity = initTrade.Product.CurrentNominal(valDate, valTime, false);
else initTrade.Quantity = -initTrade.Product.CurrentNominal(valDate, valTime, false);
return;
}
var sw = (Swaption)initTrade.Product;
var osw = (Swaption)tradeToAdd.Product;
if (tradeToAdd.Product.GetBuySellEnum(tradeToAdd) == BuySell.Buy)
{
initTrade.Quantity += osw.CurrentNominal(valDate, valTime, false);
}
else
{
initTrade.Quantity -= osw.CurrentNominal(valDate, valTime, false);
}
}
else if (initTrade.Product is FRA)
{
if (initTrade.Id == tradeToAdd.Id)
{
if (tradeToAdd.Product.GetBuySellEnum(tradeToAdd) == BuySell.Buy)
initTrade.Quantity = initTrade.Product.CurrentNominal(valDate, valTime, false);
else initTrade.Quantity = -initTrade.Product.CurrentNominal(valDate, valTime, false);
return;
}
var sw = (FRA)initTrade.Product;
var osw = (FRA)tradeToAdd.Product;
if (tradeToAdd.Product.GetBuySellEnum(tradeToAdd) == BuySell.Buy)
{
initTrade.Quantity += osw.CurrentNominal(valDate, valTime, false);
}
else
{
initTrade.Quantity -= osw.CurrentNominal(valDate, valTime, false);
}
}
}
public Trade FromString(string[] items, IDictionary<string, int> headers, IList<Exception> exceps, Market market, CultureInfo info, SimpleDate asOfDate)
{
var symInfo = new SymmetryInfo(items, headers, info);
//Ignore Currency
if (symInfo.SecurityType.ToLower() == "currency") return null;
//if (symInfo.Maturity <= asOfDate) return null;
//if (symInfo.SecurityType.ToLower() != "spot-forward")
{
if (Math.Abs(symInfo.CurrentDayPosition - 0) < Utilities.Epsilon) return null;
}
var trade = new Trade();
//Build Security
Product product = null;
try
{
product = GetProduct(symInfo);
}
catch (Exception x)
{
Logger.Error(x.Message);
exceps.Add(
new Exception("No Product retrieved for Security Code:" + symInfo.SecurityType + "/" +
symInfo.Security));
}
var pr = new SymmetryProduct();
if (product != null)
{
trade.PriceType = QuotationType.Price;
if (product.QuoteName != null)
trade.PriceType = product.QuoteName.QuoteType;
if (product is FX)
{
var fx = product as FX;
double dd = symInfo.CurrentDayPosition;
if (symInfo.Currency == "USD")
{
if (fx.Primary == "USD")
{
fx.PrimaryAmount = dd;
if (dd > 0) trade.Quantity = 1;
else trade.Quantity = -1;
}
else if (fx.Quoting == "USD")
{
fx.PrimaryAmount = dd;
if (dd < 0) trade.Quantity = 1;
else trade.Quantity = -1;
}
}
else
{
if (symInfo.Currency == fx.Quoting)
{
fx.QuotingAmount = dd;
if (dd < 0) trade.Quantity = 1;
else trade.Quantity = -1;
}
else if (symInfo.Currency == fx.Primary)
{
fx.PrimaryAmount = dd;
trade.Quantity = dd;
}
}
fx.PrimarySettleDate = symInfo.Maturity;
fx.QuotingSettleDate = symInfo.Maturity;
trade.SettlementDate = symInfo.Maturity;
pr = null;
}
else if (product is FXOption)
{
trade.SetProperty(DPEDescription, symInfo.Security);
pr = null;
}
else if (product is VolSwap)
pr = null;
else if (product.IsMultiplyTraded) pr = null;
}
if (pr != null)
{
pr.DetailQuantity = symInfo.CurrentDayPosition;
pr.DetailCurrCode = symInfo.Currency;
pr.Security = string.IsNullOrEmpty(symInfo.Security) ?
