/// <summary>
/// Parses the assetIdentifiers.
/// </summary>
/// <param name="assetIdentifiers"></param>
/// <param name="values"></param>
/// <param name="adjustments"></param>
/// <returns></returns>
public static FxRateSet ParseToFxRateSet(string[] assetIdentifiers, decimal[] values, decimal[] adjustments)
{
if (assetIdentifiers.Length != values.Length)
{
throw new ArgumentOutOfRangeException(nameof(values), "the rates do not match the number of assets");
}
if (adjustments != null && assetIdentifiers.Length != adjustments.Length)
{
throw new ArgumentOutOfRangeException(nameof(values), "the rates do not match the number of assets");
}
var quotedAssetSetFactory = new QuotedAssetSetFactory();
const string rateQuotationType = PriceableCommoditySpot.RateQuotationType;
int index = 0;
foreach (string assetIdentifier in assetIdentifiers)
{
var bav
= new BasicAssetValuation
{
objectReference = new AnyAssetReference {
href = assetIdentifier
}
};
var addOn = adjustments?[index] ?? 0.0m;
var bqs = new List <BasicQuotation>
{
BasicQuotationHelper.Create(values[index] + addOn, rateQuotationType, "DecimalRate")
};
bav.quote = bqs.ToArray();
quotedAssetSetFactory.AddAssetAndQuotes(Parse(assetIdentifier), bav);
index++;
}
return(quotedAssetSetFactory.CreateFxRateSet());
}
/// <summary>
/// Parses the data.
/// </summary>
/// <param name="instrumentIds"></param>
/// <param name="values"></param>
/// <returns></returns>
public static QuotedAssetSet Parse(string[] instrumentIds, decimal[] values)
{
var quotedAssetSetFactory = new QuotedAssetSetFactory();
for (int i = 0; i < instrumentIds.Length; i++)
{
Pair <Asset, BasicAssetValuation> assetPair = Parse(instrumentIds[i], values[i], null);
quotedAssetSetFactory.AddAssetAndQuotes(assetPair.First, assetPair.Second);
}
return(quotedAssetSetFactory.Create());
}
/// <summary>
/// Creates the specified assets in a quoted asset set.
/// </summary>
/// <param name="assetIdentifiers">The asset identifiers.</param>
/// <param name="values">The adjusted rates.</param>
/// <param name="measureTypes">The measure types. Currently supports MarketQuote and Volatility.</param>
/// <param name="priceQuoteUnits">The price quote units. Currently supports Rates and LogNormalVolatility.</param>
/// <param name="includeMarketQuoteValues">An include flag. If false, then the market quotes are set as null.</param>
/// <returns></returns>
public static QuotedAssetSet Parse(string[] assetIdentifiers, Decimal[] values,
String[] measureTypes, String[] priceQuoteUnits, bool includeMarketQuoteValues)
{
if (assetIdentifiers.Length != values.Length && assetIdentifiers.Length != priceQuoteUnits.Length && (assetIdentifiers.Length != measureTypes.Length))
{
throw new ArgumentOutOfRangeException(nameof(values), "The rates do not match the number of assets");
}
var quotedAssetSetFactory = new QuotedAssetSetFactory();
foreach (string assetIdentifier in assetIdentifiers.Distinct())
{
int index = 0;
var bav
= new BasicAssetValuation
{
objectReference = new AnyAssetReference {
href = assetIdentifier
}
};
var bqs = new List <BasicQuotation>();
foreach (string ids in assetIdentifiers)
{
index++;
if (ids != assetIdentifier)
{
continue;
}
BasicQuotation bq;
if (measureTypes[index - 1] == AssetMeasureEnum.MarketQuote.ToString() && !includeMarketQuoteValues)
{
bq = BasicQuotationHelper.Create(measureTypes[index - 1],
priceQuoteUnits[index - 1]);
bqs.Add(bq);
}
else
{
bq = BasicQuotationHelper.Create(values[index - 1], measureTypes[index - 1],
priceQuoteUnits[index - 1]);
bqs.Add(bq);
}
}
bav.quote = bqs.ToArray();
quotedAssetSetFactory.AddAssetAndQuotes(Parse(assetIdentifier), bav);
}
return(quotedAssetSetFactory.Create());
}
/// <summary>
/// Parses the data.
