public string LoadValuationReports(ICoreCache cache, string nameSpace)
{
var results = cache.LoadItems(typeof(ValuationReport), Expr.ALL);
foreach (var item in results)
{
try
{
var valuationReport = (ValuationReport)item.Data;
string valuationId = valuationReport.header.messageId.Value;
cache.SaveObject(valuationReport, nameSpace + "." + valuationId, null);
}
catch (System.Exception excp)
{
cache.Logger.Log(excp);
}
}
return(String.Format("ValuationReports retrieved"));
}
private static Market GetCurve(ILogger logger, ICoreCache cache, string nameSpace, object[][] rateCurveFiltersRange)
{
NamedValueSet rateCurveFilters = rateCurveFiltersRange.ToNamedValueSet();
IExpression queryExpr = Expr.BoolAND(rateCurveFilters);
List <ICoreItem> loadedCurves = cache.LoadItems <Market>(queryExpr);
if (loadedCurves.Count == 0)
{
throw new InvalidOperationException("Requested curve is not available.");
}
if (loadedCurves.Count > 1)
{
throw new InvalidOperationException("More than 1 curve found for supplied filters.");
}
var loadedCurve = loadedCurves.Single();
var market = (Market)loadedCurve.Data;
var yieldCurveValuation = (YieldCurveValuation)market.Items1[0];
DateTime baseDate = yieldCurveValuation.baseDate.Value;
string currency = PropertyHelper.ExtractCurrency(loadedCurve.AppProps);
yieldCurveValuation.discountFactorCurve = ConstructDiscountFactors(logger, cache, nameSpace, yieldCurveValuation.discountFactorCurve, baseDate, currency);
return(market);
}
/// <summary>
/// Returns the header information for all trades matching the query properties.
/// </summary>
/// <param name="query">The query properties. A 2-column array of names and values.</param>
/// <returns></returns>
public object[,] QueryTradeIds(object[,] query)
{
//try
//{
int rowMin = query.GetLowerBound(0);
int rowMax = query.GetUpperBound(0);
int colMin = query.GetLowerBound(1);
int colMax = query.GetUpperBound(1);
if (colMax - colMin + 1 != 3)
{
throw new ApplicationException("Input parameters must be 3 columns (name/op/value)!");
}
IExpression whereExpr = null;
for (int row = rowMin; row <= rowMax; row++)
{
int colName = colMin + 0;
int colOp = colMin + 1;
int colValue = colMin + 2;
var name = query[row, colName] == null ? null : query[row, colName].ToString();
var op = query[row, colOp] == null ? null : query[row, colOp].ToString();
object value = query[row, colValue];
if (name != null && (op != null) && (value != null))
{
op = op.ToLower().Trim();
if (op == "equ" || op == "==")
{
whereExpr = Expr.BoolAND(Expr.IsEQU(name, value), whereExpr);
}
else if (op == "neq" || op == "!=")
{
whereExpr = Expr.BoolAND(Expr.IsNEQ(name, value), whereExpr);
}
else if (op == "geq" || op == ">=")
{
whereExpr = Expr.BoolAND(Expr.IsGEQ(name, value), whereExpr);
}
else if (op == "leq" || op == "<=")
{
whereExpr = Expr.BoolAND(Expr.IsLEQ(name, value), whereExpr);
}
else if (op == "gtr" || op == ">")
{
whereExpr = Expr.BoolAND(Expr.IsGTR(name, value), whereExpr);
}
else if (op == "lss" || op == "<")
{
whereExpr = Expr.BoolAND(Expr.IsLSS(name, value), whereExpr);
}
else if (op == "starts")
{
whereExpr = Expr.BoolAND(Expr.StartsWith(name, value.ToString()), whereExpr);
}
else if (op == "ends")
{
whereExpr = Expr.BoolAND(Expr.EndsWith(name, value.ToString()), whereExpr);
}
else if (op == "contains")
{
whereExpr = Expr.BoolAND(Expr.Contains(name, value.ToString()), whereExpr);
}
else
{
throw new ApplicationException("Unknown Operator: '" + op + "'");
}
}
}
List <ICoreItem> items = _cache.LoadItems(typeof(Trade), whereExpr); //TODO what about confirmation?
