/// <summary>
/// A helper to extract properties from a named value set.
/// </summary>
/// <param name="properties">The collection of properties.</param>
public static string ExtractCreditSeniority(NamedValueSet properties)
{
string creditSeniority;
Dictionary <string, object> dictionaryKeys = properties.ToDictionary();
if (dictionaryKeys.ContainsKey(CurveProp.CreditSeniority))
{
creditSeniority = properties.Get(CurveProp.CreditSeniority).AsValue <string>();
}
else
{
string pst = ExtractPricingStructureType(properties).ToString();
creditSeniority = "Senior";
if (pst == PricingStructureTypeEnum.DiscountCurve.ToString())
{
var curveName = properties.Get("CurveName").AsValue <string>();
List <string> parts = curveName.Split('-').ToList();
if (parts.Count > 2)
{
creditSeniority = parts[2];
}
}
}
return(creditSeniority);
}
public void BuildTest()
{
string[] names = { "CurveType", "ExpiryMins" };
object[] values = { "RateCurve", 1 };
NamedValueSet actual = NamedValueSetHelper.Build(names, values);
Assert.AreEqual("RateCurve", actual.Get("CurveType").ValueString);
Assert.AreEqual(1, actual.Get("ExpiryMins").Value);
}
public void RangeToNamedValueSetTest()
{
object[,] properties = new object[, ]
{
{ "CurveType", "RateCurve" },
{ "ExpiryMins", 1 }
};
NamedValueSet actual = new NamedValueSet(properties);
Assert.AreEqual("RateCurve", actual.Get("CurveType").ValueString);
Assert.AreEqual(1, actual.Get("ExpiryMins").Value);
}
public void DistinctInstancesTest()
{
object[,] properties = new object[, ]
{
{ "CurveType", "RateCurve" },
{ "ExpiryMins", 1 },
{ "ExpiryMins", 2 }
};
NamedValueSet actual = NamedValueSetHelper.DistinctInstances(properties);
Assert.AreEqual("RateCurve", actual.Get("CurveType").ValueString);
Assert.AreEqual(1, ((object[])actual.Get("ExpiryMins").Value)[0]);
Assert.AreEqual(2, ((object[])actual.Get("ExpiryMins").Value)[1]);
}
/// <summary>
/// A helper to extract properties from a named value set..
/// </summary>
/// <param name="properties">The collection of properties.</param>
public static string ExtractDataType(NamedValueSet properties)
{
const string dataType = "Market";
var dictionaryKeys = properties.ToDictionary();
return(dictionaryKeys.ContainsKey("DataType") ? properties.Get("DataType").AsValue <string>() : dataType);
}
/// <summary>
/// A helper to extract properties from a named value set..
/// </summary>
/// <param name="properties">The collection of properties.</param>
public static string ExtractAssetRef(NamedValueSet properties)
{
const string assetRef = "Unspecified";
var dictionaryKeys = properties.ToDictionary();
return(dictionaryKeys.ContainsKey("AssetRef") ? properties.Get("AssetRef").AsValue <string>() : assetRef);
}
/// <summary>
/// A helper to extract properties from a named value set..
/// </summary>
/// <param name="properties">The collection of properties.</param>
public static string ExtractSourceSystem(NamedValueSet properties)
{
const string sourceSystem = "Orion";
var dictionaryKeys = properties.ToDictionary();
return(dictionaryKeys.ContainsKey("SourceSystem") ? properties.Get("SourceSystem").AsValue <string>() : sourceSystem);
}
/// <summary>
/// A helper to extract properties from a named value set.
/// </summary>
/// <param name="properties">The collection of properties.</param>
public static DateTime ExtractBuildDateTime(NamedValueSet properties)
{
var dictionaryKeys = properties.ToDictionary();
DateTime buildDateTime = dictionaryKeys.ContainsKey("BuildDateTime") ? properties.Get("BuildDateTime").AsValue <DateTime>() : DateTime.Now;
return(buildDateTime);
}
/// <summary>
/// A helper to extract properties from a named value set..
