public static RateIndex Parse(string id,
string instrumentId,
string floatingRateIndex,
string currency,
string dayCountFraction,
string paymentFrequency,
string term)
{
var rateIndex = new RateIndex
{
currency = new IdentifiedCurrency {
Value = currency
},
dayCountFraction = DayCountFractionHelper.Parse(dayCountFraction),
floatingRateIndex = FloatingRateIndexHelper.Parse(floatingRateIndex),
id = id,
instrumentId = InstrumentIdArrayHelper.Parse(instrumentId)
};
Period frequency = null;
if (paymentFrequency != null)
{
frequency = PeriodHelper.Parse(paymentFrequency);
}
rateIndex.paymentFrequency = frequency;
Period period = null;
if (term != null)
{
period = PeriodHelper.Parse(term);
}
rateIndex.term = period;
return(rateIndex);
}
///// <summary>
///// Creates a quoted asset set.
///// </summary>
///// <param name="instrumentIds">The list of instrument ids.</param>
///// <param name="values">The list of values.</param>
///// <param name="additional">The list of additional.</param>
///// <returns></returns>
//public static QuotedAssetSet Parse(string[] instrumentIds, decimal[] values, decimal[] additional)
//{
// if ((instrumentIds.Length != values.Length) && (instrumentIds.Length != additional.Length))
// {
// throw new ArgumentOutOfRangeException("values", "the rates do not match the number of assets");
// }
// var assetPairs = new List<Pair<Asset, BasicAssetValuation>>();
// var index = 0;
// foreach (var assetIdentifier in instrumentIds)
// {
// var assetPair = Parse(assetIdentifier, values[index], additional[index]);
// assetPairs.Add(assetPair);
// index++;
// }
// return MapFromAssetPairs(assetPairs);
//}
///// <summary>
///// Maps from a list of asset pairs to a quoted asset set.
///// </summary>
///// <param name="assetPairs"></param>
///// <returns></returns>
//internal static QuotedAssetSet MapFromAssetPairs(List<Pair<Asset, BasicAssetValuation>> assetPairs)
//{
// var quotedAssetSet = new QuotedAssetSet();
// var assets = new Asset[assetPairs.Count];
// var bavs = new BasicAssetValuation[assetPairs.Count];
// var index = 0;
// foreach (var pair in assetPairs)
// {
// assets[index] = pair.First;
// bavs[index] = pair.Second;
// index++;
// }
// quotedAssetSet.assetQuote = bavs;
// quotedAssetSet.instrumentSet = assets;
// return quotedAssetSet;
//}
///// <summary>
///// Parses the string info into an asset.
///// </summary>
///// <param name="instrumentId"></param>
///// <param name="value"></param>
///// <param name="adjustment"></param>
///// <returns></returns>
//public static Pair<Asset, BasicAssetValuation> Parse(string instrumentId, decimal value, decimal adjustment)
//{
// const string rateQuotationType = "MarketQuote";
// Asset underlyingAsset;
// var results = instrumentId.Split('-');
// var instrument = results[1];
// var listBasicQuotations = new List<BasicQuotation>();
// switch (instrument)
// {
// case "ZeroRate":
// {
// var zeroRate = new Cash { id = instrumentId };
// underlyingAsset = zeroRate;
// listBasicQuotations.Add(BasicQuotationHelper.Create(value, rateQuotationType, "DecimalRate"));
// break;
// }
// case "Xibor":
// case "OIS":
// {
// var tenor = results[2];
// var rateIndex = new RateIndex { id = instrumentId, term = PeriodHelper.Parse(tenor) };
// underlyingAsset = rateIndex;
// listBasicQuotations.Add(BasicQuotationHelper.Create(value + adjustment, rateQuotationType, "DecimalRate"));
// break;
// }
// case "IRSwap":
// case "XccySwap":
// case "SimpleIRSwap":
// {
// var simpleIRSwap = new SimpleIRSwap { id = instrumentId, term = PeriodHelper.Parse(results[2]) };
// underlyingAsset = simpleIRSwap;
// listBasicQuotations.Add(BasicQuotationHelper.Create(value + adjustment, rateQuotationType, "DecimalRate"));
// break;
// }
// case "Deposit":
// case "XccyDepo":
// case "BankBill":
// {
// var deposit = new Deposit { id = instrumentId, term = PeriodHelper.Parse(results[2]) };
// underlyingAsset = deposit;
// listBasicQuotations.Add(BasicQuotationHelper.Create(value + adjustment, rateQuotationType, "DecimalRate"));
// break;
// }
// case "SimpleFra":
// case "Fra":
// case "BillFra":
// case "SpreadFra":
// {
// var index = results[3];
// var asset = new SimpleFra { id = instrumentId, startTerm = PeriodHelper.Parse(results[2]) };
// asset.endTerm = asset.startTerm.Sum(PeriodHelper.Parse(index));
// underlyingAsset = asset;