symInfo.Currency + "|" + symInfo.SecurityType + "|" + symInfo.Maturity : symInfo.Security;
pr.SecurityType = symInfo.SecurityType;
pr.MaturityDate = symInfo.Maturity;
if (pr.Security == null) pr.Security = "Unknown";
if (symInfo.SecurityType != null && symInfo.SecurityType.ToLowerInvariant().Equals("swaptions"))
{
var desc = pr.Security.Split(' ');
for (int i = 0; i < desc.Length; i++)
{
if (desc[i] == "PAY" || desc[i] == "REC")
{
var strikes = desc[i + 1];
pr.Strike = Convert.ToDouble(strikes, CultureInfo.InvariantCulture) / 100;
break;
}
}
}
if (pr.Generator != null)
trade.SetProperty("Generator", pr.Generator);
}
trade.Product = product;
if (pr != null) trade.Product = pr;
trade.SettleCurrency = symInfo.Currency;
if (!(trade.Product is FX))
{
trade.Quantity = symInfo.CurrentDayPosition;
if (trade.Product is Mbs)
{
trade.Quantity /= ((Mbs)trade.Product).GetPrincipalFactorAsOf(asOfDate, asOfDate);
}
else if (trade.Product is Bond)
{
trade.Quantity /= ((Bond)trade.Product).Nominal;
}
else if (trade.Product is VolSwap)
{
trade.Quantity /= 100;
}
}
trade.SetProperty(ImportRef, symInfo.Security);
//trade.SettleAmount = Convert.ToDouble(items[DetailLocalCost]);
//Retrieve Book
var ss = symInfo.MicroStrategy;
string bookCode;
if (Utilities.IsNullOrEmpty(ss))
{
var traderName = Env.Current.StaticData.GetAlias(new Alias
{
EntityId = 0,
AliasType = PortfolioAliasType,
Source = Source,
SourceReference = symInfo.Trader
});
if (traderName != null)
bookCode = EntityPrefix + ":" + traderName.Name + ":" + "Default";
else
bookCode = EntityPrefix + ":Default";
}
else
{
bookCode = EntityPrefix + ":" + ss;
}
var book = Env.Current.StaticData.GetPartyByCode(bookCode);
if (book != null)
{
trade.BookId = book.Id;
}
return trade;
}
virtual protected IList<Contract> FindContracts(Feed feed, string ticker, SimpleDate tradeDate)
{
if (feed == null) return null;
var toSave = new List<Contract>();
var cts = new Dictionary<Contract, string>();
var contract = new Contract();
cts[contract] = ticker;
var exceptions = new List<Exception>();
try
{
var count = ImportHelper.SnapContracts(cts, feed, exceptions, toSave, tradeDate);
if (count > 0)
return toSave;
else return null;
}
catch (Exception ex)
{
exceptions.Add(ex);
return null;
}
}
static public void ApplyExercise(TradeInfo info, Trade trade, SimpleDate exerciseDate, SimpleDate settleDate,double amount, Market market, StringBuilder sb)
{
var pevent = new ExerciseEvent(trade)
{
ExerciseTime = exerciseDate.ToDateTime(),
EffectiveDate = exerciseDate,
AmountCurrency = trade.SettleCurrency,
Amount = amount,
CashSettlementDate = settleDate
};
pevent.ActivityTime = pevent.ExerciseTime;
var handler = (ExerciseProductEventHandler)ProductEvent.Handler(pevent.EventType, trade.Product.ProcessingType);
var newTrades = new List<Trade>();
var modifiedTrades = new List<Trade>();
handler.Process(pevent, market, trade, newTrades, modifiedTrades, new List<IProductEvent>());
if (trade.Fees != null)
{
foreach (Fee f in trade.Fees)
{
if (f.Date == pevent.CashSettlementDate)
{
f.InputAmount = amount;
}
}
}
trade.Status = "Exercised";
}
static public void Execute(ClientProxy cp, string outputName, DateTime startDate)
{
var clientSession = cp.Session;
var now = DateTime.Now; //Here replace by the Date at which you want to load the Trades
SimpleDate fromDate = new SimpleDate(startDate);
SimpleDate d2 = SimpleDate.Today;
var x2 = d2 - fromDate;
double days = (fromDate.ToDateTime() - d2.ToDateTime()).TotalDays;
var cal = OrchestradeCommon.Util.CalendarHelper.Get("GBLO");
const string filterName = "ClearedOTC_GrossNtl";
const string setupName = "Symmetry"; // for market
var filter = Env.Current.Trade.GetFilter(filterName) ??
