/// <summary>
/// Initializes a new instance of the <see cref="InstrumentControllerData"/> class.
/// </summary>
/// <param name="assetValuation">The asset valuation.</param>
/// <param name="market">The market.</param>
/// <param name="valuationDate">The valuation date.</param>
/// <param name="reportingCurrency">The reporting currency.</param>
public InstrumentControllerData(AssetValuation assetValuation, IMarketEnvironment market, DateTime valuationDate, Currency reportingCurrency)
{
AssetValuation = assetValuation;
MarketEnvironment = market;
ValuationDate = valuationDate;
ReportingCurrency = reportingCurrency;
}
public void TestCreateSwaptionValuationReport()
{
var curves = CreateInterestRateStreamTestEnvironment(DateTime.Now);
Swaption swaption = GenerateSwaptionParametricWithCashflows();
var marketFactory = new MarketFactory();
marketFactory.AddYieldCurve(curves.GetForecastRateCurveFpML());
Market market = marketFactory.Create();
const string baseParty = _NAB;
var assetValuation = new AssetValuation();
var listOfQuotations = new List <Quotation>();
IEnumerable <StringDoubleRangeItem> valuationSet = CreateValuationSetList(54321, 123.5);
foreach (StringDoubleRangeItem item in valuationSet)
{
var quotation = new Quotation
{
measureType = AssetMeasureTypeHelper.Parse(item.StringValue),
value = (decimal)item.DoubleValue,
valueSpecified = true
};
listOfQuotations.Add(quotation);
}
assetValuation.quote = listOfQuotations.ToArray();
ValuationReport valuationReport = ValuationReportGenerator.Generate("some-valuation-Id", baseParty, "0001", DateTime.Now, swaption, market, assetValuation);
Debug.WriteLine("ValuationReport:");
Debug.WriteLine(XmlSerializerHelper.SerializeToString(typeof(Document), valuationReport));
string s1 = XmlSerializerHelper.SerializeToString(typeof(Document), valuationReport);
XmlSerializerHelper.DeserializeFromString <ValuationReport>(typeof(Document), s1);
XmlSerializerHelper.SerializeToFile(typeof(Document), valuationReport, "some-valuation-Id");
XmlSerializerHelper.DeserializeFromFile <ValuationReport>(typeof(Document), "some-valuation-Id");
}
public static ValuationReport Generate(string valuationId, string party1Name, string party2Name,
bool isParty1Base, Trade trade, Market market,
AssetValuation assetValuation)
{
var valuationReport = new ValuationReport
{
header = new NotificationMessageHeader
{
messageId = new MessageId
{
Value = valuationId
}
},
market = market
};
// Associate id with the valuation
//
var tradeValuationItem = new TradeValuationItem();
valuationReport.tradeValuationItem = new[] { tradeValuationItem };
string baseParty = isParty1Base ? party1Name : party2Name;
Party party1 = PartyFactory.Create("Party1", party1Name);
Party party2 = PartyFactory.Create("Party2", party2Name);
valuationReport.party = new[] { party1, party2 };
tradeValuationItem.Items = new object[] { trade };
tradeValuationItem.valuationSet = new ValuationSet
{
baseParty = PartyReferenceFactory.Create(baseParty),
assetValuation = new[] { assetValuation }
};
return(valuationReport);
}
// aggregate type, e.g. sum, something else
//
public static AssetValuation GetValue(IList <InstrumentControllerBase> listIPriceable, IInstrumentControllerData modelData)
{
var list = listIPriceable.Select(pr => pr.Calculate(modelData)).ToList();
AssetValuation sum = AssetValuationHelper.Sum(list);
return(sum);
}
public static AssetValuation CreateAssetValuationFromValuationSet(List <StringObjectRangeItem> valuationSet)
{
var assetValuation = new AssetValuation();
var listOfQuotations = new List <Quotation>();
foreach (StringObjectRangeItem item in valuationSet)
{
var quotation = new Quotation
