/// <summary>
/// Get the product details for the given product code - Call to WS016R and filter the products
/// </summary>
/// <param name="productCode">The given product code</param>
/// <returns>DataSet of product details</returns>
private DataTable retrieveProductDetails(string productCode)
{
DataSet dsProductList = new DataSet();
DataTable dtProduct = new DataTable();
DataView dvProduct = new DataView();
TalentProduct talProduct = new TalentProduct();
DESettings settings = Environment.Settings.DESettings;
ErrorObj err = new ErrorObj();
ErrorModel errModel = new ErrorModel();
string filter;
talProduct.Settings = settings;
talProduct.De.PriceAndAreaSelection = Environment.Settings.DefaultValues.PriceAndAreaSelection;
talProduct.De.Src = GlobalConstants.SOURCE;
talProduct.De.StadiumCode = Environment.Settings.DefaultValues.CorporateStadium;
err = talProduct.ProductList();
errModel = Data.PopulateErrorObject(err, talProduct.ResultDataSet.Tables[GlobalConstants.STATUS_RESULTS_TABLE_NAME], settings);
if (!errModel.HasError)
{
dsProductList = talProduct.ResultDataSet;
filter = "ProductCode = '" + productCode + "'";
dvProduct = new DataView(dsProductList.Tables["ProductListResults"]);
dvProduct.RowFilter = filter;
dtProduct = dvProduct.ToTable();
}
return(dtProduct);
}
public override void OnException(HttpActionExecutedContext context)
{
Dictionary <string, string> @params = new Dictionary <string, string>();
DESettings settings = default(DESettings);
HttpResponseMessage objReponse = new HttpResponseMessage(HttpStatusCode.InternalServerError);
string sourceClass, sourceMethod, logCode, logFilter1, logFilter2, logFilter5, logContent;
@params = Utilities.GetParams(context.Request.GetRequestContext().Url.Request.GetQueryNameValuePairs());
settings = Utilities.GetDESettings(@params);
// log error into DB-tbl_logs
sourceClass = context.Exception.Source;
sourceMethod = context.Exception.TargetSite.ReflectedType.Name + "." + context.Exception.TargetSite.Name;
logCode = TalentSystemDefaults.GlobalConstants.LOG_ERROR_CODE;
logFilter1 = settings.BusinessUnit;
logFilter2 = context.Request.RequestUri.ToString();
logFilter5 = context.Exception.StackTrace;
logContent = context.Exception.Message;
var objLogInserted = TalentSystemDefaults.Utilities.InsertErrorLog(settings, sourceClass, sourceMethod, logCode, logFilter1, logFilter2, "", "", logFilter5, logContent);
objReponse.Content = new StringContent(context.Exception.Message);
objReponse.Content.Headers.ContentType = new MediaTypeHeaderValue("text/html");
context.Response = objReponse;
base.OnException(context);
}
public override void OnAuthorization(System.Web.Http.Controllers.HttpActionContext actionContext)
{
Dictionary <string, string> @params = new Dictionary <string, string>();
DESettings settings = default(DESettings);
bool agentLoggedIn = false;
HttpResponseMessage response = new HttpResponseMessage(HttpStatusCode.OK);
@params = Utilities.GetParams(actionContext.Request.GetRequestContext().Url.Request.GetQueryNameValuePairs());
settings = Utilities.GetDESettings(@params);
if (settings.BusinessUnit == string.Empty || settings.BusinessUnit == null)
{
settings.BusinessUnit = settings.DefaultBusinessUnit;
}
agentLoggedIn = Utilities.CheckAgentLogin(settings);
//uncomment to test the authorization
//agentLoggedIn = False
if (!agentLoggedIn)
{
actionContext.Response = new HttpResponseMessage(HttpStatusCode.Unauthorized);
}
else
{
base.OnAuthorization(actionContext);
actionContext.RequestContext.RouteData.Values.Add("AgentName", settings.AgentName);
actionContext.RequestContext.RouteData.Values.Add("CompanyName", settings.Company);
}
}
/// <summary>
/// XML Comment
/// </summary>
/// <param name="settings"></param>
/// <param name="sessionID"></param>
/// <returns></returns>
/// <remarks></remarks>
public static DataTable RetrieveAgentDetailsFromSessionID(DESettings settings, string sessionID)
{
tbl_agent tblAgent = new tbl_agent(ref settings);
DataTable tblAgentDetails = new DataTable();
tblAgentDetails = tblAgent.RetrieveAgentDetailsFromSessionID(sessionID);
return(tblAgentDetails);
}
/// <summary>
/// Constructor
/// </summary>
/// <param name="settings"></param>
/// <remarks></remarks>
public tbl_payment_type(ref DESettings settings)
: base(settings)
{
if (settings.VariableKey1 != string.Empty)
{
paymentTypeCode = settings.VariableKey1;
}
}
/// <summary>
/// Logs and sets error message
/// </summary>
/// <param name="returnCode"></param>
/// <param name="settings"></param>
/// <param name="model"></param>
private void LogsErrorMessage(DESettings settings, ref ErrorModel model)
{
if (model.HasError && !string.IsNullOrEmpty(model.ReturnCode))
{
model.ErrorMessage = AddErrorMessageText(model.ReturnCode, settings);
settings.Logging.ErrorObjectLog("BusinessObjects.Data.DataSettings.cs - PopulateErrorObject | - " + settings.ModuleName, model.ReturnCode, model.ErrorMessage + " " + model.TechnicalErrorMessage);
}
}
public DLDatabaseAudit(DESettings settings, Dictionary <string, string> filters = null)
: base(settings, filters)
{
if (string.IsNullOrEmpty(settings.BusinessUnit))
{
settings.BusinessUnit = settings.DefaultBusinessUnit;
}
}
/// <summary>
/// Constructor
/// </summary>
/// <param name="settings"></param>
/// <remarks></remarks>
public tbl_activity_template_type(ref DESettings settings)
: base(settings)
{
businessUnit = settings.BusinessUnit;
if (settings.VariableKey1 != string.Empty)
{
Name = settings.VariableKey1;
}
}
public DatabaseUpdatesModel(DESettings settings)
{
// VBConversions Note: Non-static class variable initialization is below. Class variables cannot be initially assigned non-static values in C#.
