public SQPortfolioPricer(PortfolioPricer pricer)
{
this.pricer = pricer;
}
public void ProcessRequest(RequestBase baseRequest, HandlerResponse response)
{
if (baseRequest == null)
{
throw new ArgumentNullException(nameof(baseRequest));
}
if (!(baseRequest is PortfolioValuationRequest request))
{
throw new InvalidCastException(
$"{typeof(RequestBase).Name} is not a {typeof(PortfolioValuationRequest).Name}");
}
DateTime lastStatusPublishedAt = DateTime.Now;
// common properties
var nameSpace = request.NameSpace;
// resolve portfolio valuation request
var identifier = (new PortfolioSpecification(request.PortfolioId, request.NameSpace)).NetworkKey;
var portfolio =
Context.Cache.LoadObject <PortfolioSpecification>(identifier);
if (portfolio == null)
{
throw new ArgumentException($"Unknown portfolio id: '{request.PortfolioId}'");
}
// build trade query from portfolio definition
var tradeItemInfos = new Dictionary <string, ICoreItemInfo>();
if (portfolio.PortfolioSubqueries != null)
{
foreach (var subQuery in portfolio.PortfolioSubqueries.OrderBy(x => x.SequenceOrder))
{
var clauses = new List <IExpression> {
Expr.IsEQU(EnvironmentProp.NameSpace, nameSpace)
};
if (subQuery.CounterpartyId != null)
{
clauses.Add(Expr.IsEQU(TradeProp.CounterPartyId, subQuery.CounterpartyId));
}
if (subQuery.TradingBookId != null)
{
clauses.Add(Expr.IsEQU(TradeProp.TradingBookId, subQuery.TradingBookId));
}
// load trades defined by the query
if (clauses.Count <= 0)
{
continue;
}
List <ICoreItemInfo> subQueryItems = Context.Cache.LoadItemInfos <Trade>(Expr.BoolAND(clauses.ToArray()));
//TODO again have to handle confirmation
foreach (var tradeItemInfo in subQueryItems)
{
if (subQuery.ExcludeItems)
{
tradeItemInfos.Remove(tradeItemInfo.Name);
}
else
{
tradeItemInfos[tradeItemInfo.Name] = tradeItemInfo;
}
}
}
}
// process included/excluded trades ids
if (portfolio.ExcludeOverridesInclude)
{
// add included names
if (portfolio.IncludedTradeItemNames != null)
{
foreach (var name in portfolio.IncludedTradeItemNames)
{
var tradeItemInfo = name.Contains(FpML5R10NameSpaces.Confirmation) ? Context.Cache.LoadItemInfo <FpML.V5r10.Confirmation.Trade>(name)
: Context.Cache.LoadItemInfo <Trade>(name);
if (tradeItemInfo != null)
{
tradeItemInfos[name] = tradeItemInfo;
}
}
}
}
// remove excluded names
if (portfolio.ExcludedTradeItemNames != null)
{
foreach (var name in portfolio.ExcludedTradeItemNames)
{
tradeItemInfos.Remove(name);
}
}
if (!portfolio.ExcludeOverridesInclude)
{
// add included names
if (portfolio.IncludedTradeItemNames != null)
{
foreach (var name in portfolio.IncludedTradeItemNames)
{
var tradeItemInfo = name.Contains(FpML5R10NameSpaces.Confirmation) ? Context.Cache.LoadItemInfo <FpML.V5r10.Confirmation.Trade>(name)
: Context.Cache.LoadItemInfo <Trade>(name);
if (tradeItemInfo != null)
{
tradeItemInfos[name] = tradeItemInfo;
}
}
}
}
// define scenario loops
// - always include un-stressed scenario (null)
var marketScenarios = new List <DateTime>();
if (request.DateScenarios != null)
{
marketScenarios.AddRange(request.DateScenarios);
}
// update progress status
response.ItemCount = marketScenarios.Count * tradeItemInfos.Count;
response.Status = RequestStatusEnum.InProgress;
Context.Cache.SaveObject(response);
// preload *all* curves into the cache
// note: this is required to optimise all subsequent curve queries
var markets = new List <IExpression> {
Expr.IsEQU(EnvironmentProp.NameSpace, nameSpace)
};
Context.Cache.LoadItems <Market>(Expr.BoolAND(markets.ToArray()));
// build distinct lists of curve names and currencies required by the portfolio
var curvenamesList = new List <string>();
var currenciesList = new List <string>();
foreach (var item in tradeItemInfos.Values)
{
curvenamesList.AddRange(item.AppProps.GetArray <string>(TradeProp.RequiredPricingStructures));
currenciesList.AddRange(item.AppProps.GetArray <string>(TradeProp.RequiredCurrencies));
}
curvenamesList = new List <string>(curvenamesList.Distinct().Where(x => !String.IsNullOrEmpty(x)));
currenciesList = new List <string>(currenciesList.Distinct().Where(x => !String.IsNullOrEmpty(x)));
var metrics = GetSwapMetrics();
// check for workflow cancellation (user abort, server shutdown etc.)
