public void AutocallableCallDatesRipperWorks()
{
foreach (var testPair in _testFilePathAndExpectedCallDates)
{
string testFilePath = testPair.Key;
string textToParse = GeneralUtils.GetStringFromTextFile(testFilePath);
_autocallableRipper = DealRipperFactory.GetAutocallableRipper(textToParse);
DateTime [] expectedCallObservationDates = testPair.Value;
DateTime [] rippedCallObservationDates = _autocallableRipper.GetCallObservationDates();
int expectedDateCount = expectedCallObservationDates.Length;
int rippedDateCount = rippedCallObservationDates.Length;
string msgOnFailure = string.Format("The expected number of call observations ({0}) " +
"doesn't match the ripped number of call " +
"observations ({1}) in following file path: " +
"{2}.",
expectedDateCount, rippedDateCount, testFilePath);
Assert.AreEqual(expectedDateCount, rippedDateCount, msgOnFailure);
for (int i = 0; i < expectedCallObservationDates.Length; i++)
{
DateTime expectedDate = expectedCallObservationDates [i];
DateTime rippedDate = rippedCallObservationDates [i];
msgOnFailure = string.Format("The call observation date we expected ({0}) " +
"is different than the call observation date we " +
"ripped ({1}) in the following file path: {2}.",
expectedDate, rippedDate, testFilePath);
Assert.AreEqual(expectedDate, rippedDate, msgOnFailure);
}
}
}
public new virtual StepDownAutocallableContainer GetDealContainer(AutocallableRipper ripper)
{
StepDownAutocallableContainer container = new StepDownAutocallableContainer();
parse(container, ripper);
return(container);
}
public virtual AutocallableContainer GetDealContainer(AutocallableRipper ripper)
{
AutocallableContainer container = new AutocallableContainer();
parse(container, ripper);
return(container);
}
public static AutocallableRipper GetAutocallableRipper(string textToParse)
{
AutocallableRipper ripper = new AutocallableRipper {
TextToParse = textToParse
};
addBasicDetailRippersToDealRipper(ripper);
addAutocallableDetailRippersToDealRipper(ripper);
return(ripper);
}
public void AutocallableKnockInBarrierRipperWorks()
{
foreach (var testPair in _testFilePathAndKnockInBarrierDictionary)
{
string testFilePath = testPair.Key;
string textToParse = GeneralUtils.GetStringFromTextFile(testFilePath);
AutocallableRipper ripper = DealRipperFactory.GetAutocallableRipper(textToParse);
double expectedKnockInBarrier = testPair.Value;
double rippedKnockInBarrier = ripper.GetKnockInBarrier();
Assert.AreEqual(expectedKnockInBarrier, rippedKnockInBarrier);
}
}
public void AutocallableCouponPerPeriodRipperWorks()
{
foreach (var testPair in _testFilePathAndExpectedCouponPerPeriod)
{
string testFilePath = testPair.Key;
string textToParse = GeneralUtils.GetStringFromTextFile(testFilePath);
AutocallableRipper ripper = DealRipperFactory.GetAutocallableRipper(textToParse);
double expectedCoupon = testPair.Value;
double rippedCoupon = (double)ripper.GetCouponPerPeriod();
string msgOnFailure = string.Format("The coupon per period we expected ({0} doesn't " +
"match the ripped coupon per period ({1}) for " +
"the following file path: {2}.",
expectedCoupon, rippedCoupon, testFilePath);
Assert.AreEqual(expectedCoupon, rippedCoupon, msgOnFailure);
}
}
private static void addAutocallableDetailRippersToDealRipper(AutocallableRipper ripper)
{
try
{
ripper.CouponBarrierRipper = DetailRipperFactory.GetNumberRipper(