BusinessUnits = new List <SelectListItem>();
ConnectionStrings = new List <SelectListItem>();
this.settings = settings;
objAudit = new tbl_config_detail_audit(ref settings);
Initialise();
}
/// <summary>
/// Constructor
/// </summary>
/// <param name="settings"></param>
/// <remarks></remarks>
public tbl_payment_type_bu(ref DESettings settings)
: base(settings)
{
businessUnit = settings.BusinessUnit;
if (settings.VariableKey1 != string.Empty)
{
paymentTypeCode = settings.VariableKey1;
}
}
public DLModules(DESettings settings, Dictionary <string, string> filters = null)
: base(settings, filters)
{
//Modules page need to retrieve business units, before that talent data acccess need to retrieve
//connection details using destination database, and for that it uses default business unit
if (string.IsNullOrEmpty(settings.BusinessUnit))
{
settings.BusinessUnit = settings.DefaultBusinessUnit;
}
}
/// <summary>
/// Adds text to ErrorModel object
/// </summary>
/// <param name="returnCode"></param>
/// <param name="settings"></param>
/// <returns>Error text for model</returns>
private string AddErrorMessageText(string returnCode, DESettings settings)
{
if (returnCode.Equals("TBL-DNError") || returnCode.Equals("TBL-ResultSetError"))
{
returnCode = "*ALL";
}
TalentErrorMessages errorMessage = new TalentErrorMessages("ENG", settings.BusinessUnit,
settings.Partner, settings.FrontEndConnectionString);
return(errorMessage.GetErrorMessage(returnCode).ERROR_MESSAGE);
}
public DESettings GetBasicSettingsObject(bool withBusinessUnit = true)
{
DESettings settings = new DESettings();
if (withBusinessUnit)
{
settings.BusinessUnit = BusinessUnit;
}
settings.FrontEndConnectionString = FrontEndConnectionString;
settings.DestinationDatabase = GlobalConstants.SQL2005DESTINATIONDATABASE;
return(settings);
}
/// <summary>
/// Get template override criterias
/// </summary>
/// <returns>A data set of results for all the template overrides</returns>
private DataSet retriveOverrideCriterias()
{
DataSet dsResults = new DataSet();
TalentTemplateOverride talTemplateOverride = new TalentTemplateOverride();
DESettings settings = Environment.Settings.DESettings;
ErrorObj err = new ErrorObj();
talTemplateOverride.Settings = settings;
talTemplateOverride.DeTemplate.Source = GlobalConstants.SOURCE;
err = talTemplateOverride.GetTemplateOverrideCriterias();
dsResults = talTemplateOverride.ResultDataSet;
return(dsResults);
}
/// <summary>
/// This methid retrieves Businessunits
/// </summary>
/// <returns>The formed template override view model</returns>
public TemplateOverrideViewModel RetrieveBusinessUnitList()
{
TemplateOverrideViewModel viewModel = new TemplateOverrideViewModel(getContentAndAttributes: true);
DESettings settings = Environment.Settings.DESettings;
tbl_url_bu tblUrlBu = new tbl_url_bu(settings);
DataTable dtBUs = tblUrlBu.GetDistinctEBusinessBUs();
List <string> businessUnits = dtBUs.AsEnumerable().Select(r => r.Field <string>("BUSINESS_UNIT")).ToList();
Dictionary <string, string> businessUnitsHash = businessUnits.ToDictionary(businessUnit => businessUnit);
viewModel.BusinessUnitList = businessUnitsHash;
return(viewModel);
}
/// <summary>
/// Get the available packages for the given available product code - Call to WS002R
/// </summary>
/// <param name="productCode">The hospitality product code</param>
/// <returns>DataSet of available corporate hospitality packages and components</returns>
private DataSet retrieveHospitalityPackages(string productCode)
{
DataSet dsResults = new DataSet();
TalentProduct talProduct = new TalentProduct();
DESettings settings = Environment.Settings.DESettings;
ErrorObj err = new ErrorObj();
talProduct.Settings = settings;
talProduct.De.ProductCode = productCode;
talProduct.De.BusinessUnit = settings.BusinessUnit;
err = talProduct.ProductHospitality();
dsResults = talProduct.ResultDataSet;
return(dsResults);
}
/// <summary>
/// Get the available products groups fixtures - Call to PG002S
/// </summary>
/// <param name="productGroupCode">The given product group code</param>
/// <returns>DataSet of available corporate hospitality product groups fixtures</returns>
private DataSet retrieveProductGroupFixtures(string productGroupCode)
{
DataSet dsResults = new DataSet();
TalentProduct talProduct = new TalentProduct();
DESettings settings = Environment.Settings.DESettings;
ErrorObj err = new ErrorObj();
talProduct.Settings = settings;
talProduct.De.Src = GlobalConstants.SOURCE;
talProduct.De.ProductGroupCode = productGroupCode;
err = talProduct.RetrieveProductGroupFixtures();
dsResults = talProduct.ResultDataSet;
return(dsResults);
}
private HttpResponseMessage GetContent(DESettings settings, DLBase defaultList)
{
HttpResponseMessage response = new HttpResponseMessage(HttpStatusCode.OK);
string result = string.Empty;
defaultList.Populate();
DefaultListModel model = new DefaultListModel(defaultList.DEList);
model.BackURL = string.Format(model.BackURL, settings.BusinessUnit);
result = ViewRenderer.RenderView("~/Views/SystemDefaults/DefaultList.cshtml", model, null);
response.Content = new StringContent(result);
response.Content.Headers.ContentType = new MediaTypeHeaderValue("text/html");
return(response);
}
/// <summary>
/// Get the available hospitality product groups - Call to PG001S
/// </summary>
/// <returns>DataSet of available corporate hospitality product groups</returns>
private DataSet retrieveProductGroups()
{
DataSet dsResults = new DataSet();
TalentProduct talProduct = new TalentProduct();
DESettings settings = Environment.Settings.DESettings;
ErrorObj err = new ErrorObj();
talProduct.Settings = settings;