new Filter { Name = "_AllCurrency_", Criteria = new List<FilterCriterion>() };
DataTable tblOut = new DataTable("TimeSeries");
tblOut.Columns.Add("Entity", typeof(string));
tblOut.Columns.Add("Portfolio", typeof(string));
tblOut.Columns.Add("Book", typeof(string));
tblOut.Columns.Add("Strategy", typeof(string));
tblOut.Columns.Add("Region", typeof(string));
tblOut.Columns.Add("Date", typeof(DateTime));
tblOut.Columns.Add("PositionDate", typeof(DateTime));
tblOut.Columns.Add("ProductId", typeof(int));
tblOut.Columns.Add("ProductDescription", typeof(string));
tblOut.Columns.Add("Currency", typeof(string));
tblOut.Columns.Add("UnderlierInfo", typeof(string));
tblOut.Columns.Add("PricingType", typeof(string));
tblOut.Columns.Add("TotalTradedQuantity", typeof(decimal));
tblOut.Columns.Add("Current_Notional", typeof(decimal));
tblOut.Columns.Add("Current_Notional_Base", typeof(decimal));
tblOut.Columns.Add("MaturityDate", typeof(DateTime));
tblOut.Columns.Add("ProcessingType", typeof(string));
tblOut.Columns.Add("Ccp", typeof(decimal));
tblOut.Columns.Add("Start_Date", typeof(DateTime));
tblOut.Columns.Add("End_Date", typeof(DateTime));
tblOut.Columns.Add("Fixed_Rate", typeof(double));
tblOut.Columns.Add("PayOrReceive", typeof(string));
tblOut.Columns.Add("Boxed_String1", typeof(string));
tblOut.Columns.Add("Boxed_String2", typeof(string));
tblOut.Columns.Add("Boxed_String3", typeof(string));
tblOut.Columns.Add("Netting_String1", typeof(string));
tblOut.Columns.Add("Netting_String2", typeof(string));
tblOut.Columns.Add("Netting_String3", typeof(string));
tblOut.Columns.Add("Tenor_Bucket", typeof(string));
tblOut.Columns.Add("PFE_Factor", typeof(double));
try
{
//Load Market First
var setup = Env.Current.MarketData.GetPricingSetup(setupName);
if (setup == null)
{
Console.WriteLine("PricingSetup does not exist: " + setupName);
return;
}
while (fromDate.Year == 2015)
{
if (!fromDate.IsBusinessDay(cal))
{
fromDate = fromDate.SubtractTenor(Tenor.Parse("1D"));
continue;
}
Console.WriteLine(fromDate.ToDateTime().ToString("dd MMM yyyy"));
var toDate = fromDate + 0;
var market = new Market {Setup = setup, Time = now};
var positions = LoadTradingPositions(filter, market, now, fromDate, toDate);
Console.WriteLine("Loading Trading Positions:");
var ccyList = getFxQuotes(fromDate, market, positions);
var outpos = positions.Select(p => new
object[]
{
p.Book.ParentName, // Entity
p.Book.Properties.ContainsKey("Portfolio") ? p.Book.Properties["Portfolio"] : string.Empty,
// Portfolio
p.Book.Code, // Book
p.Book.Properties.ContainsKey("Region") ? p.Book.Properties["Region"] : string.Empty,
// Strategy
p.Book.Properties.ContainsKey("Strategy") ? p.Book.Properties["Strategy"] : string.Empty,
// Region
p.Date.ToDateTime(), // Date
fromDate.ToDateTime(), // Position Date
p.ProductId, // Product Id
p.Product.Description, // Product Description
p.Product.Currency, // Currency
p.Product.UnderlierInfo, // Underlier Info
p.Product.PricingType, // Pricing Type
p.TotalTraded.Quantity, // Total Traded Quantity
Math.Abs(p.TotalTraded.Quantity), // Current Notional
// p.TotalTraded.Quantity * ccyList[p.Product.Currency],
Math.Abs(p.TotalTraded.Quantity*ccyList[p.Product.Currency]),
p.Product.ContractMaturity.ToDateTime(), // Maturity Date
p.Product.ProcessingType, // Processing Type
//** p.Product.Ccp, // CCP?
