private void SetProperties(PricingStructureTypeEnum pricingStructureType)
{
if (pricingStructureType == PricingStructureTypeEnum.BondDiscountCurve)
{
var rateCurveId = CurveName.Split('-');
var subordination = rateCurveId[rateCurveId.Length - 1];
var indexName = rateCurveId[0];
for (var i = 1; i < rateCurveId.Length - 1; i++)
{
indexName = indexName + '-' + rateCurveId[i];
}
CreditInstrumentId = ProductTypeHelper.InstrumentIdHelper.Parse(indexName);
CreditSeniority = ProductTypeHelper.CreditSeniorityHelper.Parse(subordination);
}
if (pricingStructureType == PricingStructureTypeEnum.BondCurve)
{
var rateCurveId = CurveName.Split('-');
var subordination = rateCurveId[rateCurveId.Length - 1];
var indexName = rateCurveId[0];
for (var i = 1; i < rateCurveId.Length - 1; i++)
{
indexName = indexName + '-' + rateCurveId[i];
}
CreditInstrumentId = ProductTypeHelper.InstrumentIdHelper.Parse(indexName);
CreditSeniority = ProductTypeHelper.CreditSeniorityHelper.Parse(subordination);
}
}
/// <summary>
/// The CommodityCurveIdentifier.
/// </summary>
/// <param name="pricingStructureType"></param>
/// <param name="curveName"></param>
/// <param name="buildDateTime"></param>
public EquityCurveIdentifier(PricingStructureTypeEnum pricingStructureType, string curveName, DateTime buildDateTime)
: base(pricingStructureType, curveName, buildDateTime)
{
var components = CurveName.Split('-');
EquityAsset = components[1];
Currency = CurrencyHelper.Parse(components[0]);
}
public void ExtractPricingStructureTypeTest()
{
NamedValueSet namedValueSet = new NamedValueSet();
namedValueSet.Set("PricingStructureType", "XccySpreadCurve");
PricingStructureTypeEnum id = PropertyHelper.ExtractPricingStructureType(namedValueSet);
Assert.AreEqual(PricingStructureTypeEnum.XccySpreadCurve, id);
}
/// <summary>
///
/// </summary>
/// <param name="baseCurve"></param>
/// <param name="psType"></param>
internal void SetInterpolator(IRateCurve baseCurve, PricingStructureTypeEnum psType)
{
var interpDayCounter = Actual365.Instance;
// The underlying curve and associated compounding frequency (compounding frequency required when underlying curve is a ZeroCurve)
CompoundingFrequency = EnumHelper.Parse <CompoundingFrequencyEnum>(Holder.GetValue("CompoundingFrequency"));
// interpolate the DiscountFactor curve based on the respective curve interpolation
var discountFactorCurve = GetYieldCurveValuation().discountFactorCurve;
Interpolator = new RateSpreadInterpolator(baseCurve, discountFactorCurve, GetBaseDate(), interpDayCounter);
}
private void SetProperties(PricingStructureTypeEnum pricingStructureType, string curveName)
{
if (pricingStructureType == PricingStructureTypeEnum.ExchangeTradedCurve)
{
var curveId = curveName.Split('-');
if (curveId.Length > 2)
{
Currency = CurrencyHelper.Parse(curveId[0]);
Exchange = curveId[1];
Code = curveId[2];
}
}
}
/// <summary>
/// Initializes a new instance of the <see cref="VolatilitySurfaceIdentifier"/> class.