var result = new object[items.Count + 1, 17];
// add heading row
result[0, 0] = TradeProp.ProductType;
result[0, 1] = TradeProp.TradeId;
result[0, 2] = TradeProp.TradeDate;
result[0, 3] = TradeProp.MaturityDate;
result[0, 4] = TradeProp.EffectiveDate;
result[0, 5] = TradeProp.TradeState;
result[0, 6] = TradeProp.RequiredCurrencies;
result[0, 7] = TradeProp.RequiredPricingStructures;
result[0, 8] = TradeProp.ProductTaxonomy;
result[0, 9] = TradeProp.AsAtDate;
result[0, 10] = EnvironmentProp.SourceSystem;
result[0, 11] = TradeProp.TradingBookId;
result[0, 12] = TradeProp.TradingBookName;
result[0, 13] = TradeProp.BaseParty;
result[0, 14] = TradeProp.Party1;
result[0, 15] = TradeProp.CounterPartyName;
result[0, 16] = TradeProp.Party2;
// now add data rows
int tradeNum = 1;
foreach (ICoreItem item in items)
{
try
{
//var fpmlTrade = (Trade)item.Data;
result[tradeNum, 0] = item.AppProps.GetValue <string>(TradeProp.ProductType);
result[tradeNum, 1] = item.AppProps.GetValue <string>(TradeProp.TradeId);
result[tradeNum, 2] = item.AppProps.GetValue <DateTime>(TradeProp.TradeDate).ToShortDateString();
result[tradeNum, 3] = item.AppProps.GetValue <DateTime>(TradeProp.MaturityDate).ToShortDateString();
result[tradeNum, 4] = item.AppProps.GetValue <DateTime>(TradeProp.EffectiveDate).ToShortDateString();
result[tradeNum, 5] = item.AppProps.GetValue <string>(TradeProp.TradeState);
result[tradeNum, 6] = String.Join(";", item.AppProps.GetArray <string>(TradeProp.RequiredCurrencies));
result[tradeNum, 7] = String.Join(";", item.AppProps.GetArray <string>(TradeProp.RequiredPricingStructures));
result[tradeNum, 8] = item.AppProps.GetValue <string>(TradeProp.ProductTaxonomy, null);
result[tradeNum, 9] = item.AppProps.GetValue <DateTime>(TradeProp.AsAtDate).ToShortDateString();
result[tradeNum, 10] = item.AppProps.GetValue <string>(EnvironmentProp.SourceSystem);
result[tradeNum, 11] = item.AppProps.GetValue <string>(TradeProp.TradingBookId);
result[tradeNum, 12] = item.AppProps.GetValue <string>(TradeProp.TradingBookName);
result[tradeNum, 13] = item.AppProps.GetValue <string>(TradeProp.BaseParty);
result[tradeNum, 14] = item.AppProps.GetValue <string>(TradeProp.Party1);
result[tradeNum, 15] = item.AppProps.GetValue <string>(TradeProp.CounterPartyName);
result[tradeNum, 16] = item.AppProps.GetValue <string>(TradeProp.OriginatingPartyName);
tradeNum++;
}
catch (Exception e)
{
Debug.Print("TradeStoreExcelApi.QueryTrades: Exception: {0}", e);
}
}
//}
//catch (Exception e)
//{
// Debug.Print("TradeStoreExcelApi.QueryTrades: Exception: {0}", e);
//}
//finally
//{
// Debug.Print("TradeStoreExcelApi.QueryTrades: Leave");
//}
return(result);
}
public void ReceiveNewItem(object notUsed)
{
// note: this runs on the foreground thread
var item = notUsed as ICoreItem;
if (item == null)
{
return;
}
var qas = item.Data as QuotedAssetSet;
if (qas == null)
{
return;
}
// 1. Get the property values that uniquely identify the curves to refresh.
// This is the process for the workflow request. Alternatively, a direct build of the curve can occur.
//
var nameSpace = item.AppProps.GetValue <string>(EnvironmentProp.NameSpace);
var market = item.AppProps.GetValue <string>(CurveProp.Market);//For real time use Market and not MarketAndDate
var curveType = item.AppProps.GetValue <string>(CurveProp.PricingStructureType);
var curveName = item.AppProps.GetValue <string>(CurveProp.CurveName);
var configIdentifier = FunctionProp.Configuration + ".PricingStructures." + market + "." + curveType + "." + curveName;
var identifier = FunctionProp.Market + "." + market + "." + curveType + "." + curveName;
List <ICoreItem> items = null;
// 2.Check if the dependent curves should be refreshed
//
if (chkBoxDependentCurves.Checked)
{
//Find all the QAS's where the ReferenceCurveName is equal to the curveType.curveName!
var requestProperties = new NamedValueSet();
requestProperties.Set(EnvironmentProp.NameSpace, NameSpace);
requestProperties.Set(CurveProp.Market, market);
requestProperties.Set(EnvironmentProp.Function, FunctionProp.Configuration);
requestProperties.Set(CurveProp.ReferenceCurveName, curveType + '.' + curveName);
IExpression queryExpr = Expr.BoolAND(requestProperties);
_loggerRef.Target.LogDebug("Dependent curve property request set at {0}", DateTime.Now.ToLongTimeString());
items = _cache.LoadItems <Market>(queryExpr);
}
// 3. If the build is a local build then use the curve engine.