talProduct.De.Src = GlobalConstants.SOURCE;
talProduct.De.BusinessUnit = settings.BusinessUnit;
err = talProduct.RetrieveProductGroups();
dsResults = talProduct.ResultDataSet;
return(dsResults);
}
/// <summary>
/// XML Comment
/// </summary>
/// <param name="params"></param>
/// <returns></returns>
/// <remarks></remarks>
public static DESettings GetDESettings(Dictionary <string, string> @params)
{
DESettings settings = new DESettings();
settings.FrontEndConnectionString = ConfigurationManager.ConnectionStrings["TalentEBusinessDBConnectionString"].ToString();
settings.SessionID = @params["sessionid"];
if (@params.ContainsKey("businessunit"))
{
settings.BusinessUnit = @params["businessunit"];
}
settings.DefaultBusinessUnit = ConfigurationManager.AppSettings.Get("DefaultBusinessUnit");
if (@params.ContainsKey("listname"))
{
settings.ListName = @params["listname"];
}
if (@params.ContainsKey("modulename"))
{
settings.Module_Name = @params["modulename"];
}
else if (settings.Module_Name == string.Empty && settings.ListName != string.Empty)
{
settings.Module_Name = settings.ListName;
}
if (@params.ContainsKey("mode"))
{
settings.Mode = @params["mode"];
}
if (@params.ContainsKey("variablekey1"))
{
settings.VariableKey1 = @params["variablekey1"];
}
if (@params.ContainsKey("variablekey2"))
{
settings.VariableKey2 = @params["variablekey2"];
}
if (@params.ContainsKey("variablekey3"))
{
settings.VariableKey3 = @params["variablekey3"];
}
if (@params.ContainsKey("variablekey4"))
{
settings.VariableKey4 = @params["variablekey4"];
}
if (@params.ContainsKey("searchtext"))
{
settings.SearchText = @params["searchtext"];
}
return(settings);
}
/// <summary>
/// Get template overrides from the TM001 and TM002 files based on the given parameters
/// </summary>
/// <param name="inputModel">The given template override input model</param>
/// <returns>A data set of results for all the template overrides</returns>
private DataSet retrieveTemplateOverrides(TemplateOverrideInputModel inputModel)
{
DataSet dsResults = new DataSet();
TalentTemplateOverride talTemplateOverride = new TalentTemplateOverride();
DESettings settings = Environment.Settings.DESettings;
ErrorObj err = new ErrorObj();
talTemplateOverride.Settings = settings;
talTemplateOverride.DeTemplate.BusinessUnit = inputModel.BusinessUnit;
talTemplateOverride.DeTemplate.Mode = inputModel.Mode;
talTemplateOverride.DeTemplate.Source = GlobalConstants.SOURCE;
err = talTemplateOverride.GetTemplateOverrideList();
dsResults = talTemplateOverride.ResultDataSet;
return(dsResults);
}
/// <summary>
/// Retrieve Data Capture Templates
/// </summary>
/// <returns>The Data Capture templates</returns>
public TemplateOverrideViewModel RetrieveDataCaptureTemplateList(TemplateOverrideInputModel inputModelTemplateOverride)
{
TemplateOverrideViewModel viewModel = new TemplateOverrideViewModel(getContentAndAttributes: true);
DESettings settings = Environment.Settings.DESettings;
tbl_activity_templates tblActivityTemplates = new tbl_activity_templates(settings);
DataTable dtActivityTemplates = tblActivityTemplates.GetByBU(inputModelTemplateOverride.BusinessUnit, Utilities.CheckForDBNull_Int(GlobalConstants.ACTIVITY_TEMPLATE_TYPE_HOSPITALITY_DATA_CAPTURE));
viewModel.DataCaptureList = (from DataRow dr in dtActivityTemplates.Rows
select new DataCaptureItem()
{
DataCaptureTemplateId = Utilities.ConvertStringToDecimal(dr["TEMPLATE_ID"].ToString()),
DataCaptureTemplateDescription = dr["NAME"].ToString()
}).OrderBy(s => s.DataCaptureTemplateDescription).ThenBy(s => s.DataCaptureTemplateId).ToList();
return(viewModel);
}
/// <summary>
/// Create document for booking
/// </summary>
/// <param name="inputModel">The given hospitality booking enquiry input model</param>
/// <returns>A data set of result with document creation status and path</returns>
private DataSet createDocumentForBooking(HospitalityBookingEnquiryInputModel inputModel)
{
DataSet dsResults = new DataSet();
TalentPackage talPackage = new TalentPackage();
DESettings settings = Environment.Settings.DESettings;
ErrorObj err = new ErrorObj();
talPackage.Settings = settings;
talPackage.DePackages.HospitalityBookingFilters = new HospitalityBookingFilters();
talPackage.DePackages.BoxOfficeUser = inputModel.LoggedInBoxOfficeUser;
talPackage.DePackages.CallId = inputModel.CallIdForDocumentProduction;
talPackage.DePackages.CustomerNumber = inputModel.CustomerNumber;
err = talPackage.CreateHospitalityBookingDocument();
dsResults = talPackage.ResultDataSet;
return(dsResults);
}
private HttpResponseMessage GetContent(DESettings settings, DatabaseUpdatesModel model = null, string action = "get")
{
HttpResponseMessage response = new HttpResponseMessage(HttpStatusCode.OK);
string result = string.Empty;
if (settings.Module_Name != string.Empty && settings.BusinessUnit != string.Empty)
{
if (model == null)
{
model = new DatabaseUpdatesModel(settings);
}
result = ViewRenderer.RenderView("~/Views/DatabaseUpdates/DatabaseUpdates.cshtml", model, null);
}
response.Content = new StringContent(result);
response.Content.Headers.ContentType = new MediaTypeHeaderValue("text/html");
return(response);
}
private DESettings GetSettingsObject(bool withConnStringList = true)
{
DESettings settings = new DESettings();
settings.BusinessUnit = BusinessUnit;
settings.Partner = Partner;
settings.FrontEndConnectionString = FrontEndConnectionString;
settings.DestinationDatabase = GlobalConstants.SQL2005DESTINATIONDATABASE;
settings.OriginatingSourceCode = GlobalConstants.SOURCE;
settings.CacheDependencyPath = DefaultValues.CacheDependencyPath;
settings.EcommerceModuleDefaultsValues = DefaultValues;
