public double GetConversionRate(Func<ValueRequirement, double> inputs, Currency source, Currency target)
{
var currencyMatrixValue = _matrix.GetConversion(source, target);
if (currencyMatrixValue is CurrencyMatrixValue.CurrencyMatrixCross)
{
var cross = (CurrencyMatrixValue.CurrencyMatrixCross)currencyMatrixValue;
return GetConversionRate(inputs, source, cross.CrossCurrency) * GetConversionRate(inputs, cross.CrossCurrency, target);
}
else if (currencyMatrixValue is CurrencyMatrixValue.CurrencyMatrixFixed)
{
var fixedValue = (CurrencyMatrixValue.CurrencyMatrixFixed)currencyMatrixValue;
return fixedValue.FixedValue;
}
else if (currencyMatrixValue is CurrencyMatrixValue.CurrencyMatrixValueRequirement)
{
var valueRequirement = (CurrencyMatrixValue.CurrencyMatrixValueRequirement)currencyMatrixValue;
double rate = inputs(valueRequirement.ValueRequirement);
if (valueRequirement.IsReciprocal)
{
rate = 1.0 / rate;
}
return rate;
}
else if (currencyMatrixValue == null)
{
throw new ArgumentException();
}
else
{
throw new NotImplementedException();
}
}
private InterpolatedYieldCurveSpecificationWithSecurities(DateTimeOffset curveDate, string name, Currency currency, List <FixedIncomeStripWithSecurity> strips)
{
_curveDate = curveDate;
_name = name;
_currency = currency;
_strips = strips;
}
public override VolatilitySurfaceData DeserializeImpl(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
Currency currency = ffc.GetValue <Currency>("currency");
string definitionName = ffc.GetValue <string>("definitionName");
string specificationName = ffc.GetValue <string>("specificationName");
string interpolatorName = ffc.GetValue <string>("interpolatorName");
bool xWrapped;
IList <object> xs = ReadAllAsObjectList(ffc, "xs", deserializer, out xWrapped);
bool yWrapped;
IList <object> ys = ReadAllAsObjectList(ffc, "ys", deserializer, out yWrapped);
Type xType = GetType(xs);
Type yType = GetType(ys);
var values = new Dictionary <Tuple <object, object>, double>();
var valuesFields = ffc.GetAllByName("values");
foreach (var valueField in valuesFields)
{
var subMessage = (IFudgeFieldContainer)valueField.Value;
var xField = subMessage.GetByName("x");
var yField = subMessage.GetByName("y");
object x = xWrapped ? GetWrappedPrimitive(xField) : deserializer.FromField(xField, xType);
object y = yWrapped ? GetWrappedPrimitive(yField) : deserializer.FromField(yField, yType);
double value = subMessage.GetValue <double>("value");
values.Add(new Tuple <object, object>(x, y), value);
}
return(Build(xType, yType, definitionName, specificationName, currency, interpolatorName, xs, ys, values));
}
public double GetConversionRate(Func <ValueRequirement, double> inputs, Currency source, Currency target)
{
var currencyMatrixValue = _matrix.GetConversion(source, target);
if (currencyMatrixValue is CurrencyMatrixValue.CurrencyMatrixCross)
{
var cross = (CurrencyMatrixValue.CurrencyMatrixCross)currencyMatrixValue;
return(GetConversionRate(inputs, source, cross.CrossCurrency) * GetConversionRate(inputs, cross.CrossCurrency, target));
}
else if (currencyMatrixValue is CurrencyMatrixValue.CurrencyMatrixFixed)
{
var fixedValue = (CurrencyMatrixValue.CurrencyMatrixFixed)currencyMatrixValue;
return(fixedValue.FixedValue);
}
else if (currencyMatrixValue is CurrencyMatrixValue.CurrencyMatrixValueRequirement)
{
var valueRequirement = (CurrencyMatrixValue.CurrencyMatrixValueRequirement)currencyMatrixValue;
