private static void CreateStrikeRateVolCurve(string currency1, string indexTenor, string[] instruments, decimal[] marketvalues, decimal[] additionalforwards)
{
NamedValueSet properties = new NamedValueSet();
properties.Set("Instrument", "AUD-Xibor-" + indexTenor);
properties.Set("PricingStructureType", "CapVolatilityCurve");
properties.Set("ReferenceCurveUniqueId", "Market." + Market + ".DiscountCurve.GBP-LIBOR-SENIOR");
properties.Set("ReferenceCurrency2CurveId", "Market." + Market + ".DiscountCurve.GBP-LIBOR-SENIOR");
properties.Set("Currency", currency1);
properties.Set("IndexTenor", indexTenor);
properties.Set("IndexName", "AUD-BBR-BBSW");
properties.Set("MarketName", Market);
properties.Set("StrikeQuoteUnits", StrikeQuoteUnitsEnum.DecimalRate.ToString());
properties.Set("MeasureType", MeasureTypesEnum.Volatility.ToString());
properties.Set("QuoteUnits", QuoteUnitsEnum.LogNormalVolatility.ToString());
properties.Set("Algorithm", "Linear");
properties.Set("QuotationSide", QuotationSideEnum.Mid.ToString());
properties.Set("Timing", QuoteTimingEnum.Close.ToString());
properties.Set("ValuationDate", DateTime.Today);
properties.Set("BusinessCenter", "Sydney");
properties.Set("Strike", 0.025m);
properties.Set("BaseDate", DateTime.Today);
var volCurve = CurveEngine.CreatePricingStructure(properties, ProcessValues(instruments, marketvalues, additionalforwards));
string name = volCurve.GetPricingStructureId().UniqueIdentifier;
Market market = volCurve.GetMarket();
CurveEngine.SaveCurve(market, name, properties, new TimeSpan(0, 1, 0));
}
private static void CreateDiscountCurve(string currency1, string[] instruments, decimal[] values)
{
NamedValueSet properties = new NamedValueSet();
properties.Set("PricingStructureType", "DiscountCurve");
properties.Set("CreditInstrumentId", "LIBOR");
properties.Set("CreditSeniority", "SENIOR");
properties.Set("CurveName", currency1 + "-LIBOR-SENIOR");
properties.Set("Currency", currency1);
properties.Set("MarketName", Market);
properties.Set("BaseDate", DateTime.Today);
var rateCurve = CurveEngine.CreatePricingStructure(properties, ProcessValues(instruments, values));
string name = rateCurve.GetPricingStructureId().UniqueIdentifier;
Market market = rateCurve.GetMarket();
CurveEngine.SaveCurve(market, name, properties, new TimeSpan(0, 1, 0));
}
private static void CreateRateCurve(string currency1, string indexTenor, string[] instruments, decimal[] values)
{
NamedValueSet properties = new NamedValueSet();
properties.Set("CurveName", "AUD-BBR-BBSW-" + indexTenor);
properties.Set("PricingStructureType", "RateCurve");
properties.Set("Currency", currency1);
properties.Set("IndexTenor", indexTenor);
properties.Set("IndexName", "AUD-BBR-BBSW");
properties.Set("MarketName", Market);
properties.Set("BaseDate", DateTime.Today);
var rateCurve = CurveEngine.CreatePricingStructure(properties, ProcessValues(instruments, values));
string name = rateCurve.GetPricingStructureId().UniqueIdentifier;
Market market = rateCurve.GetMarket();
CurveEngine.SaveCurve(market, name, properties, new TimeSpan(0, 1, 0));
}
private static void CreateFxCurve(string currency1, string currency2, string[] instruments, decimal[] values)
{
NamedValueSet properties = new NamedValueSet();
properties.Set("CurveName", "FxCurve" + currency1 + "-" + currency2);
properties.Set("PricingStructureType", "FxCurve");
properties.Set("Currency", currency1);
properties.Set("Currency2", currency2);
properties.Set("CurrencyPair", currency1 + "-" + currency2);
properties.Set("QuoteBasis", "Currency2PerCurrency1");
properties.Set("MarketName", Market);
properties.Set("BaseDate", DateTime.Today);
var fxCurve = CurveEngine.CreatePricingStructure(properties, ProcessValues(instruments, values));
string name = fxCurve.GetPricingStructureId().UniqueIdentifier;
Market market = fxCurve.GetMarket();
CurveEngine.SaveCurve(market, name, properties, new TimeSpan(0, 1, 0));
