public string CacheFraTradeWithProperties(ILogger logger, ICoreCache cache, FraInputRange fraInputRange, NamedValueSet properties)
{
var fra = ProductFactory.GetFpMLFra(fraInputRange);
var trade = new Trade();
XsdClassesFieldResolver.TradeSetFra(trade, fra);
//Get the id.
ProductIdentifier = new FpML.V5r10.Reporting.Identifiers.TradeIdentifier(properties);
var fraId = ProductIdentifier.UniqueIdentifier;
//Cache the trade.
cache.SaveObject(trade, fraId, properties);
return(fraId);
}
/// <summary>
///
/// </summary>
/// <param name="logger"></param>
/// <param name="cache"></param>
/// <param name="nameSpace"></param>
/// <param name="legCalendars"></param>
/// <param name="trade"></param>
/// <param name="tradeProps"></param>
/// <param name="forecastRateInterpolation"></param>
public TradePricer(ILogger logger, ICoreCache cache, String nameSpace,
List <Pair <IBusinessCalendar, IBusinessCalendar> > legCalendars,
Trade trade, NamedValueSet tradeProps, bool forecastRateInterpolation)
{
if (tradeProps == null)
{
tradeProps = new NamedValueSet();//TODO Need to generate properties for the FpML examples.
}
var tradeIdentifier = new TradeIdentifier(tradeProps);
TradeIdentifier = tradeIdentifier;
TradeHeader = trade.tradeHeader;
//Get the baseParty, which in GWML is the originating party.
BaseParty = tradeProps.GetValue <string>(TradeProp.BaseParty, false) ?? TradeProp.Party1;
var party1 = tradeProps.GetValue <string>(TradeProp.Party1, true);
var party2 = tradeProps.GetValue <string>(TradeProp.Party2, true);
Parties = new List <Party> {
new Party {
partyName = new PartyName {
Value = party1
}
}, new Party {
partyName = new PartyName {
Value = party2
}
}
};
TradeType = trade.ItemElementName;
//Determine the product type, so that the appropriate productPricer can be instantiated.
//Set the product type
var productType = tradeIdentifier.ProductType;
//Check whether the business calendars list is null.
Pair <IBusinessCalendar, IBusinessCalendar> firstCalendarPair = null;
if (legCalendars?.Count > 0)
{
firstCalendarPair = legCalendars[0];
}
//Instantiate the productPricer.
if (productType != null && productType != ProductTypeSimpleEnum.Undefined)
{
ProductType = (ProductTypeSimpleEnum)productType;
switch (ProductType)
{
case ProductTypeSimpleEnum.PropertyTransaction:
{
IBusinessCalendar settlementCalendar = null;
if (firstCalendarPair != null)
{
settlementCalendar = firstCalendarPair.First;
}
var property = (PropertyTransaction)trade.Item;
var tradeDate = tradeProps.GetValue <DateTime>(TradeProp.TradeDate, false);
var referenceProperty = tradeProps.GetValue <String>(PropertyProp.ReferenceProperty, false);
//Get the instrument configuration data.
//Modify the pricer to include this data.
PriceableProduct = new PropertyTransactionPricer(logger, cache, nameSpace, tradeDate, referenceProperty, settlementCalendar, property, BaseParty, forecastRateInterpolation);
ProductReporter = new PropertyTransactionReporter();
}
break;
case ProductTypeSimpleEnum.EquityTransaction:
{
IBusinessCalendar settlementCalendar = null;
if (firstCalendarPair != null)
{
settlementCalendar = firstCalendarPair.First;
}
var equity = (EquityTransaction)trade.Item;
var tradeDate = tradeProps.GetValue <DateTime>(TradeProp.TradeDate, true);
var effectiveDate = tradeProps.GetValue <DateTime>(TradeProp.EffectiveDate, true);
var referenceEquity = tradeProps.GetValue <String>(EquityProp.ReferenceEquity, false);
//Get the instrument configuration data.
//Modify the pricer to include this data.
