/// <summary>
/// Constructs an AppraisalDocument.
/// </summary>
/// <param name="accountRow">A record containing the account or fund data.</param>
/// <param name="modelRow">A record containing the model that is superimposed on the appraisal data for
/// rebalancing.</param>
public AppraisalDocument(ClientMarketData.AccountRow accountRow, ClientMarketData.ModelRow modelRow)
{
// Create a view of the proposed orders that makes it easy to aggregate by position.
this.proposedOrderView = new DataView(ClientMarketData.ProposedOrder);
this.proposedOrderView.Sort = "[AccountId], [SecurityId], [PositionTypeCode]";
// Create a view of the orders that makes it easy to aggregate by position.
this.orderView = new DataView(ClientMarketData.Order);
this.orderView.Sort = "[AccountId], [SecurityId], [PositionTypeCode]";
// Create a view of the allocations that makes it easy to aggregate by position.
this.allocationView = new DataView(ClientMarketData.Allocation);
this.allocationView.Sort = "[AccountId], [SecurityId], [PositionTypeCode]";
// This makes the account and model avaiable to the recursive methods.
this.accountRow = accountRow;
this.modelRow = modelRow;
// Create the root element and add it to the document.
AppraisalElement rootElement = new AppraisalElement(this);
this.AppendChild(rootElement);
// Create and populate the DataSet that represents the outline of the appraisal. This function creates a
// set of linked structures that contains only the sectors, securities and positions that will appear in
// this document. This driver is built from the bottom up, meaning that we start with the tax lots,
// proposed orders, orders and allocations associated with the given account and build the driver up to
// the topmost security classification scheme. The alternative -- starting with the classification scheme
// and building down until we join with the tax lots, etc, -- turned out to be six times slower.
this.appraisal = new Common.Appraisal(accountRow, modelRow, true);
// This sector is a catch-all heading for securities not mapped to the given hierarchy. If everything is
// mapped, then this sector won't appear in the document.
SectorElement unclassifiedSector = null;
// Now that the driver is built, we can begin constructing the document. The first section is the
// 'Unclassified' sector. This section catches all securities that aren't explicitly mapped to the
// hierarchy. This is important because classification schemes are not guaranteed to map every security.
// Without this section, those unmapped securities wouldn't appear on the appraisal and wouldn't be
// included in the NAV calculation. That is very bad. Note also that we skip over the classification
// scheme record during the check. We know that the security classification scheme is at the top of the
// hierarchy and won't have any parents. Every other record that doesn't have a parent in the hierarchy
// is 'Unclassified'.
foreach (AppraisalSet.SecurityRow parentSecurity in this.appraisal.Security)
{
if (parentSecurity.ObjectRow.GetObjectTreeRowsByFKObjectObjectTreeChildId().Length == 0)
{
// If the document doesn't have an 'Unclassified' sector yet, then add the sector heading. All
// secutiries that are not mapped to the given hierarchy will appear under this catch-all header.
if (unclassifiedSector == null)
{
rootElement.InsertBySortOrder(unclassifiedSector = new SectorElement(this));
}
// Attach the each of the unclassified securities to the unclassified sector heading.
BuildDocument(unclassifiedSector, parentSecurity.ObjectRow);
}
}
// The report is built recursively. The 'AppraisalSet', constructed above, represents an 'inner join' of the
// hierarchy information to the active position information. We'll begin traversing the 'AppraisalSet' from
// the top level security: a single node representing the classification scheme.
foreach (AppraisalSet.SchemeRow schemeRow in this.appraisal.Scheme)
{
foreach (AppraisalSet.ObjectTreeRow objectTreeRow in schemeRow.ObjectRow.GetObjectTreeRowsByFKObjectObjectTreeParentId())
{
BuildDocument(rootElement, objectTreeRow.ObjectRowByFKObjectObjectTreeChildId);
}
}
}
/// <summary>
/// Recusively builds the XML document from the document outline.
/// </summary>
/// <param name="parentElement">The parent XML element the node being built.</param>
/// <param name="parentSecurity">The parent security.</param>
private void BuildDocument(CommonElement parentElement, AppraisalSet.ObjectRow parentObject)
{
// The code below will test to see if the current node is a sector or security, then create the appropriate
// element. The outline doesn't have the full information about the securities, so we need to get a record
// into the data model that can reference the security master.
ClientMarketData.ObjectRow childObject = ClientMarketData.Object.FindByObjectId(parentObject.ObjectId);
// Attach the sectors to this level of the document.
foreach (ClientMarketData.SectorRow sectorRow in childObject.GetSectorRows())
{
// Create the new sector element and attach it to the document.
SectorElement sectorElement = new SectorElement(this, sectorRow);
parentElement.InsertBySortOrder(sectorElement);
// Recurse down into the children securities looking for more sectors or securities to attach.
foreach (AppraisalSet.ObjectTreeRow objectTreeRow in parentObject.GetObjectTreeRowsByFKObjectObjectTreeParentId())
{
BuildDocument(sectorElement, objectTreeRow.ObjectRowByFKObjectObjectTreeChildId);
}
}
// Attach the securities to this level of the document.
foreach (ClientMarketData.SecurityRow securityRow in childObject.GetSecurityRows())
{
// Attach long and short Debts to this level of the document.
foreach (ClientMarketData.DebtRow debtRow in securityRow.GetDebtRowsByFKSecurityDebtDebtId())
{
foreach (AppraisalSet.SecurityRow driverSecurity in parentObject.GetSecurityRows())
{
foreach (AppraisalSet.PositionRow driverPosition in driverSecurity.GetPositionRows())
{
parentElement.InsertByName(new DebtElement(this, debtRow, driverPosition));
}
}
}
// Attach long and short Currencies to this level of the document.
foreach (ClientMarketData.CurrencyRow currencyRow in securityRow.GetCurrencyRows())
{
foreach (AppraisalSet.SecurityRow driverSecurity in parentObject.GetSecurityRows())
{
foreach (AppraisalSet.PositionRow driverPosition in driverSecurity.GetPositionRows())
{
parentElement.InsertByName(new CurrencyElement(this, currencyRow, driverPosition));
}
}
}
// Attach long and short Equities to this level of the document.
foreach (ClientMarketData.EquityRow equityRow in securityRow.GetEquityRowsByFKSecurityEquityEquityId())
{
foreach (AppraisalSet.SecurityRow driverSecurity in parentObject.GetSecurityRows())
{
foreach (AppraisalSet.PositionRow driverPosition in driverSecurity.GetPositionRows())
{
parentElement.InsertByName(new EquityElement(this, equityRow, driverPosition));
}
}
}
}
}