internal static void AddOtherPartyPayments(ValuationReport valuationReport, List <OtherPartyPaymentRangeItem> otherPartyPaymentList)
{
var otherPartyPayments = new List <Payment>();
// other party payments
//
if (null != otherPartyPaymentList)
{
foreach (OtherPartyPaymentRangeItem item in otherPartyPaymentList)
{
var otherPartyPayment = new Payment
{
payerPartyReference =
PartyReferenceFactory.Create(item.Payer),
receiverPartyReference =
PartyReferenceFactory.Create(item.Receiver),
paymentAmount = MoneyHelper.GetNonNegativeAmount(item.Amount),
paymentDate = AdjustableOrAdjustedDateHelper.CreateAdjustedDate(item.PaymentDate),
paymentType = PaymentTypeHelper.Create(item.PaymentType)
};
otherPartyPayments.Add(otherPartyPayment);
}
}
TradeValuationItem valuationItem = valuationReport.tradeValuationItem[0];
Trade[] tradeArray = XsdClassesFieldResolver.TradeValuationItemGetTradeArray(valuationItem);
Trade trade = tradeArray[0];
trade.otherPartyPayment = otherPartyPayments.ToArray();
}
public static ValuationReport Generate(string valuationId, string party1Name, string party2Name,
bool isParty1Base, Trade trade, Market market,
AssetValuation assetValuation)
{
var valuationReport = new ValuationReport
{
header = new NotificationMessageHeader
{
messageId = new MessageId
{
Value = valuationId
}
},
market = market
};
// Associate id with the valuation
//
var tradeValuationItem = new TradeValuationItem();
valuationReport.tradeValuationItem = new[] { tradeValuationItem };
string baseParty = isParty1Base ? party1Name : party2Name;
Party party1 = PartyFactory.Create("Party1", party1Name);
Party party2 = PartyFactory.Create("Party2", party2Name);
valuationReport.party = new[] { party1, party2 };
tradeValuationItem.Items = new object[] { trade };
tradeValuationItem.valuationSet = new ValuationSet
{
baseParty = PartyReferenceFactory.Create(baseParty),
assetValuation = new[] { assetValuation }
};
return(valuationReport);
}
public static ValuationReport Generate(string valuationId, string baseParty, Fra fra, Market market, AssetValuation assetValuation)
{
var valuationReport = new ValuationReport
{
header = new NotificationMessageHeader
{
messageId = new MessageId
{
Value
=
valuationId
}
},
market = market
};
// Associate id with the valuation
//
var tradeValuationItem = new TradeValuationItem();
valuationReport.tradeValuationItem = new[] { tradeValuationItem };
var trade = new Trade();
XsdClassesFieldResolver.TradeSetFra(trade, fra);
tradeValuationItem.Items = new object[] { trade };
tradeValuationItem.valuationSet = new ValuationSet
{
baseParty = PartyReferenceFactory.Create(baseParty),
assetValuation = new[] { assetValuation }
};
return(valuationReport);
}
public static ValuationReport Generate(string valuationId, string baseParty,
string tradeId, DateTime tradeDate,
Swap swap, Market market,
AssetValuation assetValuation)
{
var valuationReport = new ValuationReport
{
header = new NotificationMessageHeader
{
messageId = new MessageId
{
Value
=
valuationId
}
},
market = market
};
// Associate id with the valuation
//
var tradeValuationItem = new TradeValuationItem();
valuationReport.tradeValuationItem = new[] { tradeValuationItem };
//Party nabParty = PartyFactory.Create("Party1");
//Party counterParty = PartyFactory.Create(_counterpartyName);
//
// valuationReport.party = new Party[] { nabParty, counterParty };
// PartyOrAccountReference nabPartyReference = PartyOrAccountReferenceFactory.Create(nabParty.id);
// PartyOrAccountReference counterPartyReference = PartyOrAccountReferenceFactory.Create(counterParty.id);
// // NAB is the payer of pay paystream and receiver of receive stream
// //
// SwapHelper.GetPayerStream(swap).payerPartyReference = nabPartyReference;
