/// <summary>
/// Returns properties from the pricing structure. <see cref="NamedValueSet"/> class.
/// </summary>
/// <param name="fpmlData">The FPML data.</param>
public static NamedValueSet RateCurve(Pair <PricingStructure, PricingStructureValuation> fpmlData)
{
var tempFpML = (YieldCurveValuation)fpmlData.Second;
var curve = (YieldCurve)fpmlData.First;
//Creates the property collection. This should be backward compatible with V1.
var buildDateTime = tempFpML.buildDateTime;
var curveName = "AUD-Dummy-SydneySwapDesk";
if (curve.name != null)
{
curveName = curve.name;
}
var baseDate = tempFpML.baseDate.Value;
var currency = curve.currency.Value;
var names = new[]
{
"Identifier", CurveProp.CurveName, "Algorithm", CurveProp.PricingStructureType, CurveProp.IndexName, CurveProp.IndexTenor,
"BuildDateTime", "BaseDate", "Currency"
};
var indexName = curve.forecastRateIndex.floatingRateIndex.Value;
var indexTenor = curve.forecastRateIndex.indexTenor.ToString();
var values = new object[]
{
curve.id, curveName, curve.algorithm, "RateCurve",
indexName, indexTenor, buildDateTime, baseDate, currency
};
//Get the values.
var properties = NamedValueSetHelper.Build(names, values);
return(properties);
}
/// <summary>
/// Returns properties from the pricing structure. <see cref="NamedValueSet"/> class.
/// </summary>
/// <param name="fpmlData">The FPML data.</param>
public static NamedValueSet FxCurve(Pair <PricingStructure, PricingStructureValuation> fpmlData)
{
var valuation = (FxCurveValuation)fpmlData.Second;
var curve = (FxCurve)fpmlData.First;
//Creates the property collection. This should be backward compatible with V1.
var names = new[] { "Identifier", CurveProp.CurveName, "Algorithm", CurveProp.PricingStructureType, CurveProp.CurrencyPair, "QuoteBasis", "BuildDateTime", "BaseDate", "Currency" };
var currencyPair = curve.quotedCurrencyPair.currency1.Value + "-" + curve.quotedCurrencyPair.currency2.Value;
var quoteBasis = curve.quotedCurrencyPair.quoteBasis.ToString();
var buildDateTime = valuation.buildDateTime;
var curveName = "AUD-Dummy-SydneyFxDesk";
if (curve.name != null)
{
curveName = curve.name;
}
var baseDate = valuation.baseDate.Value;
var currency = curve.currency.Value;
//Get the values.
var values = new object[]
{
curve.id, curveName, "LinearForward", "FxCurve",
currencyPair, quoteBasis, buildDateTime, baseDate, currency
};
var properties = NamedValueSetHelper.Build(names, values);
return(properties);
}
/// <summary>
/// Returns properties from the pricing structure. <see cref="NamedValueSet"/> class.
/// </summary>
/// <param name="fpmlData">The FPML data.</param>
public static NamedValueSet CommodityCurve(Pair <PricingStructure, PricingStructureValuation> fpmlData)
{
var tempFpML = (FxCurveValuation)fpmlData.Second;
var curve = (FxCurve)fpmlData.First;
//Creates the property collection. This should be backward compatible with V1.
var names = new[] { "Identifier", CurveProp.CurveName, "Algorithm", CurveProp.PricingStructureType, "CommodityAsset",
"BuildDateTime", "BaseDate", "Currency" };
var commodityAsset = curve.name.Split('-')[1];
var buildDateTime = tempFpML.buildDateTime;
var curveName = "AUD-Dummy-SydneyCommodityDesk";
if (curve.name != null)
{
curveName = curve.name;
}
var baseDate = tempFpML.baseDate.Value;
var currency = curve.currency.Value;
//Get the values.
var values = new object[]
{
curve.id, curveName, "LinearForward", "CommodityCurve",
commodityAsset, buildDateTime, baseDate, currency
};
var properties = NamedValueSetHelper.Build(names, values);
return(properties);
}
/// <summary>
/// Returns properties from the pricing structure. <see cref="NamedValueSet"/> class.
