public void SecurityPricingSimpleContructionTest()
{
Debt s;
SecuritiesPricing price;
try
{
using (var db = new FGABusinessComponent.BusinessComponent.FGAContext("TEST", compiledModel))
{
s = new Debt(ISIN: "PR0000000001", FinancialInstrumentName: "Pricing Security 1", MaturityDate: new DateTime(2013, 1, 1), interestCoupon: new InterestCalculation(new PercentageRate(2.365), new FrequencyCode(1)));
db.Debts.Add(s);
CurrencyAndAmount p = new CurrencyAndAmount(1.25, (CurrencyCode)"EUR");
price = new SecuritiesPricing(p, DateTime.Parse("31/07/2012"), (TypeOfPriceCode)"MARKET");
price.Set(s);
db.SecuritiesPricings.Add(price);
db.SaveChanges();
}
}
catch (Exception e)
{
System.Console.WriteLine(e);
throw e;
}
}
public void SecurityPricingCompleteContructionTest()
{
Debt s;
SecuritiesPricing price;
try
{
using (var db = new FGABusinessComponent.BusinessComponent.FGAContext("PREPROD", compiledModel))
{
s = new Debt(ISIN: "PR0000000002", FinancialInstrumentName: "Pricing Security 2", MaturityDate: new DateTime(2013, 1, 1), interestCoupon: new InterestCalculation(new PercentageRate(2.365), new FrequencyCode(1)));
db.Debts.Add(s);
CurrencyAndAmount p = new CurrencyAndAmount(1.25, (CurrencyCode)"EUR");
Yield yield = new Yield(ChangePrice_MTD: 2.1);
PriceFactType priceFact = new PriceFactType(101.2, 100.1, 100.1, 100.3, 100.4, 100.6);
DebtYield dy = new DebtYield(YieldToMaturityRate: 6.2, YieldToWorstRate: 3.5);
DebtSpread ds = new DebtSpread(OptionAdjustedSpread: 3.32);
DebtPriceCalculation debtPriceCalculation = new DebtPriceCalculation(CleanPrice: 100.1,
AccruedInterest: 2.36);
DebtDataCalculation debtDataCalculation = new DebtDataCalculation(MacaulayDuration: 9.5,
ModifiedDuration: 9.6,
TimeToMaturity: 9.3);
price = new SecuritiesPricing(p, DateTime.Parse("31/07/2012"), (TypeOfPriceCode)"MARKET",
100.3, 100.4, 100.35, priceFact, yield, debtPriceCalculation, debtDataCalculation, dy, ds);
price.Set(s);
db.SecuritiesPricings.Add(price);
db.SaveChanges();
}
}
catch (Exception e)
{
System.Console.WriteLine(e);
throw e;
}
}
public void Remove(ref SecuritiesPricing r)
{
this.Pricing.Remove(r);
}
public static SecuritiesPricing LookupSecurityPricingObject(FGAContext db, Security sec, DateTime dateOfData, string ValuationSource)
{
SecuritiesPricing secV = db.SecuritiesPricings.Where <SecuritiesPricing>(t => (t.SecurityId == sec.Id && t.Date == dateOfData && t.PriceSource == ValuationSource)).FirstOrDefault <SecuritiesPricing>();
return(secV);
}
public void Add(SecuritiesPricing r)
{
this.Pricing.Add(r);
}