// listBasicQuotations.Add(BasicQuotationHelper.Create(value + adjustment, rateQuotationType, "DecimalRate"));
// break;
// }
// case "IRCap":
// {
// var simpleIRCap = new SimpleIRSwap { id = instrumentId, term = PeriodHelper.Parse(results[2]) };
// underlyingAsset = simpleIRCap;
// listBasicQuotations.Add(BasicQuotationHelper.Create(value, "Premium", "Amount"));
// break;
// }
// case "IRFuture":
// {
// var future = new Future { id = instrumentId };
// underlyingAsset = future;
// listBasicQuotations.Add(BasicQuotationHelper.Create(value, rateQuotationType, "DecimalRate"));
// listBasicQuotations.Add(BasicQuotationHelper.Create(adjustment, "Volatility", "LognormalVolatility"));
// break;
// }
// case "CommodityFuture":
// {
// var future = new Future { id = instrumentId };
// underlyingAsset = future;
// listBasicQuotations.Add(BasicQuotationHelper.Create(value, rateQuotationType, "DecimalRate"));
// break;
// }
// case "CPIndex":
// {
// var tenor = results[2];
// var rateIndex = new RateIndex { id = instrumentId, term = PeriodHelper.Parse(tenor) };
// underlyingAsset = rateIndex;
// listBasicQuotations.Add(BasicQuotationHelper.Create(value + adjustment, rateQuotationType, "DecimalRate"));
// break;
// }
// case "SimpleCPISwap":
// case "CPISwap":
// case "ZCCPISwap":
// {
// var simpleIRSwap = new SimpleIRSwap { id = instrumentId, term = PeriodHelper.Parse(results[2]) };
// underlyingAsset = simpleIRSwap;
// listBasicQuotations.Add(BasicQuotationHelper.Create(value + adjustment, rateQuotationType, "DecimalRate"));
// break;
// }
// case "FxSpot":
// case "FxForward":
// {
// // var tenor = results[2];
// var fxRateAsset = new FxRateAsset { id = instrumentId };
// underlyingAsset = fxRateAsset;
// listBasicQuotations.Add(BasicQuotationHelper.Create(value + adjustment, rateQuotationType, "FxRate"));
// break;
// }
// case "CommoditySpot":
// case "CommodityForward":
// {
// var commodityAsset = new FxRateAsset { id = instrumentId };
// underlyingAsset = commodityAsset;
// listBasicQuotations.Add(BasicQuotationHelper.Create(value, rateQuotationType, "Price"));
// break;
// }
// case "Bond":
// {
// var asset = new Bond { id = instrumentId };
// underlyingAsset = asset;
// listBasicQuotations.Add(BasicQuotationHelper.Create(value, rateQuotationType, "DirtyPrice"));
// break;
// }
// default:
// throw new NotSupportedException(string.Format("Asset type {0} is not supported", instrument));
// }
// return new Pair<Asset, BasicAssetValuation>(underlyingAsset, BasicAssetValuationHelper.Create(underlyingAsset.id, listBasicQuotations.ToArray()));
//}
///// <summary>
///// Parses the data.
///// </summary>
///// <param name="instrumentIds"></param>
///// <returns></returns>
//public static QuotedAssetSet Parse(string[] instrumentIds)
//{
// var quotedAssetSetFactory = new QuotedAssetSetFactory();
// const string rateQuotationType = "MarketQuote";
// for (var i = 0; i < instrumentIds.Length; i++)
// {
// Asset underlyingAsset;
// var instrumentId = instrumentIds[i];
// var results = instrumentIds[i].Split('-');
// var instrument = results[1];
// var listBasicQuotations = new List<BasicQuotation>();
// const string priceUnitDecimalRate = "DecimalRate";
// switch (instrument)
// {
// case "ZeroRate":
// {
// underlyingAsset = new Cash { id = instrumentId };
// listBasicQuotations.Add(BasicQuotationHelper.Create(rateQuotationType, priceUnitDecimalRate));
// break;
// }
// case "Xibor":
// case "OIS":
// {
// var tenor = results[2];
// underlyingAsset = new RateIndex { id = instrumentId, term = PeriodHelper.Parse(tenor) };
// listBasicQuotations.Add(BasicQuotationHelper.Create(rateQuotationType, priceUnitDecimalRate));
// break;
// }
// case "IRSwap":
// case "XccySwap":
// case "SimpleIRSwap":
// {
// underlyingAsset = new SimpleIRSwap { id = instrumentId, term = PeriodHelper.Parse(results[2]) };
// listBasicQuotations.Add(BasicQuotationHelper.Create(rateQuotationType, priceUnitDecimalRate));
// break;
// }
// case "Deposit":
// case "XccyDepo":
// case "BankBill":
// {
// underlyingAsset = new Deposit { id = instrumentId, term = PeriodHelper.Parse(results[2]) };
// listBasicQuotations.Add(BasicQuotationHelper.Create(rateQuotationType, priceUnitDecimalRate));
// break;
// }
// case "SimpleFra":
// case "Fra":
// case "BillFra":
// {
// var index = results[3];
// var asset = new SimpleFra { id = instrumentId, startTerm = PeriodHelper.Parse(results[2]) };