}
private static void CreateBondDiscountCurve(string currency1, string[] instruments, decimal[] values)
{
NamedValueSet properties = new NamedValueSet();
properties.Set("PricingStructureType", "BondDiscountCurve");
properties.Set("Currency", currency1);
properties.Set("CreditInstrumentId", "WATC");
properties.Set("CreditSeniority", "SENIOR");
properties.Set("MarketName", Market1);
properties.Set("Algorithm", "LinearZero");
properties.Set("MarketQuote", "YieldToMaturity");
properties.Set("BaseDate", new DateTime(2010, 3, 1));
var bondCurve = CurveEngine.CreatePricingStructure(properties, ProcessValues(instruments, values));
string name = bondCurve.GetPricingStructureId().UniqueIdentifier;
Market market = bondCurve.GetMarket();
CurveEngine.SaveCurve(market, name, properties, new TimeSpan(0, 1, 0));
}
private static void CreateBondFinancingBasisCurve(string currency1, string[] instruments, decimal[] values)
{
NamedValueSet properties = new NamedValueSet();
properties.Set("PricingStructureType", "BondFinancingBasisCurve");
properties.Set("ReferenceBond", "Govt.WATC.Fixed.7.15/10/2019");
properties.Set("ReferenceCurveUniqueId", "Market." + Market + ".DiscountCurve.GBP-LIBOR-SENIOR");
properties.Set("CurveName", "AUD-GC-SECURED");
properties.Set("Currency", currency1);
properties.Set("BondType", "AGB");
properties.Set("CreditSeniority", "SECURED");
properties.Set("CreditInstrumentId", "GC");
properties.Set("MarketName", Market);
properties.Set("Algorithm", "LinearZero");
properties.Set("MarketQuote", "YieldToMaturity");
properties.Set("BaseDate", new DateTime(2010, 3, 1));
var bondCurve = CurveEngine.CreatePricingStructure(properties, ProcessValues(instruments, values));
string name = bondCurve.GetPricingStructureId().UniqueIdentifier;
Market market = bondCurve.GetMarket();
CurveEngine.SaveCurve(market, name, properties, new TimeSpan(0, 1, 0));
}
public void ProcessItems()
{
int count = Interlocked.Decrement(ref _queuedCalls);
// exit if there are more callbacks following us
//if (count % 10000 == 0)
_loggerRef.Target.LogDebug("ProcessItems: Queued calls remaining: {0}", count);
if (count != 0)
{
return;
}
ICoreItem item = null;
_queuedItems.Locked(queue =>
{
if (queue.Count > 0)
{
item = queue.Dequeue();
}
});
while (item != null)
{
var qas = item.Data as QuotedAssetSet;
if (qas != null)
{
// 1. Get the property values that uniquely identify the curves to refresh.
// This is the process for the workflow request. Alternatively, a direct build of the curve can occur.
//
var nameSpace = item.AppProps.GetValue <string>(EnvironmentProp.NameSpace);
var market = item.AppProps.GetValue <string>(CurveProp.Market);//For real time use Market and not MarketAndDate
var curveType = item.AppProps.GetValue <string>(CurveProp.PricingStructureType);
var curveName = item.AppProps.GetValue <string>(CurveProp.CurveName);
var configIdentifier = FunctionProp.Configuration + ".PricingStructures." + market + "." + curveType + "." + curveName;
var identifier = FunctionProp.Market + "." + market + "." + curveType + "." + curveName;
List <ICoreItem> items = null;
// 2.Check if the dependent curves should be refreshed
//
if (chkBoxDependentCurves.Checked)
{
//Find all the QAS's where the ReferenceCurveName is equal to the curveType.curveName!
var requestProperties = new NamedValueSet();
requestProperties.Set(EnvironmentProp.NameSpace, NameSpace);
requestProperties.Set(CurveProp.Market, market);
requestProperties.Set(EnvironmentProp.Function, FunctionProp.Configuration);
requestProperties.Set(CurveProp.ReferenceCurveName, curveType + '.' + curveName);
IExpression queryExpr = Expr.BoolAND(requestProperties);
_loggerRef.Target.LogDebug("Dependent curve property request set at {0}", DateTime.Now.ToLongTimeString());
items = _cache.LoadItems <Market>(queryExpr);
}
// 3. If the build is a local build then use the curve engine.