0,
p.Product.StartDate.ToDateTime(), // StartDate
p.Product.ContractMaturity.ToDateTime(), // End Date
p.Product.FixedRate, // Fixed Rate
PayOrReceive(p), // Pay / Rec
//Boxed String 1
string.Join(":",
new string[]
{
p.Product.Currency, p.Product.ProcessingType, p.Product.UnderlierInfo,
p.Product.StartDate.ToString(), p.Product.ContractMaturity.ToString(),
p.Book.Properties.ContainsKey("Portfolio")
? p.Book.Properties["Portfolio"]
: string.Empty,
p.Book.Code
}),
//Boxed String 2
string.Join(":",
new string[]
{
p.Product.Currency, p.Product.ProcessingType, p.Product.UnderlierInfo,
p.Product.StartDate.ToString(), p.Product.ContractMaturity.ToString(),
p.Book.Properties.ContainsKey("Portfolio")
? p.Book.Properties["Portfolio"]
: string.Empty,
p.Book.ParentName
}),
//Boxed String 3
string.Join(":",
new string[]
{
p.Product.Currency, p.Product.ProcessingType, p.Product.UnderlierInfo,
p.Product.StartDate.ToString(), p.Product.ContractMaturity.ToString(), p.Book.ParentName
}),
//Netting String 1
string.Join(":",
new string[]
{
p.Product.Currency, p.Product.ProcessingType, p.Product.StartDate.ToString(),
p.Product.ContractMaturity.ToString(), p.Product.FixedRate.ToString(),
p.Book.Properties.ContainsKey("Portfolio")
? p.Book.Properties["Portfolio"]
: string.Empty,
p.Book.Code
}),
//Netting String 2
string.Join(":",
new string[]
{
p.Product.Currency, p.Product.ProcessingType, p.Product.StartDate.ToString(),
p.Product.ContractMaturity.ToString(), p.Product.FixedRate.ToString(),
p.Book.Properties.ContainsKey("Portfolio")
? p.Book.Properties["Portfolio"]
: string.Empty,
p.Book.ParentName
}),
//Netting String 3
string.Join(":",
new string[]
{
p.Product.Currency, p.Product.ProcessingType, p.Product.StartDate.ToString(),
p.Product.ContractMaturity.ToString(), p.Product.FixedRate.ToString(), p.Book.ParentName
}),
TenorBucket(p),
TenorBucket(p) == ">5y" ? .05 : TenorBucket(p) == "1-5y" ? .005 : 0
});
foreach (var row in outpos)
{
tblOut.Rows.Add(row);
}
fromDate = fromDate.SubtractTenor(Tenor.Parse("1D"));
}
tblOut.WriteToCsvFile(outputName);
}
catch (Exception ex)
{
Console.WriteLine(ex.Message);
}
}
static public void SetUpAllocaitonGrid(string allocName, long blockEntity, long targetEntity, SimpleDate from, double percentage)
{
var alloc = Env.Current.StaticData.GetAllocationGridByName(AllocName);
if (alloc == null)
alloc = Env.Current.StaticData.SaveAllocationGrid(new AllocationGrid
{
Name = allocName,
BlockEntityId = blockEntity,
TargetEntityId = targetEntity,
FromDate = from,
Percentage = percentage
}
);
}
static public void ApplyTerm(bool isFull, Trade trade, SimpleDate tradeDate, SimpleDate effectiveDate,
string party, double fee, Market market, StringBuilder sb)
{
CleanUpFees(trade);
trade.Product.ClearFlows();
var tradeTime = tradeDate.ToDateTime();
//tradeTime = tradeTime.AddSeconds(count);
var settleDate = effectiveDate;
var stepOutPartyId = GetPartyIdFromCode(party);
bool isStepout = stepOutPartyId > 0 && stepOutPartyId != trade.PartyId;
if (isFull)
{
TerminationEvent pevent;
if (isStepout)
{
pevent = new StepOutEvent(trade);
