/// <summary>
/// Initializes a new instance of the <see cref="RateBasisCurve"/> class.
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">The client namespace</param>
/// <param name="referenceCurveData">The market data. This must contain both the underlying base curve and the spread curve.
/// Otherwise the RateBasisInterpolator can not instantiate.</param>
/// <param name="derivedCurveData">The spread Curve Data</param>
/// <param name="fixingCalendar">The fixingCalendar.</param>
/// <param name="rollCalendar">The rollCalendar.</param>
public ClearedRateCurve(ILogger logger, ICoreCache cache, String nameSpace,
Triplet <PricingStructure, PricingStructureValuation, NamedValueSet> referenceCurveData,
Triplet <PricingStructure, PricingStructureValuation, NamedValueSet> derivedCurveData, IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
: base(derivedCurveData.Third, GenerateHolder(logger, cache, nameSpace, derivedCurveData.Third))
{
PricingStructureData = new PricingStructureData(CurveType.Child, AssetClass.Rates, derivedCurveData.Third);
var curveId = GetRateCurveId();
//Set the identifier.
var nvs = derivedCurveData.Third;
var pricingStructureId = GetRateCurveId();
var refCurveId = PropertyHelper.ExtractReferenceCurveUniqueId(nvs);
ReferenceDiscountingCurveId = refCurveId != null ? new Identifier(refCurveId) : ReferenceDiscountingCurveId = null;
if (pricingStructureId.PricingStructureType != PricingStructureTypeEnum.ClearedRateCurve)
{
return;
}
//Set the reference curve
var baseCurveFpml = new Pair <PricingStructure, PricingStructureValuation>(referenceCurveData.First, referenceCurveData.Second);
var baseCurveProps = referenceCurveData.Third;
BaseDiscountingCurve = (IRateCurve)PricingStructureFactory.Create(logger, cache, nameSpace, fixingCalendar, rollCalendar, baseCurveFpml, baseCurveProps);
//Get the spread Data
var spreadCurveFpml = new Pair <PricingStructure, PricingStructureValuation>(derivedCurveData.First, derivedCurveData.Second);
//Override properties.
//var optimize = PropertyHelper.ExtractOptimizeBuildFlag(properties);
var bootstrap = PropertyHelper.ExtractBootStrapOverrideFlag(nvs);
var tempFpml = (YieldCurveValuation)spreadCurveFpml.Second;
var spreadAssets = tempFpml.inputs;
//This is to catch it when there are no discount factor points.
var discountsAbsent = tempFpml.discountFactorCurve?.point == null || tempFpml.discountFactorCurve.point.Length == 0;
var indexTenor = curveId.ForecastRateIndex?.indexTenor;
if (bootstrap || discountsAbsent)
{
//There must be a valid quoted asset set in order to bootstrap.
if (!XsdClassesFieldResolver.QuotedAssetSetIsValid(spreadAssets))
{
return;
}
PriceableClearedRateAssets =
PriceableAssetFactory.CreatePriceableClearedRateAssetsWithBasisSwaps(logger, cache, nameSpace, indexTenor, spreadAssets, pricingStructureId.BaseDate, fixingCalendar, rollCalendar);
GetYieldCurveValuation().zeroCurve = null;
TermCurve termCurve = tempFpml.discountFactorCurve ?? SetConfigurationData();
DateTime baseDate = GetYieldCurveValuation().baseDate.Value;
termCurve.point = ClearedRateBootstrapper.Bootstrap(PriceableClearedRateAssets, BaseDiscountingCurve, baseDate, termCurve.extrapolationPermitted, termCurve.interpolationMethod, Tolerance);
SetFpMLData(new Pair <PricingStructure, PricingStructureValuation>(PricingStructure, PricingStructureValuation), false);
SetInterpolator(termCurve);
}
else
{
// the discount curve is already built, so don't rebuild
PriceableClearedRateAssets = PriceableAssetFactory.CreatePriceableClearedRateAssetsWithBasisSwaps(logger, cache, nameSpace, indexTenor, spreadAssets, pricingStructureId.BaseDate, fixingCalendar, rollCalendar);
//Order the assets.
PriceableClearedRateAssets = PriceableClearedRateAssets.OrderBy(a => a.GetRiskMaturityDate()).ToList();
CreatePricingStructure(pricingStructureId, tempFpml.discountFactorCurve, spreadAssets);
// CreatePricingStructure(pricingStructureId, tempFpml.discountFactorCurve, PriceableAssetFactory.Parse(PriceableClearedRateAssets));
SetInterpolator(GetYieldCurveValuation().discountFactorCurve);
}
}
/// <summary>
/// Initializes a new instance of the <see cref="CommoditySpreadCurve2"/> class.
