public static ViewCalculationConfiguration FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
var name = ffc.GetValue <string>("name");
List <ValueRequirement> specificRequirements = GetList <ValueRequirement>(ffc, "specificRequirement", deserializer);
//TODO MAP deserializer by magic
var portfolioRequirementsBySecurityType = new Dictionary <string, HashSet <Tuple <string, ValueProperties> > >();
foreach (var portfolioReqField in ffc.GetAllByName("portfolioRequirementsBySecurityType"))
{
const string securitytypeKey = "securityType";
var securityType = ((IFudgeFieldContainer)portfolioReqField.Value).GetValue <string>(securitytypeKey);
var enumerable = ((IFudgeFieldContainer)portfolioReqField.Value).GetAllByName("portfolioRequirement").Select(f => GetReqPair(f, deserializer));
portfolioRequirementsBySecurityType.Add(securityType, new HashSet <Tuple <string, ValueProperties> >(enumerable));
}
var defaultProperties = deserializer.FromField <ValueProperties>(ffc.GetByName("defaultProperties"));
var deltaDefinition = deserializer.FromField <DeltaDefinition>(ffc.GetByName("deltaDefinition"));
IResolutionRuleTransform transform = null;
IFudgeField transformField = ffc.GetByName("resolutionRuleTransform");
if (transformField != null)
{
transform = deserializer.FromField <IResolutionRuleTransform>(transformField);
}
return(new ViewCalculationConfiguration(name, specificRequirements, portfolioRequirementsBySecurityType, deltaDefinition, defaultProperties, transform));
}
public override VolatilitySurfaceData DeserializeImpl(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
Currency currency = ffc.GetValue <Currency>("currency");
string definitionName = ffc.GetValue <string>("definitionName");
string specificationName = ffc.GetValue <string>("specificationName");
string interpolatorName = ffc.GetValue <string>("interpolatorName");
bool xWrapped;
IList <object> xs = ReadAllAsObjectList(ffc, "xs", deserializer, out xWrapped);
bool yWrapped;
IList <object> ys = ReadAllAsObjectList(ffc, "ys", deserializer, out yWrapped);
Type xType = GetType(xs);
Type yType = GetType(ys);
var values = new Dictionary <Tuple <object, object>, double>();
var valuesFields = ffc.GetAllByName("values");
foreach (var valueField in valuesFields)
{
var subMessage = (IFudgeFieldContainer)valueField.Value;
var xField = subMessage.GetByName("x");
var yField = subMessage.GetByName("y");
object x = xWrapped ? GetWrappedPrimitive(xField) : deserializer.FromField(xField, xType);
object y = yWrapped ? GetWrappedPrimitive(yField) : deserializer.FromField(yField, yType);
double value = subMessage.GetValue <double>("value");
values.Add(new Tuple <object, object>(x, y), value);
}
return(Build(xType, yType, definitionName, specificationName, currency, interpolatorName, xs, ys, values));
}
public override SimplePortfolioNode DeserializeImpl(IFudgeFieldContainer msg, IFudgeDeserializer deserializer)
{
return(new SimplePortfolioNode(
UniqueId.Parse(msg.GetString("identifier")), msg.GetString("name"),
deserializer.FromField <IList <PortfolioNode> >(msg.GetByName("subNodes")) ?? new List <PortfolioNode>(),
deserializer.FromField <IList <IPosition> >(msg.GetByName("positions")) ?? new List <IPosition>()));
}
public static ViewDefinition FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
var name = ffc.GetValue <string>("name");
var uniqueIdString = ffc.GetString("uniqueId");
var uniqueId = uniqueIdString == null ? null : UniqueId.Parse(uniqueIdString);
var resultModelDefinition = deserializer.FromField <ResultModelDefinition>(ffc.GetByName("resultModelDefinition"));