(pevent as StepOutEvent).InitialParty = trade.PartyId;
(pevent as StepOutEvent).TargetParty = GetPartyIdFromCode(party);
pevent.FullCalculationPeriod = true;
}
else
{
pevent = new TerminationEvent(trade);
}
pevent.TradeTime = tradeTime;
// pevent.Price = price;
// pevent.PriceType = QuotationType.CleanPrice;
pevent.EffectiveDate = settleDate;
pevent.AmountCurrency = trade.Product.Currency;
pevent.Amount = fee;
pevent.InterestPaymentDate = settleDate;
//Termination Regular
var handler = (TerminationProductEventHandler)ProductEvent.Handler(pevent.EventType, trade.Product.ProcessingType);
var newTrades = new List<Trade>();
var modifiedTrades = new List<Trade>();
double accrual = 0;
try { accrual = handler.ComputeAccrual(trade, tradeTime, pevent.EffectiveDate, market, pevent.FXRate); }
catch (Exception ac)
{
sb.Append("*** Error computing Acrual for " + trade.Product.GetType().Name + " " + ac.Message + "\n");
}
pevent.Accrual = accrual;
handler.Process(pevent, market, trade, newTrades, modifiedTrades, new List<IProductEvent>());
if (trade.Fees != null)
{
foreach (Fee f in trade.Fees)
{
if (f.Date != pevent.EffectiveDate) continue;
if (f.FeeType != FeeType.AccrualOffset) f.InputAmount = accrual + pevent.Amount;
}
}
trade.Status = "Terminated";
}
else
{
//Partial
PartialTerminationEvent pevent;
var termamount = fee;
if (isStepout)
{
pevent = new PartialStepOutEvent(trade);
(pevent as PartialStepOutEvent).InitialParty = trade.PartyId;
(pevent as PartialStepOutEvent).TargetParty = GetPartyIdFromCode(party);
pevent.FullCalculationPeriod = true;
pevent.PreviousNotional = Math.Abs(trade.Product.CurrentNominal(trade.Product.ContractMaturity, tradeTime.AddSeconds(-1), false));
pevent.CurrentNotional = pevent.PreviousNotional - Math.Abs(termamount);
}
else
{
pevent = new PartialTerminationEvent(trade)
{
FullCalculationPeriod = true,
PreviousNotional =
Math.Abs(trade.Product.CurrentNominal(trade.Product.ContractMaturity, tradeTime.AddSeconds(-1), false))
};
pevent.CurrentNotional = pevent.PreviousNotional - Math.Abs(termamount);
}
pevent.EffectiveDate = settleDate;
pevent.TradeTime = tradeTime;
// pevent.Price = price;
// pevent.PriceType = QuotationType.CleanPrice;
pevent.EffectiveDate = settleDate;
pevent.AmountCurrency = trade.SettleCurrency;
// pevent.Amount = -termamount * (pevent.Price - 1);
pevent.InterestPaymentDate = settleDate;
//Termination Regular
var handler = (PartialTerminationProductEventHandler)ProductEvent.Handler(pevent.EventType, trade.Product.ProcessingType);
var newTrades = new List<Trade>();
var modifiedTrades = new List<Trade>();
double accrual = 0;
try { accrual = handler.ComputeAccrual(trade, tradeTime, pevent.EffectiveDate, market, pevent.PreviousNotional, pevent.CurrentNotional, true, pevent.FXRate); }
catch (Exception ac)
{
sb.Append("*** Error computing Acrual for " + trade.Product.GetType().Name + " " + ac.Message + "\n");
}
pevent.Accrual = accrual;
handler.Process(pevent, market, trade, newTrades, modifiedTrades, new List<IProductEvent>());
if (trade.Fees != null)
{
foreach (Fee f in trade.Fees)
{