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">The client namespace</param>
/// <param name="referenceCurveData">The market data. This must contain both the underlying base curve and the spread curve.
/// Otherwise the RateBasisInterpolator can not instantiate.</param>
/// <param name="spreadCurveData">The spread Curve Data</param>
/// <param name="rollCalendar">The rollCalendar.</param>
public CommoditySpreadCurve2(ILogger logger, ICoreCache cache, String nameSpace,
Triplet <PricingStructure, PricingStructureValuation, NamedValueSet> referenceCurveData,
Triplet <PricingStructure, PricingStructureValuation, NamedValueSet> spreadCurveData, IBusinessCalendar rollCalendar)
: base(spreadCurveData.Third, GenerateHolder(logger, cache, nameSpace, spreadCurveData.Third))
{
PricingStructureData = new PricingStructureData(CurveType.Child, AssetClass.Rates, spreadCurveData.Third);
//Set the identifier.
var nvs = spreadCurveData.Third;
var pricingStructureId = GetCommodityCurveId();
var refCurveId = PropertyHelper.ExtractReferenceCurveUniqueId(nvs);
ReferenceCurveId = refCurveId != null ? new Identifier(refCurveId) : ReferenceCurveId = null;
if (pricingStructureId.PricingStructureType != PricingStructureTypeEnum.CommoditySpreadCurve)
{
return;
}
//Set the reference curve
var baseCurveFpml = new Pair <PricingStructure, PricingStructureValuation>(referenceCurveData.First, referenceCurveData.Second);
var baseCurveProps = referenceCurveData.Third;
BaseCurve = (ICommodityCurve)PricingStructureFactory.Create(logger, cache, nameSpace, rollCalendar, rollCalendar, baseCurveFpml, baseCurveProps);
//Get the spread Data
var spreadCurveFpml = new Pair <PricingStructure, PricingStructureValuation>(spreadCurveData.First, spreadCurveData.Second);
//Override properties.
//var optimize = PropertyHelper.ExtractOptimizeBuildFlag(properties);
var bootstrap = PropertyHelper.ExtractBootStrapOverrideFlag(nvs);
var tempFpml = (FxCurveValuation)spreadCurveFpml.Second;
var spreadAssets = tempFpml.spotRate;
//This is to catch it when there are no discount factor points.
var discountsAbsent = tempFpml.fxForwardCurve == null ||
tempFpml.fxForwardCurve.point == null ||
tempFpml.fxForwardCurve.point.Length == 0;
if (bootstrap || discountsAbsent)
{
//There must be a valid quotedassetset in order to bootstrap.
if (!XsdClassesFieldResolver.QuotedAssetSetIsValid(spreadAssets))
{
return;
}
PriceableCommoditySpreadAssets =
PriceableAssetFactory.CreatePriceableCommoditySpreadAssets(logger, cache, nameSpace, pricingStructureId.BaseDate, spreadAssets, rollCalendar);
Build(logger, cache, nameSpace, rollCalendar, rollCalendar);
}
else
{
// the discount curve is already built, so don't rebuild
PriceableCommoditySpreadAssets = PriceableAssetFactory.CreatePriceableCommoditySpreadAssets(logger, cache, nameSpace, pricingStructureId.BaseDate, spreadAssets, rollCalendar);
//Order the assets.
PriceableCommoditySpreadAssets = PriceableCommoditySpreadAssets.OrderBy(a => a.GetRiskMaturityDate()).ToList();
CreatePricingStructure(pricingStructureId, tempFpml.fxForwardCurve, PriceableAssetFactory.Parse(PriceableCommoditySpreadAssets));
//SetInterpolator(BaseCurve, pricingStructureId.PricingStructureType);
}
}
/// <summary>
/// Publishes a curve.