/// </summary>
/// <param name="propertyName">THe property name.</param>
/// <param name="properties">The collection of properties.</param>
public static string ExtractStringProperty(string propertyName, NamedValueSet properties)
{
const string error = "Unknown Property.";
var dictionaryKeys = properties.ToDictionary();
return(dictionaryKeys.ContainsKey(propertyName) ? properties.Get(propertyName).AsValue <string>() : error);
}
/// <summary>
/// A helper to extract properties from a namedvalueset..
/// </summary>
/// <param name="propertyCollection">The collection of properties.</param>
public static QuotedCurrencyPair ExtractQuotedCurrencyPair(NamedValueSet propertyCollection)
{
var dictionaryKeys = propertyCollection.ToDictionary();
string currencyPair = "AUD-USD";
if (dictionaryKeys.ContainsKey(CurveProp.CurrencyPair))
{
currencyPair = propertyCollection.Get(CurveProp.CurrencyPair).AsValue <string>();
}
else
{
if (dictionaryKeys.ContainsKey(CurveProp.CurveName))
{
var curveName = ExtractCurveName(propertyCollection);
try
{
currencyPair = curveName;
}
catch (System.Exception)
{
throw new System.Exception("CurveName property is not valid.");
}
}
}
var pair = currencyPair.Split('-');
var quoteBasis = ExtractQuoteBasis(propertyCollection);
return(QuotedCurrencyPair.Create(pair[0], pair[1], quoteBasis));
}
/// <summary>
/// A helper to extract properties from a named value set.
/// </summary>
/// <param name="propertyCollection">The collection of properties.</param>
public static string ExtractMarketEnvironment(NamedValueSet propertyCollection)
{
var dictionaryKeys = propertyCollection.ToDictionary();
if (dictionaryKeys.ContainsKey("MarketEnvironment"))
{
return(propertyCollection.Get("MarketEnvironment").AsValue <string>());
}
throw new System.Exception("Mandatory 'MarketEnvironment' property has not been specified. Please specify.");
}
/// <summary>
/// A helper to extract properties from a named value set.
/// </summary>
/// <param name="propertyCollection">The collection of properties.</param>
public static string ExtractIndexTenor(NamedValueSet propertyCollection)
{
var dictionaryKeys = propertyCollection.ToDictionary();
if (dictionaryKeys.ContainsKey(CurveProp.IndexTenor))
{
return(propertyCollection.Get(CurveProp.IndexTenor).AsValue <string>());
}
throw new System.Exception("Mandatory 'IndexTenor' property has not been specified. Please specify.");
}
/// <summary>
/// Initializes a new instance of the <see cref="VolatilitySurfaceTerms"/> class.
/// </summary>
/// <param name="terms">The terms.</param>
public VolatilitySurfaceTerms(IDictionary <string, object> terms)
{
Terms = terms;
var nvs = new NamedValueSet();
nvs.Add(terms);
if (nvs.Get(CurveProp.Market, false) != null)
{
Market = nvs.GetValue <string>(CurveProp.Market, null);
}
else if (nvs.Get("Market", false) != null)
{
Market = nvs.GetValue <string>("Market", null);
}
Currency = nvs.GetValue <string>(CurveProp.Currency1, null);
BaseDate = nvs.GetValue(CurveProp.BaseDate, DateTime.MinValue);
ReferenceKey = BuildKey();
SurfaceReferenceIdentifier = null;
}
/// <summary>
/// A helper to extract properties from a named value set.
/// </summary>
/// <param name="propertyCollection">The collection of properties.</param>
public static Boolean ExtractLPMCopy(NamedValueSet propertyCollection)
{
var lpmCopy = false;
var dictionaryKeys = propertyCollection.ToDictionary();
if (dictionaryKeys.ContainsKey("LPMCopy"))
{
lpmCopy = propertyCollection.Get("LPMCopy").AsValue <Boolean>();
}
return(lpmCopy);
}
/// <summary>
/// A helper to extract properties from a named value set..