if (f.Date == pevent.EffectiveDate && f.FeeType != FeeType.AccrualOffset) f.InputAmount = accrual + pevent.Amount;
}
}
}
}
static public string FormatDate(SimpleDate dd)
{
if (dd.IsNull) return string.Empty;
var sb = new StringBuilder();
if (dd.Month < 10)
sb.Append("0").Append(dd.Month);
else sb.Append(dd.Month);
sb.Append("/");
if (dd.Day < 10)
sb.Append("0").Append(dd.Day);
else sb.Append(dd.Day);
sb.Append("/");
sb.Append(dd.Year);
return sb.ToString();
}
static public Quote SaveAndLoadQuote(Trade trade, Market market, SimpleDate date, double mp, IList<Exception> exceptions)
{
if (market == null) return null;
var setup = market.Setup;
if (setup == null) return null;
IList<Trade> trades = new List<Trade>();
Quote theQuote = null;
trades.Add(trade);
var time = new DateTime(date.Year, date.Month, date.Day);
market.Time = time;
//TradeBlotter.Check(null, trades, market, time, true, false, false, false, null, false);
var mnames = new List<string> { Measure.Pv };
var optional = new Set<QuoteId>();
var quotes = new Set<QuoteId>();
var toSave = new List<Quote>();
try
{
IPricer pricer = setup.Pricer(trade.Product);
if (pricer == null) return null;
pricer.Quotes(trade, time, market, pricer.MakeMeasures(mnames), quotes, optional);
var bond = trade.Product as Bond;
if (bond != null && bond.IsIlliquid)
{
var q = new BondPricer().FindQuote(bond, bond.QuoteName.Name, market, date);
if (q != null) quotes.Add(q.QuoteId);
}
foreach (QuoteId qId in quotes)
{
var q = new Quote(setup.ClosingName, qId.Name, date, mp, mp, trade.PriceType);
toSave.Add(q);
theQuote = q;
break;
}
Env.Current.MarketData.SaveQuotes(toSave);
return theQuote;
}
catch (Exception x)
{
exceptions.Add(x);
return null;
}
}
public SimpleDate SettleDate { get; set; } // SETTLEMENT
public FxInfo(string[] ss, Dictionary<string, int> headers)
: base(ss, headers)
{
//var ss = line.Split(TradeImportHelper.Separators);
QuotingCcy = TradeInfo.GetValue(ss, headers, "M_XPQTYCUR");
PrimaryCcy = TradeInfo.GetValue(ss, headers, "M_XPOQTYCUR");
QuotingAmount = TradeInfo.GetDoubleValue(ss, headers, "M_XPQTY");
PrimaryAmount = TradeInfo.GetDoubleValue(ss, headers, "M_XPOQTY");
FixingDate = TradeInfo.GetDateValue(ss, headers, "Fixing Date");
FixingRate = TradeInfo.GetDoubleValue(ss, headers, "Fixing Rate");
SettleDate = TradeInfo.GetDateValue(ss, headers, "SETTLEMENT");
}
public static void GetParamsFromImagine(IDictionary<string, string> symbolDict, string rsymbol, string desc,
bool isOption, out string identifier1, out SimpleDate maturity, out double strike)
{
strike = double.NaN;
maturity = SimpleDate.Null;
identifier1 = null;
if (isOption)
{
var tokens = desc.Split(' ');
if (tokens.Length > 2)
{
if (tokens[2].EndsWith("P") || tokens[2].EndsWith("C"))
tokens[2] = tokens[2].Substring(0, tokens[2].Length - 1);
double.TryParse(tokens[2], out strike);
maturity = GetMaturity(tokens[1], rsymbol, tokens[0]);
identifier1 = MapIdentifier(symbolDict, tokens[0], true);
}
}
else
{
maturity = GetMaturity2(rsymbol.Substring(rsymbol.Length - 2));
identifier1 = MapIdentifier(symbolDict, rsymbol.Substring(0, rsymbol.Length - 2), false);