EDetailRipperType.CouponBarrier);
ripper.KnockInBarrierRipper = DetailRipperFactory.GetNumberRipper(
EDetailRipperType.KnockInBarrier);
ripper.CouponAmountRipper = (CouponRipper)DetailRipperFactory.GetNumberRipper(
EDetailRipperType.CouponAmount);
ripper.CouponFrequencyRipper = DetailRipperFactory.GetStringRipper(
EDetailRipperType.CouponFrequency);
ripper.CallObservationDatesRipper = DetailRipperFactory.GetDateArrayRipper(
EDetailRipperType.CallObservationDates);
ripper.CouponObservationDatesRipper = DetailRipperFactory.GetDateArrayRipper(
EDetailRipperType.CouponObservationDates);
}
catch (Exception e)
{
throw new DealRipperFactoryException("addAutocallableDetailRippersToDealRipper() " +
"encountered exception in DealRipperFactory class.",
e);
}
}
protected virtual void parse(AutocallableContainer container, AutocallableRipper ripper)
{
base.parse(container, ripper);
DateTime [] couponObservationDates;
try
{
DateTime [] callObservationDates = ripper.GetCallObservationDates();
container.CallObservationDates = callObservationDates;
try
{
couponObservationDates = ripper.GetCouponObservationDates();
container.CouponObservationDates = couponObservationDates;
}
catch
{
string warning = "Unable to extract coupon observation dates on their own so " +
"assuming they are the same as the call observation dates.";
Debug.WriteLine(warning);
container.CouponObservationDates = callObservationDates;
}
}
catch (DetailParsingException)
{
string warning = "Unable to extract call observation dates on their own so assuming " +
"they are the same as the coupon observation dates.";
Debug.WriteLine(warning);
couponObservationDates = ripper.GetCouponObservationDates();
container.CouponObservationDates = couponObservationDates;
container.CallObservationDates = couponObservationDates;
}
container.CouponAmountPerPeriod = ripper.GetCouponPerPeriod();
container.CouponBarrier = ripper.GetCouponBarrier();
double knockInBarrier = ripper.GetKnockInBarrier();
// If the KI Barrier is less than one, it is likely that it represents a % amount.
if (knockInBarrier < 1)
{
knockInBarrier = knockInBarrier * container.InitialUnderlyingLevel;
}
container.KnockInBarrier = knockInBarrier;
// If we fail to rip the coupon frequency, we "swallow" the error because we can
// ultimately determine it by the distance between coupon observation dates.
try
{
if (ripper.CouponFrequency == null)
{
container.CouponFrequency = ripper.GetCouponFrequency();
}
else
{
container.CouponFrequency = ripper.CouponFrequency;
}
}
catch (Exception) { }
// If we failed to parse the Final Valuation Date on its own, then we set it equal to the last coupon
// observation date
if (container.FinalValuationDate.IsEmpty())
{
string warning = String.Format("Final Valuation Date empty in AutocallableFactory for " +
"Cusip {0}. Therefore, assuming it is the final coupon " +
"observation date.", container.Cusip);
Debug.WriteLine(warning);
container.FinalValuationDate = container.CouponObservationDates.Last();
}
}
/// <summary>
/// Define the sql queries that will update our database for a given structure by
/// (1) Instantiating both the appropriate Factory and DealRipper that can be used to fill a container
/// that will be passed to the SqlQueryFactory class.
/// (2) Calling the GetSqlQueriesForAddingDealToDatabase() method of SqlQueryFactory in order to get the sql
/// queries.