UniqueId portfolioIdentifier = ValueRequirement.GetUniqueIdentifier(ffc, deserializer, "identifier");
var user = deserializer.FromField <UserPrincipal>(ffc.GetByName("user"));
var currency = ffc.GetValue <Currency>("currency");
var minDeltaCalcPeriod = ReadNullableTimeSpanField(ffc, "minDeltaCalcPeriod");
var maxDeltaCalcPeriod = ReadNullableTimeSpanField(ffc, "maxDeltaCalcPeriod");
var minFullCalcPeriod = ReadNullableTimeSpanField(ffc, "fullDeltaCalcPeriod");
var maxFullCalcPeriod = ReadNullableTimeSpanField(ffc, "maxFullCalcPeriod");
var calculationConfigurationsByName = ffc.GetAllByName("calculationConfiguration")
.Select(deserializer.FromField <ViewCalculationConfiguration>)
.ToDictionary(vcc => vcc.Name);
return(new ViewDefinition(name, resultModelDefinition, portfolioIdentifier, user, currency, minDeltaCalcPeriod, maxDeltaCalcPeriod, minFullCalcPeriod, maxFullCalcPeriod, calculationConfigurationsByName, uniqueId));
}
public static VolatilityCubeDefinition FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
return(new VolatilityCubeDefinition(
deserializer.FromField <List <string> >(ffc.GetByName("swapTenors")).Select(s => new Tenor(s)).ToList(),
deserializer.FromField <List <string> >(ffc.GetByName("optionExpiries")).Select(s => new Tenor(s)).ToList(),
ffc.GetMessage("relativeStrikes").Select(f => f.Value).Cast <double>().ToList()
));
}
public static ArrayLocalDateDoubleTimeSeries FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
var dateTimeConverterField = ffc.GetByOrdinal(1);
var fastTimeSeriesField = ffc.GetByOrdinal(2);
var dateTimeConverter = deserializer.FromField<LocalDateEpochDaysConverter>(dateTimeConverterField);
var fastTimeSeries = deserializer.FromField<FastArrayIntDoubleTimeSeries>(fastTimeSeriesField);
return new ArrayLocalDateDoubleTimeSeries(dateTimeConverter, fastTimeSeries);
}
public static ArrayLocalDateDoubleTimeSeries FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
var dateTimeConverterField = ffc.GetByOrdinal(1);
var fastTimeSeriesField = ffc.GetByOrdinal(2);
var dateTimeConverter = deserializer.FromField <LocalDateEpochDaysConverter>(dateTimeConverterField);
var fastTimeSeries = deserializer.FromField <FastArrayIntDoubleTimeSeries>(fastTimeSeriesField);
return(new ArrayLocalDateDoubleTimeSeries(dateTimeConverter, fastTimeSeries));
}
public static SABRFittedSurfaces FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
return(new SABRFittedSurfaces(
deserializer.FromField <InterpolatedDoublesSurface>(ffc.GetByName("AlphaSurface")),
deserializer.FromField <InterpolatedDoublesSurface>(ffc.GetByName("BetaSurface")),
deserializer.FromField <InterpolatedDoublesSurface>(ffc.GetByName("NuSurface")),
deserializer.FromField <InterpolatedDoublesSurface>(ffc.GetByName("RhoSurface")),
Currency.Create(ffc.GetString("Currency")),
ffc.GetString("DayCountName")
));
}
public static SecurityDocument FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
DateTimeOffset versionToInstant;
DateTimeOffset correctionFromInstant;
DateTimeOffset correctionToInstant;
DateTimeOffset versionFromInstant = GetDocumentValues(ffc, out versionToInstant, out correctionFromInstant, out correctionToInstant);
var uid = (ffc.GetString("uniqueId") != null) ? UniqueId.Parse(ffc.GetString("uniqueId")) : deserializer.FromField<UniqueId>(ffc.GetByName("uniqueId"));
var security = deserializer.FromField<ISecurity>(ffc.GetByName("security"));
return new SecurityDocument(uid, security, versionFromInstant, versionToInstant, correctionFromInstant, correctionToInstant);
}
public static MarketDataSnapshotDocument FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
DateTimeOffset versionToInstant;
DateTimeOffset correctionFromInstant;
