public static AssetMeasureType Copy(AssetMeasureType assetMeasure)
{
var assetMeasureType = new AssetMeasureType {
Value = assetMeasure.Value
};
return(assetMeasureType);
}
public static AssetMeasureType Create(AssetMeasureEnum assetMeasure)
{
var assetMeasureType = new AssetMeasureType {
Value = assetMeasure.ToString()
};
return(assetMeasureType);
}
public static BasicQuotation Create(AssetMeasureType measureType, PriceQuoteUnits priceUnits, string sideAsString)
{
ParseQuotationSideEnum(sideAsString, out var sideSpecified, out var side);
return(new BasicQuotation
{
valueSpecified = false,
measureType = measureType,
quoteUnits = priceUnits,
sideSpecified = sideSpecified,
side = side
});
}
public static AssetMeasureType Parse(string measureTypeAsString)
{
// ensures value is valid enum string
AssetMeasureEnum assetMeasureEnum = AssetMeasureEnum.Undefined;
if (measureTypeAsString != null)
{
assetMeasureEnum = AssetMeasureScheme.ParseEnumString(measureTypeAsString);
}
AssetMeasureType assetMeasureType = Create(assetMeasureEnum);
return(assetMeasureType);
}
/// <summary>
/// A helper to extract properties from a namedvalueset..
/// </summary>
/// <param name="propertyCollection">The collection of properties.</param>
public static AssetMeasureType ExtractMeasureType(NamedValueSet propertyCollection)
{
AssetMeasureType measureType = null;
var dictionaryKeys = propertyCollection.ToDictionary();
if (dictionaryKeys.ContainsKey("MeasureType"))
{
var result = propertyCollection.Get("MeasureType").AsValue <string>();
measureType = new AssetMeasureType {
Value = result
};
}
return(measureType);
}
///<summary>
/// A swaption ppd grid.
///</summary>
///<param name="rows"></param>
///<param name="cols"></param>
///<param name="data"></param>
public SwaptionPPDGrid(string[] rows, string[] cols, object[][] data)
: this()
{
measureType = new AssetMeasureType {
Value = "PPD"
};
quoteUnits = new PriceQuoteUnits {
Value = "points"
};
// build the co-ordinate tree.. data[row][column]
// row = expiry, column = tenor
var points = new List <PricingStructurePoint>();
for (int row = 0; row < rows.Length; row++)
{
for (int col = 0; col < cols.Length; col++)
{
if (data[row][col] != null)
{
var currentPoint = new PricingStructurePoint {
coordinate = new PricingDataPointCoordinate[1]
};
// Set up the coordinate for this point
currentPoint.coordinate[0] = new PricingDataPointCoordinate {
expiration = new TimeDimension[1]
};
// The row - Expiry
currentPoint.coordinate[0].expiration[0] = new TimeDimension
{
Items =
new object[] { PeriodHelper.Parse(rows[row]) }
};
// The column - Tenor
currentPoint.coordinate[0].term = new TimeDimension[1];
currentPoint.coordinate[0].term[0] = new TimeDimension
{
Items = new object[] { PeriodHelper.Parse(cols[col]) }
};
// The data value
currentPoint.valueSpecified = true;
currentPoint.value = Convert.ToDecimal(data[row][col]);
points.Add(currentPoint);
}
}
}
point = points.ToArray();
}
/// <summary>
/// Aggregates the coupon metric.
/// </summary>
/// <param name="childValuations">The metrics.</param>
/// <param name="controllerMetrics">The controller metrics</param>
/// <returns></returns>
protected static AssetValuation AggregateMetrics(List <AssetValuation> childValuations, List <string> controllerMetrics)
{
var result = new AssetValuation();
var quotes = new List <Quotation>();
foreach (var metric in controllerMetrics)
{
var quote = new Quotation();
var measure = new AssetMeasureType {
Value = metric
};
quote.measureType = measure;
quote.value = Aggregator.SumDecimals(childValuations.Select(valuation => Aggregator.SumDecimals(GetMetricResults(valuation, metric))).ToArray());
quote.valueSpecified = true;
quotes.Add(quote);
}
result.quote = quotes.ToArray();
return(result);
}
/// <summary>
/// Creates the asset valuation.
/// </summary>
/// <param name="metrics">The metrics.</param>
/// <param name="baseDate">The base date.</param>
/// <returns></returns>
static public AssetValuation CreateAssetValuation(IEnumerable <string> metrics, DateTime baseDate)
{
var av = new AssetValuation();
var quotes = new List <Quotation>();
foreach (string metric in metrics)
{
var quotation = new Quotation();
var measureType = new AssetMeasureType {
Value = metric
};
quotation.value = 0.0m;
quotation.valueSpecified = true;
quotation.measureType = measureType;
quotation.valuationDate = baseDate;
quotation.valuationDateSpecified = true;
quotes.Add(quotation);
}
av.quote = quotes.ToArray();
return(av);
}
/// <summary>
/// Creates the asset valuation.
/// </summary>
/// <param name="metrics">The metrics.</param>
/// <param name="baseDate">The base date.</param>
/// <returns></returns>
public static AssetValuation CreateAssetValuation(string[] metrics, DateTime baseDate)
{
var av = new AssetValuation();
var quotes = new Quotation[metrics.Length];
int index = 0;
foreach (string metric in metrics)
{
var quotation = new Quotation();
var measureType = new AssetMeasureType {
Value = metric
};
quotation.value = 0.0m;
quotation.measureType = measureType;
quotation.valuationDate = baseDate;
quotation.valuationDateSpecified = true;
quotes[index] = quotation;
index++;
}
av.quote = quotes;
return(av);
}