PriceableProduct = new EquityTransactionPricer(logger, cache, nameSpace, tradeDate, effectiveDate, referenceEquity, settlementCalendar, equity, BaseParty, forecastRateInterpolation);
ProductReporter = new EquityTransactionReporter();
}
break;
case ProductTypeSimpleEnum.BondTransaction:
{
IBusinessCalendar settlementCalendar = null;
if (firstCalendarPair != null)
{
settlementCalendar = firstCalendarPair.First;
}
var bond = (BondTransaction)trade.Item;
var tradeDate = tradeProps.GetValue <DateTime>(TradeProp.TradeDate, true);
var effectiveDate = tradeProps.GetValue <DateTime>(TradeProp.EffectiveDate, true);
var bondType = tradeProps.GetValue <string>(BondProp.BondType, false);
//Get the instrument configuration data.
//Modify the pricer to include this data.
PriceableProduct = new BondTransactionPricer(logger, cache, nameSpace, tradeDate, effectiveDate, settlementCalendar, settlementCalendar, bond, BaseParty, bondType, forecastRateInterpolation);
ProductReporter = new BondTransactionReporter();
}
break;
case ProductTypeSimpleEnum.FutureTransaction:
{
IBusinessCalendar settlementCalendar = null;
if (firstCalendarPair != null)
{
settlementCalendar = firstCalendarPair.First;
}
var future = (FutureTransaction)trade.Item;
var tradeDate = tradeProps.GetValue <DateTime>(TradeProp.TradeDate, false);
var type = tradeProps.GetValue <String>(FuturesProp.FuturesType, true);
var futureType = EnumHelper.Parse <ExchangeContractTypeEnum>(type);
//Get the instrument configuration data.
//Modify the pricer to include this data.
PriceableProduct = new FutureTransactionPricer(logger, cache, nameSpace, tradeDate, futureType, settlementCalendar, future, BaseParty, forecastRateInterpolation);
ProductReporter = new FutureTransactionReporter();
}
break;
case ProductTypeSimpleEnum.InterestRateSwap:
{
var swap = (Swap)trade.Item;
PriceableProduct = new InterestRateSwapPricer(logger, cache, nameSpace, legCalendars, swap, BaseParty, forecastRateInterpolation);
ProductReporter = new InterestRateSwapReporter();
}
break;
case ProductTypeSimpleEnum.AssetSwap:
{
var swap = (Swap)trade.Item;
//TODO set for the payer. This needs to be modified for the base counterparty.
PriceableProduct = new AssetSwapPricer(logger, cache, nameSpace, legCalendars, swap, BaseParty, new Bond(), forecastRateInterpolation);
ProductReporter = new InterestRateSwapReporter();
}
break;
case ProductTypeSimpleEnum.CrossCurrencySwap:
{
var swap = (Swap)trade.Item;
//TODO set for the payer. This needs to be modified for the base counterparty.
PriceableProduct = new CrossCurrencySwapPricer(logger, cache, nameSpace, legCalendars, swap, BaseParty, forecastRateInterpolation);
ProductReporter = new InterestRateSwapReporter();
}
break;
case ProductTypeSimpleEnum.FRA: // todo
{
var fra = (Fra)trade.Item;
IBusinessCalendar fixingCalendar = null;
IBusinessCalendar paymentCalendar = null;
if (firstCalendarPair != null)
{
fixingCalendar = firstCalendarPair.First;
paymentCalendar = firstCalendarPair.Second;
}
PriceableProduct = new FraPricer(logger, cache, fixingCalendar, paymentCalendar, fra, BaseParty, nameSpace)
{
ForecastRateInterpolation = forecastRateInterpolation
};
ProductReporter = new ForwardRateAgreementReporter();
}
break;
//case ProductTypeSimpleEnum.InflationSwap:
// break;
//case ProductTypeSimpleEnum.CreditDefaultSwap:
// break;
//case ProductTypeSimpleEnum.TotalReturnSwap:
// break;
//case ProductTypeSimpleEnum.VarianceSwap:
// break;
case ProductTypeSimpleEnum.CapFloor:
{
var capFloor = (CapFloor)trade.Item;
IBusinessCalendar fixingCalendar = null;
