public override VersionCorrection DeserializeImpl(IFudgeFieldContainer msg, IFudgeDeserializer deserializer)
{
var versionOf = ((FudgeDateTime)msg.GetValue("versionAsOf")).ToDateTimeOffsetWithDefault();
var correctedTo = ((FudgeDateTime)msg.GetValue("correctedTo")).ToDateTimeOffsetWithDefault();
return(new VersionCorrection(versionOf, correctedTo));
}
public static InterpolatedDoublesSurface FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
var xData = ffc.GetValue<double[]>("x data");
var yData = ffc.GetValue<double[]>("y data");
var zData = ffc.GetValue<double[]>("z data");
return new InterpolatedDoublesSurface(xData, yData, zData);
}
public override ExternalId DeserializeImpl(IFudgeFieldContainer msg, IFudgeDeserializer deserializer)
{
string scheme = msg.GetValue <string>("Scheme");
string value = msg.GetValue <string>("Value");
return(new ExternalId(scheme, value));
}
public override VolatilitySurfaceData DeserializeImpl(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
Currency currency = ffc.GetValue <Currency>("currency");
string definitionName = ffc.GetValue <string>("definitionName");
string specificationName = ffc.GetValue <string>("specificationName");
string interpolatorName = ffc.GetValue <string>("interpolatorName");
bool xWrapped;
IList <object> xs = ReadAllAsObjectList(ffc, "xs", deserializer, out xWrapped);
bool yWrapped;
IList <object> ys = ReadAllAsObjectList(ffc, "ys", deserializer, out yWrapped);
Type xType = GetType(xs);
Type yType = GetType(ys);
var values = new Dictionary <Tuple <object, object>, double>();
var valuesFields = ffc.GetAllByName("values");
foreach (var valueField in valuesFields)
{
var subMessage = (IFudgeFieldContainer)valueField.Value;
var xField = subMessage.GetByName("x");
var yField = subMessage.GetByName("y");
object x = xWrapped ? GetWrappedPrimitive(xField) : deserializer.FromField(xField, xType);
object y = yWrapped ? GetWrappedPrimitive(yField) : deserializer.FromField(yField, yType);
double value = subMessage.GetValue <double>("value");
values.Add(new Tuple <object, object>(x, y), value);
}
return(Build(xType, yType, definitionName, specificationName, currency, interpolatorName, xs, ys, values));
}
public static ViewDefinition FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
var name = ffc.GetValue <string>("name");
var uniqueIdString = ffc.GetString("uniqueId");
var uniqueId = uniqueIdString == null ? null : UniqueId.Parse(uniqueIdString);
var resultModelDefinition = deserializer.FromField <ResultModelDefinition>(ffc.GetByName("resultModelDefinition"));
UniqueId portfolioIdentifier = ValueRequirement.GetUniqueIdentifier(ffc, deserializer, "identifier");
var user = deserializer.FromField <UserPrincipal>(ffc.GetByName("user"));
var currency = ffc.GetValue <Currency>("currency");
var minDeltaCalcPeriod = ReadNullableTimeSpanField(ffc, "minDeltaCalcPeriod");
var maxDeltaCalcPeriod = ReadNullableTimeSpanField(ffc, "maxDeltaCalcPeriod");
var minFullCalcPeriod = ReadNullableTimeSpanField(ffc, "fullDeltaCalcPeriod");
var maxFullCalcPeriod = ReadNullableTimeSpanField(ffc, "maxFullCalcPeriod");
var calculationConfigurationsByName = ffc.GetAllByName("calculationConfiguration")
.Select(deserializer.FromField <ViewCalculationConfiguration>)
.ToDictionary(vcc => vcc.Name);
return(new ViewDefinition(name, resultModelDefinition, portfolioIdentifier, user, currency, minDeltaCalcPeriod, maxDeltaCalcPeriod, minFullCalcPeriod, maxFullCalcPeriod, calculationConfigurationsByName, uniqueId));
}
protected static Tuple <DateTimeNumericEncoding, T[], double[]> FromFudgeMsgImpl(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
var encoding = deserializer.FromField <DateTimeNumericEncoding>(ffc.GetByOrdinal(1));
var times = ffc.GetValue <T[]>(2);
var values = ffc.GetValue <double[]>(3);
return(System.Tuple.Create(encoding, times, values));
}
public static InterpolatedDoublesCurve FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