// SwapHelper.GetReceiverStream(swap).receiverPartyReference = nabPartyReference;
//
// // CounterParty is the receiver of paystream and payer of receivestream
// //
// SwapHelper.GetPayStream(swap).receiverPartyReference = counterPartyReference;
// SwapHelper.GetReceiveStream(swap).payerPartyReference = counterPartyReference;
var trade = new Trade();
// Generate trade header
//
TradeHeader tradeHeader = CreateTradeHeader(tradeDate, tradeId);
trade.tradeHeader = tradeHeader;
XsdClassesFieldResolver.TradeSetSwap(trade, swap);
tradeValuationItem.Items = new object[] { trade };
tradeValuationItem.valuationSet = new ValuationSet
{
baseParty = PartyReferenceFactory.Create(baseParty),
assetValuation = new[] { assetValuation }
};
return(valuationReport);
}
public static ValuationReport Generate(string valuationId, string baseParty,
string tradeId, DateTime tradeDate,
Swaption swaption, Market market, AssetValuation assetValuation)
{
var valuationReport = new ValuationReport
{
header = new NotificationMessageHeader
{
messageId = new MessageId
{
Value
=
valuationId
}
},
market = market
};
// Associate id with the valuation
//
var tradeValuationItem = new TradeValuationItem();
valuationReport.tradeValuationItem = new[] { tradeValuationItem };
// Generate trade header
//
var trade = new Trade();
TradeHeader tradeHeader = CreateTradeHeader(tradeDate, tradeId);
trade.tradeHeader = tradeHeader;
XsdClassesFieldResolver.TradeSetSwaption(trade, swaption);
tradeValuationItem.Items = new object[] { trade };
tradeValuationItem.valuationSet = new ValuationSet
{
baseParty = PartyReferenceFactory.Create(baseParty),
assetValuation = new[] { assetValuation }
};
return(valuationReport);
}
///<summary>
/// Prices the trade.
///</summary>
///<returns></returns>
public override ValuationReport Price(IInstrumentControllerData modelData, ValuationReportType reportType)
{
//Price.
if (TradeHelper.IsImplementedProductType(ProductType))
{
// A new valuationReport.
var valuationReport = new ValuationReport();
//var valSet = new ValuationSet();
InstrumentControllerBase priceableProduct = PriceableProduct;
if (priceableProduct == null)
{
throw new ApplicationException("PriceableProduct is null!");
}
//This makes sure the marketenvironment has curves in it, otherwise the pricer will not function.
if (modelData.MarketEnvironment == null)
{
throw new ApplicationException("MarketEnvironment is null!");
}
//Set the appropriate Multiplier based on the reporting party
var result = new AssetValuation();
var reportingParty = modelData.BaseCalculationParty.Id;
if (BaseParty == TradeProp.Party1)
{
if (reportingParty == TradeProp.Party1)
{
result = priceableProduct.Calculate(modelData);
}
if (Parties[0].partyName.Value == reportingParty)
{
result = priceableProduct.Calculate(modelData);
}
if (Parties[1].partyName.Value == reportingParty || reportingParty == TradeProp.Party2)
{
priceableProduct.Multiplier = -1;
result = priceableProduct.Calculate(modelData);
priceableProduct.Multiplier = 1;
}
}
if (BaseParty == TradeProp.Party2)
{
if (reportingParty == TradeProp.Party2)
{
result = priceableProduct.Calculate(modelData);
}
if (Parties[1].partyName.Value == reportingParty)
{
result = priceableProduct.Calculate(modelData);
}
if (Parties[0].partyName.Value == reportingParty || reportingParty == TradeProp.Party1)
{
priceableProduct.Multiplier = -1;
result = priceableProduct.Calculate(modelData);
priceableProduct.Multiplier = 1;
}
}
if (modelData.IsReportingCounterpartyRequired)
{
priceableProduct.Multiplier = 0;
result = priceableProduct.Calculate(modelData);
priceableProduct.Multiplier = 1;
}
var valSet = new ValuationSet {
assetValuation = new[] { result }
};
//The tradevaluation item.