if (Cancelled)
{
throw new OperationCanceledException(CancelReason);
}
// initialise the pricer with the IR/FX scenario curve maps
var portfolioPricer = new PortfolioPricer();
var keyList = tradeItemInfos.Keys.ToList();
// now price the portfolio
portfolioPricer.PriceAndPublish(
Context.Logger, Context.Cache,
response, curvenamesList,
currenciesList,
keyList, request,
metrics, false);
var dtNow = DateTime.Now;
if ((dtNow - lastStatusPublishedAt) > TimeSpan.FromSeconds(5))
{
//lastStatusPublishedAt = dtNow;
response.Status = RequestStatusEnum.InProgress;
Context.Cache.SaveObject(response);
}
// success
response.Status = RequestStatusEnum.Completed;
}
public void ProcessRequest(RequestBase request, HandlerResponse response)
{
if (request == null)
{
throw new ArgumentNullException(nameof(request));
}
var tradeValRequest = request as TradeValuationRequest;
if (tradeValRequest == null)
{
throw new InvalidCastException(
$"{typeof(RequestBase).Name} is not a {typeof(TradeValuationRequest).Name}");
}
DateTime lastStatusPublishedAt = DateTime.Now;
var nameSpace = tradeValRequest.NameSpace;
// common properties
string reportingCurrency = tradeValRequest.ReportingCurrency;
string market = tradeValRequest.MarketName;
// build a single trade portfolio
var tradeItemInfos = new Dictionary <string, ICoreItemInfo>();
ICoreItemInfo tradeItemInfo = Context.Cache.LoadItemInfo <Trade>(tradeValRequest.TradeItemName);
if (tradeItemInfo != null)
{
tradeItemInfos[tradeValRequest.TradeItemName] = tradeItemInfo;
}
// define scenario loops
// - always include un-stressed scenario (null)
var irScenarios = new List <string> {
null
};
if (tradeValRequest.IRScenarioNames != null)
{
irScenarios.AddRange(tradeValRequest.IRScenarioNames);
}
string[] irScenarioNames = irScenarios.Distinct().ToArray();
var fxScenarios = new List <string> {
null
};
if (tradeValRequest.FXScenarioNames != null)
{
fxScenarios.AddRange(tradeValRequest.FXScenarioNames);
}
string[] fxScenarioNames = fxScenarios.Distinct().ToArray();
// update progress status
response.ItemCount = irScenarios.Count * fxScenarios.Count * tradeItemInfos.Count;
response.Status = RequestStatusEnum.InProgress;
Context.Cache.SaveObject(response);
// preload *all* curves into the cache
// note: this is required to optimise all subsequent curve queries
Context.Cache.LoadItems <Market>(Expr.ALL);
// load and sort scenario definition rules
var clauses = new List <IExpression> {
Expr.IsEQU(EnvironmentProp.NameSpace, nameSpace)
};
var scenarioRules = Context.Cache.LoadObjects <ScenarioRule>(Expr.BoolAND(clauses.ToArray()));
var sortedScenarioRules = new List <CachedScenarioRule>();
{
sortedScenarioRules.AddRange(from scenarioRule in scenarioRules
where !scenarioRule.Disabled
select new CachedScenarioRule(scenarioRule.ScenarioId, scenarioRule.RuleId, scenarioRule.Priority, (scenarioRule.FilterExpr != null) ? Expr.Create(scenarioRule.FilterExpr) : Expr.ALL, scenarioRule.StressId));
}
sortedScenarioRules.Sort();
// build distinct lists of curve names and currencies required by the Trade
var curvenamesList = new List <string>();
var currenciesList = new List <string>();
foreach (var item in tradeItemInfos.Values)
{
curvenamesList.AddRange(item.AppProps.GetArray <string>(TradeProp.RequiredPricingStructures));
currenciesList.AddRange(item.AppProps.GetArray <string>(TradeProp.RequiredCurrencies));
}
curvenamesList = new List <string>(curvenamesList.Distinct().Where(x => !String.IsNullOrEmpty(x)));
currenciesList = new List <string>(currenciesList.Distinct().Where(x => !String.IsNullOrEmpty(x)));
IEnumerable <string> metrics = GetSwapMetrics();
// run the scenario rules ONCE for each IR and FX scenario to determine which
// stressed curves to use when pricing.