settings.CanProcessFeesParallely = DefaultValues.CanProcessFeesParallely;
settings.AgentEntity = GetAgentEntity(DefaultValues.CacheDependencyPath);
settings.StoredProcedureGroup = DefaultValues.StoredProcedureGroup;
if (HttpContext.Current.Session != null && Data.Session.Get("Agent") != null)
{
settings.IsAgent = true;
settings.OriginatingSource = GetOriginatingSource(Data.Session.Get("Agent").ToString());
}
if (withConnStringList)
{
settings.ConnectionStringList = GetConnectionStringList();
}
settings.LoginId = GlobalConstants.GENERIC_CUSTOMER_NUMBER;
settings.CurrentPageName = Page;
//TODO: The BusinessLogic layer doesn't have the Profile object at the moment
//if (HttpContext.Current.Profile != null)
//{
// TalentProfileUser talProfileUser = (HttpContext.Current.Profile).User;
// if (talProfileUser != null && talProfileUser.Details != null)
// {
// if (!string.IsNullOrWhiteSpace(talProfileUser.Details.LoginID))
// {
// settings.LoginId = talProfileUser.Details.LoginID;
// }
// }
//}
//current page name
//settings.CurrentPageName = (new FileInfo(Url)).Name.ToLower();
//settings.DeliveryCountryCode = GetDeliveryCountryISOAlpha3Code();
return(settings);
}
/// <summary>
/// Get details of Hospitality Product group Fixtures
/// </summary>
/// <param name="inputModel">The given hospitality product group input model</param>
/// <returns>Hospitality Product group fixtures list</returns>
public HospitalityProductGroupViewModel GetHospitalityProductGroupFixtures(HospitalityProductGroupInputModel inputModel)
{
HospitalityProductGroupViewModel viewModel = new HospitalityProductGroupViewModel(getContentAndAttributes: true);
DataSet dsProductGroupFixtures = new DataSet();
ErrorObj err = new ErrorObj();
DEProductDetails de = new DEProductDetails();
DESettings settings = Environment.Settings.DESettings;
List <ProductDetails> productGroupFixturesList = new List <ProductDetails>();
dsProductGroupFixtures = retrieveProductGroupFixtures(inputModel.ProductGroupCode);
viewModel.Error = Data.PopulateErrorObject(err, dsProductGroupFixtures, settings, GlobalConstants.STATUS_RESULTS_TABLE_NAME, 2);
if (!viewModel.Error.HasError)
{
productGroupFixturesList = Data.PopulateObjectListFromTable <ProductDetails>(dsProductGroupFixtures.Tables["ProductGroupFixturesDeatils"]);
viewModel.ProductGroupFixturesList = productGroupFixturesList;
}
return(viewModel);
}
/// <summary>
/// Retrieve Email Confirmation Templates
/// </summary>
/// <returns>The email confirmation templates</returns>
public TemplateOverrideViewModel RetrieveEmailConfirmationList(TemplateOverrideInputModel inputModelTemplateOverride)
{
TemplateOverrideViewModel viewModel = new TemplateOverrideViewModel(getContentAndAttributes: true);
DESettings settings = Environment.Settings.DESettings;
tbl_email_templates tblEmailTemplates = new tbl_email_templates(settings);
DataTable dtEmailTemplates = tblEmailTemplates.GetAll();
DataView dvEmailTemplates = new DataView(dtEmailTemplates);
dvEmailTemplates.RowFilter = "BUSINESS_UNIT = '" + inputModelTemplateOverride.BusinessUnit + "' AND TEMPLATE_TYPE = '" + GlobalConstants.EMAIL_ORDER_CONFIRMATION + "' AND ACTIVE = 1";
dtEmailTemplates = dvEmailTemplates.ToTable();
viewModel.EmailConfirmationList = (from DataRow dr in dtEmailTemplates.Rows
select new EmailConfirmationItem()
{
SaleConfirmationEmailId = Utilities.ConvertStringToDecimal(dr["EMAILTEMPLATE_ID"].ToString()),
SaleConfirmationEmailDescription = dr["NAME"].ToString()
}).OrderBy(s => s.SaleConfirmationEmailDescription).ThenBy(s => s.SaleConfirmationEmailId).ToList();
return(viewModel);
}
/// <summary>
/// Get the available packages for the given available product code - Call to WS002R
/// </summary>
/// <param name="productCode">The hospitality product code</param>
/// <returns>DataTable of available corporate hospitality packages</returns>
private DataSet retrievePackageDetails(string productCode)
{
DataSet dsTalProductDataSet = new DataSet();
DataTable dtHospitalityPackages = new DataTable();
TalentProduct talProduct = new TalentProduct();
DESettings settings = Environment.Settings.DESettings;
ErrorObj err = new ErrorObj();
ErrorModel errModel = new ErrorModel();
talProduct.Settings = settings;
talProduct.De.ProductCode = productCode;
err = talProduct.ProductHospitality();
errModel = Data.PopulateErrorObject(err, talProduct.ResultDataSet, settings, 4);
if (!errModel.HasError)
{
dsTalProductDataSet = talProduct.ResultDataSet;
}
return(dsTalProductDataSet);
}
/// <summary>
/// Get the available products for the corporate hospitality stadium - Call to WS016R
/// </summary>
/// <param name="corporateStadiumCode">The given corporate stadium code</param>
/// <returns>DataTable of available corporate hospitality products</returns>
private DataTable retrieveCorporateStadiumProducts(string corporateStadiumCode)
{
DataTable dtHospitalityProducts = new DataTable();
DataSet dsResults = new DataSet();
TalentProduct talProduct = new TalentProduct();
DESettings settings = Environment.Settings.DESettings;
ErrorObj err = new ErrorObj();
talProduct.Settings = settings;
talProduct.De.PriceAndAreaSelection = Environment.Settings.DefaultValues.PriceAndAreaSelection;
talProduct.De.Src = GlobalConstants.SOURCE;
talProduct.De.StadiumCode = Environment.Settings.DefaultValues.CorporateStadium;
err = talProduct.ProductList();
dsResults = talProduct.ResultDataSet;
if (dsResults != null && dsResults.Tables.Count > 0)
{
dtHospitalityProducts = dsResults.Tables["ProductListResults"];
}
return(dtHospitalityProducts);
}
/// <summary>
/// Attempts to solve the Variance Gamma Optimization problem using
/// <see cref="Heston.VarianceGammaOptimizationProblem"/>.