/// </summary>
/// <param name="structurePropertiesRange">The structure properties range.</param>
/// <param name="publishPropertiesRange">The publish properties range.</param>
/// <param name="valuesRange">The values range.</param>
/// <returns></returns>
public string PublishCurve(object[][] structurePropertiesRange, object[][] publishPropertiesRange, object[][] valuesRange)
{
// Create curve
IPricingStructure pricingStructure = PricingStructureFactory.CreatePricingStructure(Logger.Target, Cache, NameSpace, structurePropertiesRange, valuesRange);
// Get properties needed
Market market = GetMarket(pricingStructure);
string uniqueIdentifier = pricingStructure.GetPricingStructureId().UniqueIdentifier;
NamedValueSet properties = pricingStructure.GetPricingStructureId().Properties;
// Save
Publish(market, uniqueIdentifier, properties, publishPropertiesRange);
return(uniqueIdentifier);
}
/// <summary>
/// Create a Sortedlist of volatility curves from the data matrix
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">The client namespace</param>
/// <param name="properties">The properties, including the engine handle.</param>
/// <param name="instruments">An array of instrument types.</param>
/// <param name="rawVolatilityGrid">The raw grid used to build the engines. Assume that all volatility and strike values are 100x true</param>
/// <returns></returns>
private SortedList <decimal, VolatilityCurve> VolatilityCurveCreate(ILogger logger, ICoreCache cache, string nameSpace,
NamedValueSet properties, String[] instruments,
Decimal[] rawVolatilityGrid)
{
var clonedProperties = properties.Clone();
// Create engine
var quotedAssetSet = AssetHelper.Parse(instruments, rawVolatilityGrid, null);
var engines = new SortedList <decimal, VolatilityCurve>();
// Create a new ATM CapletBootstrap engine. The default decimal should be 0
var volatilityCurve = PricingStructureFactory.CreateCurve(logger, cache, nameSpace, null, null, clonedProperties, quotedAssetSet);
// Add engine
if (volatilityCurve is VolatilityCurve vCurve)
{
engines.Add(0, vCurve);
}
return(engines);
}
/// <summary>
/// Publishes the volatility cube.
/// </summary>
/// <param name="structurePropertiesRange">The structure properties range.</param>
/// <param name="publishPropertiesRange">The publish properties range.</param>
/// <param name="strikesOrTenorsRange">The strikes or tenors range.</param>
/// <param name="valuesRange">The values range.</param>
/// <returns></returns>
public string PublishVolatilityCube(object[][] structurePropertiesRange, object[][] publishPropertiesRange, object[][] strikesOrTenorsRange, object[][] valuesRange)
{
// Translate into useful objects
NamedValueSet structureProperties = structurePropertiesRange.ToNamedValueSet();
var data = (object[, ])PricingStructureFactory.TrimNulls(valuesRange.ConvertArrayToMatrix());
decimal[] strikes = strikesOrTenorsRange.ConvertToOneDimensionalArray <decimal>();
string[] expiries = PricingStructureFactory.ExtractExpiries(data).Distinct().ToArray();
string[] tenors = PricingStructureFactory.ExtractTenors(data).Distinct().ToArray();
decimal[,] vols = PricingStructureFactory.ConvertToDecimalArray(data, 2);
// Create curve
var volatilityCube = new VolatilityCube(structureProperties, expiries, tenors, vols, strikes);
// Get properties needed
Market market = GetMarket(volatilityCube);
string uniqueIdentifier = volatilityCube.GetPricingStructureId().UniqueIdentifier;
NamedValueSet properties = volatilityCube.GetPricingStructureId().Properties;
// Save
Publish(market, uniqueIdentifier, properties, publishPropertiesRange);
return(uniqueIdentifier);
}
/// <summary>
/// Create a Sortedlist of bootstrap engines from the data matrix
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">The client namespace</param>
/// <param name="properties">The properties, including the engine handle.</param>
/// <param name="instruments">An array of instrument types.</param>
/// <param name="strikes">The strike array.</param>
/// <param name="rawVolatilityGrid">The raw grid used to build the engines. Assume that all volatility and strike values are 100x true</param>
/// <returns></returns>
private SortedList <decimal, VolatilityCurve> VolatilityCurvesCreate(ILogger logger, ICoreCache cache, string nameSpace,
NamedValueSet properties, String[] instruments,
Decimal[] strikes, Decimal[,] rawVolatilityGrid)
{
var clonedProperties = properties.Clone();
// Check there are valid strikes
if (strikes != null && rawVolatilityGrid != null)
{
//The matrix is zero based, but the upper bound returns the last column index.
var volColumns = rawVolatilityGrid.GetUpperBound(1) + 1;
var columns = Math.Min(strikes.Length, volColumns);
var engines = new SortedList <decimal, VolatilityCurve>();
// Loop through the strikes to create each new engine
for (var i = 0; i < columns; i++)
{
decimal[] adjustedRates = GenerateVolatilityMatrix(instruments, i, rawVolatilityGrid);
clonedProperties.Set("Strike", strikes[i]);
clonedProperties.Set("StrikeQuoteUnits", StrikeQuoteUnitsEnum.DecimalRate.ToString());
// Create engine
var quotedAssetSet = AssetHelper.Parse(instruments, adjustedRates, null);
var engine = PricingStructureFactory.CreateCurve(logger, cache, nameSpace, null, null, clonedProperties, quotedAssetSet) as VolatilityCurve;
// Add engine
engines.Add(strikes[i], engine);
}
return(engines);
}
{
var engines = new SortedList <decimal, VolatilityCurve>();
// Create a new ATM CapletBootstrap engine. The default decimal should be 0
var engine = PricingStructureFactory.CreateCurve(logger, cache, nameSpace, null, null, clonedProperties,
instruments, null, null) as VolatilityCurve;
// Add engine
engines.Add(0, engine);
return(engines);
}
}
/// <summary>
/// Initializes a new instance of the <see cref="RateXccySpreadCurve"/> class.