var resolvedCurveProps = new Dictionary <string, NamedValueSet>();
// IR loop
var irScenarioCurveMap = new List <CurveStressPair> [irScenarioNames.Length];
for (int i = 0; i < irScenarioNames.Length; i++)
{
string irScenario = irScenarioNames[i];
irScenarioCurveMap[i] = new List <CurveStressPair>();
foreach (string curveName in curvenamesList)
{
string curveSignature = CurveLoader.IrCurveSignature(market, curveName, null);
NamedValueSet curveProperties;
if (!resolvedCurveProps.TryGetValue(curveSignature, out curveProperties))
{
// not cached - resolve and cache
curveProperties = PricingStructureFactory.GetInterestRateCurveProperties(Context.Logger, Context.Cache, request.NameSpace, market, curveName, null);
resolvedCurveProps[curveSignature] = curveProperties;
}
string stressName = CachedScenarioRule.RunScenarioRules(sortedScenarioRules, irScenario, curveProperties);
irScenarioCurveMap[i].Add(new CurveStressPair(curveName, stressName));
}
}
// FX loop
var fxScenarioCurveMap = new List <CurveStressPair> [fxScenarioNames.Length];
for (int j = 0; j < fxScenarioNames.Length; j++)
{
string fxScenario = fxScenarioNames[j];
fxScenarioCurveMap[j] = new List <CurveStressPair>();
foreach (string currency in currenciesList)
{
string curveSignature = CurveLoader.FxCurveSignature(market, currency, reportingCurrency, null);
NamedValueSet curveProperties;
if (!resolvedCurveProps.TryGetValue(curveSignature, out curveProperties))
{
// not cached - resolve and cache
curveProperties = PricingStructureFactory.GetFxCurveProperties(Context.Logger, Context.Cache, request.NameSpace, market, currency, reportingCurrency);
resolvedCurveProps[curveSignature] = curveProperties;
}
string stressName = CachedScenarioRule.RunScenarioRules(sortedScenarioRules, fxScenario, curveProperties);
fxScenarioCurveMap[j].Add(new CurveStressPair(currency, stressName));
}
}
// iterate the scenario loops
var resolvedCurveCache = new Dictionary <string, ICurve>();
var reportNameCache = new Dictionary <string, string>();
for (int i = 0; i < irScenarioNames.Length; i++)
{
string irScenario = irScenarioNames[i];
for (int j = 0; j < fxScenarioNames.Length; j++)
{
string fxScenario = fxScenarioNames[j];
// check for workflow cancellation (user abort, server shutdown etc.)
if (Cancelled)
{
throw new OperationCanceledException(CancelReason);
}
// initialise the pricer with the IR/FX scenario curve maps
var pricer = new PortfolioPricer(irScenarioCurveMap[i], fxScenarioCurveMap[j]);
// now price the Trade
if (metrics != null)
{
var enumerable = metrics.ToArray();
pricer.PriceAndPublish(
Context.Logger, Context.Cache,
resolvedCurveCache,
reportNameCache, response,
tradeItemInfos.Keys, tradeValRequest,
irScenario, fxScenario, reportingCurrency,
tradeValRequest.BaseParty, enumerable, false);
}
// export to valuation database
//foreach (var valuationItem in valuationItems)
//{
// ExportValuation(valuationItem);
//}
DateTime dtNow = DateTime.Now;
if ((dtNow - lastStatusPublishedAt) > TimeSpan.FromSeconds(5))
{
lastStatusPublishedAt = dtNow;
response.Status = RequestStatusEnum.InProgress;
Context.Cache.SaveObject(response);
}
} // foreach ir scenario
} // foreach fx scenario
// success
response.Status = RequestStatusEnum.Completed;
}
public void ProcessRequest(RequestBase baseRequest, HandlerResponse response)
{
if (baseRequest == null)
{
throw new ArgumentNullException(nameof(baseRequest));
}
if (!(baseRequest is PortfolioValuationRequest request))
{
throw new InvalidCastException(
$"{typeof(RequestBase).Name} is not a {typeof(PortfolioValuationRequest).Name}");
}
DateTime lastStatusPublishedAt = DateTime.Now;
// common properties
var nameSpace = request.NameSpace;
string reportingCurrency = request.ReportingCurrency;
string baseParty = request.BaseParty;
string market = request.MarketName;
// resolve portfolio valuation request
var identifier = (new PortfolioSpecification(request.PortfolioId, request.NameSpace)).NetworkKey;
var portfolio =
Context.Cache.LoadObject <PortfolioSpecification>(identifier);
if (portfolio == null)
{
throw new ArgumentException($"Unknown portfolio id: '{request.PortfolioId}'");
}
// build trade query from portfolio definition