/// </summary>
/// <param name="pricingStructureType"></param>
/// <param name="curveName"></param>
/// <param name="baseDate"></param>
/// <param name="algorithm"></param>
public VolatilitySurfaceIdentifier(PricingStructureTypeEnum pricingStructureType, string curveName, DateTime baseDate, string algorithm)
: base(pricingStructureType, curveName, baseDate, algorithm)
{
var volCurveId = CurveName.Split('-');
Currency = CurrencyHelper.Parse(volCurveId[0]);
Instrument = volCurveId[volCurveId.Length - 2];
UnderlyingAssetReference = new AssetReference {
href = Instrument
};
StrikeQuoteUnits = new PriceQuoteUnits {
Value = PriceQuoteProp.Absolute
}; //DecimalRate
}
private void SetProperties(PricingStructureTypeEnum pricingStructureType, string curveName)
{
if (pricingStructureType == PricingStructureTypeEnum.RateCurve ||
pricingStructureType == PricingStructureTypeEnum.RateBasisCurve ||
pricingStructureType == PricingStructureTypeEnum.ClearedRateCurve ||
pricingStructureType == PricingStructureTypeEnum.RateSpreadCurve)
{
var rateCurveId = curveName.Split('-');
var indexTenor = rateCurveId[rateCurveId.Length - 1];
var indexName = rateCurveId[0];
for (var i = 1; i < rateCurveId.Length - 1; i++)
{
indexName = indexName + '-' + rateCurveId[i];
}
ForecastRateIndex = ForecastRateIndexHelper.Parse(indexName, indexTenor);
}
if (pricingStructureType == PricingStructureTypeEnum.DiscountCurve ||
pricingStructureType == PricingStructureTypeEnum.RateXccyCurve)
{
var rateCurveId = CurveName.Split('-');
var subordination = rateCurveId[rateCurveId.Length - 1];
var indexName = rateCurveId[0];
for (var i = 1; i < rateCurveId.Length - 1; i++)
{
indexName = indexName + '-' + rateCurveId[i];
}
CreditInstrumentId = InstrumentIdHelper.Parse(indexName);
CreditSeniority = CreditSeniorityHelper.Parse(subordination);
}
if (pricingStructureType == PricingStructureTypeEnum.InflationCurve)
{
var rateCurveId = CurveName.Split('-');
var indexTenor = rateCurveId[rateCurveId.Length - 1];
var indexName = rateCurveId[0];
for (var i = 1; i < rateCurveId.Length - 1; i++)
{
indexName = indexName + '-' + rateCurveId[i];
}
ForecastRateIndex = ForecastRateIndexHelper.Parse(indexName, indexTenor);
}
}
/// <summary>
/// Initializes a new instance of the <see cref="PricingStructureIdentifier"/> class.
/// </summary>
/// <param name="pricingStructureType">Type of the curve.</param>
/// <param name="curveName">Name of the index.</param>
/// <param name="buildDateTime">The build date time.</param>
/// <param name="algorithm">The algorithm.</param>
public PricingStructureIdentifier(PricingStructureTypeEnum pricingStructureType, string curveName,
DateTime buildDateTime, String algorithm)
{
DataType = "Market";
SourceSystem = "Orion";
Domain = SourceSystem + '.' + DataType;
PricingStructureType = pricingStructureType;
CurveName = curveName;
BuildDateTime = buildDateTime;
BaseDate = buildDateTime.Date;
Algorithm = algorithm;
Properties = new NamedValueSet();
Properties.Set("DataType", "Market");
Properties.Set(CurveProp.SourceSystem, "Orion");
Properties.Set(CurveProp.PricingStructureType, PricingStructureType.ToString());
Properties.Set(CurveProp.BuildDateTime, BuildDateTime);
Properties.Set(CurveProp.BaseDate, BaseDate);
Properties.Set(CurveProp.Algorithm, Algorithm);
Properties.Set(CurveProp.CurveName, CurveName);
SetProperties();
UpdateProperties();
}
/// <summary>
/// Initializes a new instance of the <see cref="PricingStructureIdentifier"/> class.
/// </summary>
/// <param name="pricingStructureType">Type of the curve.</param>
/// <param name="curveName">Name of the index.</param>
/// <param name="buildDateTime">The build date time.</param>
public PricingStructureIdentifier(PricingStructureTypeEnum pricingStructureType, string curveName, DateTime buildDateTime)
: this(pricingStructureType, curveName, buildDateTime, AlgorithmsProp.Default)
{
}
/// <summary>
/// Initializes a new instance of the <see cref="PricingStructureIdentifier"/> class.
/// </summary>
/// <param name="pricingStructureType">Type of the curve.</param>
/// <param name="curveName">Name of the index.</param>
/// <param name="buildDateTime">The build date time.</param>
public PricingStructureIdentifier(PricingStructureTypeEnum pricingStructureType, string curveName, DateTime buildDateTime)
: this(pricingStructureType, curveName, buildDateTime, "Default")
{
}
///<summary>
/// An id for a rate curve.
///</summary>
///<param name="pricingStructureType">The pricing strucutre type.</param>
///<param name="curveName">The curve name.</param>
///<param name="buildDateTime">The build date time.</param>
///<param name="algorithm">The algorithm.</param>
public BondCurveIdentifier(PricingStructureTypeEnum pricingStructureType, string curveName, DateTime buildDateTime, string algorithm)
: base(pricingStructureType, curveName, buildDateTime, algorithm)
{
SetProperties(PricingStructureType);
}
///<summary>
/// Gets all the Forecast curve name.
