public virtual AutocallableContainer GetDealContainer(AutocallableRipper ripper) { AutocallableContainer container = new AutocallableContainer(); parse(container, ripper); return(container); }
protected virtual void updateStructureSpecificFieldNamesAndValues(AutocallableContainer container) { Debug.WriteLine("Called updateStructureSpecificFieldNamesAndValues() in AutocallableSqlQueryGenerator class."); string subtype = container.StructureEnum.DatabaseSubtype(); _structureSpecificFieldNamesAndValues.Add("Subtype", "'" + subtype + "'"); _structureSpecificFieldNamesAndValues.Add("Cusip", "'" + container.Cusip + "'"); _structureSpecificFieldNamesAndValues.Add("Coupon_Barrier", container.CouponBarrier.ToString()); _structureSpecificFieldNamesAndValues.Add("KI_Barrier", container.KnockInBarrier.ToString()); _structureSpecificFieldNamesAndValues.Add("Coupon_Per_Period", container.CouponAmountPerPeriod.ToString()); if (!(container.CouponFrequency == null)) { _structureSpecificFieldNamesAndValues.Add("Coupon_Frequency", "'" + container.CouponFrequency + "'"); } }
protected virtual void parse(AutocallableContainer container, AutocallableRipper ripper) { base.parse(container, ripper); DateTime [] couponObservationDates; try { DateTime [] callObservationDates = ripper.GetCallObservationDates(); container.CallObservationDates = callObservationDates; try { couponObservationDates = ripper.GetCouponObservationDates(); container.CouponObservationDates = couponObservationDates; } catch { string warning = "Unable to extract coupon observation dates on their own so " + "assuming they are the same as the call observation dates."; Debug.WriteLine(warning); container.CouponObservationDates = callObservationDates; } } catch (DetailParsingException) { string warning = "Unable to extract call observation dates on their own so assuming " + "they are the same as the coupon observation dates."; Debug.WriteLine(warning); couponObservationDates = ripper.GetCouponObservationDates(); container.CouponObservationDates = couponObservationDates; container.CallObservationDates = couponObservationDates; } container.CouponAmountPerPeriod = ripper.GetCouponPerPeriod(); container.CouponBarrier = ripper.GetCouponBarrier(); double knockInBarrier = ripper.GetKnockInBarrier(); // If the KI Barrier is less than one, it is likely that it represents a % amount. if (knockInBarrier < 1) { knockInBarrier = knockInBarrier * container.InitialUnderlyingLevel; } container.KnockInBarrier = knockInBarrier; // If we fail to rip the coupon frequency, we "swallow" the error because we can // ultimately determine it by the distance between coupon observation dates. try { if (ripper.CouponFrequency == null) { container.CouponFrequency = ripper.GetCouponFrequency(); } else { container.CouponFrequency = ripper.CouponFrequency; } } catch (Exception) { } // If we failed to parse the Final Valuation Date on its own, then we set it equal to the last coupon // observation date if (container.FinalValuationDate.IsEmpty()) { string warning = String.Format("Final Valuation Date empty in AutocallableFactory for " + "Cusip {0}. Therefore, assuming it is the final coupon " + "observation date.", container.Cusip); Debug.WriteLine(warning); container.FinalValuationDate = container.CouponObservationDates.Last(); } }