/// </summary>
/// <param name="propertyName">THe property name.</param>
/// <param name="properties">The collection of properties.</param>
public static int?ExtractIntegerProperty(string propertyName, NamedValueSet properties)
{
int?result = null;
var dictionaryKeys = properties.ToDictionary();
if (dictionaryKeys.ContainsKey(propertyName))
{
result = properties.Get(propertyName).AsValue <int>();
}
return(result);
}
/// <summary>
/// A helper to extract properties from a named value set.
/// </summary>
/// <param name="properties">The collection of properties.</param>
public static Boolean ExtractIsBaseCurveFlag(NamedValueSet properties)
{
var dictionaryKeys = properties.ToDictionary();
if (dictionaryKeys.ContainsKey("IsBaseCurve"))
{
var isBaseCurve = properties.Get("IsBaseCurve").AsValue <bool>();
return(isBaseCurve);
}
return(true);
}
/// <summary>
/// A helper to extract properties from a named value set.
/// </summary>
/// <param name="properties">The collection of properties.</param>
public static string ExtractReferenceVolCurveName(NamedValueSet properties)
{
var curveName = "Unknown";
var dictionaryKeys = properties.ToDictionary();
if (dictionaryKeys.ContainsKey("ReferenceVolCurveName"))
{
curveName = properties.Get("ReferenceVolCurveName").AsValue <string>();
}
return(curveName);
}
/// <summary>
/// A helper to extract properties from a named value set.
/// </summary>
/// <param name="properties">The collection of properties.</param>
public static Boolean ExtractOptimizeBuildFlag(NamedValueSet properties)
{
bool flag = true;
var dictionaryKeys = properties.ToDictionary();
if (dictionaryKeys.ContainsKey("OptimizeBuild"))
{
flag = properties.Get("OptimizeBuild").AsValue <bool>();
}
return(flag);
}
/// <summary>
/// A helper to extract properties from a named value set..
/// </summary>
/// <param name="propertyName">THe property name.</param>
/// <param name="properties">The collection of properties.</param>
public static DateTime?ExtractDateTimeProperty(string propertyName, NamedValueSet properties)
{
DateTime?date = null;
var dictionaryKeys = properties.ToDictionary();
if (dictionaryKeys.ContainsKey(propertyName))
{
date = properties.Get(propertyName).AsValue <DateTime>();
}
return(date);
}
/// <summary>
/// A helper to extract properties from a named value set.
/// </summary>
/// <param name="properties">The collection of properties.</param>
public static DateTime?ExtractTime(NamedValueSet properties)
{
DateTime?time = null;
var dictionaryKeys = properties.ToDictionary();
if (dictionaryKeys.ContainsKey("Time"))
{
time = properties.Get("Time").AsValue <DateTime>();
}
return(time);
}
/// <summary>
/// A helper to extract properties from a named value set.
/// </summary>
/// <param name="properties">The collection of properties.</param>
public static Boolean ExtractBootStrapOverrideFlag(NamedValueSet properties)
{
bool flag = false;
var dictionaryKeys = properties.ToDictionary();
if (dictionaryKeys.ContainsKey("BootStrap"))
{
flag = properties.Get("BootStrap").AsValue <bool>();
}
return(flag);
}
/// <summary>
/// A helper to extract properties from a named value set.
/// </summary>
/// <param name="propertyCollection">The collection of properties.</param>
public static string ExtractInflationLag(NamedValueSet propertyCollection)
{
var dictionaryKeys = propertyCollection.ToDictionary();
if (dictionaryKeys.ContainsKey("InflationLag"))
{
return(propertyCollection.Get("InflationLag").AsValue <string>());
}
//throw new Exception("Mandatory 'InflationLag' property has not been specified. Please specify.");
return("Unknown");
}
/// <summary>
/// A helper to extract properties from a namedvalueset..