{
measureType = AssetMeasureTypeHelper.Parse(item.StringValue)
};
if (item.ObjectValue is double | item.ObjectValue is decimal)
{
quotation.value = Convert.ToDecimal(item.ObjectValue);
quotation.valueSpecified = true;
}
else
{
quotation.cashflowType = new CashflowType {
Value = item.ObjectValue.ToString()
};
}
listOfQuotations.Add(quotation);
}
assetValuation.quote = listOfQuotations.ToArray();
return(assetValuation);
}
public static ValuationReport Generate(string valuationId, string baseParty,
string tradeId, DateTime tradeDate,
CapFloor capFloor, Market market, AssetValuation assetValuation)
{
var valuationReport = new ValuationReport
{
header = new NotificationMessageHeader
{
messageId = new MessageId
{
Value
=
valuationId
}
},
market = market
};
// Associate id with the valuation
//
var tradeValuationItem = new TradeValuationItem();
valuationReport.tradeValuationItem = new[] { tradeValuationItem };
var trade = new Trade();
TradeHeader tradeHeader = CreateTradeHeader(tradeDate, tradeId);
trade.tradeHeader = tradeHeader;
XsdClassesFieldResolver.TradeSetCapFloor(trade, capFloor);
tradeValuationItem.Items = new object[] { trade };
tradeValuationItem.valuationSet = new ValuationSet
{
baseParty = PartyReferenceFactory.Create(baseParty),
assetValuation = new[] { assetValuation }
};
return(valuationReport);
}
public static AssetValuation Copy(AssetValuation baseValuation)
{
AssetValuation result = null;
if (baseValuation != null)
{
result = new AssetValuation();
if (baseValuation.quote != null)
{
result.quote = QuotationHelper.Copy(baseValuation.quote).ToArray();
}
if (baseValuation.fxRate != null)
{
var fxRate = new List <FxRate>();
//result.fxRate
//if (baseValuation.fxRate!=null)
//{
foreach (var rate in baseValuation.fxRate)
{
var newRate = new FxRate
{
quotedCurrencyPair = new QuotedCurrencyPair
{
currency1 =
CurrencyHelper.Copy(
rate.quotedCurrencyPair.
currency1),
currency2 =
CurrencyHelper.Copy(
rate.quotedCurrencyPair.
currency2),
quoteBasis =
rate.quotedCurrencyPair.
quoteBasis
}
};
fxRate.Add(newRate);
}
result.fxRate = fxRate.ToArray();
}
if (baseValuation.valuationScenarioReference != null)
{
result.valuationScenarioReference = new ValuationScenarioReference
{
href = baseValuation.valuationScenarioReference.href
};
}
if (baseValuation.id != null)
{
result.id = baseValuation.id;
}
if (baseValuation.objectReference != null)
{
result.objectReference = new AnyAssetReference {
href = baseValuation.objectReference.href
};
}
}
return(result);
}
public void TestCreateFraValuationReport1()
{
var rateCurve = TestRateCurve(new DateTime(2009, 7, 15));
var fra = new Fra();
var pair = rateCurve.GetFpMLData();
var marketFactory = new MarketFactory();
marketFactory.AddPricingStructure(pair);
Market market = marketFactory.Create();
const string baseParty = _NAB;
var assetValuation = new AssetValuation();
var listOfQuotations = new List <Quotation>();
IEnumerable <StringDoubleRangeItem> valuationSet = CreateValuationSetList(54321, 123.5);
foreach (StringDoubleRangeItem item in valuationSet)
{
var quotation = new Quotation
{
measureType = AssetMeasureTypeHelper.Parse(item.StringValue),
value = (decimal)item.DoubleValue,
valueSpecified = true
};
listOfQuotations.Add(quotation);
}
assetValuation.quote = listOfQuotations.ToArray();
ValuationReport valuationReport = ValuationReportGenerator.Generate("some-valuation-Id", baseParty, fra, market, assetValuation);
Debug.WriteLine("ValuationReport:");
Debug.WriteLine(XmlSerializerHelper.SerializeToString(valuationReport));
}
/// <summary>
/// Updates the parent valuation with the sum of child valuations, where there is no specific parent valuation.