DateTimeOffset correctionToInstant;
DateTimeOffset versionFromInstant = GetDocumentValues(ffc, out versionToInstant, out correctionFromInstant, out correctionToInstant);
var uid = (ffc.GetString("uniqueId") != null) ? UniqueId.Parse(ffc.GetString("uniqueId")) : deserializer.FromField<UniqueId>(ffc.GetByName("uniqueId"));
var snapshot = deserializer.FromField<ManageableMarketDataSnapshot>(ffc.GetByName("snapshot"));
return new MarketDataSnapshotDocument(uid, snapshot, versionFromInstant, versionToInstant, correctionFromInstant, correctionToInstant);
}
public static CompiledViewDefinitionImpl FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
ViewDefinition defn = deserializer.FromField <ViewDefinition>(ffc.GetByName("viewDefinition"));
IPortfolio portfolio = deserializer.FromField <IPortfolio>(ffc.GetByName("portfolio"));
DateTimeOffset latestValidity = ffc.GetValue <FudgeDateTime>("latestValidity").ToDateTimeOffsetWithDefault();
DateTimeOffset earliestValidity = ffc.GetValue <FudgeDateTime>("earliestValidity").ToDateTimeOffsetWithDefault();
var configs = ffc.GetAllByName("compiledCalculationConfigurations").Select(deserializer.FromField <CompiledViewCalculationConfigurationImpl>).ToDictionary(c => c.Name, c => (ICompiledViewCalculationConfiguration)c);
return(new CompiledViewDefinitionImpl(defn, portfolio, latestValidity, earliestValidity, configs));
}
public static YieldCurveDefinitionDocument FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
DateTimeOffset versionToInstant;
DateTimeOffset correctionFromInstant;
DateTimeOffset correctionToInstant;
DateTimeOffset versionFromInstant = GetDocumentValues(ffc, out versionToInstant, out correctionFromInstant, out correctionToInstant);
var uid = (ffc.GetString("uniqueId") != null) ? UniqueId.Parse(ffc.GetString("uniqueId")) : deserializer.FromField<UniqueId>(ffc.GetByName("uniqueId"));
var definition = deserializer.FromField<YieldCurveDefinition>(ffc.GetByName("yieldCurveDefinition"));
return new YieldCurveDefinitionDocument(versionFromInstant, versionToInstant, correctionFromInstant, correctionToInstant) { YieldCurveDefinition = definition, UniqueId = uid};
}
public static FixedIncomeStripWithSecurity FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
var originalstrip = deserializer.FromField<FixedIncomeStrip>(ffc.GetByName("strip"));
var resolvedTenor = new Tenor(ffc.GetString("resolvedTenor"));
DateTimeOffset maturity = GetDateTime(ffc.GetByName("maturity"));
ExternalId securityIdentifier = ExternalId.Parse(ffc.GetString("identifier"));
var security = deserializer.FromField<ISecurity>(ffc.GetByName("security"));
return new FixedIncomeStripWithSecurity(originalstrip,
resolvedTenor,
maturity,
securityIdentifier,
security
);
}
public static FixedIncomeStripWithSecurity FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
var originalstrip = deserializer.FromField <FixedIncomeStrip>(ffc.GetByName("strip"));
var resolvedTenor = new Tenor(ffc.GetString("resolvedTenor"));
DateTimeOffset maturity = GetDateTime(ffc.GetByName("maturity"));
ExternalId securityIdentifier = ExternalId.Parse(ffc.GetString("identifier"));
var security = deserializer.FromField <ISecurity>(ffc.GetByName("security"));
return(new FixedIncomeStripWithSecurity(originalstrip,
resolvedTenor,
maturity,
securityIdentifier,
security
));
}
public static TestWrapper <T> FromFudgeMsg(IFudgeFieldContainer ffc,
IFudgeDeserializer deserializer)
{
return(new TestWrapper <T> {
Test = deserializer.FromField <T>(ffc.GetByName("test"))
});
}
public static UniqueId GetUniqueIdentifier(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer, string fieldName)