// asset.endTerm = asset.startTerm.Sum(PeriodHelper.Parse(index));
// underlyingAsset = asset;
// listBasicQuotations.Add(BasicQuotationHelper.Create(rateQuotationType, priceUnitDecimalRate));
// break;
// }
// case "IRFuture":
// {
// underlyingAsset = new Future { id = instrumentId };
// listBasicQuotations.Add(BasicQuotationHelper.Create(rateQuotationType, priceUnitDecimalRate));
// listBasicQuotations.Add(BasicQuotationHelper.Create("Volatility", "LognormalVolatility"));
// break;
// }
// case "CPIndex":
// {
// var tenor = results[2];
// underlyingAsset = new RateIndex { id = instrumentId, term = PeriodHelper.Parse(tenor) };
// listBasicQuotations.Add(BasicQuotationHelper.Create(rateQuotationType, priceUnitDecimalRate));
// break;
// }
// case "SimpleCPISwap":
// case "CPISwap":
// case "ZCCPISwap":
// {
// underlyingAsset = new SimpleIRSwap { id = instrumentId, term = PeriodHelper.Parse(results[2]) };
// listBasicQuotations.Add(BasicQuotationHelper.Create(rateQuotationType, priceUnitDecimalRate));
// break;
// }
// default:
// throw new NotSupportedException(string.Format("Asset type {0} is not supported", instrument));
// }
// quotedAssetSetFactory.AddAssetAndQuotes(underlyingAsset, BasicAssetValuationHelper.Create(underlyingAsset.id, listBasicQuotations.ToArray()));
// }
// return quotedAssetSetFactory.Create();
//}
//public static List<BasicAssetValuation> GetAssetQuote(QuotedAssetSet quotedAssetSet, string instrumentId)
//{
// return quotedAssetSet.assetQuote.Where(basicAssetValuation => basicAssetValuation.objectReference.href == instrumentId).ToList();
//}
public static Asset CreateAsset(string instrumentId)
{
// todo - maybe alex has a better asset helper somewhere?
// assumes instrument id is in format: ccy-assettype-...
string[] instrIdParts = instrumentId.Split('-');
string currency = instrIdParts[0];
string assetType = instrIdParts[1];
switch (assetType.ToLower())
{
case "deposit":
return(new Deposit
{
id = instrumentId,
instrumentId = InstrumentIdArrayHelper.Parse(instrumentId),
currency = new IdentifiedCurrency {
Value = currency
}
});
case "fxspot":
return(new FxRateAsset
{
id = instrumentId,
instrumentId = InstrumentIdArrayHelper.Parse(instrumentId),
currency = new IdentifiedCurrency {
Value = currency
}
});
case "irfuture":
return(new Future
{
id = instrumentId,
instrumentId = InstrumentIdArrayHelper.Parse(instrumentId),
currency = new IdentifiedCurrency {
Value = currency
}
});
case "irswap":
return(new SimpleIRSwap
{
id = instrumentId,
instrumentId = InstrumentIdArrayHelper.Parse(instrumentId),
currency = new IdentifiedCurrency {
Value = currency
}
});
default:
throw new ArgumentException("Unknown Asset type", instrumentId);
}
}
public static RateIndex Create(string instrumentId,
FloatingRateIndex floatingRateIndex,
Currency currency,
DayCountFraction dayCountFraction,
Period paymentFrequency,
Period term)
{
var rateIndex = new RateIndex
{
currency = new IdentifiedCurrency {
Value = currency.Value
},
dayCountFraction = dayCountFraction,
floatingRateIndex = floatingRateIndex,
id = instrumentId,
instrumentId = InstrumentIdArrayHelper.Parse(instrumentId),
paymentFrequency = paymentFrequency,
term = term
};
return(rateIndex);
}
public static RateIndex Parse(string instrumentId,
string floatingRateIndex,
string currency,
string dayCountFraction,
string paymentFrequency,
string term)
{
var rateIndex = new RateIndex
{
currency = new IdentifiedCurrency {
Value = currency
},
dayCountFraction = DayCountFractionHelper.Parse(dayCountFraction),
floatingRateIndex = FloatingRateIndexHelper.Parse(floatingRateIndex),
id = instrumentId,
instrumentId = InstrumentIdArrayHelper.Parse(instrumentId),
paymentFrequency = PeriodHelper.Parse(paymentFrequency),
term = PeriodHelper.Parse(term)
};
return(rateIndex);
}
public static RateIndex Create(string instrumentId,
FloatingRateIndex floatingRateIndex,
Currency currency,
DayCountFraction dayCountFraction,
Period paymentFrequency,
Period term)
{
RateIndex rateIndex = new RateIndex();
rateIndex.currency = new IdentifiedCurrency()
{
Value = currency.Value
};
rateIndex.dayCountFraction = dayCountFraction;
rateIndex.floatingRateIndex = floatingRateIndex;
rateIndex.id = instrumentId;
rateIndex.instrumentId = InstrumentIdArrayHelper.Parse(instrumentId);
rateIndex.paymentFrequency = paymentFrequency;
rateIndex.term = term;
return(rateIndex);
}