bool CompareLegs(Leg leg1, Leg leg2, MurexProduct murex, bool isFloatFloat,
bool fullMatch, bool sameRef, ref string unmatchReason, DateTime dt)
{
var date = new SimpleDate(dt);
var time = dt;
if (leg1.NotionalCurrency != murex.Currency1)
{
if (!sameRef) return false;
else unmatchReason += "Currency1 ";
}
if (leg2.NotionalCurrency != murex.Currency2)
{
if (!sameRef) return false;
else unmatchReason += "Currency2 ";
}
if (leg1.StartDate != murex.EffectiveDate &&
leg1.FirstCalculationPeriodStart != murex.EffectiveDate)
{
if (!sameRef) return false;
else unmatchReason += "SwapStartDate ";
}
if (leg1.EndDate != murex.EndDate)
{
if (!sameRef) return false;
else unmatchReason += "SwapEndDate ";
}
if (Math.Abs(leg1.CurrentNominal(date, time, false) - murex.Nominal1) > _qtyTolerance)
{
if (fullMatch) return false;
else unmatchReason += "Nominal1 ";
}
if (Math.Abs(leg2.CurrentNominal(date, time, false) - murex.Nominal2) > _qtyTolerance)
{
if (fullMatch) return false;
else unmatchReason += "Nominal2 ";
}
if (!isFloatFloat && Math.Abs(leg1.FixedRate - murex.FixedRate) > _rateTolerance)
{
if (fullMatch) return false;
else unmatchReason += "FixedRate ";
}
if (Math.Abs(leg2.Spread - murex.Spread2) > _rateTolerance)
{
if (fullMatch) return false;
else unmatchReason += "Spread2 ";
}
if (leg2.FirstFixing != 0 && Math.Abs(leg2.FirstFixing - murex.FirstFixingRate2) > _rateTolerance)
{
if (fullMatch) return false;
else unmatchReason += "FirstFixing2 ";
}
if (isFloatFloat)
{
if (Math.Abs(leg1.Spread - murex.Spread1) > _rateTolerance)
{
if (fullMatch) return false;
else unmatchReason += "Spread1 ";
}
if (leg1.FirstFixing != 0 && Math.Abs(leg1.FirstFixing - murex.FirstFixingRate1) > _rateTolerance)
{
if (fullMatch) return false;
else unmatchReason += "FirstFixing1 ";
}
}
return true;
}
public Product GetProduct(IDictionary<string, Contract> contracts, Log logger)
{
Product prod = null;
var prodCurrency = Env.Current.StaticData.GetCurrency(Currency1);
if (SecurityType.Equals(TradeInfo.Bonds))
{
prod = Env.Current.Trade.GetProductByCode(Product.IsinProductCode, Identifier2) ??
Env.Current.Trade.GetProductByCode(Product.CusipProductCode, Identifier2);
}
else if (IsFuture)
{
var tickerSymbol = Identifier1.Length == 1 ? Identifier1 + " " : Identifier1;
string ticker = tickerSymbol;
if (SecurityType.Equals(TradeInfo.EquityFutures))
{
ticker += " Index";
}
else if (SecurityType.Equals(TradeInfo.OtherFutures))
{
ticker += " Curncy";
}
else
{
ticker += " Comdty";
}
Contract c = null;
contracts.TryGetValue(ticker, out c);
if (c == null)
contracts.TryGetValue(tickerSymbol, out c);
if (c != null)
{
var maturity = Maturity;
if (c.UnderlierType == ContractUnderlierType.Bond)
{
var expirations = c.NextExpiries(ReportDate, c.TotalListed, true, true);
if (expirations != null && expirations.Count > 0)
{
foreach (var ex in expirations)
{
if (maturity == c.LastDeliveryDate(ex))
{
maturity = ex;
break;
}
}
}
}
var bbgTicker = c.GetFutureCode(maturity) + " " + c.TickerSuffix;
prod = Env.Current.Trade.GetProductByCode(Product.DefaultTicker, bbgTicker) ??