/// </summary>
/// <param name="data">
/// The data to be used in order to perform the optimization.
/// </param>
/// <param name="settings">The parameter is not used.</param>
/// <returns>The results of the optimization.</returns>
public EstimationResult Estimate(List <object> data, IEstimationSettings settings = null, IController controller = null, Dictionary <string, object> properties = null)
{
EquitySpotMarketData espmd = data[0] as EquitySpotMarketData;
CallPriceMarketData cpmd = data[1] as CallPriceMarketData;
DiscountingCurveMarketData dcmd = data[2] as DiscountingCurveMarketData;
EquityCalibrationData ecd = new EquityCalibrationData(cpmd, dcmd);
this.s0 = espmd.Price;
this.r = espmd.RiskFreeRate;
this.q = espmd.DividendYield;
this.k = ecd.Hdata.Strike;
this.m = ecd.Hdata.Maturity;
this.cp = ecd.Hdata.CallPrice;
Vector x0 = (Vector) new double[] { -0.1, 0.2, 0.1 };
IOptimizationAlgorithm algorithm = new QADE();
OptimizationSettings optimizationSettings = new DESettings();
// Maximum number of iteration allowed.
// Positive integer values print debug info.
optimizationSettings.Verbosity = 1;
// Tolerance.
optimizationSettings.epsilon = 10e-5;
var solution = algorithm.Minimize(new VarianceGammaOptimizationProblem(this.q, this.s0, this.k,
this.r, this.cp, this.m),
optimizationSettings, x0);
if (solution.errors)
{
return(new EstimationResult(solution.message));
}
var er = new EstimationResult();
er.Names = new string[] { "S0", "theta", "sigma", "nu", "rate", "dividend" };
er.Values = new double[] { this.s0, solution.x[0], solution.x[1], solution.x[2], this.r, this.q };
return(er);
}
/// <summary>
/// Attempts a calibration through <see cref="SwaptionHW1OptimizationProblem"/>
/// using swaption matrices.
/// </summary>
/// <param name="data">The data to be used in order to perform the calibration.</param>
/// <param name="settings">The parameter is not used.</param>
/// <param name="controller">The controller which may be used to cancel the process.</param>
/// <returns>The results of the calibration.</returns>
public EstimationResult Estimate(List<object> data, IEstimationSettings settings = null, IController controller = null, Dictionary<string, object> properties = null)
{
InterestRateMarketData dataset = data[0] as InterestRateMarketData;
PFunction zr = new PFunction(null);
// Loads the zero rate.
double[,] zrvalue = (double[,])ArrayHelper.Concat(dataset.ZRMarketDates.ToArray(), dataset.ZRMarket.ToArray());
zr.Expr = zrvalue;
double deltak = dataset.SwaptionTenor;
var swaptionsFiltering = settings as SwaptionsFiltering;
if (swaptionsFiltering == null)
swaptionsFiltering = new SwaptionsFiltering();//creates a default
int maturitiesCount = dataset.OptionMaturity.Count(x => x >= swaptionsFiltering.MinSwaptionMaturity && x <= swaptionsFiltering.MaxSwaptionMaturity);
int durationsCount = dataset.SwapDuration.Count(x => x >= swaptionsFiltering.MinSwapDuration && x <= swaptionsFiltering.MaxSwapDuration);
Console.WriteLine(string.Format("Calibrating on {0} swaptions prices [#maturiries x #durations]=[{1} x {2}]", maturitiesCount * durationsCount, maturitiesCount,durationsCount));
if (maturitiesCount * durationsCount == 0)
return new EstimationResult("No swaptions satisfying criteria found, please relax filters");
Matrix swaptionsVolatility = new Matrix(maturitiesCount, durationsCount);// dataset.SwaptionsVolatility;
Vector optionMaturity = new Vector(maturitiesCount);// dataset.OptionMaturity;
Vector swapDuration = new Vector(durationsCount);// dataset.SwapDuration;
//Build filtered matrix and vectors
int fm=0;
for (int m = 0; m < dataset.OptionMaturity.Length; m++)
{
int fd=0;
if (dataset.OptionMaturity[m] >= swaptionsFiltering.MinSwaptionMaturity && dataset.OptionMaturity[m] <= swaptionsFiltering.MaxSwaptionMaturity)
{
for (int d = 0; d < dataset.SwapDuration.Length; d++)
{
if (dataset.SwapDuration[d] >= swaptionsFiltering.MinSwapDuration && dataset.SwapDuration[d] <= swaptionsFiltering.MaxSwapDuration)
{
swaptionsVolatility[fm, fd] = dataset.SwaptionsVolatility[m, d];
swapDuration[fd] = dataset.SwapDuration[d];
fd++; }
}
optionMaturity[fm] = dataset.OptionMaturity[m];
fm++;
}
}
SwaptionsBlackModel swbm = new SwaptionsBlackModel(zr);
Matrix fsr;
var blackSwaptionPrice = 1000.0 * swbm.SwaptionsSurfBM(optionMaturity, swapDuration, swaptionsVolatility, deltak, out fsr);
Console.WriteLine("SwaptionHWEstimator: Black model prices");
Console.WriteLine(blackSwaptionPrice);
SwaptionHW1 swhw1 = new SwaptionHW1(zr);
SwaptionHW1OptimizationProblem problem = new SwaptionHW1OptimizationProblem(swhw1, blackSwaptionPrice, optionMaturity, swapDuration, deltak);
IOptimizationAlgorithm solver = new QADE();
IOptimizationAlgorithm solver2 = new SteepestDescent();
DESettings o = new DESettings();
o.NP = 20;
o.MaxIter = 5;
o.Verbosity = 1;
o.controller = controller;
SolutionInfo solution = null;
Vector x0 = new Vector(new double[] { 0.1, 0.1 });
solution = solver.Minimize(problem, o, x0);
if (solution.errors)
return new EstimationResult(solution.message);
o.epsilon = 10e-8;
o.h = 10e-8;
o.MaxIter = 1000;
// We can permit this, given it is fast.