/// </summary>
/// <param name="instrumentIds"></param>
/// <param name="values"></param>
/// <param name="adjustments"></param>
/// <returns></returns>
public static QuotedAssetSet ParseTenorSet(string[] instrumentIds, decimal[] values, decimal[] adjustments)
{
var quotedAssetSetFactory = new QuotedAssetSetFactory();
if (adjustments != null)
{
for (int i = 0; i < instrumentIds.Length; i++)
{
Pair <Asset, BasicAssetValuation> assetPair = Parse(instrumentIds[i], values[i], adjustments[i]);
quotedAssetSetFactory.AddAssetAndQuotes(assetPair.First, assetPair.Second);
}
}
else
{
for (int i = 0; i < instrumentIds.Length; i++)
{
Pair <Asset, BasicAssetValuation> assetPair = Parse(instrumentIds[i], values[i], null);
quotedAssetSetFactory.AddAssetAndQuotes(assetPair.First, assetPair.Second);
}
}
return(quotedAssetSetFactory.CreateTenorSet());
}
/// <summary>
/// Parses the data.
/// </summary>
/// <param name="instrumentIds"></param>
/// <returns></returns>
public static QuotedAssetSet Parse(string[] instrumentIds)
{
var quotedAssetSetFactory = new QuotedAssetSetFactory();
const string rateQuotationType = "MarketQuote";
for (var i = 0; i < instrumentIds.Length; i++)
{
Asset underlyingAsset;
var instrumentId = instrumentIds[i];
var results = instrumentIds[i].Split('-');
var instrument = results[1];
var listBasicQuotations = new List <BasicQuotation>();
const string priceUnitDecimalRate = "DecimalRate";
switch (instrument)
{
case "ZeroRate":
{
underlyingAsset = new Cash {
id = instrumentId
};
listBasicQuotations.Add(BasicQuotationHelper.Create(rateQuotationType, priceUnitDecimalRate));
break;
}
case "Xibor":
case "OIS":
{
var tenor = results[2];
underlyingAsset = new RateIndex {
id = instrumentId, term = Period.Parse(tenor)
};
listBasicQuotations.Add(BasicQuotationHelper.Create(rateQuotationType, priceUnitDecimalRate));
break;
}
case "IRSwap":
case "XccySwap":
case "SimpleIRSwap":
{
underlyingAsset = new SimpleIRSwap {
id = instrumentId, term = Period.Parse(results[2])
};
listBasicQuotations.Add(BasicQuotationHelper.Create(rateQuotationType, priceUnitDecimalRate));
break;
}
case "Deposit":
case "XccyDepo":
case "BankBill":
{
underlyingAsset = new Deposit {
id = instrumentId, term = Period.Parse(results[2])
};
listBasicQuotations.Add(BasicQuotationHelper.Create(rateQuotationType, priceUnitDecimalRate));
break;
}
case "SimpleFra":
case "Fra":
case "BillFra":
{
var index = results[3];
var asset = new SimpleFra {
id = instrumentId, startTerm = Period.Parse(results[2])
};
asset.endTerm = asset.startTerm.Sum(Period.Parse(index));
underlyingAsset = asset;
listBasicQuotations.Add(BasicQuotationHelper.Create(rateQuotationType, priceUnitDecimalRate));
break;
}
case "IRFuture":
{
underlyingAsset = new Future {
id = instrumentId
};
listBasicQuotations.Add(BasicQuotationHelper.Create(rateQuotationType, priceUnitDecimalRate));
listBasicQuotations.Add(BasicQuotationHelper.Create("Volatility", "LognormalVolatility"));
break;
}
case "CPIndex":
{
var tenor = results[2];
underlyingAsset = new RateIndex {
id = instrumentId, term = Period.Parse(tenor)
};
listBasicQuotations.Add(BasicQuotationHelper.Create(rateQuotationType, priceUnitDecimalRate));
break;
}
case "SimpleCPISwap":
case "CPISwap":
case "ZCCPISwap":
{
underlyingAsset = new SimpleIRSwap {
id = instrumentId, term = Period.Parse(results[2])
};
listBasicQuotations.Add(BasicQuotationHelper.Create(rateQuotationType, priceUnitDecimalRate));
break;
}
default:
throw new NotSupportedException(string.Format("Asset type {0} is not supported", instrument));
}
quotedAssetSetFactory.AddAssetAndQuotes(underlyingAsset, Helpers.BasicAssetValuationHelper.Create(underlyingAsset.id, listBasicQuotations.ToArray()));
}
return(quotedAssetSetFactory.Create());
}
