private static IdentifiedDate CreateIdentifiedDate(string id, DateTime value)
{
var identifiedDate = new IdentifiedDate {
id = id, Value = value
};
return(identifiedDate);
}
/// <summary>
/// Converts to an identified date type.
/// </summary>
/// <param name="unadjustedDate"></param>
/// <returns></returns>
public static IdentifiedDate ToUnadjustedIdentifiedDate(DateTime unadjustedDate)
{
var result = new IdentifiedDate {
Value = unadjustedDate, id = ItemsChoiceType.unadjustedDate.ToString()
};
return(result);
}
/// <summary>
/// Create a grid from an array of names and complex array of data
/// The data will contain strings and decimals
/// </summary>
/// <param name="pSettings">The settings object used to generate these SABR parameters</param>
/// <param name="fields">The headers used to identify the SABR parameters</param>
/// <param name="data">An array of SABR parameters and expiry/tenor pairs</param>
/// <param name="valueDate">The valuation date</param>
/// <param name="surfaceId">The id for this matrix</param>
public SwaptionVolatilityMatrix(object[][] pSettings, string[] fields, object[][] data, DateTime valueDate, string surfaceId)
{
// Include a QuotedAssetSet to hold the Settings object used to generate this SABR parameters Matrix
Settings = AssignSettings(pSettings);
// Set the id for this matrix
id = surfaceId;
// Set the value date for this vol matrix
baseDate = new IdentifiedDate {
Value = valueDate
};
// Set the buildDate for this matrix
buildDateTime = DateTime.Now;
// Create the dataPoints structure. This will hold the matrix data
dataPoints = new MultiDimensionalPricingData();
var columns = fields.Length;
var rows = data.Length;
dataPoints.point = new PricingStructurePoint[rows * IdentifierFieldCount];
var point = 0;
// Loop through the arrays to populate the underlying VolatilityMatrix
for (var gRows = 0; gRows < rows; gRows++)
{
// Extract the expiry/tenor information for creating
var expiry = PeriodHelper.Parse(data[gRows][0].ToString());
var tenor = PeriodHelper.Parse(data[gRows][1].ToString());
for (var gCols = columns - IdentifierFieldCount; gCols < columns; gCols++)
{
dataPoints.point[point] = new PricingStructurePoint {
coordinate = new PricingDataPointCoordinate[1]
};
// Set up the co-ordinate (Expiry/Term) for each point
dataPoints.point[point].coordinate[0] = new PricingDataPointCoordinate
{
expiration = new TimeDimension[1]
};
// Set the Expiry for the co-ordinate point
dataPoints.point[point].coordinate[0].expiration[0] = new TimeDimension
{
Items = new object[] { expiry }
};
// Set the Term for the co-ordinate point
dataPoints.point[point].coordinate[0].term = new TimeDimension[1];
dataPoints.point[point].coordinate[0].term[0] = new TimeDimension {
Items = new object[] { tenor }
};
// Add the quotation characteristics for the point
// We will only record a value and the measure type
dataPoints.point[point].valueSpecified = true;
dataPoints.point[point].value = Convert.ToDecimal(data[gRows][gCols]);
dataPoints.point[point].measureType = new AssetMeasureType {
Value = fields[gCols]
};
point++;
}
}
}
public static Payment Create(string identifier, bool pay, Money paymentAmount,
DateTime adjustedPaymentDate, PaymentType paymentType,
decimal discountFactor, Money presentValueAmount)
{
var payment = new Payment();
var result = new IdentifiedDate {
Value = adjustedPaymentDate
};
payment.adjustedPaymentDate = result;
payment.discountFactor = discountFactor;
payment.discountFactorSpecified = true;
payment.href = identifier;
payment.payerPartyReference = (pay) ? PartyOrAccountReferenceFactory.Create("CBA") : PartyOrAccountReferenceFactory.Create("");
payment.paymentAmount = paymentAmount;
payment.paymentType = paymentType;
payment.presentValueAmount = presentValueAmount;
payment.receiverPartyReference = (pay) ? PartyOrAccountReferenceFactory.Create("") : PartyOrAccountReferenceFactory.Create("CBA");
return(payment);
}
public static Payment Create(string identifier, PartyOrAccountReference payerPartyReference,
PartyOrAccountReference receiverPartyReference, Money paymentAmount,
IdentifiedDate adjustedPaymentDate, SettlementInformation settlementInformation, PaymentType paymentType,
decimal discountFactor, Money presentValueAmount)
{
var payment = new Payment
{
adjustedPaymentDate = adjustedPaymentDate,
discountFactor = discountFactor,
discountFactorSpecified = true,
href = identifier,
payerPartyReference = payerPartyReference,
paymentAmount = paymentAmount,
paymentType = paymentType,
presentValueAmount = presentValueAmount,
receiverPartyReference = receiverPartyReference,
settlementInformation = settlementInformation
};
return(payment);
}
/// <summary>
/// Construct an FpML MultiDimensionalPricingData from the spreadsheet values
/// </summary>
/// <param name="headers">The columns to write</param>
/// <param name="data">The values to store</param>
/// <param name="settings">The settings used by this matrix</param>
/// <param name="valueDate">The valuation date</param>
/// <param name="surfaceId">The id of this surface</param>
public CapFloorATMMatrix(string[] headers, object[][] data, object[][] settings, DateTime valueDate, string surfaceId)
: this()
{
// Include a QuotedAssetSet to hold the Settings object used to generate this SABR parameters Matrix
if (settings != null)
{
Settings = AssignSettings(settings);
}
id = surfaceId;
baseDate = new IdentifiedDate {
Value = valueDate
};
var rows = data.GetUpperBound(0) + 1;
var points = new List <PricingStructurePoint>();
int expiry = Find("Expiry", headers);
int atm = Find("ATM", headers);
int type = Find("Type", headers);
int ppd = Find("PPD", headers);
for (int row = 0; row < rows; row++)
{
var point = new PricingStructurePoint();
if (data[row][0] != null)
{
// Populate each data point from the data array
for (var column = 0; column < headers.Length; column++)
{
object datum = data[row][column];
if (column == expiry)
{
// Add the coordinate value (the expiry)
var expiration = PeriodHelper.Parse(datum.ToString());
point.coordinate = new PricingDataPointCoordinate[1];
point.coordinate[0] = new PricingDataPointCoordinate {
expiration = new TimeDimension[1]
};
point.coordinate[0].expiration[0] = new TimeDimension {
Items = new object[] { expiration }
};
}
else if (column == atm)
{
point.measureType = new AssetMeasureType {
Value = "ATM"
};
point.valueSpecified = true;
point.value = Convert.ToDecimal(datum);
}
else if (column == ppd)
{
point.measureType = new AssetMeasureType {
Value = "PPD"
};
point.valueSpecified = true;
point.value = Convert.ToDecimal(datum);
}
else if (column == type)
{
point.cashflowType = new CashflowType {
Value = datum.ToString()
};
}
else
{
throw new ArgumentException("Unknown column name: " + column);
}
}
}
points.Add(point);
}
dataPoints = new MultiDimensionalPricingData {
point = points.ToArray()
};
}
