private static ReadOnlyCollection <DataEntity> CreateDataEntities()
{
DateTime today = DateTime.Today;
DateTime todayPlus3M = today.AddMonths(3);
DateTime todayPlus4Y = today.AddYears(4);
DateTime todayPlus10Y = today.AddYears(10);
Int32 tradeId = 0;
RegulationsInfo ri = RegulationsInfo.Of(Regulation.Cftc);
List <DataEntity> dataEntities = new List <DataEntity>
{
// Model - Sensitivities - Base Correlation
Sensitivity.BaseCorrelation("CDX HY", Amount.Of(Currency.Usd, 200000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.BaseCorrelation("CDX HY", Amount.Of(Currency.Usd, -300000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.BaseCorrelation("CDX IG", Amount.Of(Currency.Usd, 100000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.BaseCorrelation("iTraxx XO", Amount.Of(Currency.Usd, 450000m), ri, CreateTradeInfoModel(++tradeId)),
// Model - Sensitivities - Delta - Commodity
Sensitivity.CommodityDelta("Coal Americas", BucketCommodity.Bucket1, Amount.Of(Currency.Usd, 3000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CommodityDelta("Coal Europe", BucketCommodity.Bucket1, Amount.Of(Currency.Usd, -5000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CommodityDelta("Middle Distillates America", BucketCommodity.Bucket3, Amount.Of(Currency.Usd, 15000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CommodityDelta("Middle Distillates Europe", BucketCommodity.Bucket3, Amount.Of(Currency.Usd, -20000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CommodityDelta("Middle Distillates Asia", BucketCommodity.Bucket3, Amount.Of(Currency.Usd, 32000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CommodityDelta("NA Natural Gas Gulf Coast", BucketCommodity.Bucket6, Amount.Of(Currency.Usd, 6500000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CommodityDelta("NA Natural Gas West", BucketCommodity.Bucket6, Amount.Of(Currency.Usd, 4000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CommodityDelta("Freight Wet", BucketCommodity.Bucket10, Amount.Of(Currency.Usd, 35000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CommodityDelta("Freight Dry", BucketCommodity.Bucket10, Amount.Of(Currency.Usd, -10000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CommodityDelta("Softs Coffee", BucketCommodity.Bucket14, Amount.Of(Currency.Usd, 2500000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CommodityDelta("Livestock Feeder Cattle", BucketCommodity.Bucket15, Amount.Of(Currency.Usd, -1200000m), ri, CreateTradeInfoModel(++tradeId)),
// Model - Sensitivities - Delta - Credit Qualifying
Sensitivity.CreditQualifyingDelta("ISIN:US3949181045", BucketCreditQualifying.Bucket1, Tenor.Y2, false, Amount.Of(Currency.Usd, 100000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CreditQualifyingDelta("ISIN:US3949181045", BucketCreditQualifying.Bucket1, Tenor.Y5, false, Amount.Of(Currency.Usd, -1500000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CreditQualifyingDelta("ISIN:US3949181045", BucketCreditQualifying.Bucket1, Tenor.Y3, false, Amount.Of(Currency.Usd, 1450000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CreditQualifyingDelta("ISIN:XS1061333921", BucketCreditQualifying.Bucket1, Tenor.Y10, false, Amount.Of(Currency.Usd, 400000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CreditQualifyingDelta("ISIN:CH0419041295", BucketCreditQualifying.Bucket4, Tenor.Y1, true, Amount.Of(Currency.Usd, -650000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CreditQualifyingDelta("ISIN:JP1718441K71", BucketCreditQualifying.Bucket4, Tenor.Y1, false, Amount.Of(Currency.Usd, 200000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CreditQualifyingDelta("ISIN:RU000A100H37", BucketCreditQualifying.Bucket7, Tenor.Y2, false, Amount.Of(Currency.Usd, -100000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CreditQualifyingDelta("ISIN:RU000A100H37", BucketCreditQualifying.Bucket7, Tenor.Y3, false, Amount.Of(Currency.Usd, 