public CsPricingResult(Guid clientId,
Guid requestId,
PricingResult result,
TradeInfoBase tradeInfo)
{
ClientId = clientId;
RequestId = requestId;
TradeInfo = tradeInfo;
Result = result;
}
public RateMktData(string tenor, double rate,
string indexType,
string instrumentType,
string curveName,
TradeInfoBase tradeInfo = null)
{
Tenor = tenor;
Rate = rate;
IndexType = indexType;
InstrumentType = tradeInfo == null ? instrumentType : tradeInfo.InstrumentType;
TradeInfo = tradeInfo;
Name = tradeInfo == null
? (string.Format("{0}_{1}_{2}_{3}", string.IsNullOrEmpty(curveName) ? "" : curveName, indexType, instrumentType, tenor))
: string.Format("{0}_{1}_{2}", string.IsNullOrEmpty(curveName) ? "" : curveName, tradeInfo.InstrumentType, tradeInfo.TradeId);
}
public static IValuationFunction ToVf(TradeInfoBase tradeInfo)
{
IValuationFunction vf;
// sean todo // tradeInfo.GetValuationFunction
if (tradeInfo is BondInfoBase)
{
vf = new BondVf((BondInfoBase)tradeInfo);
}
else if (tradeInfo is VanillaOptionInfo)
{
vf = new VanillaOptionVf((VanillaOptionInfo)tradeInfo);
}
else if (tradeInfo is BarrierOptionInfo)
{
vf = new BarrierOptionVf((BarrierOptionInfo)tradeInfo);
}
else if (tradeInfo is BinaryOptionInfo)
{
vf = new BinaryOptionVf((BinaryOptionInfo)tradeInfo);
}
else if (tradeInfo is AsianOptionInfo)
{
vf = new AsianOptionVf((AsianOptionInfo)tradeInfo);
}
else if (tradeInfo is RainbowOptionInfo)
{
vf = new RainbowOptionVf((RainbowOptionInfo)tradeInfo);
}
else if (tradeInfo is SpreadOptionInfo)
{
vf = new SpreadOptionVf((SpreadOptionInfo)tradeInfo);
}
else if (tradeInfo is InterestRateSwapInfo)
{
vf = new InterestRateSwapVf((InterestRateSwapInfo)tradeInfo);
}
else if (tradeInfo is FixedLegInfo)
{
vf = new FixedLegVf((FixedLegInfo)tradeInfo);
}
else if (tradeInfo is FloatingLegInfo)
{
vf = new FloatingLegVf((FloatingLegInfo)tradeInfo);
}
else if (tradeInfo is BondFuturesInfo)
{
vf = new BondFuturesVf((BondFuturesInfo)tradeInfo);
}
else if (tradeInfo is LoanInfo)
{
vf = new LoanVf((LoanInfo)tradeInfo);
}
else if (tradeInfo is HoldingPeriodInfo)
{
vf = new HoldingPeriodVf((HoldingPeriodInfo)tradeInfo);
}
else if (tradeInfo is AbsWithRepurchaseInfo)
{
vf = new AbsWithRepurchaseVf((AbsWithRepurchaseInfo)tradeInfo);
}
else if (tradeInfo is ConvertibleBondInfo)
{
vf = new ConvertibleBondVf((ConvertibleBondInfo)tradeInfo);
}
else
{
throw new PricingLibraryException("Unknowy trade info type");
}
return(vf);
}
public PricingEcosystemException(string msg, TradeInfoBase tradeInfo)
: base(msg)
{
TradeInfo = tradeInfo;
}
/// <summary>
/// Convert trade info into a two column array of {label, value} paris.
/// </summary>
/// <param name="tradeInfo">TradeInfo.</param>
/// <param name="outputLabels">Output labels. If left null or empty array, all labels will be returned.</param>
/// <returns></returns>
public static object ToTradeInfoInLabelData(this TradeInfoBase tradeInfo, string[] outputLabels)
{
return(GetObjProperties(tradeInfo, outputLabels));
}