//
if (!chkBoxWorkflow.Checked)
{
_loggerRef.Target.LogDebug("Request to build base curve {0} locally at : {1}", identifier,
DateTime.Now.ToLongTimeString());
var curve = CurveEngine.RefreshPricingStructureFromConfiguration(_loggerRef.Target, _cache, nameSpace, configIdentifier, identifier, qas, DateTime.Now, DateTime.Now);
_loggerRef.Target.LogDebug("Built the base curve {0} locally at : {1}", curve,
DateTime.Now.ToLongTimeString());
if (items != null)
{
foreach (var dataItem in items)
{
var spreadCurve = dataItem.Data as Market;
if (spreadCurve == null)
{
continue;
}
//var bootstrap = dataItem.AppProps.GetValue<bool>(CurveProp.BootStrap, false);
//if (!bootstrap) { dataItem.AppProps.Set(CurveProp.BootStrap, true); }
try
{
var curveId = spreadCurve.id;
if (String.IsNullOrEmpty(curveId))
{
curveId = spreadCurve.Items[0].id;
//use yieldCurve.id, CurveGen 1.X compatible
}
dataItem.AppProps.Set(CurveProp.BaseDate, DateTime.Now);
dataItem.AppProps.Set(CurveProp.BuildDateTime, DateTime.Now);
var marketData =
new Pair <PricingStructure, PricingStructureValuation>(spreadCurve.Items[0],
spreadCurve.Items1[0]);
var ps = PricingStructureFactory.Create(_loggerRef.Target, _cache, nameSpace, null, null,
marketData, dataItem.AppProps);
if (ps != null)
{
CurveEngine.SaveCurve(_cache, nameSpace, ps);
}
_loggerRef.Target.LogDebug("Built the spread curve {0} locally at : {1}",
curveId,
DateTime.Now.ToLongTimeString());
}
catch (Exception e)
{
_loggerRef.Target.LogDebug(e.ToString());
}
}
}
}
else
{
// 4. Set the parameters for the work request.
//
var curveGenRequest = new OrdinaryCurveGenRequest
{
NameSpace = nameSpace,
BaseDate = DateTime.Now,
RequestId = Guid.NewGuid().ToString(),
RequesterId = new UserIdentity
{
Name = _cache.ClientInfo.Name,
DisplayName = _cache.ClientInfo.UserFullName
//Name = _clientRef.Target.ClientInfo.Name,
//DisplayName = _clientRef.Target.ClientInfo.UserFullName
},
UseSavedMarketData = true,
ForceGenerateEODCurves = true
};
// 5. Set the base curve in the curve selection for the work request.
//
var curveSelector = new List <CurveSelection>
{
new CurveSelection
{
NameSpace = nameSpace,
MarketName = market,
CurveType = curveType,
CurveName = curveName
}
};
// 6.Include all other dependent curvenames i.e. spread curves.
//
if (items != null)
{
curveSelector.AddRange(from childCurve in items
let spreadCurveType =
childCurve.AppProps.GetValue <string>(
CurveProp.PricingStructureType)
let spreadCurveName =
childCurve.AppProps.GetValue <string>(CurveProp.CurveName)
select new CurveSelection
{
NameSpace = nameSpace,
MarketName = market,
CurveType = spreadCurveType,
CurveName = spreadCurveName
});
}
curveGenRequest.CurveSelector = curveSelector.ToArray();
// 7. Set the actual work request.
//
IWorkContext context = new WorkContext(_loggerRef.Target, _cache, "DEV");
//IWorkContext context = new WorkContext(_loggerRef.Target, _clientRef.Target, "DEV");
_loggerRef.Target.LogDebug("WorkContext set at {0}", DateTime.Now.ToLongTimeString());
using (var workflow = new WFGenerateOrdinaryCurve())
{
workflow.Initialise(context);
WorkflowOutput <HandlerResponse> output = workflow.Execute(curveGenRequest);
WorkflowHelper.ThrowErrors(output.Errors);
foreach (var error in output.Errors)
{
_loggerRef.Target.LogInfo("WorkFlow error: {0} at {1}", error.Message, DateTime.Now.ToLongTimeString());
}
}
_loggerRef.Target.LogDebug("WorkFlow executed at {0}", DateTime.Now.ToLongTimeString());
//item = null;
//_queuedItems.Locked(queue =>
// {
// if (queue.Count > 0)
// item = queue.Dequeue();
// });
}
}