public void ConvertQuotedAssetSetsToRateCurveDefinition()
{
const string curveType = "RateCurve";
using (var logger = Reference <ILogger> .Create(new TraceLogger(true)))
{
using (ICoreClient client = (new CoreClientFactory(logger)).SetEnv(BuildConst.BuildEnv).Create())
{
IterateCurveProperties((ccy, index, marketName, tenor) =>
{
string indexName = $"{ccy}-{index}";
string curveName = $"{indexName}-{tenor}";
string qasItemName = String.Format("Orion.V5r3.QuotedAssetSet.{0}.{4}.{1}-{2}-{3}",
marketName, ccy, index, tenor, curveType);
// outputs
string curveItemName = String.Format("Orion.V5r3.Configuration.PricingStructures.{0}.{4}.{1}-{2}-{3}",
marketName, ccy, index, tenor, curveType);
var marketData = client.LoadObject <QuotedAssetSet>(qasItemName);
if (marketData != null)
{
RemoveMarketQuoteValues(marketData);
var curveDef = new Market
{
id = curveName,
Items = new PricingStructure[] { new YieldCurve {
id = curveName
} },
Items1 = new PricingStructureValuation[] {
new YieldCurveValuation {
id = curveName, inputs = marketData
}
}
};
var curveProps = new NamedValueSet();
curveProps.Set(CurveProp.Market, marketName);
curveProps.Set(CurveProp.PricingStructureType, curveType);
curveProps.Set(CurveProp.IndexName, indexName);
curveProps.Set(CurveProp.IndexTenor, tenor);
curveProps.Set(CurveProp.CurveName, curveName);
curveProps.Set("Algorithm", "FastLinearZero");
curveProps.Set(CurveProp.Currency1, ccy);
curveProps.Set(CurveProp.DataGroup, "Orion.V5r3.Configuration.PricingStructureType");
curveProps.Set("SourceSystem", "Orion");
curveProps.Set("Function", "Configuration");
curveProps.Set("Type", CurveProp.PricingStructureType);
curveProps.Set(CurveProp.UniqueIdentifier, curveItemName);
client.SaveObject(curveDef, curveItemName, curveProps, TimeSpan.MaxValue);
}
});
}
}
}
public void ConvertQuotedAssetSetsToDiscountCurveDefinition()
{
using (var logger = Reference <ILogger> .Create(new TraceLogger(true)))
{
using (ICoreClient client = (new CoreClientFactory(logger)).SetEnv(BuildConst.BuildEnv).Create())
{
const string instrument = "LIBOR";
const string seniority = "SENIOR";
foreach (string ccy in "AUD;USD;EUR;NZD;GBP".Split(';'))
{
foreach (string marketName in CurveConst.QR_LIVE.Split(';'))
{
//foreach (string tenor in "3M".Split(';'))
{
//string indexName = String.Format("{0}-{1}", ccy, index);
string curveName = $"{ccy}-{instrument}-{seniority}";
string qasItemName = $"Orion.V5r3.MarketData.{marketName}.DiscountCurve.{curveName}";
// outputs
string curveItemName =
$"Orion.V5r3.Configuration.PricingStructures.{marketName}.DiscountCurve.{curveName}";
var marketData = client.LoadObject <QuotedAssetSet>(qasItemName);
if (marketData != null)
{
// strip out market quote values
foreach (var tradeItem in marketData.assetQuote)
{
foreach (var quote in tradeItem.quote)
{
if (quote.measureType.Value == "MarketQuote")
{
quote.valueSpecified = false;
quote.value = 0.0m;
}
}
}
var curveDef = new Market
{
id = curveName,
Items = new PricingStructure[] { new YieldCurve {
id = curveName
} },
Items1 = new PricingStructureValuation[] {
new YieldCurveValuation {
id = curveName, inputs = marketData
}
}
};
var curveProps = new NamedValueSet();
curveProps.Set(CurveProp.Market, marketName);
curveProps.Set(CurveProp.PricingStructureType, "DiscountCurve");
//curveProps.Set(CurveProp.IndexName, indexName);
//curveProps.Set(CurveProp.IndexTenor, tenor);
curveProps.Set("CreditInstrumentId", instrument);
curveProps.Set("CreditSeniority", seniority);
curveProps.Set(CurveProp.CurveName, curveName);
curveProps.Set("Algorithm", "FastLinearZero");
curveProps.Set(CurveProp.Currency1, ccy);
curveProps.Set(CurveProp.DataGroup, "Orion.V5r3.Configuration.PricingStructureType");
curveProps.Set("SourceSystem", "Orion");
curveProps.Set("Function", "Configuration");
curveProps.Set("Type", CurveProp.PricingStructureType);
curveProps.Set(CurveProp.UniqueIdentifier, curveItemName);
client.SaveObject(curveDef, curveItemName, curveProps, TimeSpan.MaxValue);
}
}
}
}
}
}
}