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">THe client namespace</param>
/// <param name="baseCurveData">The market data. This must contain both the underlying base curve and the spread curve.
/// Otherwise the RateBasisInterpolator can not instantiate.</param>
/// <param name="referenceFxCurveData">The fxcurve referenced.</param>
/// <param name="currency2CurveData">The curve data for the non base curve. This is normally the domestic curve i.e. AUD,
/// as FX is quotes as xccy basis swaps adjust on the non-USD leg.</param>
/// <param name="spreadCurveData">The spread Curve Data</param>
/// <param name="fixingCalendar">The fixingCalendar.</param>
/// <param name="rollCalendar">The rollCalendar.</param>
public RateXccySpreadCurve(ILogger logger, ICoreCache cache, string nameSpace,
Triplet <PricingStructure, PricingStructureValuation, NamedValueSet> baseCurveData,
Triplet <PricingStructure, PricingStructureValuation, NamedValueSet> referenceFxCurveData,
Triplet <PricingStructure, PricingStructureValuation, NamedValueSet> currency2CurveData,
Triplet <PricingStructure, PricingStructureValuation, NamedValueSet> spreadCurveData, IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
: base(logger, cache, nameSpace, spreadCurveData, fixingCalendar, rollCalendar)
{
//Set the identifier.
var nvs = spreadCurveData.Third;
var pricingStructureId = new RateCurveIdentifier(nvs);
PricingStructureIdentifier = pricingStructureId;
var refCurveId = nvs.GetValue <string>(CurveProp.ReferenceCurveUniqueId);
ReferenceCurveId = refCurveId != null ? new Identifier(refCurveId) : ReferenceCurveId = null;
if (pricingStructureId.PricingStructureType != PricingStructureTypeEnum.RateXccyCurve)
{
return;
}
//Set the curve term.
var cutOverTerm = spreadCurveData.Third.GetValue <string>("CutOverTerm");
if (cutOverTerm != null)
{
CutOverTerm = PeriodHelper.Parse(cutOverTerm);
}
//Set the reference curve
var baseCurveFpML = new Pair <PricingStructure, PricingStructureValuation>(baseCurveData.First, baseCurveData.Second);
var baseCurveProps = baseCurveData.Third;
BaseCurve = (IRateCurve)PricingStructureFactory.Create(logger, cache, nameSpace, fixingCalendar, rollCalendar, baseCurveFpML, baseCurveProps);
var fxCurveFpML = new Pair <PricingStructure, PricingStructureValuation>(referenceFxCurveData.First, referenceFxCurveData.Second);
var fxCurveProps = referenceFxCurveData.Third;
ReferenceFxCurve = (IFxCurve)PricingStructureFactory.Create(logger, cache, nameSpace, fixingCalendar, rollCalendar, fxCurveFpML, fxCurveProps);
//Set the reference curve
var currency2CurveFpML = new Pair <PricingStructure, PricingStructureValuation>(currency2CurveData.First, currency2CurveData.Second);
var currency2CurveProps = currency2CurveData.Third;
Currency2Curve = (RateCurve)PricingStructureFactory.Create(logger, cache, nameSpace, fixingCalendar, rollCalendar, currency2CurveFpML, currency2CurveProps);
//Get the spread Data
var spreadCurveFpML = new Pair <PricingStructure, PricingStructureValuation>(spreadCurveData.First, spreadCurveData.Second);
var spreadCurveProps = spreadCurveData.Third;
IsCurrency1RateCurve = spreadCurveProps.GetValue <bool>("Currency1RateCurve");
//Override properties.
