/// <summary>
/// Maps from decimal price units to a other types, mainly for display purposes..
/// </summary>
/// <param name="toQuote">The basic quotation to be mapped to ie de-normalised.</param>
/// <param name="convertFromType">The type to convert from: only implemented for decimals.</param>
/// <returns></returns>
public static BasicQuotation DeNormalisePriceUnits(BasicQuotation toQuote, string convertFromType)
{
const string rateQuotationType = PriceableSimpleRateAsset.RateQuotationType;
if (toQuote.measureType.Value != rateQuotationType || (convertFromType != "DecimalRate" && convertFromType != "DecimalValue"))
{
return(BasicQuotationHelper.Clone(toQuote));
}
switch (toQuote.quoteUnits.Value)
{
case "IRFuturesPrice": //Format for this is 9500.
{
return(BasicQuotationHelper.Create(100 - toQuote.value * 100, rateQuotationType, toQuote.quoteUnits.Value));
}
case "Volatility": //Format for this is 7.00
{
return(BasicQuotationHelper.Create(toQuote.value * 100, rateQuotationType, toQuote.quoteUnits.Value));
}
case "Rate": //Format for this is 7.00
{
return(BasicQuotationHelper.Create(toQuote.value * 100, rateQuotationType, toQuote.quoteUnits.Value));
}
case "DecimalValue":
case "DecimalVolatility":
case "LognormalVolatility":
case "NormalVolatility":
case "DecimalRate": //Format is .07
{
return(BasicQuotationHelper.Create(toQuote.value, rateQuotationType, toQuote.quoteUnits.Value));
}
case "DecimalSpread": //Format is .07
{
return(BasicQuotationHelper.Create(toQuote.value, rateQuotationType, toQuote.quoteUnits.Value));
}
case "FuturesPrice": //Format is 95.00
{
return(BasicQuotationHelper.Create(100 - toQuote.value * 100, rateQuotationType, toQuote.quoteUnits.Value));
}
case "Premium":
case "DirtyPrice":
case "Price": //Format is in units.
{
return(BasicQuotationHelper.Create(toQuote.value, rateQuotationType, toQuote.quoteUnits.Value));
}
case "ForwardValue": //Format is in units.
{
return(BasicQuotationHelper.Create(toQuote.value, rateQuotationType, toQuote.quoteUnits.Value));
}
case "FxRate": //Format is in units.
{
return(BasicQuotationHelper.Create(toQuote.value, rateQuotationType, toQuote.quoteUnits.Value));
}
default:
{
return(BasicQuotationHelper.Create(toQuote.value, rateQuotationType, toQuote.quoteUnits.Value));
}
}
}
/// <summary>
/// Maps from price units other than decimals, to a decimal for consumption primarily by a rate curve.
/// </summary>
/// <param name="rateQuotationType">The rate quotation type. eg MarketQuote, Spread or Volatility.</param>
/// <param name="fromQuote">The basic quotation to be mapped from ie normalised.</param>
/// <param name="convertToType">The type to convert to: only implemented for decimals.</param>
/// <returns></returns>
public static BasicQuotation NormaliseGeneralPriceUnits(String rateQuotationType, BasicQuotation fromQuote, String convertToType)
{
if (fromQuote.measureType.Value != "MarketQuote" || convertToType != "DecimalRate" && convertToType != "DecimalValue")
{
return(BasicQuotationHelper.Clone(fromQuote));
}
switch (fromQuote.quoteUnits.Value)
{
case "IRFuturesPrice": //Format for this is 9500.
{
return(BasicQuotationHelper.Create((100 - fromQuote.value) / 100, rateQuotationType, convertToType));
}
case "Volatility": //Format for this is 7.00
{
return(BasicQuotationHelper.Create(fromQuote.value / 100, rateQuotationType, convertToType));
}
case "Rate": //Format for this is 7.00
{
return(BasicQuotationHelper.Create(fromQuote.value / 100, rateQuotationType, convertToType));
}
case "DecimalValue":
case "DecimalVolatility":
case "LognormalVolatility":
case "NormalVolatility":
case "DecimalRate": //Format is .07
{
return(BasicQuotationHelper.Create(fromQuote.value, rateQuotationType, convertToType));
}
case "DecimalSpread": //Format is .07
{
return(BasicQuotationHelper.Create(fromQuote.value, rateQuotationType, convertToType));
}
case "FuturesPrice": //Format is 95.00
{
return(BasicQuotationHelper.Create((100 - fromQuote.value) / 100, rateQuotationType, convertToType));
}
case "Premium":
case "DirtyPrice":
case "Price": //Format is .07
{
return(BasicQuotationHelper.Create(fromQuote.value, rateQuotationType, convertToType));
}
case "ForwardValue": //Format is .07
{
return(BasicQuotationHelper.Create(fromQuote.value, rateQuotationType, convertToType));
}
case "FxRate": //Format is in units.
