public static AssetMeasureType Parse(string measureTypeAsString)
{
// ensures value is valid enum string
AssetMeasureEnum assetMeasureEnum = AssetMeasureEnum.Undefined;
if (measureTypeAsString != null)
{
assetMeasureEnum = AssetMeasureScheme.ParseEnumString(measureTypeAsString);
}
AssetMeasureType assetMeasureType = Create(assetMeasureEnum);
return(assetMeasureType);
}
public static BasicQuotation Create(decimal value, AssetMeasureEnum assetMeasureEnum, PriceQuoteUnitsEnum priceQuoteUnitsEnum)
{
return(new BasicQuotation
{
valueSpecified = true,
value = value,
measureType = new AssetMeasureType {
Value = AssetMeasureScheme.GetEnumString(assetMeasureEnum)
},
quoteUnits = new PriceQuoteUnits {
Value = PriceQuoteUnitsScheme.GetEnumString(priceQuoteUnitsEnum)
}
});
}
private static PricingStructureValuation ApplyStress(CachedStressRule stressRule, PricingStructureValuation psvInput)
{
string marketQuote = AssetMeasureScheme.GetEnumString(AssetMeasureEnum.MarketQuote);
string decimalRate = PriceQuoteUnitsScheme.GetEnumString(PriceQuoteUnitsEnum.DecimalRate);
var psv = BinarySerializerHelper.Clone(psvInput);
// extract the market quotes from the cloned base curve
QuotedAssetSet curveDefinition;
if (psv is YieldCurveValuation yieldCurveValuation)
{
curveDefinition = yieldCurveValuation.inputs;
}
else
{
if (psv is FxCurveValuation curveValuation)
{
curveDefinition = new QuotedAssetSet
{
instrumentSet = curveValuation.spotRate.instrumentSet,
assetQuote = curveValuation.spotRate.assetQuote
};
}
else
{
throw new NotSupportedException("Unsupported PricingStructureValuation type: " +
psv.GetType().Name);
}
}
// stress the market quotes
foreach (BasicAssetValuation asset in curveDefinition.assetQuote)
{
var stressDefQuotes = new List <BasicQuotation>();
foreach (BasicQuotation quote in asset.quote)
{
if (quote.measureType.Value.Equals(marketQuote) &&
quote.quoteUnits.Value.Equals(decimalRate))
{
var exprProps = new NamedValueSet(new NamedValue("MarketQuote", quote.value));
quote.valueSpecified = true;
quote.value = Convert.ToDecimal(stressRule.UpdateExpr.Evaluate(exprProps));
}
quote.informationSource = null;
quote.timeSpecified = false;
quote.valuationDateSpecified = false;
stressDefQuotes.Add(quote);
}
asset.quote = stressDefQuotes.ToArray();
}
// replace the market quotes in the cloned base curve with the stressed values
if (psv is YieldCurveValuation valuation)
{
valuation.inputs = curveDefinition;
valuation.discountFactorCurve = null;
valuation.zeroCurve = null;
}
else
{
((FxCurveValuation)psv).spotRate
= new FxRateSet
{
instrumentSet = curveDefinition.instrumentSet,
assetQuote = curveDefinition.assetQuote
};
}
return(psv);
}