//var optimize = PropertyHelper.ExtractOptimizeBuildFlag(properties);TODO add this later.
var bootstrap = PropertyHelper.ExtractBootStrapOverrideFlag(nvs);
var tempFpml = (YieldCurveValuation)spreadCurveFpML.Second;
var spreadAssets = tempFpml.inputs;
//This is to catch it when there are no discount factor points.
var discountsAbsent = tempFpml.discountFactorCurve?.point == null || tempFpml.discountFactorCurve.point.Length == 0;
if (cache == null)
{
bootstrap = false;
}
if (bootstrap || discountsAbsent)
{
//There must be a valid quoted asset set in order to bootstrap.
if (!XsdClassesFieldResolver.QuotedAssetSetIsValid(spreadAssets))
{
return;
}
PriceableRateSpreadAssets = PriceableAssetFactory.CreatePriceableRateSpreadAssets(logger, cache, nameSpace, pricingStructureId.BaseDate, spreadAssets, fixingCalendar, rollCalendar);
Build(logger, cache, nameSpace, fixingCalendar, rollCalendar);
}
else
{
if (cache != null)
{
// the discount curve is already built, so don't rebuild
PriceableRateSpreadAssets = PriceableAssetFactory.CreatePriceableRateSpreadAssets(logger, cache, nameSpace, pricingStructureId.BaseDate, spreadAssets, fixingCalendar, rollCalendar);
CreatePricingStructure(pricingStructureId, tempFpml.discountFactorCurve, PriceableAssetFactory.Parse(PriceableRateSpreadAssets));
SetInterpolator(BaseCurve, pricingStructureId.PricingStructureType);
}
else
{
CreatePricingStructure(pricingStructureId, tempFpml.discountFactorCurve, spreadAssets);
SetInterpolator(BaseCurve, pricingStructureId.PricingStructureType);
}
}
}
public void ProcessRequest(RequestBase request, HandlerResponse response)
{
if (request == null)
{
throw new ArgumentNullException(nameof(request));
}
var tradeValRequest = request as TradeValuationRequest;
if (tradeValRequest == null)
{
throw new InvalidCastException(
$"{typeof(RequestBase).Name} is not a {typeof(TradeValuationRequest).Name}");
}
DateTime lastStatusPublishedAt = DateTime.Now;
var nameSpace = tradeValRequest.NameSpace;
// common properties
string reportingCurrency = tradeValRequest.ReportingCurrency;
string market = tradeValRequest.MarketName;
// build a single trade portfolio
var tradeItemInfos = new Dictionary <string, ICoreItemInfo>();
ICoreItemInfo tradeItemInfo = Context.Cache.LoadItemInfo <Trade>(tradeValRequest.TradeItemName);
if (tradeItemInfo != null)
{
tradeItemInfos[tradeValRequest.TradeItemName] = tradeItemInfo;
}
// define scenario loops
// - always include un-stressed scenario (null)
var irScenarios = new List <string> {
null
};
if (tradeValRequest.IRScenarioNames != null)
{
irScenarios.AddRange(tradeValRequest.IRScenarioNames);
}
string[] irScenarioNames = irScenarios.Distinct().ToArray();
var fxScenarios = new List <string> {
null
};
if (tradeValRequest.FXScenarioNames != null)
{
fxScenarios.AddRange(tradeValRequest.FXScenarioNames);
}
string[] fxScenarioNames = fxScenarios.Distinct().ToArray();
// update progress status
response.ItemCount = irScenarios.Count * fxScenarios.Count * tradeItemInfos.Count;
response.Status = RequestStatusEnum.InProgress;
Context.Cache.SaveObject(response);
// preload *all* curves into the cache
// note: this is required to optimise all subsequent curve queries
Context.Cache.LoadItems <Market>(Expr.ALL);
// load and sort scenario definition rules
var clauses = new List <IExpression> {
Expr.IsEQU(EnvironmentProp.NameSpace, nameSpace)
};
var scenarioRules = Context.Cache.LoadObjects <ScenarioRule>(Expr.BoolAND(clauses.ToArray()));
var sortedScenarioRules = new List <CachedScenarioRule>();
{
sortedScenarioRules.AddRange(from scenarioRule in scenarioRules
where !scenarioRule.Disabled
select new CachedScenarioRule(scenarioRule.ScenarioId, scenarioRule.RuleId, scenarioRule.Priority, (scenarioRule.FilterExpr != null) ? Expr.Create(scenarioRule.FilterExpr) : Expr.ALL, scenarioRule.StressId));
}
sortedScenarioRules.Sort();
// build distinct lists of curve names and currencies required by the Trade
var curvenamesList = new List <string>();
var currenciesList = new List <string>();
foreach (var item in tradeItemInfos.Values)
{
curvenamesList.AddRange(item.AppProps.GetArray <string>(TradeProp.RequiredPricingStructures));
currenciesList.AddRange(item.AppProps.GetArray <string>(TradeProp.RequiredCurrencies));
}
curvenamesList = new List <string>(curvenamesList.Distinct().Where(x => !String.IsNullOrEmpty(x)));
currenciesList = new List <string>(currenciesList.Distinct().Where(x => !String.IsNullOrEmpty(x)));
IEnumerable <string> metrics = GetSwapMetrics();
// run the scenario rules ONCE for each IR and FX scenario to determine which
// stressed curves to use when pricing.