/// </summary>
/// <param name="parentValuation">The parent valuation.</param>
/// <param name="childValuation">The child valuation.</param>
public static AssetValuation UpdateValuation(AssetValuation parentValuation, AssetValuation childValuation)
{
var parentMetrics = ExtractMetricsFromAssetValuations(parentValuation);
var childMetrics = ExtractMetricsFromAssetValuations(childValuation);
var parentValuationMerged = UpdateValuation(parentValuation, childValuation, parentMetrics, childMetrics);
return(parentValuationMerged);
}
public static AssetValuation Create(params Quotation[] quotations)
{
var result = new AssetValuation {
quote = quotations
};
return(result);
}
/// <summary>
/// Creates the specified Basic asset valuation with a reference and set of quotations
/// </summary>
/// <param name="reference">The reference.</param>
/// <param name="quotations">The quotations.</param>
/// <returns></returns>
public static AssetValuation Create(string reference, params Quotation[] quotations)
{
AssetValuation result = Create(quotations);
result.objectReference = new AnyAssetReference {
href = reference
};
return(result);
}
public static ValuationReport Generate(string valuationId, string baseParty,
string tradeId, DateTime tradeDate,
Swap swap, Market market,
AssetValuation assetValuation)
{
var valuationReport = new ValuationReport
{
header = new NotificationMessageHeader
{
messageId = new MessageId
{
Value
=
valuationId
}
},
market = market
};
// Associate id with the valuation
//
var tradeValuationItem = new TradeValuationItem();
valuationReport.tradeValuationItem = new[] { tradeValuationItem };
//Party nabParty = PartyFactory.Create("Party1");
//Party counterParty = PartyFactory.Create(_counterpartyName);
//
// valuationReport.party = new Party[] { nabParty, counterParty };
// PartyOrAccountReference nabPartyReference = PartyOrAccountReferenceFactory.Create(nabParty.id);
// PartyOrAccountReference counterPartyReference = PartyOrAccountReferenceFactory.Create(counterParty.id);
// // NAB is the payer of pay paystream and receiver of receive stream
// //
// SwapHelper.GetPayerStream(swap).payerPartyReference = nabPartyReference;
// SwapHelper.GetReceiverStream(swap).receiverPartyReference = nabPartyReference;
//
// // CounterParty is the receiver of paystream and payer of receivestream
// //
// SwapHelper.GetPayStream(swap).receiverPartyReference = counterPartyReference;
// SwapHelper.GetReceiveStream(swap).payerPartyReference = counterPartyReference;
var trade = new Trade();
// Generate trade header
//
TradeHeader tradeHeader = CreateTradeHeader(tradeDate, tradeId);
trade.tradeHeader = tradeHeader;
XsdClassesFieldResolver.TradeSetSwap(trade, swap);
tradeValuationItem.Items = new object[] { trade };
tradeValuationItem.valuationSet = new ValuationSet
{
baseParty = PartyReferenceFactory.Create(baseParty),
assetValuation = new[] { assetValuation }
};
return(valuationReport);
}
/// <summary>
/// Updates the parent valuation with the sum of child valuations, where there is no specific parent valuation.
/// </summary>
/// <param name="parentValuation">The parent valuation.</param>
/// <param name="childValuation">The child valuations.</param>
/// <param name="parentMetrics">A list of the parent metrics.</param>
/// <param name="childMetrics">A list iof the child netrics to aggregate.</param>
public static AssetValuation UpdateValuation(AssetValuation parentValuation, AssetValuation childValuation,
List <string> parentMetrics, List <string> childMetrics)
{
var parentQuotes = new List <Quotation>(parentValuation.quote);
var childQuotes = new List <Quotation>(childValuation.quote);
parentQuotes.AddRange(childQuotes.Where(quote => !parentMetrics.Contains(quote.measureType.Value)));
parentValuation.quote = parentQuotes.ToArray();
return(parentValuation);
}
/// <summary>
/// Initializes a new instance of the <see cref="InstrumentControllerData"/> class.