var trade = new Trade {
id = TradeIdentifier.UniqueIdentifier, tradeHeader = TradeHeader
};
//Checks to see if the deatil data is required and if so builds the product.//TODO Add other ItemChoice types.e.g. Fra
if (reportType == ValuationReportType.Full)
{
var item = PriceableProduct.BuildTheProduct();
trade.Item = item;
trade.ItemElementName = trade.GetTradeTypeFromItem();
}
var tradeValuationItem = new TradeValuationItem {
Items = new object[] { trade }, valuationSet = valSet
};
valuationReport.tradeValuationItem = new[] { tradeValuationItem };
return(valuationReport);
}
throw new NotSupportedException("Product pricing is not supported!");
}
public static Trade[] TradeValuationItemGetTradeArray(TradeValuationItem tradeValuationItem)
{
return(tradeValuationItem.Items.Cast <Trade>().ToArray());
}
/// <summary>
/// Builds the results.
/// </summary>
/// <param name="metrics">The metrics.</param>
/// <param name="productReferenceKeys">The swap product reference keys.</param>
/// <param name="valuations">The valuations.</param>
/// <param name="displayHeadersInd">The no of swap products.</param>
/// <returns></returns>
public static object BuildResults(string[] metrics, string[] productReferenceKeys, TradeValuationItem[] valuations, Boolean displayHeadersInd)
{
int index = 0;
int noOfSwapProducts = productReferenceKeys.Length;
int horizontalArrayCellCount = displayHeadersInd ? 1 + (metrics.Length * 2) : metrics.Length;
int verticalArrayCellCount = noOfSwapProducts;
var result = new object[verticalArrayCellCount, horizontalArrayCellCount];
var valuationList = new List <TradeValuationItem>(valuations);
foreach (string productReferenceKey in productReferenceKeys)
{
if (!string.IsNullOrEmpty(productReferenceKey))
{
TradeValuationItem valuation = valuationList.Find(
valuationItem => String.Compare(valuationItem.valuationSet.id, productReferenceKey, StringComparison.OrdinalIgnoreCase) == 0
);
if (valuation != null)
{
if (displayHeadersInd)
{
result[index, 0] = valuation.valuationSet.id;
}
var metricsList = new List <string>(metrics);
metricsList.RemoveAll(item => item.Length == 0);
int metricIndex = displayHeadersInd ? 1 : 0;
foreach (string metric in metricsList)
{
var quotes = new List <Quotation>(valuation.valuationSet.assetValuation[0].quote);
List <Quotation> matchedQuotes = quotes.FindAll(item => String.CompareOrdinal(item.measureType.Value, metric) == 0);
if (matchedQuotes.Count > 0)
{
result[index, metricIndex] = matchedQuotes[0].measureType.Value;
int metricValueIndex = displayHeadersInd ? metricIndex + 1 : metricIndex;
if (matchedQuotes.Count == 1)
{
result[index, metricValueIndex] = matchedQuotes[0].value;
}
else
{
var sb = new StringBuilder();
int quoteIndex = 1;
Boolean maxLimitReached = false;
foreach (Quotation quotation in matchedQuotes)
{
string delimiter = quoteIndex < matchedQuotes.Count ? ", " : string.Empty;
string value = $"{quotation.value}{delimiter}";
if ((sb.Length + value.Length + 8) > 255)
{
maxLimitReached = true;
break;
}
sb.Append(value);
quoteIndex++;
}
string resultValue = maxLimitReached == false?sb.ToString() : sb + " more...";
result[index, metricValueIndex] = resultValue;
}
}
metricIndex = displayHeadersInd ? metricIndex + 2 : metricIndex + 1;
}
}
}
index++;
}
return(result);
}