/// </summary>
/// <param name="fpmlData">The FPML data.</param>
public static NamedValueSet FxVolatilityMatrix(Pair <PricingStructure, PricingStructureValuation> fpmlData)
{
var tempFpML = (VolatilityMatrix)fpmlData.Second;
var curve = (VolatilityRepresentation)fpmlData.First;
//Creates the property collection. This should be backward compatible with V1.
var buildDateTime = tempFpML.buildDateTime;
var curveName = "AUD-Dummy-SydneyFxDesk";
if (curve.name != null)
{
curveName = curve.name;
}
var baseDate = tempFpML.baseDate.Value;
var currency = curve.currency.Value;
var names = new[]
{
"Identifier", CurveProp.CurveName, "Algorithm", CurveProp.PricingStructureType, "Instrument",
"BuildDateTime", "BaseDate", "Currency"
};
var values = new object[]
{
curve.id, curveName, "Linear", "FxVolatilityMatrix",
curve.asset.href, buildDateTime, baseDate, currency
};
//Get the values.
var properties = NamedValueSetHelper.Build(names, values);
return(properties);
}
/// <summary>
/// Returns properties from the pricing structure. <see cref="NamedValueSet"/> class.
/// </summary>
/// <param name="fpmlData">The FPML data.</param>
public static NamedValueSet DiscountCurve(Pair <PricingStructure, PricingStructureValuation> fpmlData)
{
var tempFpML = (YieldCurveValuation)fpmlData.Second;
var curve = (YieldCurve)fpmlData.First;
//Creates the property collection. This should be backward compatible with V1.
var buildDateTime = tempFpML.buildDateTime;
var curveName = "AUD-Dummy-SydneySwapDesk";
if (curve.name != null)
{
curveName = curve.name;
}
var baseDate = tempFpML.baseDate.Value;
var currency = curve.currency.Value;
var curveData = curveName.Split('-');
var names = new[]
{
"Identifier", CurveProp.CurveName, "Algorithm", CurveProp.PricingStructureType, "CreditInstrumentId", "CreditInstrumentId",
"BuildDateTime", "BaseDate", "Currency"
};
var values = new object[]
{
curve.id, curveName, curve.algorithm, "DiscountCurve",
curveData[1], curveData[2], buildDateTime, baseDate, currency
};
//Get the values.
var properties = NamedValueSetHelper.Build(names, values);
return(properties);
}
public void BuildTest()
{
string[] names = { "CurveType", "ExpiryMins" };
object[] values = { "RateCurve", 1 };
NamedValueSet actual = NamedValueSetHelper.Build(names, values);
Assert.AreEqual("RateCurve", actual.Get("CurveType").ValueString);
Assert.AreEqual(1, actual.Get("ExpiryMins").Value);
}
public void DistinctInstancesTest()
{
object[,] properties = new object[, ]
{
{ "CurveType", "RateCurve" },
{ "ExpiryMins", 1 },
{ "ExpiryMins", 2 }
};
NamedValueSet actual = NamedValueSetHelper.DistinctInstances(properties);
Assert.AreEqual("RateCurve", actual.Get("CurveType").ValueString);
Assert.AreEqual(1, ((object[])actual.Get("ExpiryMins").Value)[0]);
Assert.AreEqual(2, ((object[])actual.Get("ExpiryMins").Value)[1]);
}
/// <summary>
/// Returns properties from the pricing structure. <see cref="NamedValueSet"/> class.
/// </summary>
/// <param name="fpmlData">The FPML data.</param>
public static NamedValueSet VolatilityCurve(Pair <PricingStructure, PricingStructureValuation> fpmlData)
{
var tempFpML = (VolatilityMatrix)fpmlData.Second;
var curve = (VolatilityRepresentation)fpmlData.First;
//Creates the property collection. This should be backward compatible with V1.
var buildDateTime = tempFpML.buildDateTime;
var curveName = "AUD-Dummy-SydneySwapDesk";
if (curve.name != null)
{
curveName = curve.name;
}
var baseDate = tempFpML.baseDate.Value;
var currency = curve.currency.Value;
var names = new[]
{
"Identifier", CurveProp.CurveName, "Algorithm", CurveProp.PricingStructureType, "Instrument", CurveProp.IndexName, CurveProp.IndexTenor,
"BuildDateTime", "BaseDate", "Currency"
};
var instrument = curve.asset.href;
String indexTenor = null;
String indexName = null;
var temp = instrument.Split('-');
if (temp.Length > 1)
{
indexTenor = temp[temp.Length - 1];
indexName = string.Join("-", temp, 0, temp.Length - 1);
}
var values = new object[]
{
curve.id, curveName, "Default", PricingStructureTypeEnum.CapVolatilityCurve.ToString(),
instrument, indexName, indexTenor, buildDateTime, baseDate, currency
};
//Get the values.
var properties = NamedValueSetHelper.Build(names, values);
return(properties);
}