/// </summary>
/// <param name="propertyCollection">The collection of properties.</param>
public static DateTime?ExtractExpiryTime(NamedValueSet propertyCollection)
{
DateTime?expiryTime = null;
var dictionaryKeys = propertyCollection.ToDictionary();
if (dictionaryKeys.ContainsKey("ExpiryTime"))
{
expiryTime = propertyCollection.Get("ExpiryTime").AsValue <DateTime>();
}
return(expiryTime);
}
/// <summary>
/// A helper to extract properties from a namedvalueset..
/// </summary>
/// <param name="propertyCollection">The collection of properties.</param>
public static DateTime?ExtractValuationDate(NamedValueSet propertyCollection)
{
DateTime?valuationDate = null;
var dictionaryKeys = propertyCollection.ToDictionary();
if (dictionaryKeys.ContainsKey("ValuationDate"))
{
valuationDate = propertyCollection.Get("ValuationDate").AsValue <DateTime>();
}
return(valuationDate);
}
/// <summary>
/// A helper to extract properties from a named value set..
/// </summary>
/// <param name="propertyName">THe property name.</param>
/// <param name="properties">The collection of properties.</param>
public static decimal?ExtractDecimalProperty(string propertyName, NamedValueSet properties)
{
decimal?result = null;
var dictionaryKeys = properties.ToDictionary();
if (dictionaryKeys.ContainsKey(propertyName))
{
result = properties.Get(propertyName).AsValue <decimal>();
}
return(result);
}
/// <summary>
/// A helper to extract properties from a named value set..
/// </summary>
/// <param name="propertyName">THe property name.</param>
/// <param name="properties">The collection of properties.</param>
public static bool?ExtractBooleanProperty(string propertyName, NamedValueSet properties)
{
bool?boolean = null;
var dictionaryKeys = properties.ToDictionary();
if (dictionaryKeys.ContainsKey(propertyName))
{
boolean = properties.Get(propertyName).AsValue <bool>();
}
return(boolean);
}
/// <summary>
/// A helper to extract properties from a namedvalueset..
/// </summary>
/// <param name="propertyCollection">The collection of properties.</param>
public static string ExtractCurrency(NamedValueSet propertyCollection)
{
var currency = "AUD";
var dictionaryKeys = propertyCollection.ToDictionary();
if (dictionaryKeys.ContainsKey("Currency"))
{
currency = propertyCollection.Get("Currency").AsValue <string>();
}
return(currency);
}
/// <summary>
/// A helper to extract properties from a named value set.
/// </summary>
/// <param name="properties">The collection of properties.</param>
public static Decimal?ExtractStrike(NamedValueSet properties)
{
Decimal?strike = null;
var dictionaryKeys = properties.ToDictionary();
if (dictionaryKeys.ContainsKey("Strike"))
{
strike = properties.Get("Strike").AsValue <Decimal>();
}
return(strike);
}
public T GetSetValue <T>(string valueName, T defaultValue)
{
NamedValue nv = _currentSettings.Get(valueName, false);
if ((nv == null) || (nv.ValueType != typeof(T)))
{
_currentSettings.Set(valueName, defaultValue);
_unsavedSettings.Set(valueName, defaultValue);
}
return(_currentSettings.GetValue(valueName, defaultValue));
}
/// <summary>
/// A helper to extract properties from a named value set..
/// </summary>
/// <param name="properties">The collection of properties.</param>
public static string ExtractUniqueCurveIdentifier(NamedValueSet properties)
{
var domain = ExtractDomain(properties);
var market = ExtractMarketAndDate(properties);
var pst = ExtractPricingStructureType(properties);
var curveName = ExtractCurveName(properties);
var identifier = domain + '.' + market + '.' + pst + '.' + curveName;
var dictionaryKeys = properties.ToDictionary();
return(dictionaryKeys.ContainsKey(CurveProp.UniqueIdentifier) ? properties.Get(CurveProp.UniqueIdentifier).AsValue <string>() : identifier);
}
