public void TestCreateSwaptionValuationReport()
{
var curves = CreateInterestRateStreamTestEnvironment(DateTime.Now);
Swaption swaption = GenerateSwaptionParametricWithCashflows();
var marketFactory = new MarketFactory();
marketFactory.AddYieldCurve(curves.GetForecastRateCurveFpML());
Market market = marketFactory.Create();
const string baseParty = _NAB;
var assetValuation = new AssetValuation();
var listOfQuotations = new List <Quotation>();
IEnumerable <StringDoubleRangeItem> valuationSet = CreateValuationSetList(54321, 123.5);
foreach (StringDoubleRangeItem item in valuationSet)
{
var quotation = new Quotation
{
measureType = AssetMeasureTypeHelper.Parse(item.StringValue),
value = (decimal)item.DoubleValue,
valueSpecified = true
};
listOfQuotations.Add(quotation);
}
assetValuation.quote = listOfQuotations.ToArray();
ValuationReport valuationReport = ValuationReportGenerator.Generate("some-valuation-Id", baseParty, "0001", DateTime.Now, swaption, market, assetValuation);
Debug.WriteLine("ValuationReport:");
Debug.WriteLine(XmlSerializerHelper.SerializeToString(typeof(Document), valuationReport));
string s1 = XmlSerializerHelper.SerializeToString(typeof(Document), valuationReport);
XmlSerializerHelper.DeserializeFromString <ValuationReport>(typeof(Document), s1);
XmlSerializerHelper.SerializeToFile(typeof(Document), valuationReport, "some-valuation-Id");
XmlSerializerHelper.DeserializeFromFile <ValuationReport>(typeof(Document), "some-valuation-Id");
}
public void TestCreateFraValuationReport1()
{
var rateCurve = TestRateCurve(new DateTime(2009, 7, 15));
var fra = new Fra();
var pair = rateCurve.GetFpMLData();
var marketFactory = new MarketFactory();
marketFactory.AddPricingStructure(pair);
Market market = marketFactory.Create();
const string baseParty = _NAB;
var assetValuation = new AssetValuation();
var listOfQuotations = new List <Quotation>();
IEnumerable <StringDoubleRangeItem> valuationSet = CreateValuationSetList(54321, 123.5);
foreach (StringDoubleRangeItem item in valuationSet)
{
var quotation = new Quotation
{
measureType = AssetMeasureTypeHelper.Parse(item.StringValue),
value = (decimal)item.DoubleValue,
valueSpecified = true
};
listOfQuotations.Add(quotation);
}
assetValuation.quote = listOfQuotations.ToArray();
ValuationReport valuationReport = ValuationReportGenerator.Generate("some-valuation-Id", baseParty, fra, market, assetValuation);
Debug.WriteLine("ValuationReport:");
Debug.WriteLine(XmlSerializerHelper.SerializeToString(valuationReport));
}
public static AssetValuation CreateAssetValuationFromValuationSet(List <StringObjectRangeItem> valuationSet)
{
var assetValuation = new AssetValuation();
var listOfQuotations = new List <Quotation>();
foreach (StringObjectRangeItem item in valuationSet)
{
var quotation = new Quotation
{
measureType = AssetMeasureTypeHelper.Parse(item.StringValue)
};
if (item.ObjectValue is double | item.ObjectValue is decimal)
{
quotation.value = Convert.ToDecimal(item.ObjectValue);
quotation.valueSpecified = true;
}
else
{
quotation.cashflowType = new CashflowType {
Value = item.ObjectValue.ToString()
};
}
listOfQuotations.Add(quotation);
}
assetValuation.quote = listOfQuotations.ToArray();
return(assetValuation);
}