/// </summary>
private string [] getSqlQueriesToAddDealToDatabase(EStructure structureType)
{
ISqlQueryGenerator sqlQueryGenerator;
switch (structureType)
{
case EStructure.PrincipalProtectedNote:
PrincipalProtectedNoteRipper ppnRipper = DealRipperFactory.GetPrincipalProtectedNoteRipper(_termSheetText);
PrincipalProtectedNoteFactory ppnFactory = new PrincipalProtectedNoteFactory();
PrincipalProtectedNoteContainer ppnContainer = ppnFactory.GetDealContainer(ppnRipper);
sqlQueryGenerator = SqlQueryGeneratorFactory.GetSqlQueryGenerator(ppnContainer);
return(sqlQueryGenerator.GetSqlQueriesForAddingDealToDatabase());
case EStructure.StandardPLUS:
PLUSRipper plusRipper = DealRipperFactory.GetPLUSRipper(_termSheetText);
PLUSFactory plusFactory = new PLUSFactory();
PLUSContainer plusContainer = plusFactory.GetDealContainer(plusRipper);
sqlQueryGenerator = SqlQueryGeneratorFactory.GetSqlQueryGenerator(plusContainer);
return(sqlQueryGenerator.GetSqlQueriesForAddingDealToDatabase());
case EStructure.BufferedPLUS:
BufferedPLUSRipper bufferedPLUSRipper = DealRipperFactory.GetBufferedPLUSRipper(_termSheetText);
BufferedPLUSFactory bufferedPLUSFactory = new BufferedPLUSFactory();
BufferedPLUSContainer bufferedPLUSContainer = bufferedPLUSFactory.GetDealContainer(bufferedPLUSRipper);
sqlQueryGenerator = SqlQueryGeneratorFactory.GetSqlQueryGenerator(bufferedPLUSContainer);
return(sqlQueryGenerator.GetSqlQueriesForAddingDealToDatabase());
case EStructure.TriggerPLUS:
TriggerPLUSRipper triggerPLUSRipper = DealRipperFactory.GetTriggerPLUSRipper(_termSheetText);
TriggerPLUSFactory triggerPLUSFactory = new TriggerPLUSFactory();
TriggerPLUSContainer triggerPLUSContainer = triggerPLUSFactory.GetDealContainer(triggerPLUSRipper);
sqlQueryGenerator = SqlQueryGeneratorFactory.GetSqlQueryGenerator(triggerPLUSContainer);
return(sqlQueryGenerator.GetSqlQueriesForAddingDealToDatabase());
case EStructure.DualDirectionalTriggerPLUS:
TriggerPLUSRipper dualDirectionalTriggerPLUSRipper = DealRipperFactory.GetTriggerPLUSRipper(_termSheetText);
DualDirectionalTriggerPLUSFactory dualDirectionalTriggerPLUSFactory = new DualDirectionalTriggerPLUSFactory();
TriggerPLUSContainer dualDirectionalTriggerPLUSContainer = dualDirectionalTriggerPLUSFactory.GetDealContainer(dualDirectionalTriggerPLUSRipper);
sqlQueryGenerator = SqlQueryGeneratorFactory.GetSqlQueryGenerator(dualDirectionalTriggerPLUSContainer);
return(sqlQueryGenerator.GetSqlQueriesForAddingDealToDatabase());
case EStructure.StandardJump:
JumpRipper jumpRipper = DealRipperFactory.GetStandardJumpRipper(_termSheetText);
JumpFactory jumpFactory = new JumpFactory();
JumpContainer jumpContainer = jumpFactory.GetDealContainer(jumpRipper);
sqlQueryGenerator = SqlQueryGeneratorFactory.GetSqlQueryGenerator(jumpContainer);
return(sqlQueryGenerator.GetSqlQueriesForAddingDealToDatabase());
case EStructure.BufferedJump:
BufferedJumpRipper bufferedJumpRipper = DealRipperFactory.GetBufferedJumpRipper(_termSheetText);
BufferedJumpFactory bufferedJumpFactory = new BufferedJumpFactory();
BufferedJumpContainer bufferedJumpContainer = bufferedJumpFactory.GetDealContainer(bufferedJumpRipper);
sqlQueryGenerator = SqlQueryGeneratorFactory.GetSqlQueryGenerator(bufferedJumpContainer);
return(sqlQueryGenerator.GetSqlQueriesForAddingDealToDatabase());
case EStructure.TriggerJump:
TriggerJumpRipper triggerJumpRipper = DealRipperFactory.GetTriggerJumpRipper(_termSheetText);
TriggerJumpFactory triggerJumpFactory = new TriggerJumpFactory();
TriggerJumpContainer triggerJumpContainer = triggerJumpFactory.GetDealContainer(triggerJumpRipper);
sqlQueryGenerator = SqlQueryGeneratorFactory.GetSqlQueryGenerator(triggerJumpContainer);