///</summary>
///<returns></returns>
private static string GetForecastCurveName(PricingStructureTypeEnum curveType, FloatingRateIndex floatingRateIndex)
{
return(curveType + "." + floatingRateIndex.Value);
}
/// <summary>
///
/// </summary>
/// <param name="logger"></param>
/// <param name="cache"></param>
/// <param name="nameSpace"></param>
/// <param name="pricingStructureType"></param>
/// <param name="algorithmName"></param>
public PricingStructureAlgorithmsHolder(ILogger logger, ICoreCache cache, string nameSpace, PricingStructureTypeEnum pricingStructureType, string algorithmName)
{
if (cache != null)
{
_pricingStructureAlgorithm = GetAlgorithm(logger, cache, nameSpace, pricingStructureType, algorithmName);
}
}
///<summary>
/// Gets all the Forecast curve name.
///</summary>
///<returns></returns>
private static string GetForecastCurveName(PricingStructureTypeEnum curveType, ForecastRateIndex floatingRateIndex)
{
return(curveType + "." + floatingRateIndex.floatingRateIndex.Value + "-" + floatingRateIndex.indexTenor.ToString());
}
///<summary>
/// Gets all the Forecast curve name.
///</summary>
///<returns></returns>
private static string GetForecastCurveName(PricingStructureTypeEnum curveType, FloatingRateIndex floatingRateIndex, Period[] periods)
{
return(curveType + "." + floatingRateIndex.Value + "-" + periods[0].ToString());
}
/// <summary>
/// Tries to get the algorithm.
/// </summary>
/// <param name="nameSpace"></param>
/// <param name="pricingStructureType"></param>
/// <param name="algorithmName"></param>
/// <param name="logger"></param>
/// <param name="cache">The value</param>
/// <returns>Whether the property existed or not</returns>
public Algorithm GetAlgorithm(ILogger logger, ICoreCache cache, string nameSpace, PricingStructureTypeEnum pricingStructureType, string algorithmName)
{
Algorithm algorithm = null;
if (cache != null)
{
try
{
var uniqueName = nameSpace + "." + AlgorithmsProp.GenericName + "." + pricingStructureType + "." +
algorithmName;
var item = cache.LoadItem <Algorithm>(uniqueName);
algorithm = (Algorithm)item?.Data;
}
catch (Exception ex)
{
logger.Log(ex);
}
}
return(algorithm);
}
//TODO this is not yet implemented. FIX IT!
internal void SetSpreadInterpolator(TermCurve discountFactorCurve, string algorithm, PricingStructureTypeEnum psType)
{
var curveId = (RateCurveIdentifier)PricingStructureIdentifier;
// The underlying curve and associated compounding frequency (compounding frequency required when underlying curve is a ZeroCurve)
CompoundingFrequency = EnumHelper.Parse <CompoundingFrequencyEnum>(Holder.GetValue("CompoundingFrequency"));
UnderlyingInterpolatedCurve = Holder.GetValue("UnderlyingCurve"); //TODO this redundant.
var interpDayCounter = Actual365.Instance;
var underlyingCurve = ParseUnderlyingCurve(UnderlyingInterpolatedCurve);
// interpolate the DiscountFactor curve based on the respective curve interpolation
if (underlyingCurve != UnderlyingCurveTypes.ZeroCurve)
{
Interpolator = new TermCurveInterpolator(discountFactorCurve, GetBaseDate(), interpDayCounter);
}
// otherwise interpolate our underlying curve will be a zero curve
else
{
var zeroCurve = new ZeroRateCurve
{
rateCurve = YieldCurveAnalytics.ToZeroCurve(discountFactorCurve,
GetBaseDate(),
CompoundingFrequency, DayCounter)
};
zeroCurve.rateCurve.interpolationMethod = InterpolationMethodHelper.Parse(Holder.GetValue("CurveInterpolation"));
zeroCurve.compoundingFrequency = FpML.V5r3.Reporting.CompoundingFrequency.Create(CompoundingFrequency);
GetYieldCurveValuation().zeroCurve = zeroCurve;
if (curveId.Algorithm == "SpreadInterpolation")
{
}
else
{
Interpolator =
new TermCurveInterpolator(GetYieldCurveValuation().zeroCurve.rateCurve, GetBaseDate(), interpDayCounter);
}//TODO this is where to add the spread stuff.
}
}
/// <summary>
/// The CommodityCurveIdentifier.
