public bool Check(Trade trade)
{
var product = trade.Product;
var swap = product as Swap;
var cdsindex = product as CDSIndex;
Boolean result = true;
//Only check this rule for the manual trades
if (Utilities.IsNullOrEmpty(trade.TradingSystem))
{
if (swap != null)
{
var currencyMAT = new String[] { "USD", "EUR", "GBP" };
if (currencyMAT.Contains(swap.Currency.ToString()) && ((swap.PayLeg.IsFixedRate && swap.ReceiveLeg.IsFloating) || (swap.PayLeg.IsFloating && swap.ReceiveLeg.IsFixedRate)))
{
Leg fixedLeg = swap.PayLeg.IsFixedRate ? swap.PayLeg : swap.ReceiveLeg;
Leg floatingLeg = swap.PayLeg.IsFloating ? swap.PayLeg : swap.ReceiveLeg;
CurrentSwap curSwap = new CurrentSwap();
curSwap.Currency = swap.Currency.ToString();
curSwap.StartDateRule = floatingLeg.RollConvention.ToString();
curSwap.TradeDate = new SimpleDate(trade.TradeTime);
curSwap.StartDate = swap.StartDate;
curSwap.FloatingRateIndex = floatingLeg.RateIndexDescription;
curSwap.FixedPaymentFrequ = fixedLeg.PaymentFrequency.ToString();
curSwap.FixedDayCountFraction = fixedLeg.Daycount.ToString();
curSwap.FloatingPaymentFrequ = floatingLeg.PaymentFrequency.ToString();
curSwap.FloatingFixingFrequ = floatingLeg.RateIndexTenor.ToString();
curSwap.FloatingDayCountFraction = floatingLeg.Daycount.ToString();
curSwap.FloatingAmortType = floatingLeg.AmortType.ToString();
var tenorPrefix = (swap.EndDate - swap.StartDate) / 365;
curSwap.Maturity = tenorPrefix.ToString() + 'Y';
curSwap.FloatingHolidayCalendar = floatingLeg.FixingMarketPlaces;
curSwap.FloatingBusinessDayConvention = floatingLeg.BusinessDayConvention.ToString();
if (swap.Currency.ToString().Equals("USD"))
{
if (CheckIfMAT(curSwap, new SwapUSD1()) || CheckIfMAT(curSwap, new SwapUSD2()))
{
result = false; //If MAT Trade we block the trade on the workflow
}
}
else if (swap.Currency.ToString().Equals("EUR"))
{
if (CheckIfMAT(curSwap, new SwapEUR()))
{
result = false; //If MAT Trade we block the trade on the workflow
}
}
else if (swap.Currency.ToString().Equals("GBP"))
{
result = false; //If MAT Trade we block the trade on the workflow
}
}
}
else if (cdsindex != null)
{
var indexMAT = new String[] { "CDX.NA.IG", "CDX.NA.HY", "iTraxx Europe", "iTraxx Europe Crossover" };
var tenorMAT = new String[] { "5Y" };
var subFamily = cdsindex.Ticker.IndexSubFamily;
var series = cdsindex.Ticker.IndexSeries;
Tenor tenor = cdsindex.ProtectionMaturity;
if (indexMAT.Contains(subFamily) && tenorMAT.Contains(tenor.ToString()))
{
IList<CreditTicker> tickerList = Env.Current.Trade.GetAllCreditTickerLike(subFamily + "%");
var tickers = new List<CreditTicker>();
var maxVersion = 0;
foreach (var creditTicker in tickerList)
{
if (subFamily.Equals(creditTicker.IndexSubFamily) && creditTicker.IndexSeries >= series)
{
maxVersion = creditTicker.IndexSeries;
}
}
if (maxVersion == series || (maxVersion - 1 == series))
{
result = false;
}
}
}
}
return result;
}
private bool CheckIfMAT(CurrentSwap curSwap, SwapMAT swapMAT)
{
var result = false;
switch (1)
{
case 1: //Check the Floating Rate Index
result = swapMAT.FloatingRateIndex.Contains(curSwap.FloatingRateIndex);
if (result)
goto case 2;
else
break;
case 2: //Check the Start Date rule
var rule = swapMAT.StartDateRule;
if (rule.Equals("T+0"))
{
result = curSwap.StartDate.Equals(curSwap.TradeDate);
}
else if (rule.Equals("T+2"))
{
ICalendar cal = CalendarHelper.Get(curSwap.FloatingHolidayCalendar);
SimpleDate nextBusinessDay = NextBusinessDay(cal, curSwap.TradeDate, 2);
result = nextBusinessDay.Equals(curSwap.StartDate);
}
else if (rule.Equals("IMM"))
{
result = rule.Equals(curSwap.StartDateRule);
}
if (result)
goto case 3;
else
break;
case 3: //Check the Payment Frequency on the fixed leg
result = swapMAT.FixedPaymentFrequ.Contains(curSwap.FixedPaymentFrequ);
if (result)
goto case 4;
else
break;
case 4: //Check the Day Count Fraction on the fixed leg
result = swapMAT.FixedDayCountFraction.Contains(curSwap.FixedDayCountFraction);
if (result)
goto case 5;
else
break;
case 5: //Check the Payment Frequency on the floating leg
string paymentFrequency = null;
var getKey1 = swapMAT.FloatingPaymentFrequ.TryGetValue(curSwap.FloatingRateIndex, out paymentFrequency);
if (getKey1)
{
var keys = paymentFrequency.Split('+');
result = keys.Contains(curSwap.FloatingPaymentFrequ);
}
if (result)
goto case 6;
else
break;
case 6: //Check the Fixing Frequency on the floating leg
string fixingFrequency = null;
var getKey2 = swapMAT.FloatingFixingFrequ.TryGetValue(curSwap.FloatingRateIndex, out fixingFrequency);
if (getKey2)
{
var keys = fixingFrequency.Split('+');
result = keys.Contains(curSwap.FloatingFixingFrequ);
}
if (result)
goto case 7;
else
break;
case 7: //Check the Day Count Fraction on the floating leg
result = swapMAT.FloatingDayCountFraction.Contains(curSwap.FloatingDayCountFraction);
if (result)
goto case 8;
else
break;
case 8: //Check if the notional is variable (amortization)
result = curSwap.FloatingAmortType.Equals(AmortType.None.ToString());
if (result)
goto case 9;
else
break;
case 9: //Check the Maturity of the trade
result = swapMAT.Maturity.Contains(curSwap.Maturity);
if (result)
goto case 10;
else
break;
case 10: //Check the Business Calendar of the floating leg
Char[] separator = new Char[] {':'};
var calendars = curSwap.FloatingHolidayCalendar.Split(separator);
foreach (string calendar in calendars) {
result = swapMAT.FloatingHolidayCalendar.Contains(calendar.Trim());
if (!result)
break;
}
if (result)
goto case 11;
else
break;
case 11: //Check the Business Day Convention of the floating leg
result = swapMAT.FloatingBusinessDayConvention.Contains(curSwap.FloatingBusinessDayConvention);
if (result)
return true;
else
break;
}
return result;
}