150000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CreditQualifyingDelta("ISIN:XS1886258598", BucketCreditQualifying.Bucket7, Tenor.Y1, false, Amount.Of(Currency.Usd, -120000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CreditQualifyingDelta("ISIN:XS1120672716", BucketCreditQualifying.Bucket7, Tenor.Y2, false, Amount.Of(Currency.Usd, 330000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CreditQualifyingDelta("ISIN:GB0702134646", BucketCreditQualifying.Bucket11, Tenor.Y2, false, Amount.Of(Currency.Usd, 1000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CreditQualifyingDelta("ISIN:GB0702134646", BucketCreditQualifying.Bucket11, Tenor.Y10, false, Amount.Of(Currency.Usd, -475000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CreditQualifyingDelta("ISIN:GB0702134646", BucketCreditQualifying.Bucket11, Tenor.Y3, false, Amount.Of(Currency.Usd, -500000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CreditQualifyingDelta("ISIN:FR0003504418", BucketCreditQualifying.BucketResidual, Tenor.Y2, false, Amount.Of(Currency.Usd, 400000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CreditQualifyingDelta("ISIN:XS2023221601", BucketCreditQualifying.BucketResidual, Tenor.Y10, false, Amount.Of(Currency.Usd, -300000m), ri, CreateTradeInfoModel(++tradeId)),
// Model - Sensitivities - Delta - Credit Non-qualifying
Sensitivity.CreditNonQualifyingDelta("ISIN:US3949181045", BucketCreditNonQualifying.Bucket1, Tenor.Y3, Amount.Of(Currency.Usd, 300000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CreditNonQualifyingDelta("ISIN:US3949181045", BucketCreditNonQualifying.Bucket1, Tenor.Y5, Amount.Of(Currency.Usd, 700000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CreditNonQualifyingDelta("ISIN:XS1061333921", BucketCreditNonQualifying.Bucket1, Tenor.Y2, Amount.Of(Currency.Usd, -500000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CreditNonQualifyingDelta("ISIN:XS1980681200", BucketCreditNonQualifying.Bucket2, Tenor.Y1, Amount.Of(Currency.Usd, -220000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CreditNonQualifyingDelta("ISIN:XS1980681200", BucketCreditNonQualifying.Bucket2, Tenor.Y10, Amount.Of(Currency.Usd, 200000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CreditNonQualifyingDelta("ISIN:DE000HVB34J9", BucketCreditNonQualifying.Bucket2, Tenor.Y2, Amount.Of(Currency.Usd, 800000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CreditNonQualifyingDelta("ISIN:FR0003507418", BucketCreditNonQualifying.BucketResidual, Tenor.Y5, Amount.Of(Currency.Usd, 300000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CreditNonQualifyingDelta("ISIN:XS2023221601", BucketCreditNonQualifying.BucketResidual, Tenor.Y3, Amount.Of(Currency.Usd, -270000m), ri, CreateTradeInfoModel(++tradeId)),
// Model - Sensitivities - Delta - Equity
Sensitivity.EquityDelta("ISIN:XS1980681200", BucketEquity.Bucket2, Amount.Of(Currency.Usd, 200000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.EquityDelta("ISIN:DE000HVB34J9", BucketEquity.Bucket2, Amount.Of(Currency.Usd, 500000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.EquityDelta("ISIN:DE000TK0T291", BucketEquity.Bucket5, Amount.Of(Currency.Usd, -1000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.EquityDelta("ISIN:DE000FF2AKA7", BucketEquity.Bucket5, Amount.Of(Currency.Usd, 3300000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.EquityDelta("ISIN:XS1896686544", BucketEquity.Bucket5, Amount.Of(Currency.Usd, 500000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.EquityDelta("ISIN:BE5631439402", BucketEquity.Bucket9, Amount.Of(Currency.Usd, 100000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.EquityDelta("ISIN:XS1006556794", BucketEquity.Bucket10, Amount.Of(Currency.Usd, 