public object[,] Publish(IPricingResult pricingResult)
{
var priceResult = pricingResult as PriceResult;
if (priceResult != null)
{
return(PublishPriceResult(priceResult));
}
throw new Exception(string.Format("Pricing result publisher do not handle type {0}", pricingResult.GetType()));
}
public static void Aggregate(this IPricingResult input, IPricingResult result2)
{
var result = (input as PricingResult);
if (result == null)
{
return;
}
result.Pv = Aggregate(result.Pv, result2.Pv);
result.Dv01 = Aggregate(result.Dv01, result2.Dv01);
result.Pv01 = Aggregate(result.Pv01, result2.Pv01);
//result.Ai = result1.Ai = Aggregate(result2. Ai);
//result.AiEod = result1.AiEod = Aggregate(result2. AiEod);
//result.Ytm = result1. = Aggregate(result2. );
//result.DirtyPrice = result1. = Aggregate(result2. );
//result.CleanPrice = result1. = Aggregate(result2. );
result.Delta = Aggregate(result.Delta, result2.Delta);
result.DeltaCash = Aggregate(result.DeltaCash, result2.DeltaCash);
result.Gamma = Aggregate(result.Gamma, result2.Gamma);
result.GammaCash = Aggregate(result.GammaCash, result2.GammaCash);
result.Rho = Aggregate(result.Rho, result2.Rho);
result.RhoForeign = Aggregate(result.RhoForeign, result2.RhoForeign);
result.Vega = Aggregate(result.Vega, result2.Vega);
result.Theta = Aggregate(result.Theta, result2.Theta);
result.Dv01Underlying = Aggregate(result.Dv01Underlying, result2.Dv01Underlying);
result.MacDuration = Aggregate(result.MacDuration, result2.MacDuration);
result.ModifiedDuration = Aggregate(result.ModifiedDuration, result2.ModifiedDuration);
result.Convexity = Aggregate(result.Convexity, result2.Convexity);
result.Carry = Aggregate(result.Carry, result2.Carry);
//result.Sp01 = Aggregate(result.Sp01, result2.Sp01);
//result.ZeroSpread = result1. = Aggregate(result2. );
//result.FairQuote = result1. = Aggregate(result2. );
result.KeyRateDv01 = Aggregate(result.KeyRateDv01, result2.KeyRateDv01);
result.Cashflows = Aggregate(result.Cashflows, result2.Cashflows);
result.CashflowDict = Aggregate(result.CashflowDict, result2.CashflowDict);
//result.ComponentPvs = null;
//result.ProductSpecific = new Dictionary<string, Dictionary<string, RateRecord>>();
result.Succeeded = true;
if (string.IsNullOrEmpty(result.ErrorMessage))
{
result.ErrorMessage = result2.ErrorMessage;
}
else
{
result.ErrorMessage += QdpConsts.MsgDelimiter + result2.ErrorMessage;
}
}
public void Apply(IPricingResult result)
{
if (result == null)
{
throw new ArgumentNullException(nameof(result));
}
if (result.Detail == null)
{
throw new ArgumentNullException(nameof(result.Detail));
}
if (result.Detail.Count() >= this.MinItemsInCart)
{
result.TotalDiscount += result.TotalPrice / 100M * (decimal)this.PercentDiscount;
result.TotalPriceToPay = result.TotalPrice - result.TotalDiscount;
}
}
private IPricingResult BondCalculate(string quoteBondId, Bond bond, IMarketCondition market)
{
var bondQuote = market.MktQuote.Value.ContainsKey(quoteBondId) ? market.MktQuote.Value[quoteBondId] : null;
var executionYieldPricingRequest = PricingRequest.None;
IPricingResult bondResult = null;
if (bondQuote != null && bondQuote.Item1 != PriceQuoteType.None)
{
if (bondQuote.Item1 == PriceQuoteType.Dirty || bondQuote.Item1 == PriceQuoteType.Clean)
{
executionYieldPricingRequest = PricingRequest.Ytm;
}
else if (bondQuote.Item1 == PriceQuoteType.Ytm || bondQuote.Item1 == PriceQuoteType.YtmExecution)
{
executionYieldPricingRequest = PricingRequest.CleanPrice;
}
bondResult = CalcBond(bond, market, executionYieldPricingRequest | PricingRequest.YtmExecution);
}
return(bondResult);
}