/// <summary> /// Define the sql queries that will update our database for a given structure by /// (1) Instantiating both the appropriate Factory and DealRipper that can be used to fill a container /// that will be passed to the SqlQueryFactory class. /// (2) Calling the GetSqlQueriesForAddingDealToDatabase() method of SqlQueryFactory in order to get the sql /// queries. /// </summary> private string [] getSqlQueriesToAddDealToDatabase(EStructure structureType) { ISqlQueryGenerator sqlQueryGenerator; switch (structureType) { case EStructure.PrincipalProtectedNote: PrincipalProtectedNoteRipper ppnRipper = DealRipperFactory.GetPrincipalProtectedNoteRipper(_termSheetText); PrincipalProtectedNoteFactory ppnFactory = new PrincipalProtectedNoteFactory(); PrincipalProtectedNoteContainer ppnContainer = ppnFactory.GetDealContainer(ppnRipper); sqlQueryGenerator = SqlQueryGeneratorFactory.GetSqlQueryGenerator(ppnContainer); return(sqlQueryGenerator.GetSqlQueriesForAddingDealToDatabase()); case EStructure.StandardPLUS: PLUSRipper plusRipper = DealRipperFactory.GetPLUSRipper(_termSheetText); PLUSFactory plusFactory = new PLUSFactory(); PLUSContainer plusContainer = plusFactory.GetDealContainer(plusRipper); sqlQueryGenerator = SqlQueryGeneratorFactory.GetSqlQueryGenerator(plusContainer); return(sqlQueryGenerator.GetSqlQueriesForAddingDealToDatabase()); case EStructure.BufferedPLUS: BufferedPLUSRipper bufferedPLUSRipper = DealRipperFactory.GetBufferedPLUSRipper(_termSheetText); BufferedPLUSFactory bufferedPLUSFactory = new BufferedPLUSFactory(); BufferedPLUSContainer bufferedPLUSContainer = bufferedPLUSFactory.GetDealContainer(bufferedPLUSRipper); sqlQueryGenerator = SqlQueryGeneratorFactory.GetSqlQueryGenerator(bufferedPLUSContainer); return(sqlQueryGenerator.GetSqlQueriesForAddingDealToDatabase()); case EStructure.TriggerPLUS: TriggerPLUSRipper triggerPLUSRipper = DealRipperFactory.GetTriggerPLUSRipper(_termSheetText); TriggerPLUSFactory triggerPLUSFactory = new TriggerPLUSFactory(); TriggerPLUSContainer triggerPLUSContainer = triggerPLUSFactory.GetDealContainer(triggerPLUSRipper); sqlQueryGenerator = SqlQueryGeneratorFactory.GetSqlQueryGenerator(triggerPLUSContainer); return(sqlQueryGenerator.GetSqlQueriesForAddingDealToDatabase()); case EStructure.DualDirectionalTriggerPLUS: TriggerPLUSRipper dualDirectionalTriggerPLUSRipper = DealRipperFactory.GetTriggerPLUSRipper(_termSheetText); DualDirectionalTriggerPLUSFactory dualDirectionalTriggerPLUSFactory = new DualDirectionalTriggerPLUSFactory(); TriggerPLUSContainer dualDirectionalTriggerPLUSContainer = dualDirectionalTriggerPLUSFactory.GetDealContainer(dualDirectionalTriggerPLUSRipper); sqlQueryGenerator = SqlQueryGeneratorFactory.GetSqlQueryGenerator(dualDirectionalTriggerPLUSContainer); return(sqlQueryGenerator.GetSqlQueriesForAddingDealToDatabase()); case EStructure.StandardJump: JumpRipper jumpRipper = DealRipperFactory.GetStandardJumpRipper(_termSheetText); JumpFactory jumpFactory = new JumpFactory(); JumpContainer jumpContainer = jumpFactory.GetDealContainer(jumpRipper); sqlQueryGenerator = SqlQueryGeneratorFactory.GetSqlQueryGenerator(jumpContainer); return(sqlQueryGenerator.GetSqlQueriesForAddingDealToDatabase()); case EStructure.BufferedJump: BufferedJumpRipper bufferedJumpRipper = DealRipperFactory.GetBufferedJumpRipper(_termSheetText); BufferedJumpFactory bufferedJumpFactory = new BufferedJumpFactory(); BufferedJumpContainer bufferedJumpContainer = bufferedJumpFactory.GetDealContainer(bufferedJumpRipper); sqlQueryGenerator = SqlQueryGeneratorFactory.GetSqlQueryGenerator(bufferedJumpContainer); return(sqlQueryGenerator.GetSqlQueriesForAddingDealToDatabase()); case EStructure.TriggerJump: TriggerJumpRipper triggerJumpRipper = DealRipperFactory.GetTriggerJumpRipper(_termSheetText); TriggerJumpFactory triggerJumpFactory = new TriggerJumpFactory(); TriggerJumpContainer triggerJumpContainer = triggerJumpFactory.GetDealContainer(triggerJumpRipper); sqlQueryGenerator = SqlQueryGeneratorFactory.GetSqlQueryGenerator(triggerJumpContainer); return(sqlQueryGenerator.GetSqlQueriesForAddingDealToDatabase()); case EStructure.EnhancedTriggerJump: TriggerJumpRipper enhancedTriggerJumpRipper = DealRipperFactory.GetTriggerJumpRipper(_termSheetText); EnhancedTriggerJumpFactory enhancedTriggerJumpFactory = new EnhancedTriggerJumpFactory(); EnhancedTriggerJumpContainer enhancedTriggerJumpContainer = enhancedTriggerJumpFactory.GetDealContainer(enhancedTriggerJumpRipper); sqlQueryGenerator = SqlQueryGeneratorFactory.GetSqlQueryGenerator(enhancedTriggerJumpContainer); return(sqlQueryGenerator.GetSqlQueriesForAddingDealToDatabase()); case EStructure.DualDirectionalTriggerJump: TriggerJumpRipper dualDirectionalTriggerJumpRipper = DealRipperFactory.GetTriggerJumpRipper(_termSheetText); DualDirectionalTriggerJumpFactory dualDirectionalTriggerJumpFactory = new DualDirectionalTriggerJumpFactory(); TriggerJumpContainer dualDirectionalTriggerJumpContainer = dualDirectionalTriggerJumpFactory.GetDealContainer(dualDirectionalTriggerJumpRipper); sqlQueryGenerator = SqlQueryGeneratorFactory.GetSqlQueryGenerator(dualDirectionalTriggerJumpContainer); return(sqlQueryGenerator.GetSqlQueriesForAddingDealToDatabase()); case EStructure.AutocallableStandard: AutocallableRipper autocallableRipper = DealRipperFactory.GetAutocallableRipper(_termSheetText); AutocallableFactory autocallableFactory = new AutocallableFactory(); AutocallableContainer autocallableContainer = autocallableFactory.GetDealContainer(autocallableRipper); sqlQueryGenerator = SqlQueryGeneratorFactory.GetSqlQueryGenerator(autocallableContainer); return(sqlQueryGenerator.GetSqlQueriesForAddingDealToDatabase()); case EStructure.AutocallableFixedCoupon: FixedCouponAutocallableRipper fixedCouponAutocallableRipper = DealRipperFactory.GetFixedCouponAutocallableRipper(_termSheetText); AutocallableFactory fixedCouponAutocallableFactory = new AutocallableFactory(); AutocallableContainer fixedCouponAutocallableContainer = fixedCouponAutocallableFactory.GetDealContainer(fixedCouponAutocallableRipper); sqlQueryGenerator = SqlQueryGeneratorFactory.GetSqlQueryGenerator(fixedCouponAutocallableContainer); return(sqlQueryGenerator.GetSqlQueriesForAddingDealToDatabase()); case EStructure.AutocallableStepUp: AutocallableRipper stepUpAutocallableRipper = DealRipperFactory.GetAutocallableRipper(_termSheetText); StepUpAutocallableFactory stepUpAutocallableFactory = new StepUpAutocallableFactory(); StepUpAutocallableContainer stepUpAutocallableContainer = stepUpAutocallableFactory.GetDealContainer(stepUpAutocallableRipper); sqlQueryGenerator = SqlQueryGeneratorFactory.GetSqlQueryGenerator(stepUpAutocallableContainer); return(sqlQueryGenerator.GetSqlQueriesForAddingDealToDatabase()); case EStructure.AutocallableStepDown: AutocallableRipper stepDownAutocallableRipper = DealRipperFactory.GetAutocallableRipper(_termSheetText); StepDownAutocallableFactory stepDownAutocallableFactory = new StepDownAutocallableFactory(); StepDownAutocallableContainer stepDownAutocallableContainer = stepDownAutocallableFactory.GetDealContainer(stepDownAutocallableRipper); sqlQueryGenerator = SqlQueryGeneratorFactory.GetSqlQueryGenerator(stepDownAutocallableContainer); return(sqlQueryGenerator.GetSqlQueriesForAddingDealToDatabase()); case EStructure.AutocallableWorstOf: string wOfErrorMsg = "defineSqlQueriesToAddDealToDatabase() method of CentralCommand unable to handle Worst-of Autocallables."; Debug.WriteLine(wOfErrorMsg); throw new ArgumentOutOfRangeException(wOfErrorMsg); default: throw new ArgumentOutOfRangeException("Unhandled structure type passed to defineSqlQueriesToAddDealToDatabase() method of CentralCommand."); } }