public void TestTryParse_1y1m1q_Negative()
{
string tenor = "1y1m1q";
bool flag = Tenor.TryParse(tenor, out Tenor res);
Assert.IsFalse(flag);
}
public void TestTryParse_null_Negative()
{
string tenor = null;
bool flag = Tenor.TryParse(tenor, out Tenor res);
Assert.IsFalse(flag);
}
public void TestTryParse_1d1w1m1y_PositiveResult()
{
string tenor = "1d1w1m1y";
bool flag = Tenor.TryParse(tenor, out Tenor res);
Assert.AreEqual(1, res.Years);
Assert.AreEqual(1, res.Months);
Assert.AreEqual(1, res.Weeks);
Assert.AreEqual(1, res.Days);
Assert.IsTrue(flag);
}
private static Sensitivity ReadSensitivityFx(EntryObject o)
{
if (!Enum.TryParse(o.ProductClass, out Model.Product product))
{
throw new InvalidDataException($"The CRIF file contains a {o.RiskType} entry with an invalid ProductClass property.");
}
if (product != Model.Product.RatesFx)
{
throw new InvalidDataException($"The CRIF file contains a {o.RiskType} entry associated to a product class other than {Model.Product.RatesFx}.");
}
Amount amount = ReadAmount(o);
RegulationsInfo regulationsInfo = ReadRegulationsInfo(o);
TradeInfo tradeInfo = ReadTradeInfo(o);
if (o.RiskType == "Risk_FX")
{
if (!Currency.TryParse(o.Qualifier, out Currency currency))
{
throw new InvalidDataException("The CRIF file contains a Risk_FX entry with an invalid Qualifier property.");
}
if (!String.IsNullOrEmpty(o.Bucket) || !String.IsNullOrEmpty(o.Label1) || !String.IsNullOrEmpty(o.Label2))
{
throw new InvalidDataException("The CRIF file cannot specify Bucket, Label1 and Label2 properties for Risk_FX entries.");
}
return(Sensitivity.FxDelta(currency, amount, regulationsInfo, tradeInfo));
}
if (!CurrencyPair.TryParse(o.Qualifier, out CurrencyPair pair))
{
throw new InvalidDataException("The CRIF file contains a Risk_FXVol entry with an invalid Qualifier property.");
}
if (!Tenor.TryParse(o.Label1, out Tenor tenor))
{
throw new InvalidDataException("The CRIF file contains a Risk_FXVol entry with an invalid Label1 property.");
}
if (!String.IsNullOrEmpty(o.Bucket) || !String.IsNullOrEmpty(o.Label2))
{
throw new InvalidDataException("The CRIF file cannot specify the Label2 property for Risk_EquityVol entries.");
}
return(Sensitivity.FxVega(pair, tenor, amount, regulationsInfo, tradeInfo));
}
private static Sensitivity ReadSensitivityEquity(EntryObject o)
{
if (!Enum.TryParse(o.ProductClass, out Model.Product product))
{
throw new InvalidDataException($"The CRIF file contains a {o.RiskType} entry with an invalid ProductClass property.");
}
if (product != Model.Product.Equity)
{
throw new InvalidDataException($"The CRIF file contains a {o.RiskType} entry associated to a product class other than {Model.Product.Equity}.");
}
if (!DataValidator.IsValidQualifier(o.Qualifier, false))
{
throw new InvalidDataException($"The CRIF file contains a {o.RiskType} entry with an invalid Qualifier property.");
}
if (!BucketEquity.TryParse(o.Bucket, out BucketEquity bucket))
{
throw new InvalidDataException($"The CRIF file contains a {o.RiskType} entry with an invalid Bucket property.");
}
Amount amount = ReadAmount(o);
RegulationsInfo regulationsInfo = ReadRegulationsInfo(o);
TradeInfo tradeInfo = ReadTradeInfo(o);
if (o.RiskType == "Risk_Equity")
{
if (!String.IsNullOrEmpty(o.Label1) || !String.IsNullOrEmpty(o.Label2))
{
throw new InvalidDataException("The CRIF file cannot specify Label1 and Label2 properties for Risk_Equity entries.");
}
return(Sensitivity.EquityDelta(o.Qualifier, bucket, amount, regulationsInfo, tradeInfo));
}
if (!Tenor.TryParse(o.Label1, out Tenor tenor))
{
throw new InvalidDataException("The CRIF file contains a Risk_EquityVol entry with an invalid Label1 property.");
}
if (!String.IsNullOrEmpty(o.Label2))
{
throw new InvalidDataException("The CRIF file cannot specify the Label2 property for Risk_EquityVol entries.");
}
return(Sensitivity.EquityVega(o.Qualifier, bucket, tenor, amount, regulationsInfo, tradeInfo));
}
private static Sensitivity ParseSensitivityCreditNonQualifying(EntryObject o)
{