string name = GetName(ffc);
var xData = ffc.GetValue <double[]>("x data");
var yData = ffc.GetValue <double[]>("y data");
return(new InterpolatedDoublesCurve(name, xData, yData));
}
public static NodalDoublesCurve FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
string name = GetName(ffc);
var xData = ffc.GetValue<double[]>("x data");
var yData = ffc.GetValue<double[]>("y data");
return new NodalDoublesCurve(name, xData, yData);
}
public static InterpolatedDoublesSurface FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
var xData = ffc.GetValue <double[]>("x data");
var yData = ffc.GetValue <double[]>("y data");
var zData = ffc.GetValue <double[]>("z data");
return(new InterpolatedDoublesSurface(xData, yData, zData));
}
public static DateTimeOffset GetDocumentValues(IFudgeFieldContainer ffc, out DateTimeOffset versionToInstant, out DateTimeOffset correctionFromInstant, out DateTimeOffset correctionToInstant)
{
var versionFromInstant = ffc.GetValue<FudgeDateTime>("versionFromInstant").ToDateTimeOffsetWithDefault();
correctionFromInstant = ffc.GetValue<FudgeDateTime>("correctionFromInstant").ToDateTimeOffsetWithDefault();
versionToInstant = ffc.GetValue<FudgeDateTime>("versionToInstant").ToDateTimeOffsetWithDefault();
correctionToInstant = ffc.GetValue<FudgeDateTime>("correctionToInstant").ToDateTimeOffsetWithDefault();
return versionFromInstant;
}
public static DateTimeOffset GetDocumentValues(IFudgeFieldContainer ffc, out DateTimeOffset versionToInstant, out DateTimeOffset correctionFromInstant, out DateTimeOffset correctionToInstant)
{
var versionFromInstant = ffc.GetValue <FudgeDateTime>("versionFromInstant").ToDateTimeOffsetWithDefault();
correctionFromInstant = ffc.GetValue <FudgeDateTime>("correctionFromInstant").ToDateTimeOffsetWithDefault();
versionToInstant = ffc.GetValue <FudgeDateTime>("versionToInstant").ToDateTimeOffsetWithDefault();
correctionToInstant = ffc.GetValue <FudgeDateTime>("correctionToInstant").ToDateTimeOffsetWithDefault();
return(versionFromInstant);
}
public static InterpolatedYieldCurveSpecificationWithSecurities FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
return(new InterpolatedYieldCurveSpecificationWithSecurities(
new DateTimeOffset(
((FudgeDate)ffc.GetValue("curveDate")).ToDateTime()),
(string)ffc.GetValue("name"),
ffc.GetValue <Currency>("currency"),
ffc.GetAllByName("resolvedStrips").Select(deserializer.FromField <FixedIncomeStripWithSecurity>).ToList()
));
}
public static ResultModelDefinition FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
return(new ResultModelDefinition(
EnumBuilder <ResultOutputMode> .Parse(ffc.GetValue <string>("aggregatePositionOutputMode")),
EnumBuilder <ResultOutputMode> .Parse(ffc.GetValue <string>("positionOutputMode")),
EnumBuilder <ResultOutputMode> .Parse(ffc.GetValue <string>("tradeOutputMode")),
EnumBuilder <ResultOutputMode> .Parse(ffc.GetValue <string>("securityOutputMode")),
EnumBuilder <ResultOutputMode> .Parse(ffc.GetValue <string>("primitiveOutputMode"))
));
}
public static InterpolatedYieldCurveSpecificationWithSecurities FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
return new InterpolatedYieldCurveSpecificationWithSecurities(
new DateTimeOffset(
((FudgeDate) ffc.GetValue("curveDate")).ToDateTime()),
(string) ffc.GetValue("name"),
ffc.GetValue<Currency>("currency"),
ffc.GetAllByName("resolvedStrips").Select(deserializer.FromField<FixedIncomeStripWithSecurity>).ToList()
);
}
public static ValueRequirement FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
ValueProperties constraints = deserializer.FromField <ValueProperties>(ffc.GetByName("constraints")) ?? ValueProperties.Create();
var computationTargetType = ffc.GetValue <string>("computationTargetType");
var computationTargetIdentifier = GetUniqueIdentifier(ffc, deserializer, "computationTargetIdentifier");
var targetSpec = new ComputationTargetSpecification(EnumBuilder <ComputationTargetType> .Parse(computationTargetType), computationTargetIdentifier);