var tradeItemInfos = new Dictionary <string, ICoreItemInfo>();
if (portfolio.PortfolioSubqueries != null)
{
foreach (var subQuery in portfolio.PortfolioSubqueries.OrderBy(x => x.SequenceOrder))
{
var clauses = new List <IExpression> {
Expr.IsEQU(EnvironmentProp.NameSpace, nameSpace)
};
if (subQuery.CounterpartyId != null)
{
clauses.Add(Expr.IsEQU(TradeProp.CounterPartyId, subQuery.CounterpartyId));
}
if (subQuery.TradingBookId != null)
{
clauses.Add(Expr.IsEQU(TradeProp.TradingBookId, subQuery.TradingBookId));
}
// load trades defined by the query
if (clauses.Count <= 0)
{
continue;
}
List <ICoreItemInfo> subQueryItems = Context.Cache.LoadItemInfos <Trade>(Expr.BoolAND(clauses.ToArray()));
//TODO again have to handle confirmation
foreach (var tradeItemInfo in subQueryItems)
{
if (subQuery.ExcludeItems)
{
tradeItemInfos.Remove(tradeItemInfo.Name);
}
else
{
tradeItemInfos[tradeItemInfo.Name] = tradeItemInfo;
}
}
}
}
// process included/excluded trades ids
if (portfolio.ExcludeOverridesInclude)
{
// add included names
if (portfolio.IncludedTradeItemNames != null)
{
foreach (var name in portfolio.IncludedTradeItemNames)
{
var tradeItemInfo = name.Contains(FpML5R10NameSpaces.Confirmation) ? Context.Cache.LoadItemInfo <FpML.V5r10.Confirmation.Trade>(name)
: Context.Cache.LoadItemInfo <Trade>(name);
if (tradeItemInfo != null)
{
tradeItemInfos[name] = tradeItemInfo;
}
}
}
}
// remove excluded names
if (portfolio.ExcludedTradeItemNames != null)
{
foreach (var name in portfolio.ExcludedTradeItemNames)
{
tradeItemInfos.Remove(name);
}
}
if (!portfolio.ExcludeOverridesInclude)
{
// add included names
if (portfolio.IncludedTradeItemNames != null)
{
foreach (var name in portfolio.IncludedTradeItemNames)
{
var tradeItemInfo = name.Contains(FpML5R10NameSpaces.Confirmation) ? Context.Cache.LoadItemInfo <FpML.V5r10.Confirmation.Trade>(name)
: Context.Cache.LoadItemInfo <Trade>(name);
if (tradeItemInfo != null)
{
tradeItemInfos[name] = tradeItemInfo;
}
}
}
}
// define scenario loops
// - always include un-stressed scenario (null)
var irScenarios = new List <string> {
null
};
if (request.IRScenarioNames != null)
{
irScenarios.AddRange(request.IRScenarioNames);
}
string[] irScenarioNames = irScenarios.Distinct().ToArray();
var fxScenarios = new List <string> {
null
};
if (request.FXScenarioNames != null)
{
fxScenarios.AddRange(request.FXScenarioNames);
}
string[] fxScenarioNames = fxScenarios.Distinct().ToArray();
// update progress status
response.ItemCount = irScenarios.Count * fxScenarios.Count * tradeItemInfos.Count;
response.Status = RequestStatusEnum.InProgress;
Context.Cache.SaveObject(response);
// preload *all* curves into the cache
// note: this is required to optimise all subsequent curve queries
if (market.Contains(CurveConst.NAB_EOD) || market.Contains(CurveConst.TEST_EOD))
{
Context.Cache.LoadItems <Market>(Expr.ALL);//TODO make specific to the namespace
}
// load and sort scenario definition rules
var scenarioRules = Context.Cache.LoadObjects <ScenarioRule>(Expr.IsEQU(EnvironmentProp.NameSpace, nameSpace));
var sortedScenarioRules = new List <CachedScenarioRule>();
{
sortedScenarioRules.AddRange(from scenarioRule in scenarioRules
where !scenarioRule.Disabled
select new CachedScenarioRule(scenarioRule.ScenarioId, scenarioRule.RuleId, scenarioRule.Priority, (scenarioRule.FilterExpr != null)
? Expr.Create(scenarioRule.FilterExpr) : Expr.ALL, scenarioRule.StressId));
}
sortedScenarioRules.Sort();
// build distinct lists of curve names and currencies required by the portfolio
var curvenamesList = new List <string>();
var currenciesList = new List <string>();
foreach (var item in tradeItemInfos.Values)
{
curvenamesList.AddRange(item.AppProps.GetArray <string>(TradeProp.RequiredPricingStructures));
currenciesList.AddRange(item.AppProps.GetArray <string>(TradeProp.RequiredCurrencies));
}
curvenamesList = new List <string>(curvenamesList.Distinct().Where(x => !String.IsNullOrEmpty(x)));
currenciesList = new List <string>(currenciesList.Distinct().Where(x => !String.IsNullOrEmpty(x)));
var metrics = GetSwapMetrics();
// run the scenario rules ONCE for each IR and FX scenario to determine which
// stressed curves to use when pricing.