}
}
static private Dictionary<string, double> getFxQuotes(SimpleDate refDate, Market market, IList<Position> positions)
{
Dictionary<string, double> retList = new Dictionary<string, double>();
var currencyList = positions.Select(p => p.Product.Currency).Where(c => c != "USD").Distinct();
retList.Add("USD", 1);
foreach (var ccy in currencyList)
{
var cp = Env.Current.Trade.GetCurrencyPair(ccy, "USD");
if (cp != null)
{
var fxs = new FXSwap { Primary = cp.Primary, Quoting = cp.Quoting };
var spot = market.FindFx(ccy, "USD", refDate, true);
retList.Add(ccy, spot.Mid);
}
}
return retList;
}
static protected IList<Position> LoadTradingPositions(Filter filter, Market market, DateTime valuationTime, SimpleDate fromDate, SimpleDate toDate)
{
var builder = new PositionBuilder { PositionFilter = filter };
builder.AcceptCurrencySecurity = true;
builder.IncludeOtc = true;
builder.ExcludeNonLive = true;
builder.FromDate = fromDate;
builder.ToDate = toDate;
var asOfDate = market.Date(valuationTime);
return builder.Build(new SimpleDate(asOfDate));
}
public void ShouldThowUserExceptionOnInsertDate()
{
using (var executionContext = new CommonTestExecutionContext())
{
var repository = new Common.DomRepository(executionContext);
var entity = new SimpleDate { Value = new DateTime(2013, 7, 7) };
repository.TestMaxValue.SimpleDate.Insert(new[] { entity });
}
}
public string GenerateFileName(string dir, string fileName, SimpleDate date, DateTime time,
IDictionary<string, string> parms)
{
return null;
}
virtual protected List<SimpleDate> GetExpirations(Feed feed, Contract contract, SimpleDate date)
{
var exps = contract.NextExpiries(date, contract.TotalListed, true, true);
if (exps == null && feed != null && contract.ExpiryMethod.Equals("Manual"))
{
exps = new List<SimpleDate>();
var cexp = FeedImportSecurityTaskExecutor.SnapExpirations(date, contract, feed, new List<Exception>());
if (cexp != null && cexp.Count > 0)
{
foreach (var d in cexp)
{
var contMonth = d.ContractMonth;
if (!contMonth.IsNull)
{
Env.Current.MarketData.SaveContractExpiration(d);
exps.Add(d.ContractMonth);
}
}
}
exps = contract.NextExpiries(date, contract.TotalListed, true, true);
}
return exps;
}
public static void GetDates(string security, out SimpleDate start, out SimpleDate end)
{
var idx1 = security.IndexOf('(');
var idx2 = security.IndexOf(')');
start = SimpleDate.Null;
end = SimpleDate.Null;
if (idx1 > 0 && idx2 > 0 && idx2 > idx1)
{
var ss = security.Substring(idx1, idx2 - idx1 + 1);
var dates = ss.Split('-');
try
{
if (dates.Length == 1)
end = new SimpleDate(DateTime.ParseExact("dd MMM yyyy", ss, CultureInfo.InvariantCulture));
else
{
start = new SimpleDate(DateTime.ParseExact("dd MMM yyyy", ss, CultureInfo.InvariantCulture));
end = new SimpleDate(DateTime.ParseExact("dd MMM yyyy", ss, CultureInfo.InvariantCulture));
}
}
catch
{
return;
}
}
}
public void SetParams(IDictionary<string, string> pars, Task task, DateTime effectiveTime)
{
_params = pars;
_task = task;
_params["AsOfDate"] = new SimpleDate(effectiveTime).ToString();
}