o.accourate_numerical_derivatives = true;
if (solution != null)
solution = solver2.Minimize(problem, o, solution.x);
else
solution = solver2.Minimize(problem, o, x0);
if (solution.errors)
return new EstimationResult(solution.message);
Console.WriteLine("Solution:");
Console.WriteLine(solution);
string[] names = new string[] { "Alpha", "Sigma" };
EstimationResult result = new EstimationResult(names, solution.x);
result.ZRX = (double[])dataset.ZRMarketDates.ToArray();
result.ZRY = (double[])dataset.ZRMarket.ToArray();
double obj = problem.Obj(solution.x);
return result;
}
/// <summary>
/// Attempts a calibration through <see cref="PelsserCappletOptimizationProblem"/>
/// using caps matrices.
/// </summary>
/// <param name="data">The data to be used in order to perform the calibration.</param>
/// <param name="settings">The parameter is not used.</param>
/// <param name="controller">The controller which may be used to cancel the process.</param>
/// <returns>The results of the calibration.</returns>
public EstimationResult Estimate(List<object> data, IEstimationSettings settings = null, IController controller = null, Dictionary<string, object> properties = null)
{
InterestRateMarketData dataset = data[0] as InterestRateMarketData;
EstimationResult result;
if ((dataset.ZRMarket == null) || (dataset.CapVolatility == null))
{
result = new EstimationResult();
result.ErrorMessage = "Not enough data to calibrate.\n" +
"The estimator needs a ZRMarket and a CapVolatility " +
"defined inside InterestRateMarketData";
return result;
}
// Backup the dates
DateTime effectiveDate = DateTime.Now.Date;
DateTime valuationDate = DateTime.Now.Date;
if (Document.ActiveDocument != null)
{
effectiveDate = Document.ActiveDocument.ContractDate;
valuationDate = Document.ActiveDocument.SimulationStartDate;
}
// Creates the Context.
Document doc = new Document();
ProjectROV prj = new ProjectROV(doc);
doc.Part.Add(prj);
Function zr = new PFunction(null);
zr.VarName = "zr";
// Load the zr.
double[,] zrvalue = (double[,])ArrayHelper.Concat(dataset.ZRMarketDates.ToArray(), dataset.ZRMarket.ToArray());
zr.Expr = zrvalue;
prj.Symbols.Add(zr);
BlackModel bm = new BlackModel(zr);
double deltak = dataset.CapTenor;
Matrix capVol = dataset.CapVolatility;
Vector capMat = dataset.CapMaturity;
Vector capK = dataset.CapRate;
var preferences = settings as Fairmat.Calibration.CapVolatilityFiltering;
// Matrix calculated with black.
Matrix blackCaps = new Matrix(capMat.Length, capK.Length);
for (int m = 0; m < capMat.Length; m++)
{
for (int s = 0; s < capK.Length; s++)
{
bool skip = false;
if (preferences != null)
{
if (capK[s] < preferences.MinCapRate || capK[s] > preferences.MaxCapRate ||
capMat[m] < preferences.MinCapMaturity || capMat[m] > preferences.MaxCapMaturity)
{skip = true; }
}
if (capVol[m, s] == 0 || skip)
blackCaps[m, s] = 0;
else
blackCaps[m, s] = bm.Cap(capK[s], capVol[m, s], deltak, capMat[m]);
}
}
if (blackCaps.IsNAN())
{
Console.WriteLine("Black caps matrix has non real values:");
Console.WriteLine(blackCaps);
throw new Exception("Cannot calculate Black caps");
}
// Maturity goes from 0 to the last item with step deltaK.
Vector maturity = new Vector((int)(1.0 + capMat[capMat.Length - 1] / deltak));
for (int l = 0; l < maturity.Length; l++)
maturity[l] = deltak * l;
Vector fwd = new Vector(maturity.Length - 1);
for (int i = 0; i < fwd.Length; i++)
{
fwd[i] = bm.Fk(maturity[i + 1], deltak);
}
// Creates a default Pelsser model.
Pelsser.SquaredGaussianModel model = new Pelsser.SquaredGaussianModel();
model.a1 = (ModelParameter)0.014;
model.sigma1 = (ModelParameter)0.001;
model.zr = (ModelParameter)"@zr";
StochasticProcessExtendible iex = new StochasticProcessExtendible(prj, model);
prj.Processes.AddProcess(iex);
prj.Parse();
DateTime t0 = DateTime.Now;
Caplet cp = new Caplet();
PelsserCappletOptimizationProblem problem = new PelsserCappletOptimizationProblem(prj, cp, maturity, fwd, capK, deltak, capMat, blackCaps);
IOptimizationAlgorithm solver = new QADE();
IOptimizationAlgorithm solver2 = new SteepestDescent();
DESettings o = new DESettings();
o.NP = 35;
o.TargetCost = 0.0025;
o.MaxIter = 10;
o.Verbosity = Math.Max(1, Engine.Verbose);
o.controller = controller;
// Parallel evaluation is not supported for this calibration.
o.Parallel = false;
o.Debug = true;
SolutionInfo solution = null;
Vector x0 = (Vector)new double[] { 0.1, 0.1 };
solution = solver.Minimize(problem, o, x0);
if (solution.errors)
return new EstimationResult(solution.message);
o.epsilon = 10e-7;
o.h = 10e-7;
o.MaxIter = 1000;
o.Debug = true;
o.Verbosity = Math.Max(1, Engine.Verbose);
if (solution != null)
solution = solver2.Minimize(problem, o, solution.x);
else
solution = solver2.Minimize(problem, o, x0);
if (solution.errors)
return new EstimationResult(solution.message);
Console.WriteLine(solution);
string[] names = new string[] { "alpha1", "sigma1" };
result = new EstimationResult(names, solution.x);
result.ZRX = (double[])dataset.ZRMarketDates.ToArray();
result.ZRY = (double[])dataset.ZRMarket.ToArray();
result.Objects = new object[1];
result.Objects[0] = solution.obj;
//result.Fit = solution.obj;//Uncomment in 1.6
// Restore the dates
if (Document.ActiveDocument != null)
{
Document.ActiveDocument.ContractDate = effectiveDate;
Document.ActiveDocument.SimulationStartDate = valuationDate;
}
return result;
}
/// <summary>
/// Attempts to solve the Heston optimization problem using
/// <see cref="Heston.HestonOptimizationProblem"/>.