//
if (!chkBoxWorkflow.Checked)
{
_loggerRef.Target.LogDebug("Request to build base curve {0} locally at : {1}", identifier,
DateTime.Now.ToLongTimeString());
var curve = CurveEngine.RefreshPricingStructureFromConfiguration(_loggerRef.Target, _cache, nameSpace, configIdentifier, identifier, qas, DateTime.Now, DateTime.Now);
_loggerRef.Target.LogDebug("Built the base curve {0} locally at : {1}", curve,
DateTime.Now.ToLongTimeString());
if (items != null)
{
foreach (var dataItem in items)
{
var spreadCurve = dataItem.Data as Market;
if (spreadCurve == null)
{
continue;
}
//var bootstrap = dataItem.AppProps.GetValue<bool>(CurveProp.BootStrap, false);
//if (!bootstrap) { dataItem.AppProps.Set(CurveProp.BootStrap, true); }
try
{
var curveId = spreadCurve.id;
if (String.IsNullOrEmpty(curveId))
{
curveId = spreadCurve.Items[0].id;
//use yieldCurve.id, CurveGen 1.X compatible
}
dataItem.AppProps.Set(CurveProp.BaseDate, DateTime.Now);
dataItem.AppProps.Set(CurveProp.BuildDateTime, DateTime.Now);
var marketData =
new Pair <PricingStructure, PricingStructureValuation>(spreadCurve.Items[0],
spreadCurve.Items1[0]);
var ps = PricingStructureFactory.Create(_loggerRef.Target, _cache, nameSpace, null, null,
marketData, dataItem.AppProps);
if (ps != null)
{
CurveEngine.SaveCurve(_cache, nameSpace, ps);
}
_loggerRef.Target.LogDebug("Built the spread curve {0} locally at : {1}",
curveId,
DateTime.Now.ToLongTimeString());
}
catch (Exception e)
{
_loggerRef.Target.LogDebug(e.ToString());
}
}
}
}
else
{
// 4. Set the parameters for the work request.
//
var curveGenRequest = new OrdinaryCurveGenRequest
{
NameSpace = nameSpace,
BaseDate = DateTime.Now,
RequestId = Guid.NewGuid().ToString(),
RequesterId = new UserIdentity
{
Name = _cache.ClientInfo.Name,
DisplayName = _cache.ClientInfo.UserFullName
//Name = _clientRef.Target.ClientInfo.Name,
//DisplayName = _clientRef.Target.ClientInfo.UserFullName
},
UseSavedMarketData = true,
ForceGenerateEODCurves = true
};
// 5. Set the base curve in the curve selection for the work request.
//
var curveSelector = new List <CurveSelection>
{
new CurveSelection
{
NameSpace = nameSpace,
MarketName = market,
CurveType = curveType,
CurveName = curveName
}
};
// 6.Include all other dependent curvenames i.e. spread curves.
//
if (items != null)
{
curveSelector.AddRange(from childCurve in items
let spreadCurveType =
childCurve.AppProps.GetValue <string>(
CurveProp.PricingStructureType)
let spreadCurveName =
childCurve.AppProps.GetValue <string>(CurveProp.CurveName)
select new CurveSelection
{
NameSpace = nameSpace,
MarketName = market,
CurveType = spreadCurveType,
CurveName = spreadCurveName
});
}
curveGenRequest.CurveSelector = curveSelector.ToArray();
// 7. Set the actual work request.
//
IWorkContext context = new WorkContext(_loggerRef.Target, _cache, "DEV");
//IWorkContext context = new WorkContext(_loggerRef.Target, _clientRef.Target, "DEV");
_loggerRef.Target.LogDebug("WorkContext set at {0}", DateTime.Now.ToLongTimeString());
using (var workflow = new WFGenerateOrdinaryCurve())
{
workflow.Initialise(context);
WorkflowOutput <HandlerResponse> output = workflow.Execute(curveGenRequest);
WorkflowHelper.ThrowErrors(output.Errors);
foreach (var error in output.Errors)
{
_loggerRef.Target.LogInfo("WorkFlow error: {0} at {1}", error.Message, DateTime.Now.ToLongTimeString());
}
}
_loggerRef.Target.LogDebug("WorkFlow executed at {0}", DateTime.Now.ToLongTimeString());
//item = null;
//_queuedItems.Locked(queue =>
// {
// if (queue.Count > 0)
// item = queue.Dequeue();
// });
}
}
}
}