if (!Enum.TryParse(o.ProductClass, out Model.Product product))
{
throw new InvalidDataException($"The CRIF file contains a {o.RiskType} entry with an invalid ProductClass property.");
}
if (product != Model.Product.Credit)
{
throw new InvalidDataException($"The CRIF file contains a {o.RiskType} entry associated to a product class other than {Model.Product.Credit}.");
}
if (!BucketCreditNonQualifying.TryParse(o.Bucket, out BucketCreditNonQualifying bucket))
{
throw new InvalidDataException($"The CRIF file contains a {o.RiskType} entry with an invalid Bucket property.");
}
if (!Tenor.TryParse(o.Label1, out Tenor tenor))
{
throw new InvalidDataException($"The CRIF file contains a {o.RiskType} entry with an invalid Label1 property.");
}
if (!tenor.IsCreditTenor)
{
throw new InvalidDataException($"The CRIF file contains a {o.RiskType} entry associated to an improper tenor (accepted tenors are: {String.Join(", ", Tenor.Values.Where(x => x.IsCreditTenor).Select(x => x.Name))}.");
}
if (!String.IsNullOrEmpty(o.Label2))
{
throw new InvalidDataException($"The CRIF file cannot specify the Label2 property for {o.RiskType} entries.");
}
Amount amount = ReadAmount(o);
RegulationsInfo regulationsInfo = ReadRegulationsInfo(o);
TradeInfo tradeInfo = ReadTradeInfo(o);
if (o.RiskType == "Risk_CreditNonQ")
{
if (!DataValidator.IsValidQualifier(o.Qualifier, true))
{
throw new InvalidDataException($"The CRIF file contains a {o.RiskType} entry with an invalid Qualifier property.");
}
return(Sensitivity.CreditNonQualifyingDelta(o.Qualifier, bucket, tenor, amount, regulationsInfo, tradeInfo));
}
return(Sensitivity.CreditNonQualifyingVega(o.Qualifier, bucket, tenor, amount, regulationsInfo, tradeInfo));
}
private static Sensitivity ReadSensitivityInterestRate(EntryObject o)
{
if (!Enum.TryParse(o.ProductClass, out Model.Product product))
{
throw new InvalidDataException($"The CRIF file contains a {o.RiskType} entry with an invalid ProductClass property.");
}
if (product != Model.Product.RatesFx)
{
throw new InvalidDataException($"The CRIF file contains a {o.RiskType} entry associated to a product class other than {Model.Product.RatesFx}.");
}
if (!Currency.TryParse(o.Qualifier, out Currency currency))
{
throw new InvalidDataException($"The CRIF file contains a {o.RiskType} entry with an invalid Qualifier property.");
}
if (!Tenor.TryParse(o.Label1, out Tenor tenor))
{
throw new InvalidDataException($"The CRIF file contains a {o.RiskType} entry with an invalid Label1 property.");
}
Amount amount = ReadAmount(o);
RegulationsInfo regulationsInfo = ReadRegulationsInfo(o);
TradeInfo tradeInfo = ReadTradeInfo(o);
if (o.RiskType == "Risk_IRCurve")
{
if (String.IsNullOrEmpty(o.Bucket))
{
throw new InvalidDataException("The CRIF file contains a Risk_IRCurve entry with an invalid Bucket property.");
}
String currencyVolatility = ((Int32)currency.Volatility + 1).ToString();
if (o.Bucket != currencyVolatility)
{
throw new InvalidDataException($"The CRIF file contains a Risk_IRCurve entry with mismatching currency volatility and volatility bucket (for {currency} the Bucket property must be set to {currencyVolatility}).");
}
o.Label2 = DataValidator.FormatLibor(o.Label2, true);
if (!Enum.TryParse(o.Label2, out Curve curve))
{
throw new InvalidDataException("The CRIF file contains a Risk_IRCurve entry with an invalid Label2 property.");
}
if ((currency != Currency.Usd) && ((curve == Curve.Municipal) || (curve == Curve.Prime)))
{
throw new InvalidDataException($"The CRIF file contains a {o.RiskType} entry with a {curve} curve associated to a currency other than {Currency.Usd}.");
}
return(Sensitivity.InterestRateDelta(currency, tenor, curve, amount, regulationsInfo, tradeInfo));
}
if (!String.IsNullOrEmpty(o.Bucket) || !String.IsNullOrEmpty(o.Label2))
{
throw new InvalidDataException("The CRIF file cannot specify Bucket and Label2 properties for Risk_IRVol entries.");
}
return(Sensitivity.InterestRateVega(currency, tenor, amount, regulationsInfo, tradeInfo));
}