var valueName = ffc.GetValue <string>("valueName");
return(new ValueRequirement(valueName, targetSpec, constraints));
}
public static ValueRequirement FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
ValueProperties constraints = deserializer.FromField<ValueProperties>(ffc.GetByName("constraints")) ?? ValueProperties.Create();
var computationTargetType = ffc.GetValue<string>("computationTargetType");
var computationTargetIdentifier = GetUniqueIdentifier(ffc, deserializer, "computationTargetIdentifier");
var targetSpec = new ComputationTargetSpecification(EnumBuilder<ComputationTargetType>.Parse(computationTargetType), computationTargetIdentifier);
var valueName = ffc.GetValue<string>("valueName");
return new ValueRequirement(valueName, targetSpec, constraints);
}
public static CompiledViewDefinitionImpl FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
ViewDefinition defn = deserializer.FromField <ViewDefinition>(ffc.GetByName("viewDefinition"));
IPortfolio portfolio = deserializer.FromField <IPortfolio>(ffc.GetByName("portfolio"));
DateTimeOffset latestValidity = ffc.GetValue <FudgeDateTime>("latestValidity").ToDateTimeOffsetWithDefault();
DateTimeOffset earliestValidity = ffc.GetValue <FudgeDateTime>("earliestValidity").ToDateTimeOffsetWithDefault();
var configs = ffc.GetAllByName("compiledCalculationConfigurations").Select(deserializer.FromField <CompiledViewCalculationConfigurationImpl>).ToDictionary(c => c.Name, c => (ICompiledViewCalculationConfiguration)c);
return(new CompiledViewDefinitionImpl(defn, portfolio, latestValidity, earliestValidity, configs));
}
public static InterpolatedYieldCurveSpecification FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
var curveDate = ffc.GetValue <DateTimeOffset>("curveDate");
string name = ffc.GetString("name");
var currency = ffc.GetValue <Currency>("currency");
var region = ExternalId.Parse(ffc.GetString("region"));
var resolvedStripFields = ffc.GetAllByName("resolvedStrips");
var resolvedStrips = resolvedStripFields.Select(deserializer.FromField <FixedIncomeStripWithIdentifier>)
.ToList();
return(new InterpolatedYieldCurveSpecification(curveDate, name, currency, resolvedStrips, region));
}
public override ITrade DeserializeImpl(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
//TODO: the rest of this
var uniqueIdentifier = UniqueId.Parse(ffc.GetString("uniqueId"));
var tradeDate = ffc.GetValue <DateTimeOffset>("tradeDate");
var securityKey = deserializer.FromField <ExternalIdBundle>(ffc.GetByName("securityKey"));
var counterPartyIdentifier = ExternalId.Parse(ffc.GetString("counterpartyKey") ?? ffc.GetString("counterparty")); //NOTE: this is a hack because we don't use proto yet
var quant = ffc.GetValue <string>("quantity");
return(new SimpleTrade(uniqueIdentifier, tradeDate, securityKey, new CounterpartyImpl(counterPartyIdentifier), decimal.Parse(quant)));
}
public static FixedIncomeStrip FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
FixedIncomeStrip ret = new FixedIncomeStrip();
ret.InstrumentType = EnumBuilder <StripInstrumentType> .Parse(ffc.GetValue <string>("type"));
ret.CurveNodePointTime = new Tenor(ffc.GetValue <string>("tenor"));
ret.ConventionName = ffc.GetValue <string>("conventionName");
if (ret.InstrumentType == StripInstrumentType.Future)
{
ret.NthFutureFromTenor = ffc.GetValue <int>("numFutures");
}
return(ret);
}
public static ViewCalculationConfiguration FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
var name = ffc.GetValue <string>("name");
List <ValueRequirement> specificRequirements = GetList <ValueRequirement>(ffc, "specificRequirement", deserializer);
//TODO MAP deserializer by magic
var portfolioRequirementsBySecurityType = new Dictionary <string, HashSet <Tuple <string, ValueProperties> > >();
foreach (var portfolioReqField in ffc.GetAllByName("portfolioRequirementsBySecurityType"))
{
const string securitytypeKey = "securityType";