ImportHelper.FindFuture(false, null, contracts.Values.ToList(), bbgTicker, null, null,
c.ContractMonth(maturity), maturity, 0, 0, Currency1, new List<Exception>(), null);
if (prod == null)
prod = Env.Current.Trade.GetProductByCode(TradeImportHelper.MurexMaturity, c.TickerSymbol + " " + maturity);
}
}
else if (IsListedOption)
{
Contract c = null;
var tickerSymbol = Identifier1.Length == 1 ? Identifier1 + " " : Identifier1;
var ticker = tickerSymbol;
if (SecurityType.Equals(TradeInfo.IrfOption))
{
ticker += " Comdty";
}
else if (SecurityType.Equals(TradeInfo.EqOption))
{
ticker += " Equity";
}
else
{
ticker += " Comdty";
}
contracts.TryGetValue(ticker, out c);
if (c == null)
contracts.TryGetValue(tickerSymbol, out c);
if (c != null)
{
var contractMonth = c.ContractMonth(Maturity);
var bbgTicker = tickerSymbol + DateHelper.ToImm(contractMonth) + contractMonth.Year % 10
+ CallPut + " " + Strike + " " + c.TickerSuffix;
prod = Env.Current.Trade.GetProductByCode(Product.DefaultTicker, bbgTicker) ??
ImportHelper.FindFuture(true, null, contracts.Values.ToList(), bbgTicker, null, null, contractMonth, Maturity,
Strike, CallPut.Equals("P") ? OptionType.Put : OptionType.Call, Currency1, new List<Exception>(), null);
if (prod == null)
prod = Env.Current.Trade.GetProductByCode(TradeImportHelper.MurexMaturity, c.TickerSymbol + " " + Maturity
+ " " + CallPut + Strike);
}
}
else if (SecurityType.Equals(SwapInfo.IRSwap) || SecurityType.Equals(Fras) || SecurityType.Equals(SwapInfo.CcySwap)
|| SecurityType.Equals(SwaptionInfo.Swaption))
{
var murex = new MurexProduct();
prod = murex;
string prodtype;
if (SecurityType.Equals(SwapInfo.IRSwap))
{
prodtype = prodCurrency.IsNonDeliverable ? "NDS" : "Swap";
}
else if (SecurityType.Equals(SwapInfo.CcySwap))
{
prodtype = Instrument.Contains("MTM") ? "MTMCurrencySwap" : "CurrencySwap";
}
else if (SecurityType.Equals(MurexInfo.Fras))
{
prodtype = "FRA";
}
else
{
prodtype = "Swaption";
}
murex.ProductProcessingType = prodtype;
murex.ProductAccountingType = prodtype;
murex.ProductPricingType = prodtype;
murex.Generator = Instrument;
if (prodtype == "Swaption")
{
murex.Nominal1 = Math.Abs(Nominal1);
murex.Nominal2 = Math.Abs(Nominal2);
murex.Notional = murex.Nominal1;
murex.Currency1 = Currency1;
murex.Currency2 = Currency2;
if (OptionExerciseMethod != null)
{
murex.ExerciseSettlement = OptionExerciseMethod.Equals("0")
? ExerciseSettlement.Physical : ExerciseSettlement.Cash;
}
murex.EffectiveDate = SettleDate;
murex.EndDate = SwaptionMaturity;
murex.SwapStartDate = StartDate1;
murex.SwapEndDate = EndDate;
murex.UpFrontAmount = UpFrontAmount;
murex.UpFrontCcy = UpFrontCcy;
murex.UpFrontDate = UpFrontDate;
murex.FixedRate = Strike / 100;
if (CallPut != null)
murex.CallPut = CallPut.Equals("C") ? OptionType.Call : OptionType.Put;
if (OptionStyle != null)
murex.ExerciseType = OptionStyle.Equals("E") ? OptionExerciseType.European : OptionExerciseType.American;
}
else
{
// swap, fra..