/// </summary>
/// <param name="pricingStructureType"></param>
/// <param name="curveName"></param>
/// <param name="buildDateTime"></param>
public CommodityCurveIdentifier(PricingStructureTypeEnum pricingStructureType, string curveName, DateTime buildDateTime)
: base(pricingStructureType, curveName, buildDateTime)
{
CommodityAsset = CurveName.Split('-')[1];
}
/// <summary>
/// Returns properties from the pricing structure. <see cref="NamedValueSet"/> class.
/// </summary>
/// <param name="fpmlData">The FPML data.</param>
/// <param name="pricingStructureType"></param>
public static NamedValueSet GeneralCurve(Pair <PricingStructure, PricingStructureValuation> fpmlData, PricingStructureTypeEnum pricingStructureType)
{
switch (pricingStructureType)
{
case PricingStructureTypeEnum.RateCurve:
return(RateCurve(fpmlData));
//case PricingStructureTypeEnum.RateSpreadCurve:
// break;
//case PricingStructureTypeEnum.RateBasisCurve:
// break;
case PricingStructureTypeEnum.DiscountCurve:
return(DiscountCurve(fpmlData));
case PricingStructureTypeEnum.InflationCurve:
return(InflationCurve(fpmlData));
case PricingStructureTypeEnum.FxCurve:
return(FxCurve(fpmlData));
case PricingStructureTypeEnum.FxVolatilityMatrix:
return(FxVolatilityMatrix(fpmlData));
//case PricingStructureTypeEnum.SurvivalProbabilityCurve:
// break;
case PricingStructureTypeEnum.CommodityCurve:
return(CommodityCurve(fpmlData));
case PricingStructureTypeEnum.CommodityVolatilityMatrix:
return(CommodityVolatilityMatrix(fpmlData));
case PricingStructureTypeEnum.RateVolatilityMatrix:
return(RateVolatilityMatrix(fpmlData));
case PricingStructureTypeEnum.RateATMVolatilityMatrix:
return(RateATMVolatilityMatrix(fpmlData));
//case PricingStructureTypeEnum.RateVolatilityCube:
// return RateVolatilityCube(fpmlData);
case PricingStructureTypeEnum.LPMCapFloorCurve:
return(RateVolatilityMatrix(fpmlData));
//case PricingStructureTypeEnum.LPMSwaptionCurve:
// break;
//case PricingStructureTypeEnum.VolatilitySurface:
// break;
//case PricingStructureTypeEnum.VolatilityCube:
// break;
//case PricingStructureTypeEnum.VolatilitySurface2:
// break;
case PricingStructureTypeEnum.EquityVolatilityMatrix:
return(EquityVolatilityMatrix(fpmlData));
//case PricingStructureTypeEnum.EquityWingVolatilityMatrix:
// return EquityWingVolatilityMatrix(fpmlData);
default:
throw new ArgumentOutOfRangeException(nameof(pricingStructureType));
}
}
/// <summary>
/// The FxCurveIdentifier.
/// </summary>
/// <param name="pricingStructureType"></param>
/// <param name="curveName"></param>
/// <param name="quoteBasis"></param>
/// <param name="buildDateTime"></param>
public FxCurveIdentifier(PricingStructureTypeEnum pricingStructureType, string curveName, QuoteBasisEnum quoteBasis, DateTime buildDateTime)
: base(pricingStructureType, curveName, buildDateTime)
{
SetProperties(quoteBasis);
}
/// <summary>
/// The FxCurveIdentifier.
/// </summary>
/// <param name="pricingStructureType"></param>
/// <param name="curveName"></param>
/// <param name="buildDateTime"></param>
public FxCurveIdentifier(PricingStructureTypeEnum pricingStructureType, string curveName, DateTime buildDateTime)
: base(pricingStructureType, curveName, buildDateTime)
{
SetProperties(QuoteBasisEnum.Currency2PerCurrency1);
}
/// <summary>
///
/// </summary>
/// <param name="baseCurve"></param>
/// <param name="spreadXArray"></param>
/// <param name="spreadYArray"></param>
/// <param name="psType"></param>
protected void SetInterpolator(ICommodityCurve baseCurve, IList <double> spreadXArray, IList <double> spreadYArray, PricingStructureTypeEnum psType)
{
//var curveId = (RateCurveIdentifier)PricingStructureIdentifier;
var interpDayCounter = Actual365.Instance;
// interpolate the DiscountFactor curve based on the respective curve interpolation
if (psType == PricingStructureTypeEnum.CommoditySpreadCurve)
{
Interpolator = new CommoditySpreadInterpolator2(baseCurve, spreadXArray, spreadYArray, true);
}
}