{
UniqueId portfolioIdentifier;
IFudgeField idField = ffc.GetByName(fieldName);
if (idField != null)
{
var value = idField.Value;
if (value is string)
{
portfolioIdentifier = UniqueId.Parse((string)value);
}
else if (value is IFudgeFieldContainer)
{
portfolioIdentifier = deserializer.FromField <UniqueId>(idField);
}
else
{
throw new ArgumentException(String.Format("Couldn't read UID {0}", value));
}
}
else
{
portfolioIdentifier = null;
}
return(portfolioIdentifier);
}
public override ComputedValue DeserializeImpl(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
var valueSpecification = deserializer.FromField <ValueSpecification>(ffc.GetByName("specification"));
var value = GetValue(deserializer, ffc.GetByName("value"), valueSpecification);
return(new ComputedValue(valueSpecification, value));
}
public static object FromField(IFudgeDeserializer deserializer, IFudgeField valueField)
{
if (valueField.Type != FudgeMsgFieldType.Instance)
{
return(valueField.Value);
}
var fudgeFieldContainer = (IFudgeFieldContainer)valueField.Value;
foreach (var typeField in fudgeFieldContainer.GetAllByOrdinal(0))
{
switch (typeField.Value as string)
{
case "java.lang.Number":
case "java.lang.String":
return(fudgeFieldContainer.GetValue("value"));
case "org.fudgemsg.StandardFudgeMsg":
return(valueField.Value); //TODO: this is not right
default:
continue;
}
}
return(deserializer.FromField(valueField, null));
}
public static ManageableMarketDataSnapshot FromFudgeMsg(IFudgeFieldContainer ffc,
IFudgeDeserializer deserializer)
{
var uidString = ffc.GetString("uniqueId");
UniqueId uid = uidString == null ? null : UniqueId.Parse(uidString);
var surfaceMessage = ffc.GetMessage("volatilitySurfaces");
Dictionary <VolatilitySurfaceKey, ManageableVolatilitySurfaceSnapshot> surfaces;
if (surfaceMessage == null)
{
//Handle old format
surfaces = new Dictionary <VolatilitySurfaceKey, ManageableVolatilitySurfaceSnapshot>();
}
else
{
surfaces = MapBuilder.FromFudgeMsg <VolatilitySurfaceKey, ManageableVolatilitySurfaceSnapshot>(surfaceMessage, deserializer);
}
var manageableMarketDataSnapshot = new ManageableMarketDataSnapshot(
ffc.GetString("basisViewName"),
deserializer.FromField <ManageableUnstructuredMarketDataSnapshot>(ffc.GetByName("globalValues")),
MapBuilder.FromFudgeMsg <YieldCurveKey, ManageableYieldCurveSnapshot>(ffc.GetMessage("yieldCurves"), deserializer),
MapBuilder.FromFudgeMsg <VolatilityCubeKey, ManageableVolatilityCubeSnapshot>(ffc.GetMessage("volatilityCubes"), deserializer),
surfaces,
uid
)
{
Name = ffc.GetString("name")
};
return(manageableMarketDataSnapshot);
}
private void ObjectAdd(MorePropertyData prop, object obj, IFudgeField field, IFudgeDeserializer deserializer)
{
// Handles both reference and inline
object subObject = deserializer.FromField(field, prop.PropertyData.Type);
prop.PropertyData.Setter(obj, subObject);
}
public override ValueSpecification DeserializeImpl(IFudgeFieldContainer msg, IFudgeDeserializer deserializer)
{
string valueName = null;
ValueProperties properties = null;
foreach (var fudgeField in msg)
{
switch (fudgeField.Name)
{
case "valueName":
valueName = (string)fudgeField.Value;
break;
case "properties":
properties = deserializer.FromField <ValueProperties>(fudgeField);
break;
default:
break;
}
}
var targetSpecification = new ComputationTargetSpecificationBuilder(deserializer.Context, typeof(ComputationTargetSpecification)).DeserializeImpl(msg, deserializer); //Can't register twice
return(new ValueSpecification(valueName, targetSpecification, properties));
}
public void LoadReq(FudgeMsg message, IFudgeDeserializer deserializer)
{