/// </summary>
/// <param name="assetValuation">The asset valuation.</param>
/// <param name="market">The market.</param>
/// <param name="valuationDate">The valuation date.</param>
/// <param name="reportingCurrency">The reporting currency.</param>
/// <param name="baseCalculationParty">The base party.</param>
/// <param name="isReportingCounterpartyRequired">Is the reporting party required to be one of the trade parties. The default is [false]. </param>
public InstrumentControllerData(AssetValuation assetValuation, IMarketEnvironment market, DateTime valuationDate, Currency reportingCurrency,
IIdentifier baseCalculationParty, Boolean isReportingCounterpartyRequired)
{
AssetValuation = assetValuation;
MarketEnvironment = market;
ValuationDate = valuationDate;
ReportingCurrency = reportingCurrency;
BaseCalculationParty = baseCalculationParty;
IsReportingCounterpartyRequired = isReportingCounterpartyRequired;
}
public string CreateSwapValuationReport(ICoreCache cache, string nameSpace, string valuationId, string baseParty,
string tradeId, DateTime tradeDate,
Swap swap, Market market, AssetValuation assetValuation)
{
ValuationReport valuationReport = ValuationReportGenerator.Generate(valuationId, baseParty,
tradeId, tradeDate,
swap, market, assetValuation);
cache.SaveObject(valuationReport, nameSpace + "." + valuationId, null);
return(valuationId);
}
/// <summary>
/// Aggregates the metrics.
/// </summary>
/// <param name="childValuations">The metrics.</param>
/// <param name="controllerMetrics">THe controller metrics</param>
/// <param name="currencies">The possible currencies. </param>
/// <returns></returns>
public static AssetValuation AggregateMetrics(List <AssetValuation> childValuations, List <string> controllerMetrics, List <string> currencies)
{
var result = new AssetValuation();
var quotes = new List <Quotation>();
foreach (var quote in controllerMetrics.Select(metric => SumMetricQuotations(childValuations, metric, currencies)))
{
quotes.AddRange(quote);
}
result.quote = quotes.ToArray();
return(result);
}
public static AssetValuation Copy(AssetValuation baseValuation)
{
AssetValuation result = null;
if (baseValuation != null)
{
result = new AssetValuation();
if (baseValuation.quote != null)
{
result.quote = QuotationHelper.Copy(baseValuation.quote).ToArray();
}
if (baseValuation.fxRate != null)
{
result.fxRate = new FxRate();
if (baseValuation.fxRate.quotedCurrencyPair != null)
{
result.fxRate.quotedCurrencyPair = new QuotedCurrencyPair
{
currency1 =
CurrencyHelper.Copy(
baseValuation.fxRate.quotedCurrencyPair.
currency1),
currency2 =
CurrencyHelper.Copy(
baseValuation.fxRate.quotedCurrencyPair.
currency2),
quoteBasis =
baseValuation.fxRate.quotedCurrencyPair.
quoteBasis
};
}
result.fxRate.rate = baseValuation.fxRate.rate;
}
if (baseValuation.valuationScenarioReference != null)
{
result.valuationScenarioReference = new ValuationScenarioReference
{
href = baseValuation.valuationScenarioReference.href
};
}
if (baseValuation.id != null)
{
result.id = baseValuation.id;
}
if (baseValuation.objectReference != null)
{
result.objectReference = new AnyAssetReference {
href = baseValuation.objectReference.href
};
}
}
return(result);
}
public string CreateValuation(
ILogger logger, ICoreCache cache,
String nameSpace,
IBusinessCalendar fixingCalendar,
IBusinessCalendar paymentCalendar,
List <StringObjectRangeItem> valuationSet,
ValuationRange valuationRange,
TradeRange tradeRange,
CapFloorLegParametersRange_Old legParametersRange,
List <InputCashflowRangeItem> legDetailedCashflowsListArray,
List <InputPrincipalExchangeCashflowRangeItem> legPrincipleExchangeCashflowListArray,
List <AdditionalPaymentRangeItem> legAdditionalPaymentListArray,
List <PartyIdRangeItem> partyIdList, //optional
List <OtherPartyPaymentRangeItem> otherPartyPaymentList, //optional
List <FeePaymentRangeItem> feePaymentList //optional
)
{
Pair <ValuationResultRange, CapFloor> fpML = GetPriceAndGeneratedFpML(logger, cache, nameSpace, fixingCalendar, paymentCalendar, valuationRange, tradeRange,
legParametersRange, legDetailedCashflowsListArray, legPrincipleExchangeCashflowListArray,
legAdditionalPaymentListArray, feePaymentList);