var resolvedCurveProps = new Dictionary <string, NamedValueSet>();
// IR loop
var irScenarioCurveMap = new List <CurveStressPair> [irScenarioNames.Length];
for (int i = 0; i < irScenarioNames.Length; i++)
{
string irScenario = irScenarioNames[i];
irScenarioCurveMap[i] = new List <CurveStressPair>();
foreach (string curveName in curvenamesList)
{
string curveSignature = CurveLoader.IrCurveSignature(market, curveName, null);
NamedValueSet curveProperties;
if (!resolvedCurveProps.TryGetValue(curveSignature, out curveProperties))
{
// not cached - resolve and cache
curveProperties = PricingStructureFactory.GetInterestRateCurveProperties(Context.Logger, Context.Cache, request.NameSpace, market, curveName, null);
resolvedCurveProps[curveSignature] = curveProperties;
}
string stressName = CachedScenarioRule.RunScenarioRules(sortedScenarioRules, irScenario, curveProperties);
irScenarioCurveMap[i].Add(new CurveStressPair(curveName, stressName));
}
}
// FX loop
var fxScenarioCurveMap = new List <CurveStressPair> [fxScenarioNames.Length];
for (int j = 0; j < fxScenarioNames.Length; j++)
{
string fxScenario = fxScenarioNames[j];
fxScenarioCurveMap[j] = new List <CurveStressPair>();
foreach (string currency in currenciesList)
{
string curveSignature = CurveLoader.FxCurveSignature(market, currency, reportingCurrency, null);
NamedValueSet curveProperties;
if (!resolvedCurveProps.TryGetValue(curveSignature, out curveProperties))
{
// not cached - resolve and cache
curveProperties = PricingStructureFactory.GetFxCurveProperties(Context.Logger, Context.Cache, request.NameSpace, market, currency, reportingCurrency);
resolvedCurveProps[curveSignature] = curveProperties;
}
string stressName = CachedScenarioRule.RunScenarioRules(sortedScenarioRules, fxScenario, curveProperties);
fxScenarioCurveMap[j].Add(new CurveStressPair(currency, stressName));
}
}
// iterate the scenario loops
var resolvedCurveCache = new Dictionary <string, ICurve>();
var reportNameCache = new Dictionary <string, string>();
for (int i = 0; i < irScenarioNames.Length; i++)
{
string irScenario = irScenarioNames[i];
for (int j = 0; j < fxScenarioNames.Length; j++)
{
string fxScenario = fxScenarioNames[j];
// check for workflow cancellation (user abort, server shutdown etc.)
if (Cancelled)
{
throw new OperationCanceledException(CancelReason);
}
// initialise the pricer with the IR/FX scenario curve maps
var pricer = new PortfolioPricer(irScenarioCurveMap[i], fxScenarioCurveMap[j]);
// now price the Trade
if (metrics != null)
{
var enumerable = metrics.ToArray();
pricer.PriceAndPublish(
Context.Logger, Context.Cache,
resolvedCurveCache,
reportNameCache, response,
tradeItemInfos.Keys, tradeValRequest,
irScenario, fxScenario, reportingCurrency,
tradeValRequest.BaseParty, enumerable, false);
}
// export to valuation database
//foreach (var valuationItem in valuationItems)
//{
// ExportValuation(valuationItem);
//}
DateTime dtNow = DateTime.Now;
if ((dtNow - lastStatusPublishedAt) > TimeSpan.FromSeconds(5))
{
lastStatusPublishedAt = dtNow;
response.Status = RequestStatusEnum.InProgress;
Context.Cache.SaveObject(response);
}
} // foreach ir scenario
} // foreach fx scenario
// success
response.Status = RequestStatusEnum.Completed;
}
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();
// });
}
}
}
}
public void ProcessRequest(RequestBase baseRequest, HandlerResponse response)
{
if (baseRequest == null)
{
throw new ArgumentNullException(nameof(baseRequest));
}
if (!(baseRequest is PortfolioValuationRequest request))
{
throw new InvalidCastException(
$"{typeof(RequestBase).Name} is not a {typeof(PortfolioValuationRequest).Name}");
}
DateTime lastStatusPublishedAt = DateTime.Now;
// common properties
var nameSpace = request.NameSpace;
string reportingCurrency = request.ReportingCurrency;
string baseParty = request.BaseParty;
string market = request.MarketName;
// resolve portfolio valuation request
var identifier = (new PortfolioSpecification(request.PortfolioId, request.NameSpace)).NetworkKey;
var portfolio =
Context.Cache.LoadObject <PortfolioSpecification>(identifier);
if (portfolio == null)
{
throw new ArgumentException($"Unknown portfolio id: '{request.PortfolioId}'");
}
// build trade query from portfolio definition