murex.Nominal1 = Math.Abs(Nominal1);
murex.Nominal2 = Math.Abs(Nominal2);
murex.Notional = murex.Nominal1;
murex.Currency1 = Currency1;
murex.Currency2 = Currency2;
murex.EffectiveDate = StartDate1;
murex.EndDate = EndDate;
murex.FirstFixingRate1 = FirstFixingRate1 / 100;
murex.FirstFixingRate2 = FirstFixingRate2 / 100;
murex.Spread1 = Spread1 / 100;
murex.Spread2 = Spread2 / 100;
murex.FixedRate = Price / 100;
murex.UpFrontAmount = UpFrontAmount;
murex.UpFrontCcy = UpFrontCcy;
murex.UpFrontDate = UpFrontDate;
}
}
else if (SecurityType.Equals(FxInfo.SpotForward) || SecurityType.Equals(FxoInfo.SimpleFXO))
{
CurrencyPair cp;
string c1, c2;
c1 = PrimaryCcy ?? Currency1;
c2 = QuotingCcy ?? Currency2;
cp = Env.Current.Trade.GetCurrencyPair(c1, c2);
if (cp != null)
{
var ccy1 = Env.Current.StaticData.GetCurrency(cp.Primary);
var ccy2 = Env.Current.StaticData.GetCurrency(cp.Quoting);
var isNdf = false;
if (!FixingDate.IsNull)
isNdf = true;
if (SecurityType.Equals(FxInfo.SpotForward))
{
var fx = isNdf ? new NDF() : new FX();
prod = fx;
fx.IsForward = false;
fx.Primary = cp.Primary;
fx.Quoting = cp.Quoting;
fx.PrimarySettleDate = NDFSettleDate;
fx.QuotingSettleDate = NDFSettleDate;
if (fx.Primary == PrimaryCcy)
{
fx.PrimaryAmount = Math.Abs(PrimaryAmount);
fx.QuotingAmount = Math.Abs(QuotingAmount);
}
else
{
fx.PrimaryAmount = Math.Abs(QuotingAmount);
fx.QuotingAmount = Math.Abs(PrimaryAmount);
}
fx.SpotRate = Math.Abs(Price);
if (isNdf)
{
var ndCcy = ccy1.IsNonDeliverable ? cp.Primary : cp.Quoting;
var ndfixing = cp.Quoting + "/" + cp.Primary;
var ndf = fx as NDF;
ndf.NonDeliverableCurrency = ndCcy;
var fix = Env.Current.StaticData.GetFxFixing(ndfixing);
if (fix != null)
{
ndf.FXFixingName = fix.Name;
ndf.FXFixingOffset = fix.FixingLag;
ndf.FXFixingDate = FixingDate;
ndf.FixingValue = FixingRate;
}
}
}
else
{
var fxo = new FXOption();
prod = fxo;
fxo.ExpiryDate = Maturity;
fxo.Primary = cp.Primary;
fxo.Quoting = cp.Quoting;
fxo.IsBuy = BuySell.Equals("B") ? true : false;
if (fxo.Primary.Equals(Currency1))
{
fxo.PrimaryAmount = Math.Abs(Nominal1);
fxo.QuotingAmount = Math.Abs(Nominal2);
}
else
{
fxo.PrimaryAmount = Math.Abs(Nominal2);
fxo.QuotingAmount = Math.Abs(Nominal1);
}
fxo.OptionStrike = Math.Abs(Strike);
if (OptionExerciseMethod != null)
fxo.ExerciseSettlement = OptionExerciseMethod.Equals("0") ? ExerciseSettlement.Cash : ExerciseSettlement.Physical;
fxo.InitialPremiumAmount = Math.Abs(UpFrontAmount);
fxo.InitialPremiumDate = UpFrontDate;
fxo.InitialPremiumCurrency = UpFrontCcy;
fxo.InitialPremiumPayReceive = UpFrontAmount > 0 ? PayReceive.Receive : PayReceive.Pay;
fxo.OptionType = CallPut == "P" ? OptionType.Put : OptionType.Call;
if (fxo.ExerciseSettlement == ExerciseSettlement.Cash)
fxo.SettleCurrency = Currency1;
fxo.SettlementMarketPlaces = cp.DefaultMarketPlaces;
fxo.SettlementLag = cp.SpotLag;
fxo.ExerciseType = OptionExerciseType.European;
}
}
else
logger.Error("Cannot find CurrencyPair: " + Symbol);
}
if (prod == null)
prod = new GenericProduct
{
ProductProcessingType = SecurityType,
ProductDescription = Symbol
};
return prod;
}
bool CompareFees(Trade tr1, MurexProduct murex)
{
if (murex.UpFrontAmount != 0)
{
if (tr1.Fees == null) return false;
foreach (var f in tr1.Fees)
{
if (f.FeeType == FeeType.Upfront)
{
if (Math.Abs(f.Amount - Math.Abs(murex.UpFrontAmount)) > _amountTolerance) continue;
if (f.Currency != murex.UpFrontCcy) continue;
//if (f.PayReceive == PayReceive.Pay && murex.UpFrontAmount > 0) continue;
//if (f.PayReceive == PayReceive.Receive && murex.UpFrontAmount < 0) continue;
if (f.Date != murex.UpFrontDate) continue;
return true;
}
}
return false;
}
return true;
}