var securityType = ((IFudgeFieldContainer)portfolioReqField.Value).GetValue <string>(securitytypeKey);
var enumerable = ((IFudgeFieldContainer)portfolioReqField.Value).GetAllByName("portfolioRequirement").Select(f => GetReqPair(f, deserializer));
portfolioRequirementsBySecurityType.Add(securityType, new HashSet <Tuple <string, ValueProperties> >(enumerable));
}
var defaultProperties = deserializer.FromField <ValueProperties>(ffc.GetByName("defaultProperties"));
var deltaDefinition = deserializer.FromField <DeltaDefinition>(ffc.GetByName("deltaDefinition"));
IResolutionRuleTransform transform = null;
IFudgeField transformField = ffc.GetByName("resolutionRuleTransform");
if (transformField != null)
{
transform = deserializer.FromField <IResolutionRuleTransform>(transformField);
}
return(new ViewCalculationConfiguration(name, specificRequirements, portfolioRequirementsBySecurityType, deltaDefinition, defaultProperties, transform));
}
public static FunctionalDoublesCurve FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
string name = GetName(ffc);
double[] parameters = ffc.GetValue <double[]>("NSS parameters");
return(Create(new NelsonSiegelSvennsonBondCurveModel(parameters).Eval, name));
}
public static ViewCycleExecutionOptions FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
IFudgeField mdsField = ffc.GetByName("marketDataSpecification");
var marketDataSpecification = mdsField == null ? null : deserializer.FromField<MarketDataSpecification>(mdsField);
var valuationValue = ffc.GetValue("valuation");
var valuation = (FudgeDateTime)(valuationValue == IndicatorType.Instance ? null : valuationValue);
return new ViewCycleExecutionOptions(valuation.ToDateTimeOffsetWithDefault(), marketDataSpecification);
}
private static DateTimeOffset GetToDateTimeOffsetWithDefault(IFudgeFieldContainer msg, string fieldName)
{
//TODO strict once [PLAT-1683] is fixed
if (msg.GetByName(fieldName).Type == IndicatorFieldType.Instance)
{
return(new DateTimeOffset());
}
return(msg.GetValue <DateTimeOffset>(fieldName));
}
public static ViewCycleExecutionOptions FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
IFudgeField mdsField = ffc.GetByName("marketDataSpecification");
var marketDataSpecification = mdsField == null ? null : deserializer.FromField <MarketDataSpecification>(mdsField);
var valuationValue = ffc.GetValue("valuation");
var valuation = (FudgeDateTime)(valuationValue == IndicatorType.Instance ? null : valuationValue);
return(new ViewCycleExecutionOptions(valuation.ToDateTimeOffsetWithDefault(), marketDataSpecification));
}
public override IPosition DeserializeImpl(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
var id = ffc.GetValue <string>("uniqueId");
var secKey = deserializer.FromField <ExternalIdBundle>(ffc.GetByName("securityKey"));
var quant = ffc.GetValue <string>("quantity");
var trades = deserializer.FromField <IList <ITrade> >(ffc.GetByName("trades")) ?? new List <ITrade>();
decimal quantity;
if (!decimal.TryParse(quant, out quantity))
{
if (quant == "0E-8")
{
quantity = 0;
}
else
{
throw new OpenGammaException("Failed to parse quantity " + quant);
}
}
return(new SimplePosition(id == null ? null : UniqueId.Parse(id), quantity, secKey, trades));
}
public static VolatilityCubeKey FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
return(new VolatilityCubeKey(ffc.GetValue <Currency>("currency"), ffc.GetString("name")));
}
public static ViewDefinition FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
var name = ffc.GetValue<string>("name");
var uniqueIdString = ffc.GetString("uniqueId");
var uniqueId = uniqueIdString == null ? null : UniqueId.Parse(uniqueIdString);
var resultModelDefinition = deserializer.FromField<ResultModelDefinition>(ffc.GetByName("resultModelDefinition"));
UniqueId portfolioIdentifier = ValueRequirement.GetUniqueIdentifier(ffc, deserializer, "identifier");
var user = deserializer.FromField<UserPrincipal>(ffc.GetByName("user"));
var currency = ffc.GetValue<Currency>("currency");