var resolvedCurveProps = new Dictionary <string, NamedValueSet>();
// IR loop
var irScenarioCurveMap = new List <CurveStressPair> [irScenarioNames.Length];
for (int i = 0; i < irScenarioNames.Length; i++)
{
string irScenario = irScenarioNames[i];
irScenarioCurveMap[i] = new List <CurveStressPair>();
foreach (string curveName in curvenamesList)
{
string curveSignature = CurveLoader.IrCurveSignature(market, curveName, null);
if (!resolvedCurveProps.TryGetValue(curveSignature, out var curveProperties))
{
// not cached - resolve and cache
curveProperties = PricingStructureFactory.GetInterestRateCurveProperties(Context.Logger, Context.Cache, request.NameSpace, market, curveName, null);//TODO not this namespace. Use the curves.
resolvedCurveProps[curveSignature] = curveProperties;
}
var stressName = CachedScenarioRule.RunScenarioRules(sortedScenarioRules, irScenario, curveProperties);
irScenarioCurveMap[i].Add(new CurveStressPair(curveName, stressName));
}
}
// FX loop
var fxScenarioCurveMap = new List <CurveStressPair> [fxScenarioNames.Length];
for (var j = 0; j < fxScenarioNames.Length; j++)
{
string fxScenario = fxScenarioNames[j];
fxScenarioCurveMap[j] = new List <CurveStressPair>();
foreach (string currency in currenciesList)
{
string curveSignature = CurveLoader.FxCurveSignature(market, currency, reportingCurrency, null);
if (!resolvedCurveProps.TryGetValue(curveSignature, out var curveProperties))
{
// not cached - resolve and cache
if (currency != reportingCurrency)
{
curveProperties = PricingStructureFactory.GetFxCurveProperties(Context.Logger, Context.Cache, request.NameSpace, market, currency, reportingCurrency);
resolvedCurveProps[curveSignature] = curveProperties;
}
}
string stressName = CachedScenarioRule.RunScenarioRules(sortedScenarioRules, fxScenario, curveProperties);
fxScenarioCurveMap[j].Add(new CurveStressPair(currency, stressName));
}
}
// iterate the scenario loops
var resolvedCurveCache = new Dictionary <string, ICurve>();
var reportNameCache = new Dictionary <string, string>();
for (int i = 0; i < irScenarioNames.Length; i++)
{
string irScenario = irScenarioNames[i];
for (int j = 0; j < fxScenarioNames.Length; j++)
{
string fxScenario = fxScenarioNames[j];
// check for workflow cancellation (user abort, server shutdown etc.)
if (Cancelled)
{
throw new OperationCanceledException(CancelReason);
}
// initialise the pricer with the IR/FX scenario curve maps
var portfolioPricer = new PortfolioPricer(irScenarioCurveMap[i], fxScenarioCurveMap[j]);
// now price the portfolio
portfolioPricer.PriceAndPublish(
Context.Logger, Context.Cache,
resolvedCurveCache,
reportNameCache, response,
tradeItemInfos.Keys, request,
irScenario, fxScenario, reportingCurrency,
baseParty, metrics, false);
var dtNow = DateTime.Now;
if ((dtNow - lastStatusPublishedAt) <= TimeSpan.FromSeconds(5))
{
continue;
}
lastStatusPublishedAt = dtNow;
response.Status = RequestStatusEnum.InProgress;
Context.Cache.SaveObject(response);
} // foreach ir scenario
} // foreach fx scenario
// success
response.Status = RequestStatusEnum.Completed;
}