IBusinessCalendar paymentCalendar = null;
if (firstCalendarPair != null)
{
fixingCalendar = firstCalendarPair.First;
paymentCalendar = firstCalendarPair.Second;
}
PriceableProduct = new CapFloorPricer(logger, cache, nameSpace, fixingCalendar, paymentCalendar, capFloor, BaseParty);
ProductReporter = new CapFloorReporter();
}
break;
case ProductTypeSimpleEnum.FxSpot:
{
var fxForward = (FxSingleLeg)trade.Item;
PriceableProduct = new FxSingleLegPricer(fxForward, BaseParty, ProductTypeSimpleEnum.FxSpot);
ProductReporter = new FxSingleLegReporter();
}
break;
case ProductTypeSimpleEnum.FxForward:
{
var fxForward = (FxSingleLeg)trade.Item;
PriceableProduct = new FxSingleLegPricer(fxForward, BaseParty, ProductTypeSimpleEnum.FxForward);
ProductReporter = new FxSingleLegReporter();
}
break;
case ProductTypeSimpleEnum.BulletPayment:
{
if (trade.Item is BulletPayment bullet)
{
IBusinessCalendar paymentCalendar = null;
if (firstCalendarPair != null)
{
paymentCalendar = firstCalendarPair.Second;
}
//The calendars
if (paymentCalendar == null)
{
if (bullet.payment.paymentDate != null)
{
var containsPaymentDateAdjustments = AdjustableOrAdjustedDateHelper.Contains(bullet.payment.paymentDate, ItemsChoiceType.dateAdjustments, out object dateAdjustments);
if (containsPaymentDateAdjustments && dateAdjustments != null)
{
paymentCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, ((BusinessDayAdjustments)dateAdjustments).
businessCenters, nameSpace);
}
}
}
PriceableProduct = new BulletPaymentPricer(bullet, BaseParty, paymentCalendar);
ProductReporter = new BulletPaymentReporter();
}
}
break;
case ProductTypeSimpleEnum.FxSwap:
{
var fxSwap = (FxSwap)trade.Item;
PriceableProduct = new FxSwapPricer(fxSwap, BaseParty);
ProductReporter = new FxSwapReporter();
}
break;
//case ProductTypeSimpleEnum.EquityOption:
// break;
//case ProductTypeSimpleEnum.BondOption:
// break;
case ProductTypeSimpleEnum.FxOption:
{
IBusinessCalendar fixingCalendar = null;
IBusinessCalendar paymentCalendar = null;
if (firstCalendarPair != null)
{
fixingCalendar = firstCalendarPair.First;
paymentCalendar = firstCalendarPair.Second;
}
var fxOption = (FxOption)trade.Item;
PriceableProduct = new VanillaEuropeanFxOptionPricer(logger, cache, nameSpace, fixingCalendar, paymentCalendar, fxOption, BaseParty);
ProductReporter = new FxOptionLegReporter();
}
break;
//case ProductTypeSimpleEnum.FxOptionStrategy:
// break;
//case ProductTypeSimpleEnum.CreditDefaultIndex:
// break;
//case ProductTypeSimpleEnum.CreditDefaultIndexTranche:
// break;
//case ProductTypeSimpleEnum.CreditDefaultBasket:
// break;
//case ProductTypeSimpleEnum.CreditDefaultBasketTranche:
// break;
//case ProductTypeSimpleEnum.CreditDefaultOption:
// break;
//case ProductTypeSimpleEnum.EquityForward:
// break;
case ProductTypeSimpleEnum.InterestRateSwaption:
{
var interestRateSwaption = (Swaption)trade.Item;
PriceableProduct = new InterestRateSwaptionPricer(logger, cache, nameSpace, interestRateSwaption, BaseParty, forecastRateInterpolation);
ProductReporter = new InterestRateSwaptionReporter();
}
break;
case ProductTypeSimpleEnum.TermDeposit:
{
//var party1 = tradeProps.GetValue<string>(TradeProp.Party1, true);
//var party2 = tradeProps.GetValue<string>(TradeProp.Party2, true);
//var reportingParty = baseParty == party1 ? "Party1" : "Party2"; // TODO this is for backward compatability.
var deposit = (TermDeposit)trade.Item;
PriceableProduct = new TermDepositPricer(logger, cache, deposit, TradeProp.Party1); //The payment date must be correct before calling this!