var values = new Dictionary <Tuple <Currency, Currency>, CurrencyMatrixValue>();
foreach (var field in message)
{
Currency source = Currency.Create(field.Name);
foreach (var field2 in (IFudgeFieldContainer)field.Value)
{
Currency target = Currency.Create(field2.Name);
if (field2.Value is IFudgeFieldContainer)
{
CurrencyMatrixValue value = deserializer.FromField <CurrencyMatrixValue.CurrencyMatrixValueRequirement>(field2);
values.Add(Tuple.Create(source, target), value);
values.Add(Tuple.Create(target, source), value.Reciprocal);
}
else
{
values.Remove(Tuple.Create(target, source));
}
}
}
foreach (var valueEntry in values)
{
AddConversion(valueEntry.Key.Item1, valueEntry.Key.Item2, valueEntry.Value);
}
}
private static Tuple <string, ValueProperties> GetReqPair(IFudgeField field, IFudgeDeserializer deserializer)
{
var ffc = (IFudgeFieldContainer)field.Value;
string requiredOutput = ffc.GetString("requiredOutput");
var constraints = deserializer.FromField <ValueProperties>(ffc.GetByName("constraints"));
return(Tuple.Create(requiredOutput, constraints));
}
public static ViewCycleExecutionOptions FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
IFudgeField mdsField = ffc.GetByName("marketDataSpecification");
var marketDataSpecification = mdsField == null ? null : deserializer.FromField<MarketDataSpecification>(mdsField);
var valuationValue = ffc.GetValue("valuation");
var valuation = (FudgeDateTime)(valuationValue == IndicatorType.Instance ? null : valuationValue);
return new ViewCycleExecutionOptions(valuation.ToDateTimeOffsetWithDefault(), marketDataSpecification);
}
private static Pair <ValueSpecification, object> GetValue(IFudgeField field, IFudgeDeserializer deserializer)
{
var msg = (IFudgeFieldContainer)field.Value;
var spec = deserializer.FromField <ValueSpecification>(msg.GetByName("first"));
var value = ComputedValueBuilder.GetValue(deserializer, msg.GetByName("second"), spec);
return(new Pair <ValueSpecification, object>(spec, value));
}
protected static Tuple <DateTimeNumericEncoding, T[], double[]> FromFudgeMsgImpl(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
var encoding = deserializer.FromField <DateTimeNumericEncoding>(ffc.GetByOrdinal(1));
var times = ffc.GetValue <T[]>(2);
var values = ffc.GetValue <double[]>(3);
return(System.Tuple.Create(encoding, times, values));
}
public static ViewCycleExecutionOptions FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
IFudgeField mdsField = ffc.GetByName("marketDataSpecification");
var marketDataSpecification = mdsField == null ? null : deserializer.FromField <MarketDataSpecification>(mdsField);
var valuationValue = ffc.GetValue("valuation");
var valuation = (FudgeDateTime)(valuationValue == IndicatorType.Instance ? null : valuationValue);
return(new ViewCycleExecutionOptions(valuation.ToDateTimeOffsetWithDefault(), marketDataSpecification));
}
private void ListAppend <T>(MorePropertyData prop, object obj, IFudgeField field, IFudgeDeserializer deserializer) where T : class
{
IList <T> newList = deserializer.FromField <IList <T> >(field);
IList <T> currentList = (IList <T>)prop.PropertyData.Getter(obj);
foreach (T item in newList)
{
currentList.Add(item);
}
}
/// <remarks>
/// See also <see cref="ComputedValueBuilder.GetValue"/>
/// </remarks>
private static object Deserialize(IFudgeDeserializer deserializer, IFudgeTypeMappingStrategy typeMap, string labelType, IFudgeField labelValue)
{
if (labelValue.Type != FudgeMsgFieldType.Instance)
{
return(labelValue.Value);
}
Type labelClass = typeMap.GetType(labelType);
return(deserializer.FromField(labelValue, labelClass));
}