var tradeItemInfos = new Dictionary <string, ICoreItemInfo>();
if (portfolio.PortfolioSubqueries != null)
{
foreach (var subQuery in portfolio.PortfolioSubqueries.OrderBy(x => x.SequenceOrder))
{
var clauses = new List <IExpression> {
Expr.IsEQU(EnvironmentProp.NameSpace, nameSpace)
};
if (subQuery.CounterpartyId != null)
{
clauses.Add(Expr.IsEQU(TradeProp.CounterPartyId, subQuery.CounterpartyId));
}
if (subQuery.TradingBookId != null)
{
clauses.Add(Expr.IsEQU(TradeProp.TradingBookId, subQuery.TradingBookId));
}
// load trades defined by the query
if (clauses.Count <= 0)
{
continue;
}
List <ICoreItemInfo> subQueryItems = Context.Cache.LoadItemInfos <Trade>(Expr.BoolAND(clauses.ToArray()));
//TODO again have to handle confirmation
foreach (var tradeItemInfo in subQueryItems)
{
if (subQuery.ExcludeItems)
{
tradeItemInfos.Remove(tradeItemInfo.Name);
}
else
{
tradeItemInfos[tradeItemInfo.Name] = tradeItemInfo;
}
}
}
}
// process included/excluded trades ids
if (portfolio.ExcludeOverridesInclude)
{
// add included names
if (portfolio.IncludedTradeItemNames != null)
{
foreach (var name in portfolio.IncludedTradeItemNames)
{
var tradeItemInfo = name.Contains(FpML5R10NameSpaces.Confirmation) ? Context.Cache.LoadItemInfo <FpML.V5r10.Confirmation.Trade>(name)
: Context.Cache.LoadItemInfo <Trade>(name);
if (tradeItemInfo != null)
{
tradeItemInfos[name] = tradeItemInfo;
}
}
}
}
// remove excluded names
if (portfolio.ExcludedTradeItemNames != null)
{
foreach (var name in portfolio.ExcludedTradeItemNames)
{
tradeItemInfos.Remove(name);
}
}
if (!portfolio.ExcludeOverridesInclude)
{
// add included names
if (portfolio.IncludedTradeItemNames != null)
{
foreach (var name in portfolio.IncludedTradeItemNames)
{
var tradeItemInfo = name.Contains(FpML5R10NameSpaces.Confirmation) ? Context.Cache.LoadItemInfo <FpML.V5r10.Confirmation.Trade>(name)
: Context.Cache.LoadItemInfo <Trade>(name);
if (tradeItemInfo != null)
{
tradeItemInfos[name] = tradeItemInfo;
}
}
}
}
// define scenario loops
// - always include un-stressed scenario (null)
var irScenarios = new List <string> {
null
};
if (request.IRScenarioNames != null)
{
irScenarios.AddRange(request.IRScenarioNames);
}
string[] irScenarioNames = irScenarios.Distinct().ToArray();
var fxScenarios = new List <string> {
null
};
if (request.FXScenarioNames != null)
{
fxScenarios.AddRange(request.FXScenarioNames);
}
string[] fxScenarioNames = fxScenarios.Distinct().ToArray();
// update progress status
response.ItemCount = irScenarios.Count * fxScenarios.Count * tradeItemInfos.Count;
response.Status = RequestStatusEnum.InProgress;
Context.Cache.SaveObject(response);
// preload *all* curves into the cache
// note: this is required to optimise all subsequent curve queries
if (market.Contains(CurveConst.NAB_EOD) || market.Contains(CurveConst.TEST_EOD))
{
Context.Cache.LoadItems <Market>(Expr.ALL);//TODO make specific to the namespace
}
// load and sort scenario definition rules
var scenarioRules = Context.Cache.LoadObjects <ScenarioRule>(Expr.IsEQU(EnvironmentProp.NameSpace, nameSpace));
var sortedScenarioRules = new List <CachedScenarioRule>();
{
sortedScenarioRules.AddRange(from scenarioRule in scenarioRules
where !scenarioRule.Disabled
select new CachedScenarioRule(scenarioRule.ScenarioId, scenarioRule.RuleId, scenarioRule.Priority, (scenarioRule.FilterExpr != null)
? Expr.Create(scenarioRule.FilterExpr) : Expr.ALL, scenarioRule.StressId));
}
sortedScenarioRules.Sort();
// build distinct lists of curve names and currencies required by the portfolio
var curvenamesList = new List <string>();
var currenciesList = new List <string>();
foreach (var item in tradeItemInfos.Values)
{
curvenamesList.AddRange(item.AppProps.GetArray <string>(TradeProp.RequiredPricingStructures));
currenciesList.AddRange(item.AppProps.GetArray <string>(TradeProp.RequiredCurrencies));
}
curvenamesList = new List <string>(curvenamesList.Distinct().Where(x => !String.IsNullOrEmpty(x)));
currenciesList = new List <string>(currenciesList.Distinct().Where(x => !String.IsNullOrEmpty(x)));
var metrics = GetSwapMetrics();
// run the scenario rules ONCE for each IR and FX scenario to determine which
// stressed curves to use when pricing.