ProductReporter = new TermDepositReporter();
}
break;
//case ProductTypeSimpleEnum.DividendSwap:
// break;
//case ProductTypeSimpleEnum.ConvertibleBondOption:
// break;
//case ProductTypeSimpleEnum.Loan:
// break;
//case ProductTypeSimpleEnum.Repo:
// break;
default:
throw new NotSupportedException("Unsupported ProductType: " + ProductType);
}
}
else
{
switch (TradeType)
{
case ItemChoiceType15.propertyTransaction:
{
var equity = (PropertyTransaction)trade.Item;
IBusinessCalendar settlementCalendar = null;
if (firstCalendarPair != null)
{
settlementCalendar = firstCalendarPair.First;
}
var tradeDate = tradeProps.GetValue <DateTime>(TradeProp.TradeDate, false);
var referenceProperty = tradeProps.GetValue <String>(PropertyProp.ReferenceProperty, false);
PriceableProduct = new PropertyTransactionPricer(logger, cache, nameSpace, tradeDate, referenceProperty, settlementCalendar, equity, BaseParty, forecastRateInterpolation);
ProductReporter = new PropertyTransactionReporter();
}
break;
case ItemChoiceType15.equityTransaction:
{
var equity = (EquityTransaction)trade.Item;
IBusinessCalendar settlementCalendar = null;
if (firstCalendarPair != null)
{
settlementCalendar = firstCalendarPair.First;
}
var tradeDate = tradeProps.GetValue <DateTime>(TradeProp.TradeDate, false);
var effectiveDate = tradeProps.GetValue <DateTime>(TradeProp.EffectiveDate, true);
var referenceEquity = tradeProps.GetValue <String>(EquityProp.ReferenceEquity, false);
PriceableProduct = new EquityTransactionPricer(logger, cache, nameSpace, tradeDate, effectiveDate, referenceEquity, settlementCalendar, equity, BaseParty, forecastRateInterpolation);
ProductReporter = new EquityTransactionReporter();
}
break;
case ItemChoiceType15.bondTransaction:
{
var bond = (BondTransaction)trade.Item;
IBusinessCalendar settlementCalendar = null;
IBusinessCalendar paymentCalendar = null;
if (firstCalendarPair != null)
{
settlementCalendar = firstCalendarPair.First;
paymentCalendar = firstCalendarPair.Second;
}
var tradeDate = tradeProps.GetValue <DateTime>(TradeProp.TradeDate, true);
var effectiveDate = tradeProps.GetValue <DateTime>(TradeProp.EffectiveDate, true);
var bondType = tradeProps.GetValue <string>(BondProp.BondType, false);
PriceableProduct = new BondTransactionPricer(logger, cache, nameSpace, tradeDate, effectiveDate, settlementCalendar, paymentCalendar, bond, BaseParty, bondType, forecastRateInterpolation);
ProductReporter = new BondTransactionReporter();
}
break;
case ItemChoiceType15.futureTransaction:
{
IBusinessCalendar settlementCalendar = null;
if (firstCalendarPair != null)
{
settlementCalendar = firstCalendarPair.First;
}
var future = (FutureTransaction)trade.Item;
var tradeDate = tradeProps.GetValue <DateTime>(TradeProp.TradeDate, false);
var type = tradeProps.GetValue <String>(FuturesProp.FuturesType, true);
var futureType = EnumHelper.Parse <ExchangeContractTypeEnum>(type);
//Get the instrument configuration data.
//Modify the pricer to include this data.