double rate = inputs(valueRequirement.ValueRequirement);
if (valueRequirement.IsReciprocal)
{
rate = 1.0 / rate;
}
return(rate);
}
else if (currencyMatrixValue == null)
{
throw new ArgumentException();
}
else
{
throw new NotImplementedException();
}
}
private InterpolatedYieldCurveSpecificationWithSecurities(DateTimeOffset curveDate, string name, Currency currency, List<FixedIncomeStripWithSecurity> strips)
{
_curveDate = curveDate;
_name = name;
_currency = currency;
_strips = strips;
}
public SABRFittedSurfaces(InterpolatedDoublesSurface alphaSurface, InterpolatedDoublesSurface betaSurface, InterpolatedDoublesSurface nuSurface, InterpolatedDoublesSurface rhoSurface, Currency currency, string dayCountName)
{
_alphaSurface = alphaSurface;
_betaSurface = betaSurface;
_nuSurface = nuSurface;
_rhoSurface = rhoSurface;
_currency = currency;
_dayCountName = dayCountName;
}
public SABRFittedSurfaces(InterpolatedDoublesSurface alphaSurface, InterpolatedDoublesSurface betaSurface, InterpolatedDoublesSurface nuSurface, InterpolatedDoublesSurface rhoSurface, Currency currency, string dayCountName)
{
_alphaSurface = alphaSurface;
_betaSurface = betaSurface;
_nuSurface = nuSurface;
_rhoSurface = rhoSurface;
_currency = currency;
_dayCountName = dayCountName;
}
public static SABRFittedSurfaces FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
return(new SABRFittedSurfaces(
deserializer.FromField <InterpolatedDoublesSurface>(ffc.GetByName("AlphaSurface")),
deserializer.FromField <InterpolatedDoublesSurface>(ffc.GetByName("BetaSurface")),
deserializer.FromField <InterpolatedDoublesSurface>(ffc.GetByName("NuSurface")),
deserializer.FromField <InterpolatedDoublesSurface>(ffc.GetByName("RhoSurface")),
Currency.Create(ffc.GetString("Currency")),
ffc.GetString("DayCountName")
));
}
public VolatilityCubeKey(Currency currency, string name)
{
_currency = currency;
_name = name;
}
public VolatilityCubeDefinition GetDefinition(Currency currency, string name)
{
return _restTarget.Resolve("definitions", "searchSingle").WithParam("currency", currency.ISOCode).WithParam("name", name).Get<VolatilityCubeDefinition>();
}
public YieldCurveKey(Currency currency, string name)
{
_currency = currency;
_name = name;
}
public VolatilityCubeDefinition GetDefinition(Currency currency, string name)
{
return(_restTarget.Resolve("definitions", "searchSingle").WithParam("currency", currency.ISOCode).WithParam("name", name).Get <VolatilityCubeDefinition>());
}
public static VolatilitySurfaceData <TX, TY> Build <TX, TY>(string definitionName, string specificationName, Currency currency, string interpolatorName, IList <object> xs, IList <object> ys, Dictionary <Tuple <object, object>, double> values)
{
return(new VolatilitySurfaceData <TX, TY>(definitionName, specificationName, currency, interpolatorName, xs.Cast <TX>().ToList(), ys.Cast <TY>().ToList(),
values.ToDictionary(kvp => Tuple.Create((TX)kvp.Key.Item1, (TY)kvp.Key.Item2), kvp => kvp.Value)
));
}
private static VolatilitySurfaceData Build(Type xType, Type yType, string definitionName, string specificationName, Currency currency, string interpolatorName, IList <object> xs, IList <object> ys, Dictionary <Tuple <object, object>, double> values)
{
return((VolatilitySurfaceData)GenericUtils.Call(GenericBuildMethod, new[] { xType, yType }, new object[] { definitionName, specificationName, currency, interpolatorName, xs, ys, values }));
}