/// </summary>
/// <param name="marketData">Data to be used in order to perform the optimization.</param>
/// <param name="settings">The parameter is not used.</param>
/// <param name="controller">IController.</param>
/// <returns>The results of the optimization.</returns>
public EstimationResult Estimate(List<object> marketData, IEstimationSettings settings = null, IController controller = null, Dictionary<string, object> properties = null)
{
DateTime t0 = DateTime.Now;
var interestDataSet = (CurveMarketData)marketData[0];
CallPriceMarketData callDataSet = (CallPriceMarketData)marketData[1];
EquityCalibrationData equityCalData = new EquityCalibrationData(callDataSet, interestDataSet);
var spotPrice = (DVPLI.MarketDataTypes.Scalar)marketData[2];
Setup(equityCalData, settings);
var calSettings = settings as HestonCalibrationSettings;
// Creates the context.
Document doc = new Document();
ProjectROV prj = new ProjectROV(doc);
doc.Part.Add(prj);
// Optimization problem instance.
Vector matBound = new Vector(2);
Vector strikeBound = new Vector(2);
if (calSettings != null)
{
matBound[0] = calSettings.MinMaturity;
matBound[1] = calSettings.MaxMaturity;
strikeBound[0] = calSettings.MinStrike;
strikeBound[1] = calSettings.MaxStrike;
}
else
{
//use defaults
matBound[0] = 1.0 / 12;// .25;
matBound[1] = 6;// 10; //Up to 6Y maturities
strikeBound[0] = 0.4;
strikeBound[1] = 1.6;
}
Console.WriteLine(callDataSet);
/*
//CBA TEST
matBound[0] = 1;// .25;
matBound[1] = 3.5;// 10; //Up to 6Y maturities
strikeBound[0] = 0.5;// 0.5;
strikeBound[1] = 2;//1.5;
*/
HestonCallOptimizationProblem problem = NewOptimizationProblem(equityCalData, matBound, strikeBound);
int totalOpts = problem.numCall + problem.numPut;
Console.WriteLine("Calibration based on "+totalOpts+ " options. (" + problem.numCall + " call options and "+problem.numPut+" put options).");
IOptimizationAlgorithm solver = new QADE();
//IOptimizationAlgorithm solver = new MultiLevelSingleLinkage();
IOptimizationAlgorithm solver2 = new SteepestDescent();
DESettings o = new DESettings();
o.controller = controller;
// If true the optimization algorithm will operate in parallel.
o.Parallel = Engine.MultiThread;
o.h = 10e-8;
o.epsilon = 10e-8;
SolutionInfo solution = null;
double minObj=double.MaxValue;
Vector minX= null;
int Z = 1;
//if (problem.GetType() == typeof(Heston.HestonCallSimulationOptimizationProblem))
// Z = 2;
for(int z=0;z<Z;z++)
{
if (solver.GetType() == typeof(MultiLevelSingleLinkage))
{
o.NP = 50;
o.MaxIter = 25;
o.MaxGamma = 6;
}
else
{
o.NP = 60;
o.MaxIter = 35;
}
o.Verbosity = 1;
Vector x0 = null;// new Vector(new double[] { 0.5, 0.5, 0.8, -0.5, 0.05 });
// GA
solution = solver.Minimize(problem, o, x0);
if (solution.errors)
return null;
o.options = "qn";
o.MaxIter = 500;// 1000;
if (solution != null)
solution = solver2.Minimize(problem, o, solution.x);
else
{
solution = solver2.Minimize(problem, o, x0);
}
if (solution.errors)
return null;
if (solution.obj < minObj)
{
minObj = solution.obj;
minX = solution.x.Clone();
}
}
solution.obj = minObj;
solution.x = minX;
//Displays pricing error structure
HestonCallOptimizationProblem.displayObjInfo = true;
problem.Obj(solution.x);
HestonCallOptimizationProblem.displayObjInfo = false;
Console.WriteLine("Calibration Time (s)\t" + (DateTime.Now - t0).TotalSeconds);
return BuildEstimate(spotPrice,interestDataSet, callDataSet, equityCalData, solution);
}
/// <summary>
/// Attempts a calibration through <see cref="CapsHW1OptimizationProblem"/>
/// using caps matrices.
/// </summary>
/// <param name="data">The data to be used in order to perform the calibration.</param>
/// <param name="settings">The parameter is not used.</param>
/// <param name="controller">The controller which may be used to cancel the process.</param>
/// <returns>The results of the calibration.</returns>
public EstimationResult Estimate(List<object> data, IEstimationSettings settings = null, IController controller = null, Dictionary<string, object> properties = null)
{
InterestRateMarketData dataset = data[0] as InterestRateMarketData;
PFunction zr = new PFunction(null);
zr.VarName = "zr";
var preferences = settings as Fairmat.Calibration.CapVolatilityFiltering;
// Loads ZR
double[,] zrvalue = (double[,])ArrayHelper.Concat(dataset.ZRMarketDates.ToArray(), dataset.ZRMarket.ToArray());
zr.Expr = zrvalue;
BlackModel bm = new BlackModel(zr);
double deltak = dataset.CapTenor;
if (dataset.CapVolatility == null)
return new EstimationResult("Cap not available at requested date");
Matrix capVolatility = dataset.CapVolatility;
Vector capMaturity = dataset.CapMaturity;
Vector capRate = dataset.CapRate;
double a = 0.1;
double sigma = 0.1;
// Matrix calculated with Black.