CapFloor capFloor = fpML.Second;
string valuationReportAndProductId = tradeRange.Id ?? Guid.NewGuid().ToString();
capFloor.id = valuationReportAndProductId;
AssetValuation assetValuation = InterestRateProduct.CreateAssetValuationFromValuationSet(valuationSet);
//Valuation valuation = new Valuation();
// TODO: add Trade Id & Trade data into valuation. (Trade.Id & Trade.TradeHeader.TradeDate)
//
string baseParty = valuationRange.BaseParty;
var uniqueCurves = new List <IRateCurve>();
foreach (string curveName in new[] { legParametersRange.ForecastCurve, legParametersRange.DiscountCurve })
{
if (!String.IsNullOrEmpty(curveName))
{
var curve = CurveLoader.LoadInterestRateCurve(logger, cache, nameSpace, curveName);
if (!uniqueCurves.Contains(curve))
{
uniqueCurves.Add(curve);
}
}
}
Market fpMLMarket = InterestRateProduct.CreateFpMLMarketFromCurves(uniqueCurves);
ValuationReport valuationReport = ValuationReportGenerator.Generate(valuationReportAndProductId, baseParty, valuationReportAndProductId, tradeRange.TradeDate, capFloor, fpMLMarket, assetValuation);
cache.SaveObject(valuationReport, valuationReportAndProductId, null);
InterestRateProduct.ReplacePartiesInValuationReport(valuationReport, partyIdList);
InterestRateProduct.AddOtherPartyPayments(valuationReport, otherPartyPaymentList);
return(valuationReportAndProductId);
}
/// <summary>
/// Sets the metric result.
/// </summary>
/// <param name="valuation">The valuation.</param>
/// <param name="metric">The metric.</param>
/// <param name="value">The value.</param>
/// <param name="sensitivitySet">The sensitivity set.</param>
public static void SetMetricResult(AssetValuation valuation, string metric, Decimal value, SensitivitySet[] sensitivitySet)
{
var quotes = new List <Quotation>(valuation.quote);
Quotation matchedQuote = quotes.Find(
item => String.Compare(item.measureType.Value, metric, StringComparison.OrdinalIgnoreCase) == 0
);
if (matchedQuote == null)
{
return;
}
matchedQuote.value = value;
matchedQuote.valueSpecified = true;
matchedQuote.sensitivitySet = sensitivitySet;
}
public static IInstrumentControllerData CreateInstrumentModelData(List <string> metrics, DateTime baseDate, IMarketEnvironment market, string reportingCurrency, string baseParty)
{
var bav = new AssetValuation();
var currency = CurrencyHelper.Parse(reportingCurrency);
var quotes = new Quotation[metrics.Count];
var index = 0;
foreach (var metric in metrics)
{
quotes[index] = QuotationHelper.Create(0.0m, metric, "DecimalValue", baseDate);
index++;
}
bav.quote = quotes;
return(new InstrumentControllerData(bav, market, baseDate, currency, new PartyIdentifier(baseParty)));
}
protected static IInstrumentControllerData CreateInstrumentModelData(string[] metrics, DateTime valuationDate, IMarketEnvironment market, string reportingCurrency, IIdentifier baseCounterParty)
{
var bav = new AssetValuation();
var currency = CurrencyHelper.Parse(reportingCurrency);
var quotes = new Quotation[metrics.Length];
var index = 0;
foreach (var metric in metrics)
{
quotes[index] = QuotationHelper.Create(0.0m, metric);
index++;
}
bav.quote = quotes;
return(new InstrumentControllerData(bav, market, valuationDate, currency, baseCounterParty));
}
static internal IInstrumentControllerData CreateInstrumentModelData(string[] metrics, DateTime baseDate, IMarketEnvironment market)
{
var bav = new AssetValuation();
var quotes = new Quotation[metrics.Length];
var index = 0;
foreach (var metric in metrics)
{
quotes[index] = QuotationHelper.Create(0.0m, metric);
index++;
}
bav.quote = quotes;
return(new InstrumentControllerData(bav, market, baseDate));
}
static internal IInstrumentControllerData CreateInstrumentModelData(string[] metrics, DateTime baseDate, IMarketEnvironment market, string reportingCurrency)
{
var bav = new AssetValuation();
var curreny = Currency.Parse(reportingCurrency);
var quotes = new Quotation[metrics.Length];
var index = 0;
foreach (var metric in metrics)
{
quotes[index] = QuotationHelper.Create(0.0m, metric, "DecimalValue");
index++;
}
bav.quote = quotes;
return(new InstrumentControllerData(bav, market, baseDate, curreny));
}
/// <summary>
/// Aggregates the coupon metric.
