public static Boolean QuotedAssetSetIsValid(QuotedAssetSet quotedAssetSet)
{
return(quotedAssetSet != null &&
quotedAssetSet.assetQuote != null &&
quotedAssetSet.instrumentSet != null &&
quotedAssetSet.instrumentSet.Items != null &&
quotedAssetSet.instrumentSet.Items.Length == quotedAssetSet.assetQuote.Length);
}
public QuotedAssetSet Create()
{
var result = new QuotedAssetSet();
var assets = new List <Asset>();
var quotes = new List <BasicAssetValuation>();
foreach (Pair <Asset, BasicAssetValuation> assetAndQuote in _assetAndQuotes)
{
assets.Add(assetAndQuote.First);
quotes.Add(assetAndQuote.Second);
}
var instrumentSet = new InstrumentSet {
Items = assets.ToArray()
};
result.instrumentSet = instrumentSet;
result.assetQuote = quotes.ToArray();
return(result);
}
public static Market CreateYieldCurveConfiguration(string curveId, QuotedAssetSet quotedAssetSet)
{
var market = new Market {
id = curveId
};
//Create the curve information.
var curve = new YieldCurve {
id = curveId
};
//reate the valuation structure that contains qas.
var curveValuation = new YieldCurveValuation {
id = curveId, inputs = quotedAssetSet
};
//Set the market.
market.Items = new[] { (PricingStructure)curve };
market.Items1 = new[] { (PricingStructureValuation)curveValuation };
return(market);
}
/// <summary>
/// Merges a QuotedAssetSet with this. Note that the referential integrity between the assets
/// and valuations is checked and maintained.
/// </summary>
/// <param name="additional">The additional QuotedAssetSet.</param>
/// <param name="checkValuationAssetReferences">if set to <c>true</c> [check valuation asset references].</param>
/// <param name="includeEmptyCurrentQuotes">if set to <c>true</c> [include empty current quotes].</param>
/// <param name="includeEmptyAdditionalQuotes">if set to <c>true</c> [include empty additional quotes].</param>
/// <returns></returns>
public QuotedAssetSet Merge(QuotedAssetSet additional,
bool checkValuationAssetReferences,
bool includeEmptyCurrentQuotes,
bool includeEmptyAdditionalQuotes)
{
var result = new QuotedAssetSet();
// build unique instrumentSet and valuation quote lists
var instrumentMap = new Dictionary <string, Asset>();
var valuationMap = new Dictionary <string, BasicAssetValuation>();
if (instrumentSet != null && instrumentSet.Items != null)
{
foreach (Asset asset in instrumentSet.Items)//The asset type
{
string assetId = asset.id;
//Trace.WriteLine(String.Format("Merge: Existing asset: '{0}'", assetId);
instrumentMap[assetId.ToLower()] = asset;
}
}
if (assetQuote != null)
{
foreach (BasicAssetValuation currentValuation in assetQuote)
{
string assetId = currentValuation.objectReference.href;
if (checkValuationAssetReferences)
{
Asset asset;
if (!instrumentMap.TryGetValue(assetId.ToLower(), out asset))
{
throw new ApplicationException(String.Format(
"Cannot find asset '{0}' for assetQuote", assetId));
}
}
// merge the quotes
BasicAssetValuation existingValuation;
if (valuationMap.TryGetValue(assetId.ToLower(), out existingValuation))
{
//Trace.WriteLine(String.Format("Merge: Asset: '{0}' updating existing valuation", assetId);
}
else
{
// not found - create a new valuation
//Trace.WriteLine(String.Format("Merge: Asset: '{0}' creating existing valuation", assetId);
existingValuation = new BasicAssetValuation
{
objectReference = new AnyAssetReference {
href = assetId
},
quote = new List <BasicQuotation>().ToArray()
};
valuationMap[assetId.ToLower()] = existingValuation;
}
// append the assetquotes
var quotes = new List <BasicQuotation>(existingValuation.quote);
foreach (BasicQuotation quote in currentValuation.quote)
{
if (quote.valueSpecified || includeEmptyCurrentQuotes)
{
quotes.Add(quote);
//if (quote.valueSpecified)
//Trace.WriteLine(String.Format("Merge: Asset: '{0}' adding existing quote value '{1}'", assetId, quote.value);
//else
//Trace.WriteLine(String.Format("Merge: Asset: '{0}' adding existing empty quote", assetId);
}
else
{
//Trace.WriteLine(String.Format("Merge; Asset: '{0}' skipping existing empty quote", assetId);
}
}
existingValuation.quote = quotes.ToArray();
}
}
// add extra instruments
if (additional.instrumentSet != null && additional.instrumentSet.Items != null)
{
foreach (Asset asset in additional.instrumentSet.Items)
{
string assetId = asset.id;
if (!instrumentMap.ContainsKey(assetId.ToLower()))
{
instrumentMap[assetId.ToLower()] = asset;
//Trace.WriteLine(String.Format("Merge: Additional asset: '{0}'", assetId);
}
}
}
// append valuation quotes
if (additional.assetQuote != null)
{
foreach (BasicAssetValuation additionalValuation in additional.assetQuote)
{
string assetId = additionalValuation.objectReference.href;
if (checkValuationAssetReferences)
{
Asset asset;
if (!instrumentMap.TryGetValue(assetId.ToLower(), out asset))
{
throw new ApplicationException(String.Format(
"Cannot find asset '{0}' for assetQuote", assetId));
}
}
// merge the quotes
BasicAssetValuation existingValuation;
if (valuationMap.TryGetValue(assetId.ToLower(), out existingValuation))
{
//Trace.WriteLine(String.Format("Merge: Asset: '{0}' updating additional valuation", assetId);
}
else
{
// not found - just add the valuation
existingValuation = new BasicAssetValuation
{
objectReference = new AnyAssetReference {
href = assetId
},
quote = new List <BasicQuotation>().ToArray()
};
valuationMap[assetId.ToLower()] = existingValuation;
//Trace.WriteLine(String.Format("Merge: Asset: '{0}' creating additional valuation", assetId);
}
// append the assetquotes
var quotes = new List <BasicQuotation>(existingValuation.quote);
foreach (BasicQuotation quote in additionalValuation.quote)
{
if (quote.valueSpecified || includeEmptyAdditionalQuotes)
{
quotes.Add(quote);
//if (quote.valueSpecified)
//Trace.WriteLine(String.Format("Merge: Asset: '{0}' adding additional quote value '{1}'", assetId, quote.value);
//else
//Trace.WriteLine(String.Format("Merge: Asset: '{0}' adding additional empty quote", assetId);
}
else
{
//Trace.WriteLine(String.Format("Merge; Asset: '{0}' skipping additional empty quote", assetId);
}
}
existingValuation.quote = quotes.ToArray();
}
}
var instSet = new InstrumentSet {
Items = instrumentMap.Values.ToArray()
};
result.instrumentSet = instSet;
result.assetQuote = valuationMap.Values.ToArray();
return(result);
}
public static List <BasicAssetValuation> GetAssetQuote(QuotedAssetSet quotedAssetSet, string instrumentId)
{
return(quotedAssetSet.assetQuote.Where(basicAssetValuation => basicAssetValuation.objectReference.href == instrumentId).ToList());
}