50000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.EquityDelta("ISIN:GB02BALKJB79", BucketEquity.Bucket10, Amount.Of(Currency.Usd, -150000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.EquityDelta("FTSE100", BucketEquity.Bucket11, Amount.Of(Currency.Usd, 600000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.EquityDelta("S&P500", BucketEquity.Bucket11, Amount.Of(Currency.Usd, -450000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.EquityDelta("ISIN:FR0003504418", BucketEquity.BucketResidual, Amount.Of(Currency.Usd, -75000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.EquityDelta("ISIN:XS2023221601", BucketEquity.BucketResidual, Amount.Of(Currency.Usd, 56000m), ri, CreateTradeInfoModel(++tradeId)),
// Model - Sensitivities - Delta - FX
Sensitivity.FxDelta(Currency.Eur, Amount.Of(Currency.Usd, 10000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.FxDelta(Currency.Eur, Amount.Of(Currency.Usd, -10000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.FxDelta(Currency.Nok, Amount.Of(Currency.Usd, 200000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.FxDelta(Currency.Mru, Amount.Of(Currency.Usd, 60000000m), ri, CreateTradeInfoModel(++tradeId)),
// Model - Sensitivities - Delta - Rates - Cross-currency Basis
Sensitivity.CrossCurrencyBasis(Currency.Gbp, Amount.Of(Currency.Usd, -15000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CrossCurrencyBasis(Currency.Usd, Amount.Of(Currency.Usd, 10000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CrossCurrencyBasis(Currency.Usd, Amount.Of(Currency.Usd, 10000000m), ri, CreateTradeInfoModel(++tradeId)),
// Sensitivities - Delta - Rates - Inflation
Sensitivity.InflationDelta(Currency.Cad, Amount.Of(Currency.Usd, 3000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.InflationDelta(Currency.Gbp, Amount.Of(Currency.Usd, -10000000m), ri, CreateTradeInfoModel(++tradeId)),
// Model - Sensitivities - Delta - Rates - Interest Rate
Sensitivity.InterestRateDelta(Currency.Gbp, Tenor.Y5, Curve.Libor6M, Amount.Of(Currency.Usd, -5000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.InterestRateDelta(Currency.Gbp, Tenor.M6, Curve.Ois, Amount.Of(Currency.Usd, 20000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.InterestRateDelta(Currency.Gbp, Tenor.Y2, Curve.Ois, Amount.Of(Currency.Usd, 30000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.InterestRateDelta(Currency.Jpy, Tenor.Y10, Curve.Libor3M, Amount.Of(Currency.Usd, 9000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.InterestRateDelta(Currency.Jpy, Tenor.Y20, Curve.Libor3M, Amount.Of(Currency.Usd, 1000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.InterestRateDelta(Currency.Inr, Tenor.W2, Curve.Ois, Amount.Of(Currency.Usd, -2000000m), ri, CreateTradeInfoModel(++tradeId)),
// Model - Sensitivities - Vega - Commodity
Sensitivity.CommodityVega("Precious Metals Silver", BucketCommodity.Bucket12, Tenor.W2, Amount.Of(Currency.Usd, 3500000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CommodityVega("Precious Metals Silver", BucketCommodity.Bucket12, Tenor.Y5, Amount.Of(Currency.Usd, -3200000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CommodityVega("Precious Metals Gold", BucketCommodity.Bucket12, Tenor.M6, Amount.Of(Currency.Usd, 1500000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CommodityVega("EU Power Germany", BucketCommodity.Bucket9, Tenor.Y1, Amount.Of(Currency.Usd, 1000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CommodityVega("EU Power Germany", BucketCommodity.Bucket9, Tenor.W2, Amount.Of(Currency.Usd, 4500000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CommodityVega("Crude Oil Americas", BucketCommodity.Bucket2, Tenor.Y15, Amount.Of(Currency.Usd, -1500000m), ri, CreateTradeInfoModel(++tradeId)),
// Model - Sensitivities - Vega - Credit Qualifying