/// </summary>
/// <param name="childValuations">The metrics.</param>
/// <param name="controllerMetrics">The controller metrics</param>
/// <returns></returns>
protected static AssetValuation AggregateMetrics(List <AssetValuation> childValuations, List <string> controllerMetrics)
{
var result = new AssetValuation();
var quotes = new List <Quotation>();
foreach (var metric in controllerMetrics)
{
var quote = new Quotation();
var measure = new AssetMeasureType {
Value = metric
};
quote.measureType = measure;
quote.value = Aggregator.SumDecimals(childValuations.Select(valuation => Aggregator.SumDecimals(GetMetricResults(valuation, metric))).ToArray());
quote.valueSpecified = true;
quotes.Add(quote);
}
result.quote = quotes.ToArray();
return(result);
}
public static AssetValuation Sum(List <AssetValuation> assetValuationList)
{
if (0 == assetValuationList.Count)
{
throw new ArgumentException("basicAssetValuationList is empty");
}
if (1 == assetValuationList.Count)
{
return(Copy(assetValuationList[0]));//BinarySerializerHelper.Clone(assetValuationList[0]);//TODO problem with the binary serializer
}
// clone collection internally - just to keep invariant of the method.
//
List <AssetValuation> clonedCollection = Copy(assetValuationList);//BinarySerializerHelper.Clone(assetValuationList);//TODO problem with the binary serializer
AssetValuation firstElement = clonedCollection[0];
clonedCollection.RemoveAt(0);
AssetValuation sumOfTheTail = Sum(clonedCollection);
return(Add(firstElement, sumOfTheTail));
}
public static AssetValuation Add(AssetValuation assetValuation1, AssetValuation assetValuation2)
{
AssetValuation result = Copy(assetValuation1);//BinarySerializerHelper.Clone(assetValuation1);//TODO problem with the binary serializer
var proccessedMeasureTypes = new List <string>();
foreach (Quotation bq1 in result.quote)
{
proccessedMeasureTypes.Add(bq1.measureType.Value);
Quotation bq2 = GetQuotationByMeasureType(assetValuation2, bq1.measureType.Value);
if (null != bq2)
{
bq1.value += bq2.value;
}
}
var bqToAddToList = assetValuation2.quote.Where(bq2 => - 1 == proccessedMeasureTypes.IndexOf(bq2.measureType.Value)).ToList();
bqToAddToList.AddRange(result.quote);
result.quote = bqToAddToList.ToArray();
return(result);
}
/// <summary>
/// Creates the asset valuation.
/// </summary>
/// <param name="metrics">The metrics.</param>
/// <param name="baseDate">The base date.</param>
/// <returns></returns>
static public AssetValuation CreateAssetValuation(IEnumerable <string> metrics, DateTime baseDate)
{
var av = new AssetValuation();
var quotes = new List <Quotation>();
foreach (string metric in metrics)
{
var quotation = new Quotation();
var measureType = new AssetMeasureType {
Value = metric
};
quotation.value = 0.0m;
quotation.valueSpecified = true;
quotation.measureType = measureType;
quotation.valuationDate = baseDate;
quotation.valuationDateSpecified = true;
quotes.Add(quotation);
}
av.quote = quotes.ToArray();
return(av);
}
/// <summary>
/// Creates the asset valuation.