var minDeltaCalcPeriod = ReadNullableTimeSpanField(ffc, "minDeltaCalcPeriod");
var maxDeltaCalcPeriod = ReadNullableTimeSpanField(ffc, "maxDeltaCalcPeriod");
var minFullCalcPeriod = ReadNullableTimeSpanField(ffc, "fullDeltaCalcPeriod");
var maxFullCalcPeriod = ReadNullableTimeSpanField(ffc, "maxFullCalcPeriod");
var calculationConfigurationsByName = ffc.GetAllByName("calculationConfiguration")
.Select(deserializer.FromField<ViewCalculationConfiguration>)
.ToDictionary(vcc => vcc.Name);
return new ViewDefinition(name, resultModelDefinition, portfolioIdentifier, user, currency, minDeltaCalcPeriod, maxDeltaCalcPeriod, minFullCalcPeriod, maxFullCalcPeriod, calculationConfigurationsByName, uniqueId);
}
public static ViewDefinitionCompilationFailedCall FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
return new ViewDefinitionCompilationFailedCall(ffc.GetValue<DateTimeOffset>("valuationTime"), deserializer.FromField<JavaException>(ffc.GetByName("exception")));
}
public static InterpolatedYieldCurveSpecification FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
var curveDate = ffc.GetValue<DateTimeOffset>("curveDate");
string name = ffc.GetString("name");
var currency = ffc.GetValue<Currency>("currency");
var region = ExternalId.Parse(ffc.GetString("region"));
var resolvedStripFields = ffc.GetAllByName("resolvedStrips");
var resolvedStrips = resolvedStripFields.Select(deserializer.FromField<FixedIncomeStripWithIdentifier>)
.ToList();
return new InterpolatedYieldCurveSpecification(curveDate, name, currency, resolvedStrips, region);
}
public static FunctionalDoublesCurve FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
string name = GetName(ffc);
double[] parameters = ffc.GetValue<double[]>("NSS parameters");
return Create(new NelsonSiegelSvennsonBondCurveModel(parameters).Eval, name);
}
public static ResultModelDefinition FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
return new ResultModelDefinition(
EnumBuilder<ResultOutputMode>.Parse(ffc.GetValue<string>("aggregatePositionOutputMode")),
EnumBuilder<ResultOutputMode>.Parse(ffc.GetValue<string>("positionOutputMode")),
EnumBuilder<ResultOutputMode>.Parse(ffc.GetValue<string>("tradeOutputMode")),
EnumBuilder<ResultOutputMode>.Parse(ffc.GetValue<string>("securityOutputMode")),
EnumBuilder<ResultOutputMode>.Parse(ffc.GetValue<string>("primitiveOutputMode"))
);
}
public static ManageableYieldCurveSnapshot FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
var valuationTime = ffc.GetValue <FudgeDateTime>("valuationTime").ToDateTimeOffsetWithDefault();
return(new ManageableYieldCurveSnapshot(deserializer.FromField <ManageableUnstructuredMarketDataSnapshot>(ffc.GetByName("values")), valuationTime));
}
public static ViewDefinitionCompilationFailedCall FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
return(new ViewDefinitionCompilationFailedCall(ffc.GetValue <DateTimeOffset>("valuationTime"), deserializer.FromField <JavaException>(ffc.GetByName("exception"))));
}
public static CompiledViewDefinitionImpl FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
ViewDefinition defn = deserializer.FromField<ViewDefinition>(ffc.GetByName("viewDefinition"));
IPortfolio portfolio = deserializer.FromField<IPortfolio>(ffc.GetByName("portfolio"));
DateTimeOffset latestValidity = ffc.GetValue<FudgeDateTime>("latestValidity").ToDateTimeOffsetWithDefault();
DateTimeOffset earliestValidity = ffc.GetValue<FudgeDateTime>("earliestValidity").ToDateTimeOffsetWithDefault();
var configs = ffc.GetAllByName("compiledCalculationConfigurations").Select(deserializer.FromField<CompiledViewCalculationConfigurationImpl>).ToDictionary(c => c.Name, c => (ICompiledViewCalculationConfiguration)c);
return new CompiledViewDefinitionImpl(defn, portfolio, latestValidity, earliestValidity, configs);
}
public static Tenor FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
return(new Tenor(ffc.GetValue <string>("tenor"))); // TODO Period type
}