Sensitivity.CreditQualifyingVega("EU.HY", BucketCreditQualifying.BucketResidual, Tenor.Y5, Amount.Of(Currency.Usd, -4000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CreditQualifyingVega("EU.IG", BucketCreditQualifying.BucketResidual, Tenor.Y1, Amount.Of(Currency.Usd, 1500000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CreditQualifyingVega("EU.IG", BucketCreditQualifying.Bucket2, Tenor.Y2, Amount.Of(Currency.Usd, 3000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CreditQualifyingVega("EU.IG", BucketCreditQualifying.Bucket2, Tenor.Y2, Amount.Of(Currency.Usd, -2000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CreditQualifyingVega("US.HY", BucketCreditQualifying.Bucket7, Tenor.Y10, Amount.Of(Currency.Usd, 3500000m), ri, CreateTradeInfoModel(++tradeId)),
// Model - Sensitivities - Vega - Credit Non-qualifying
Sensitivity.CreditNonQualifyingVega("EU.HY", BucketCreditNonQualifying.BucketResidual, Tenor.Y3, Amount.Of(Currency.Usd, 1200000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CreditNonQualifyingVega("EU.IG", BucketCreditNonQualifying.Bucket1, Tenor.Y2, Amount.Of(Currency.Usd, -2300000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CreditNonQualifyingVega("EU.IG", BucketCreditNonQualifying.BucketResidual, Tenor.Y3, Amount.Of(Currency.Usd, 4000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CreditNonQualifyingVega("EU.IG", BucketCreditNonQualifying.BucketResidual, Tenor.Y1, Amount.Of(Currency.Usd, -3500000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CreditNonQualifyingVega("US.HY", BucketCreditNonQualifying.BucketResidual, Tenor.Y10, Amount.Of(Currency.Usd, -2600000m), ri, CreateTradeInfoModel(++tradeId)),
// Model - Sensitivities - Vega - Equity
Sensitivity.EquityVega("ISIN:US3949181045", BucketEquity.Bucket1, Tenor.Y5, Amount.Of(Currency.Usd, 2000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.EquityVega("ISIN:US3949181045", BucketEquity.Bucket1, Tenor.Y2, Amount.Of(Currency.Usd, -1800000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.EquityVega("ISIN:US3949181045", BucketEquity.Bucket1, Tenor.W2, Amount.Of(Currency.Usd, 6000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.EquityVega("ISIN:CH0419041295", BucketEquity.Bucket4, Tenor.Y3, Amount.Of(Currency.Usd, 5000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.EquityVega("ISIN:DE000HVB34J9", BucketEquity.Bucket4, Tenor.Y10, Amount.Of(Currency.Usd, -4500000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.EquityVega("ISIN:RU000A100H37", BucketEquity.Bucket7, Tenor.Y20, Amount.Of(Currency.Usd, -2700000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.EquityVega("VIX", BucketEquity.Bucket12, Tenor.Y15, Amount.Of(Currency.Usd, -1500000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.EquityVega("ISIN:FR0003504418", BucketEquity.BucketResidual, Tenor.M6, Amount.Of(Currency.Usd, 3000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.EquityVega("ISIN:FR0003504418", BucketEquity.BucketResidual, Tenor.M1, Amount.Of(Currency.Usd, -3200000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.EquityVega("ISIN:XS2023221601", BucketEquity.BucketResidual, Tenor.M3, Amount.Of(Currency.Usd, 4400000m), ri, CreateTradeInfoModel(++tradeId)),
// Model - Sensitivities - Vega - FX
Sensitivity.FxVega(CurrencyPair.Of(Currency.Usd, Currency.Eur), Tenor.M6, Amount.Of(Currency.Usd, 2500000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.FxVega(CurrencyPair.Of(Currency.Eur, Currency.Usd), Tenor.Y3, Amount.Of(Currency.Usd, 8500000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.FxVega(CurrencyPair.Of(Currency.Usd, Currency.Eur), Tenor.Y20, Amount.Of(Currency.Usd, -10000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.FxVega(CurrencyPair.Of(Currency.Brl, Currency.Cny), Tenor.Y2, Amount.Of(Currency.Usd, 6500000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.FxVega(CurrencyPair.Of(Currency.Jpy, Currency.Sgd), Tenor.M6, Amount.Of(Currency.Usd, -2500000m), ri, CreateTradeInfoModel(++tradeId)),