{
return(BasicQuotationHelper.Create(fromQuote.value, rateQuotationType, convertToType));
}
default:
{
return(BasicQuotationHelper.Create(fromQuote.value, rateQuotationType, convertToType));
}
}
}
protected RequestContext ConvertStandardAssetQuotesToProviderInstrFieldCodes(
MDSRequestType requestType,
QuotedAssetSet standardQuotedAssetSet)
{
// extract assets/quotes that require market quotes
var standardAssets = new List <Asset>();
var standardQuotes = new List <BasicQuotation>();
{
// build a request/response map (indexed by instrument id)
var instrumentMap = new Dictionary <string, Asset>();
//List<Pair<Asset, BasicQuotation>> completeAssetQuotes = new List<Pair<Asset, BasicQuotation>>();
foreach (Asset asset in standardQuotedAssetSet.instrumentSet.Items)
{
instrumentMap[asset.id.ToLower()] = asset;
}
foreach (BasicAssetValuation quoteInstr in standardQuotedAssetSet.assetQuote)
{
string instrId = quoteInstr.objectReference.href;
if (!instrumentMap.TryGetValue(instrId.ToLower(), out var asset))
{
throw new ApplicationException($"Cannot find instrument '{instrId}' for assetQuote");
}
foreach (BasicQuotation quoteField in quoteInstr.quote)
{
if (quoteField.valueSpecified)
{
// value provided - don't get from market
//completeAssetQuotes.Add(new Pair<Asset, BasicQuotation>(asset, quoteField));
}
else
{
// value not supplied - get from market
BasicQuotation quote = BasicQuotationHelper.Clone(quoteField);
standardAssets.Add(asset);
standardQuotes.Add(quote);
}
}
}
}
var requestItems = new List <RequestItem>();
var instrConversionMap = new Dictionary <string, string>();
var instrUniquenessMap = new Dictionary <string, string>();
var internalInstrIds = new List <string>();
var fieldConversionMap = new Dictionary <string, string>();
var fieldUniquenessMap = new Dictionary <string, string>();
var internalFieldIds = new List <string>();
Logger.LogDebug(" Mappings :");
for (int i = 0; i < standardAssets.Count; i++)
{
// map asset to provider instrument id
Asset standardAsset = standardAssets[i];
string internalInstrId = standardAsset.id;
internalInstrIds.Add(internalInstrId);
string providerInstrId = _marketDataMap.Convert(
MDSDictionaryType.Instrument, requestType,
MDSProviderId.GlobalIB, ProviderId, internalInstrId,
ConvertFailMode.ThrowException);
// update 1-way map
instrConversionMap[internalInstrId.ToLower()] = providerInstrId;
instrUniquenessMap[providerInstrId.ToLower()] = providerInstrId;
// map quote to provider field name
BasicQuotation standardQuote = standardQuotes[i];
string internalFieldId = standardQuote.GetStandardFieldName();
internalFieldIds.Add(internalFieldId);
string providerFieldId = _marketDataMap.Convert(
MDSDictionaryType.FieldName, requestType,
MDSProviderId.GlobalIB, ProviderId, internalFieldId,
ConvertFailMode.ThrowException);
// update 1-way map
fieldConversionMap[internalFieldId.ToLower()] = providerFieldId;
fieldUniquenessMap[providerFieldId.ToLower()] = providerFieldId;
// get provider units
string providerUnitsId = _marketDataMap.Convert(
MDSDictionaryType.QuoteUnits, requestType,
MDSProviderId.GlobalIB, ProviderId, String.Format("{0}/{1}", internalInstrId, internalFieldId),
ConvertFailMode.ThrowException);
var requestItem = new RequestItem
{
StandardAsset = standardAsset,
StandardQuote = standardQuote,
StandardUnits = PriceQuoteUnitsScheme.ParseEnumString(standardQuote.quoteUnits.Value),
ProviderInstrumentId = providerInstrId,
ProviderFieldName = providerFieldId,
ProviderUnits = PriceQuoteUnitsScheme.ParseEnumString(providerUnitsId)
};
requestItems.Add(requestItem);
// debug
Logger.LogDebug(" [{0}] '{1}/{2}' ({3}) --> '{4}/{5}' ({6})", i,
internalInstrIds[i], internalFieldIds[i], standardQuote.quoteUnits.Value,
instrConversionMap[internalInstrIds[i].ToLower()], fieldConversionMap[internalFieldIds[i].ToLower()], providerUnitsId);
// end debug
}
var providerInstrIds = new List <string>(instrUniquenessMap.Values);
var providerFieldIds = new List <string>(fieldUniquenessMap.Values);
// build provider instr/field code sets - todo - for now just build 1
var results = new List <ProviderInstrFieldCodeSet>();
var result = new ProviderInstrFieldCodeSet(providerInstrIds, providerFieldIds);
results.Add(result);
return(new RequestContext
{
RequestItems = requestItems,
ProviderInstrFieldCodeSets = results,
InstrConversionMap = instrConversionMap,
FieldConversionMap = fieldConversionMap
});
}