/// </summary>
/// <param name="metrics">The metrics.</param>
/// <param name="baseDate">The base date.</param>
/// <returns></returns>
public static AssetValuation CreateAssetValuation(string[] metrics, DateTime baseDate)
{
var av = new AssetValuation();
var quotes = new Quotation[metrics.Length];
int index = 0;
foreach (string metric in metrics)
{
var quotation = new Quotation();
var measureType = new AssetMeasureType {
Value = metric
};
quotation.value = 0.0m;
quotation.measureType = measureType;
quotation.valuationDate = baseDate;
quotation.valuationDateSpecified = true;
quotes[index] = quotation;
index++;
}
av.quote = quotes;
return(av);
}
/// <summary>
/// Gets the metric results.
/// </summary>
/// <param name="valuation">The valuation.</param>
/// <param name="metric">The metric.</param>
/// <returns></returns>
private static decimal[] GetMetricResults(AssetValuation valuation, string metric)
{
var results = new List <decimal>();
var quotes = new List <Quotation>(valuation.quote);
var matchedQuotes = quotes.FindAll(item => String.Compare(item.measureType.Value, metric, StringComparison.OrdinalIgnoreCase) == 0);
if (matchedQuotes.Count > 0)
{
foreach (Quotation quotation in matchedQuotes)
{
if (quotation.sensitivitySet != null)
{
results.AddRange(quotation.sensitivitySet[0].sensitivity.Select(sensitivity => sensitivity.Value));
}
else
{
results.Add(quotation.value);
}
}
}
return(results.ToArray());
}
public string CreateValuation(
ILogger logger,
ICoreCache cache,
String nameSpace,
IBusinessCalendar fixingCalendar,
IBusinessCalendar paymentCalendar,
List <StringObjectRangeItem> valuationSet,
ValuationRange valuationRange,
TradeRange tradeRange,
SwapLegParametersRange_Old leg1ParametersRange,
List <DetailedCashflowRangeItem> leg1DetailedCashflowsListArray,
List <PrincipalExchangeCashflowRangeItem> leg1PrincipalExchangeCashflowListArray,
List <AdditionalPaymentRangeItem> leg1AdditionalPaymentListArray,
List <PartyIdRangeItem> partyIdList,//optional
List <OtherPartyPaymentRangeItem> otherPartyPaymentList
)
{
Swap floater = GetPriceAndGeneratedFpMLSwap(logger, cache, nameSpace, fixingCalendar, paymentCalendar, valuationRange, tradeRange, leg1ParametersRange, leg1DetailedCashflowsListArray, leg1PrincipalExchangeCashflowListArray, leg1AdditionalPaymentListArray).Second;
string baseParty = valuationRange.BaseParty;
string valuationReportAndProductId = tradeRange.Id ?? Guid.NewGuid().ToString();
floater.id = valuationReportAndProductId;
var uniqueCurves = GetUniqueCurves(logger, cache, nameSpace, leg1ParametersRange);
Market fpMLMarket = InterestRateProduct.CreateFpMLMarketFromCurves(uniqueCurves);
var valuation = new Valuations.Valuation();
// TODO: add Trade Id & Trade data into valuation. (Trade.Id & Trade.TradeHeader.TradeDate)
//
AssetValuation assetValuation = InterestRateProduct.CreateAssetValuationFromValuationSet(valuationSet);
valuation.CreateSwapValuationReport(cache, nameSpace, valuationReportAndProductId, baseParty, tradeRange.Id, tradeRange.TradeDate, floater, fpMLMarket, assetValuation);
ValuationReport valuationReport = valuation.Get(cache, nameSpace, valuationReportAndProductId);
InterestRateProduct.ReplacePartiesInValuationReport(valuationReport, partyIdList);
InterestRateProduct.AddOtherPartyPayments(valuationReport, otherPartyPaymentList);
return(valuationReportAndProductId);
}