// Sensitivities - Delta - Vega - Inflation
Sensitivity.InflationVega(Currency.Eur, Tenor.Y5, Amount.Of(Currency.Usd, 15000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.InflationVega(Currency.Eur, Tenor.Y15, Amount.Of(Currency.Usd, -50000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.InflationVega(Currency.Usd, Tenor.Y20, Amount.Of(Currency.Usd, 100000000m), ri, CreateTradeInfoModel(++tradeId)),
// Model - Sensitivities - Vega - Rates - Interest Rate
Sensitivity.InterestRateVega(Currency.Usd, Tenor.M3, Amount.Of(Currency.Usd, 20000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.InterestRateVega(Currency.Usd, Tenor.Y1, Amount.Of(Currency.Usd, -30000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.InterestRateVega(Currency.Aud, Tenor.W2, Amount.Of(Currency.Usd, -13000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.InterestRateVega(Currency.Aud, Tenor.Y2, Amount.Of(Currency.Usd, -2500000m), ri, CreateTradeInfoModel(++tradeId)),
// Model - Add-on - Fixed Amounts
AddOnFixedAmount.Of(Amount.Of(Currency.Usd, 1650000m), ri),
AddOnFixedAmount.Of(Amount.Of(Currency.Usd, 2000000m), ri),
// Model - Add-on - Notionals
AddOnNotional.Of("FlexiCallOption", Amount.Of(Currency.Usd, 1000000m), ri, CreateTradeInfoModel(++tradeId)),
AddOnNotional.Of("FlexiCallOption", Amount.Of(Currency.Usd, -2000000m), ri, CreateTradeInfoModel(++tradeId)),
AddOnNotional.Of("FlexiCallOption", Amount.Of(Currency.Usd, 1500000m), ri, CreateTradeInfoModel(++tradeId)),
AddOnNotional.Of("FlexiPutOption", Amount.Of(Currency.Usd, -800000m), ri, CreateTradeInfoModel(++tradeId)),
AddOnNotional.Of("FlexiPutOption", Amount.Of(Currency.Usd, -2200000m), ri, CreateTradeInfoModel(++tradeId)),
// Model - Add-on - Notional Factors
AddOnNotionalFactor.Of("FlexiCallOption", 0.06105m, ri),
AddOnNotionalFactor.Of("FlexiPutOption", 0.02055m, ri),
// Model - Add-on - Product Multipliers
AddOnProductMultiplier.Of(Model.Product.Commodity, 0.075m, ri),
AddOnProductMultiplier.Of(Model.Product.Credit, 0.11m, ri),
AddOnProductMultiplier.Of(Model.Product.Equity, 0.015m, ri),
AddOnProductMultiplier.Of(Model.Product.RatesFx, 0.205m, ri),
// Schedule - Notionals
Notional.Of(Schedule.Product.Commodity, Amount.Of(Currency.Cad, 1850000m), ri, CreateTradeInfoSchedule(1, todayPlus3M)),
Notional.Of(Schedule.Product.Credit, Amount.Of(Currency.Usd, 2300000m), ri, CreateTradeInfoSchedule(2, todayPlus3M)),
Notional.Of(Schedule.Product.Credit, Amount.Of(Currency.Usd, -900000m), ri, CreateTradeInfoSchedule(3, todayPlus10Y)),
Notional.Of(Schedule.Product.Fx, Amount.Of(Currency.Usd, -5200000m), ri, CreateTradeInfoSchedule(4, todayPlus3M)),
Notional.Of(Schedule.Product.Equity, Amount.Of(Currency.Usd, 1200000m), ri, CreateTradeInfoSchedule(5, todayPlus4Y)),
Notional.Of(Schedule.Product.Rates, Amount.Of(Currency.Usd, 3700000m), ri, CreateTradeInfoSchedule(6, todayPlus3M)),
Notional.Of(Schedule.Product.Rates, Amount.Of(Currency.Usd, -2000000m), ri, CreateTradeInfoSchedule(7, todayPlus4Y)),
Notional.Of(Schedule.Product.Rates, Amount.Of(Currency.Gbp, -1750000m), ri, CreateTradeInfoSchedule(8, todayPlus10Y)),
Notional.Of(Schedule.Product.Rates, Amount.Of(Currency.Eur, 1620000m), ri, CreateTradeInfoSchedule(8, todayPlus10Y)),
Notional.Of(Schedule.Product.Other, Amount.Of(Currency.Usd, -120000m), ri, CreateTradeInfoSchedule(9, todayPlus3M)),
Notional.Of(Schedule.Product.Other, Amount.Of(Currency.Usd, 2140000m), ri, CreateTradeInfoSchedule(9, todayPlus3M)),
Notional.Of(Schedule.Product.Other, Amount.Of(Currency.Usd, 4350000m), ri, CreateTradeInfoSchedule(10, todayPlus4Y)),
Notional.Of(Schedule.Product.Other, Amount.Of(Currency.Usd, 4100000m), ri, CreateTradeInfoSchedule(11, todayPlus10Y)),