var resolvedCurveProps = new Dictionary <string, NamedValueSet>();
// IR loop
var irScenarioCurveMap = new List <CurveStressPair> [irScenarioNames.Length];
for (int i = 0; i < irScenarioNames.Length; i++)
{
string irScenario = irScenarioNames[i];
irScenarioCurveMap[i] = new List <CurveStressPair>();
foreach (string curveName in curvenamesList)
{
string curveSignature = CurveLoader.IrCurveSignature(market, curveName, null);
if (!resolvedCurveProps.TryGetValue(curveSignature, out var curveProperties))
{
// not cached - resolve and cache
curveProperties = PricingStructureFactory.GetInterestRateCurveProperties(Context.Logger, Context.Cache, request.NameSpace, market, curveName, null);//TODO not this namespace. Use the curves.
resolvedCurveProps[curveSignature] = curveProperties;
}
var stressName = CachedScenarioRule.RunScenarioRules(sortedScenarioRules, irScenario, curveProperties);
irScenarioCurveMap[i].Add(new CurveStressPair(curveName, stressName));
}
}
// FX loop
var fxScenarioCurveMap = new List <CurveStressPair> [fxScenarioNames.Length];
for (var j = 0; j < fxScenarioNames.Length; j++)
{
string fxScenario = fxScenarioNames[j];
fxScenarioCurveMap[j] = new List <CurveStressPair>();
foreach (string currency in currenciesList)
{
string curveSignature = CurveLoader.FxCurveSignature(market, currency, reportingCurrency, null);
if (!resolvedCurveProps.TryGetValue(curveSignature, out var curveProperties))
{
// not cached - resolve and cache
if (currency != reportingCurrency)
{
curveProperties = PricingStructureFactory.GetFxCurveProperties(Context.Logger, Context.Cache, request.NameSpace, market, currency, reportingCurrency);
resolvedCurveProps[curveSignature] = curveProperties;
}
}
string stressName = CachedScenarioRule.RunScenarioRules(sortedScenarioRules, fxScenario, curveProperties);
fxScenarioCurveMap[j].Add(new CurveStressPair(currency, stressName));
}
}
// iterate the scenario loops
var resolvedCurveCache = new Dictionary <string, ICurve>();
var reportNameCache = new Dictionary <string, string>();
for (int i = 0; i < irScenarioNames.Length; i++)
{
string irScenario = irScenarioNames[i];
for (int j = 0; j < fxScenarioNames.Length; j++)
{
string fxScenario = fxScenarioNames[j];
// check for workflow cancellation (user abort, server shutdown etc.)
if (Cancelled)
{
throw new OperationCanceledException(CancelReason);
}
// initialise the pricer with the IR/FX scenario curve maps
var portfolioPricer = new PortfolioPricer(irScenarioCurveMap[i], fxScenarioCurveMap[j]);
// now price the portfolio
portfolioPricer.PriceAndPublish(
Context.Logger, Context.Cache,
resolvedCurveCache,
reportNameCache, response,
tradeItemInfos.Keys, request,
irScenario, fxScenario, reportingCurrency,
baseParty, metrics, false);
var dtNow = DateTime.Now;
if ((dtNow - lastStatusPublishedAt) <= TimeSpan.FromSeconds(5))
{
continue;
}
lastStatusPublishedAt = dtNow;
response.Status = RequestStatusEnum.InProgress;
Context.Cache.SaveObject(response);
} // foreach ir scenario
} // foreach fx scenario
// success
response.Status = RequestStatusEnum.Completed;
}
/// <summary>
/// Create intial Curve
/// store it in _initialCurve
/// </summary>
private void SetInitialCurve(ILogger logger, ICoreCache cache, string nameSpace, IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar,
NamedValueSet properties, string[] instruments, decimal[] rates)
{
_initialCurve = PricingStructureFactory.CreateCurve(logger, cache, nameSpace, fixingCalendar, rollCalendar, properties, instruments, rates, null) as RateCurve;
}