Matrix blackCaps = new Matrix(capMaturity.Length, capRate.Length);
Matrix logic = new Matrix(capMaturity.Length, capRate.Length);
for (int m = 0; m < capMaturity.Length; m++)
{
for (int s = 0; s < capRate.Length; s++)
{
blackCaps[m, s] = bm.Cap(capRate[s], capVolatility[m, s], deltak, capMaturity[m]);
if (double.IsNaN(blackCaps[m, s]))
{
bm.Cap(capRate[s], capVolatility[m, s], deltak, capMaturity[m]);
throw new Exception("Malformed black caps");
}
if (blackCaps[m, s] == 0.0)
{
logic[m, s] = 0.0;
}
else
{
logic[m, s] = 1.0;
}
//filter
if (preferences != null)
{
if (capRate[s] < preferences.MinCapRate || capRate[s] > preferences.MaxCapRate ||
capMaturity[m]<preferences.MinCapMaturity|| capMaturity[m]>preferences.MaxCapMaturity)
{logic[m, s] = 0; blackCaps[m, s] = 0;}
}
}
}
DateTime t0 = DateTime.Now;
CapHW1 hw1Caps = new CapHW1(zr);
Matrix caps = hw1Caps.HWMatrixCaps(capMaturity, capRate, a, sigma, deltak);
for (int m = 0; m < capMaturity.Length; m++)
{
for (int s = 0; s < capRate.Length; s++)
{
caps[m, s] = logic[m, s] * caps[m, s];
}
}
CapsHW1OptimizationProblem problem = new CapsHW1OptimizationProblem(hw1Caps, blackCaps, capMaturity, capRate, deltak);
Vector provaparam = new Vector(2);
var solver = new QADE();
IOptimizationAlgorithm solver2 = new SteepestDescent();
DESettings o = new DESettings();
o.NP = 20;
o.MaxIter = 10;
o.Verbosity = 1;
o.Parallel = false;
SolutionInfo solution = null;
Vector x0 = new Vector(new double[] { 0.05, 0.01 });
o.controller = controller;
solution = solver.Minimize(problem, o, x0);
o.epsilon = 10e-8;
o.h = 10e-8;
o.MaxIter = 100;
solution = solver2.Minimize(problem, o, solution.x);
if (solution.errors)
return new EstimationResult(solution.message);
Console.WriteLine("Solution:");
Console.WriteLine(solution);
string[] names = new string[] { "Alpha", "Sigma" };
//solution.x[0] *= 3;
EstimationResult result = new EstimationResult(names, solution.x);
result.ZRX = (double[])dataset.ZRMarketDates.ToArray();
result.ZRY = (double[])dataset.ZRMarket.ToArray();
return result;
}
/// <summary>
/// Attempts to solve the Variance Gamma Optimization problem using
/// <see cref="Heston.VarianceGammaOptimizationProblem"/>.
/// </summary>
/// <param name="data">
/// The data to be used in order to perform the optimization.
/// </param>
/// <param name="settings">The parameter is not used.</param>
/// <returns>The results of the optimization.</returns>
public EstimationResult Estimate(List<object> data, IEstimationSettings settings = null, IController controller = null, Dictionary<string, object> properties = null)
{
EquitySpotMarketData espmd = data[0] as EquitySpotMarketData;
CallPriceMarketData cpmd = data[1] as CallPriceMarketData;
DiscountingCurveMarketData dcmd = data[2] as DiscountingCurveMarketData;
EquityCalibrationData ecd = new EquityCalibrationData(cpmd, dcmd);
this.s0 = espmd.Price;
this.r = espmd.RiskFreeRate;
this.q = espmd.DividendYield;
this.k = ecd.Hdata.Strike;
this.m = ecd.Hdata.Maturity;
this.cp = ecd.Hdata.CallPrice;
Vector x0 = (Vector)new double[] { -0.1, 0.2, 0.1 };
IOptimizationAlgorithm algorithm = new QADE();
OptimizationSettings optimizationSettings = new DESettings();
// Maximum number of iteration allowed.
// Positive integer values print debug info.
optimizationSettings.Verbosity = 1;
// Tolerance.
optimizationSettings.epsilon = 10e-5;
var solution = algorithm.Minimize(new VarianceGammaOptimizationProblem(this.q, this.s0, this.k,
this.r, this.cp, this.m),
optimizationSettings, x0);
if (solution.errors)
return new EstimationResult(solution.message);
var er = new EstimationResult();
er.Names= new string[]{"S0","theta","sigma","nu","rate","dividend"};
er.Values = new double[] {this.s0,solution.x[0],solution.x[1],solution.x[2],this.r,this.q};
return er;
}
/// <summary>
/// Attempts a calibration through <see cref="CapsCIROptimizationProblem"/>
/// using caps matrices.
/// </summary>
/// <param name="data">The data to be used in order to perform the calibration.</param>
/// <param name="settings">The parameter is not used.</param>
/// <param name="controller">A controller used for the optimization process.</param>
/// <returns>The results of the calibration.</returns>
public EstimationResult Estimate(List<object> data, IEstimationSettings settings = null, IController controller = null, Dictionary<string, object> properties = null)
{
InterestRateMarketData dataset = data[0] as InterestRateMarketData;
// Creates the context.
Document doc = new Document();
ProjectROV prj = new ProjectROV(doc);
doc.Part.Add(prj);
CapCIROptimizationProblem problem = new CapCIROptimizationProblem(dataset);
IOptimizationAlgorithm solver = new QADE();
IOptimizationAlgorithm solver2 = new SteepestDescent();
DESettings o = new DESettings();
o.NP = 50;
o.MaxIter = 50;
o.Verbosity = 1;
o.Parallel = false;
o.controller = controller;
SolutionInfo solution = null;
Vector x0 = new Vector(new double[] { 1, 0.01, 0.05 });
solution = solver.Minimize(problem, o, x0);
if (solution.errors)
return new EstimationResult(solution.message);
o.epsilon = 10e-10;
o.h = 10e-10;
o.MaxIter = 1000;
if (solution != null)
solution = solver2.Minimize(problem, o, solution.x);
else
solution = solver2.Minimize(problem, o, x0);
if (solution.errors)
return new EstimationResult(solution.message);
Console.WriteLine("Solution:");
Console.WriteLine(solution);
string[] names = CIR.parameterNames;
Vector values = new Vector(4);
values[Range.New(0, 2)] = solution.x;
values[3] = problem.r0;
EstimationResult result = new EstimationResult(names, values);
return result;
}