Notional.Of(Schedule.Product.Other, Amount.Of(Currency.Usd, -5120000m), ri, CreateTradeInfoSchedule(11, todayPlus10Y)),
// Schedule - Present Values
PresentValue.Of(Schedule.Product.Commodity, Amount.Of(Currency.Usd, 490000m), ri, CreateTradeInfoSchedule(1, todayPlus3M)),
PresentValue.Of(Schedule.Product.Credit, Amount.Of(Currency.Usd, -60000m), ri, CreateTradeInfoSchedule(2, todayPlus3M)),
PresentValue.Of(Schedule.Product.Credit, Amount.Of(Currency.Usd, 610000m), ri, CreateTradeInfoSchedule(3, todayPlus10Y)),
PresentValue.Of(Schedule.Product.Fx, Amount.Of(Currency.Usd, 320000m), ri, CreateTradeInfoSchedule(4, todayPlus3M)),
PresentValue.Of(Schedule.Product.Equity, Amount.Of(Currency.Usd, -230000m), ri, CreateTradeInfoSchedule(5, todayPlus4Y)),
PresentValue.Of(Schedule.Product.Rates, Amount.Of(Currency.Usd, 1850000m), ri, CreateTradeInfoSchedule(6, todayPlus3M)),
PresentValue.Of(Schedule.Product.Rates, Amount.Of(Currency.Usd, -450000m), ri, CreateTradeInfoSchedule(7, todayPlus4Y)),
PresentValue.Of(Schedule.Product.Rates, Amount.Of(Currency.Gbp, -170000m), ri, CreateTradeInfoSchedule(8, todayPlus10Y)),
PresentValue.Of(Schedule.Product.Rates, Amount.Of(Currency.Eur, 260000m), ri, CreateTradeInfoSchedule(8, todayPlus10Y)),
PresentValue.Of(Schedule.Product.Other, Amount.Of(Currency.Usd, -60000m), ri, CreateTradeInfoSchedule(9, todayPlus3M)),
PresentValue.Of(Schedule.Product.Other, Amount.Of(Currency.Usd, -240000m), ri, CreateTradeInfoSchedule(11, todayPlus10Y)),
};
return(dataEntities.AsReadOnly());
}
private static Sensitivity ReadSensitivityInterestRate(EntryObject o)
{
if (!Enum.TryParse(o.ProductClass, out Model.Product product))
{
throw new InvalidDataException($"The CRIF file contains a {o.RiskType} entry with an invalid ProductClass property.");
}
if (product != Model.Product.RatesFx)
{
throw new InvalidDataException($"The CRIF file contains a {o.RiskType} entry associated to a product class other than {Model.Product.RatesFx}.");
}
if (!Currency.TryParse(o.Qualifier, out Currency currency))
{
throw new InvalidDataException($"The CRIF file contains a {o.RiskType} entry with an invalid Qualifier property.");
}
if (!Tenor.TryParse(o.Label1, out Tenor tenor))
{
throw new InvalidDataException($"The CRIF file contains a {o.RiskType} entry with an invalid Label1 property.");
}
Amount amount = ReadAmount(o);
RegulationsInfo regulationsInfo = ReadRegulationsInfo(o);
TradeInfo tradeInfo = ReadTradeInfo(o);
if (o.RiskType == "Risk_IRCurve")
{
if (String.IsNullOrEmpty(o.Bucket))
{
throw new InvalidDataException("The CRIF file contains a Risk_IRCurve entry with an invalid Bucket property.");
}
String currencyVolatility = ((Int32)currency.Volatility + 1).ToString();
if (o.Bucket != currencyVolatility)
{
throw new InvalidDataException($"The CRIF file contains a Risk_IRCurve entry with mismatching currency volatility and volatility bucket (for {currency} the Bucket property must be set to {currencyVolatility}).");
}
o.Label2 = DataValidator.FormatLibor(o.Label2, true);
if (!Enum.TryParse(o.Label2, out Curve curve))
{
throw new InvalidDataException("The CRIF file contains a Risk_IRCurve entry with an invalid Label2 property.");
}
if ((currency != Currency.Usd) && ((curve == Curve.Municipal) || (curve == Curve.Prime)))
{
throw new InvalidDataException($"The CRIF file contains a {o.RiskType} entry with a {curve} curve associated to a currency other than {Currency.Usd}.");
}
return(Sensitivity.InterestRateDelta(currency, tenor, curve, amount, regulationsInfo, tradeInfo));
}
if (!String.IsNullOrEmpty(o.Bucket) || !String.IsNullOrEmpty(o.Label2))
{
throw new InvalidDataException("The CRIF file cannot specify Bucket and Label2 properties for Risk_IRVol entries.");
}
return(Sensitivity.InterestRateVega(currency, tenor, amount, regulationsInfo, tradeInfo));
}