return(sqlQueryGenerator.GetSqlQueriesForAddingDealToDatabase());
case EStructure.EnhancedTriggerJump:
TriggerJumpRipper enhancedTriggerJumpRipper = DealRipperFactory.GetTriggerJumpRipper(_termSheetText);
EnhancedTriggerJumpFactory enhancedTriggerJumpFactory = new EnhancedTriggerJumpFactory();
EnhancedTriggerJumpContainer enhancedTriggerJumpContainer = enhancedTriggerJumpFactory.GetDealContainer(enhancedTriggerJumpRipper);
sqlQueryGenerator = SqlQueryGeneratorFactory.GetSqlQueryGenerator(enhancedTriggerJumpContainer);
return(sqlQueryGenerator.GetSqlQueriesForAddingDealToDatabase());
case EStructure.DualDirectionalTriggerJump:
TriggerJumpRipper dualDirectionalTriggerJumpRipper = DealRipperFactory.GetTriggerJumpRipper(_termSheetText);
DualDirectionalTriggerJumpFactory dualDirectionalTriggerJumpFactory = new DualDirectionalTriggerJumpFactory();
TriggerJumpContainer dualDirectionalTriggerJumpContainer = dualDirectionalTriggerJumpFactory.GetDealContainer(dualDirectionalTriggerJumpRipper);
sqlQueryGenerator = SqlQueryGeneratorFactory.GetSqlQueryGenerator(dualDirectionalTriggerJumpContainer);
return(sqlQueryGenerator.GetSqlQueriesForAddingDealToDatabase());
case EStructure.AutocallableStandard:
AutocallableRipper autocallableRipper = DealRipperFactory.GetAutocallableRipper(_termSheetText);
AutocallableFactory autocallableFactory = new AutocallableFactory();
AutocallableContainer autocallableContainer = autocallableFactory.GetDealContainer(autocallableRipper);
sqlQueryGenerator = SqlQueryGeneratorFactory.GetSqlQueryGenerator(autocallableContainer);
return(sqlQueryGenerator.GetSqlQueriesForAddingDealToDatabase());
case EStructure.AutocallableFixedCoupon:
FixedCouponAutocallableRipper fixedCouponAutocallableRipper = DealRipperFactory.GetFixedCouponAutocallableRipper(_termSheetText);
AutocallableFactory fixedCouponAutocallableFactory = new AutocallableFactory();
AutocallableContainer fixedCouponAutocallableContainer = fixedCouponAutocallableFactory.GetDealContainer(fixedCouponAutocallableRipper);
sqlQueryGenerator = SqlQueryGeneratorFactory.GetSqlQueryGenerator(fixedCouponAutocallableContainer);
return(sqlQueryGenerator.GetSqlQueriesForAddingDealToDatabase());
case EStructure.AutocallableStepUp:
AutocallableRipper stepUpAutocallableRipper = DealRipperFactory.GetAutocallableRipper(_termSheetText);
StepUpAutocallableFactory stepUpAutocallableFactory = new StepUpAutocallableFactory();
StepUpAutocallableContainer stepUpAutocallableContainer = stepUpAutocallableFactory.GetDealContainer(stepUpAutocallableRipper);
sqlQueryGenerator = SqlQueryGeneratorFactory.GetSqlQueryGenerator(stepUpAutocallableContainer);
return(sqlQueryGenerator.GetSqlQueriesForAddingDealToDatabase());
case EStructure.AutocallableStepDown:
AutocallableRipper stepDownAutocallableRipper = DealRipperFactory.GetAutocallableRipper(_termSheetText);
StepDownAutocallableFactory stepDownAutocallableFactory = new StepDownAutocallableFactory();
StepDownAutocallableContainer stepDownAutocallableContainer = stepDownAutocallableFactory.GetDealContainer(stepDownAutocallableRipper);
sqlQueryGenerator = SqlQueryGeneratorFactory.GetSqlQueryGenerator(stepDownAutocallableContainer);
return(sqlQueryGenerator.GetSqlQueriesForAddingDealToDatabase());
case EStructure.AutocallableWorstOf:
string wOfErrorMsg = "defineSqlQueriesToAddDealToDatabase() method of CentralCommand unable to handle Worst-of Autocallables.";
Debug.WriteLine(wOfErrorMsg);
throw new ArgumentOutOfRangeException(wOfErrorMsg);
default:
throw new ArgumentOutOfRangeException("Unhandled structure type passed to defineSqlQueriesToAddDealToDatabase() method of CentralCommand.");
}
}