PriceableProduct = new FutureTransactionPricer(logger, cache, nameSpace, tradeDate, futureType, settlementCalendar, future, BaseParty, forecastRateInterpolation);
ProductReporter = new FutureTransactionReporter();
}
break;
case ItemChoiceType15.swap:
{
var swap = (Swap)trade.Item;
//TODO this needs to be emnhanced
ProductType = ProductTypeSimpleEnum.InterestRateSwap;
PriceableProduct = new CrossCurrencySwapPricer(logger, cache, nameSpace, legCalendars, swap, BaseParty, forecastRateInterpolation);
ProductReporter = new InterestRateSwapReporter();
//var report =
}
break;
case ItemChoiceType15.fra: // todo
{
var fra = (Fra)trade.Item;
IBusinessCalendar fixingCalendar = null;
IBusinessCalendar paymentCalendar = null;
if (firstCalendarPair != null)
{
fixingCalendar = firstCalendarPair.First;
paymentCalendar = firstCalendarPair.Second;
}
ProductType = ProductTypeSimpleEnum.FRA;
PriceableProduct = new FraPricer(logger, cache, fixingCalendar, paymentCalendar, fra, BaseParty)
{
ForecastRateInterpolation = forecastRateInterpolation
};
ProductReporter = new ForwardRateAgreementReporter();
}
break;
case ItemChoiceType15.capFloor:
{
var capFloor = (CapFloor)trade.Item;
IBusinessCalendar fixingCalendar = null;
IBusinessCalendar paymentCalendar = null;
if (firstCalendarPair != null)
{
fixingCalendar = firstCalendarPair.First;
paymentCalendar = firstCalendarPair.Second;
}
ProductType = ProductTypeSimpleEnum.CapFloor;
PriceableProduct = new CapFloorPricer(logger, cache, nameSpace, fixingCalendar, paymentCalendar, capFloor, BaseParty);
ProductReporter = new CapFloorReporter();
}
break;
case ItemChoiceType15.fxSingleLeg:
{
var fxForward = (FxSingleLeg)trade.Item;
ProductType = ProductTypeSimpleEnum.FxSpot;
PriceableProduct = new FxSingleLegPricer(fxForward, BaseParty, ProductType);
ProductReporter = new FxSingleLegReporter();
}
break;
case ItemChoiceType15.fxSwap:
{
var fxSwap = (FxSwap)trade.Item;
ProductType = ProductTypeSimpleEnum.FxSwap;
PriceableProduct = new FxSwapPricer(fxSwap, BaseParty);
ProductReporter = new FxSwapReporter();
}
break;
case ItemChoiceType15.bulletPayment:
{
if (trade.Item is BulletPayment bullet)
{
IBusinessCalendar paymentCalendar = null;
if (firstCalendarPair != null)
{
paymentCalendar = firstCalendarPair.Second;
}
//The calendars
if (paymentCalendar == null)
{
if (bullet.payment.paymentDate != null)
{
var containsPaymentDateAdjustments = AdjustableOrAdjustedDateHelper.Contains(bullet.payment.paymentDate, ItemsChoiceType.dateAdjustments, out object dateAdjustments);
if (containsPaymentDateAdjustments && dateAdjustments != null)
{
paymentCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, ((BusinessDayAdjustments)dateAdjustments).
businessCenters, nameSpace);
}
}
}
ProductType = ProductTypeSimpleEnum.BulletPayment;
PriceableProduct = new BulletPaymentPricer(bullet, BaseParty, paymentCalendar);
ProductReporter = new BulletPaymentReporter();
}
}
break;
case ItemChoiceType15.termDeposit:
{
var deposit = (TermDeposit)trade.Item;
ProductType = ProductTypeSimpleEnum.TermDeposit;
PriceableProduct = new TermDepositPricer(logger, cache, deposit, TradeProp.Party1); //The payment date must be correct before calling this!
ProductReporter = new TermDepositReporter();
}
break;
case ItemChoiceType15.swaption:
{
var interestRateSwaption = (Swaption)trade.Item;
ProductType = ProductTypeSimpleEnum.InterestRateSwaption;
PriceableProduct = new InterestRateSwaptionPricer(logger, cache, nameSpace, interestRateSwaption, BaseParty, forecastRateInterpolation);
ProductReporter = new InterestRateSwaptionReporter();
}
break;
case ItemChoiceType15.fxOption:
{
IBusinessCalendar fixingCalendar = null;
IBusinessCalendar paymentCalendar = null;
if (firstCalendarPair != null)
{
fixingCalendar = firstCalendarPair.First;
paymentCalendar = firstCalendarPair.Second;
}
var fxOption = (FxOption)trade.Item;
ProductType = ProductTypeSimpleEnum.FxOption;
PriceableProduct = new VanillaEuropeanFxOptionPricer(logger, cache, nameSpace, fixingCalendar, paymentCalendar, fxOption, BaseParty);
ProductReporter = new FxOptionLegReporter();
}
break;
default:
throw new NotSupportedException("Unsupported TradeType: " + TradeType);
}
//Adds the extra party info now required.
PriceableProduct.OrderedPartyNames.Add(party1);
PriceableProduct.OrderedPartyNames.Add(party2);
//Check if collateralised
if (trade.collateral != null)
{
PriceableProduct.IsCollateralised = true;
}
}
}