public static ManageableUnstructuredMarketDataSnapshot FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
var dictionary = new Dictionary <MarketDataValueSpecification, IDictionary <string, ValueSnapshot> >();
foreach (var entryField in ffc.GetAllByOrdinal(1))
{
var entryMsg = (IFudgeFieldContainer)entryField.Value;
MarketDataValueSpecification valueSpec = null;
string valueName = null;
ValueSnapshot value = null;
foreach (var field in entryMsg)
{
switch (field.Name)
{
case "valueSpec":
valueSpec = deserializer.FromField <MarketDataValueSpecification>(field);
break;
case "valueName":
valueName = (string)field.Value;
break;
case "value":
value = deserializer.FromField <ValueSnapshot>(field);
break;
default:
throw new ArgumentOutOfRangeException();
}
}
IDictionary <string, ValueSnapshot> innerDict;
if (!dictionary.TryGetValue(valueSpec, out innerDict))
{
innerDict = new Dictionary <string, ValueSnapshot>();
dictionary.Add(valueSpec, innerDict);
}
innerDict.Add(valueName, value);
}
return(new ManageableUnstructuredMarketDataSnapshot(dictionary));
}
public static ValueRequirement FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
ValueProperties constraints = deserializer.FromField <ValueProperties>(ffc.GetByName("constraints")) ?? ValueProperties.Create();
var computationTargetType = ffc.GetValue <string>("computationTargetType");
var computationTargetIdentifier = GetUniqueIdentifier(ffc, deserializer, "computationTargetIdentifier");
var targetSpec = new ComputationTargetSpecification(EnumBuilder <ComputationTargetType> .Parse(computationTargetType), computationTargetIdentifier);
var valueName = ffc.GetValue <string>("valueName");
return(new ValueRequirement(valueName, targetSpec, constraints));
}
public override DependencyNode DeserializeImpl(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
var target = deserializer.FromField <ComputationTarget>(ffc.GetByName("target"));
string parameterizedFunctionUniqueId = ffc.GetString("parameterizedFunctionUniqueId");
var functionParametersField = ffc.GetByName("functionParameters");
var functionParameters = functionParametersField != null?deserializer.FromField <IFunctionParameters>(functionParametersField) : null;
string functionShortName = ffc.GetString("functionShortName");
string functionUniqueId = ffc.GetString("functionUniqueId");
ICompiledFunctionDefinition function = new CompiledFunctionDefinitionStub(target.Type, functionShortName, functionUniqueId);
var parameterizedFunction = new ParameterizedFunction(function, functionParameters, parameterizedFunctionUniqueId);
var inputValues = DeserializeSet <ValueSpecification>(deserializer, ffc, "inputValues");
var outputValues = DeserializeSet <ValueSpecification>(deserializer, ffc, "outputValues");
var terminalOutputValues = DeserializeSet <ValueSpecification>(deserializer, ffc, "terminalOutputValues");
return(new DependencyNode(target, inputValues, outputValues, terminalOutputValues, parameterizedFunction));
}
public static ValueRequirement FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
ValueProperties constraints = deserializer.FromField<ValueProperties>(ffc.GetByName("constraints")) ?? ValueProperties.Create();
var computationTargetType = ffc.GetValue<string>("computationTargetType");
var computationTargetIdentifier = GetUniqueIdentifier(ffc, deserializer, "computationTargetIdentifier");
var targetSpec = new ComputationTargetSpecification(EnumBuilder<ComputationTargetType>.Parse(computationTargetType), computationTargetIdentifier);
var valueName = ffc.GetValue<string>("valueName");
return new ValueRequirement(valueName, targetSpec, constraints);
}
private static object GetValue(IFudgeDeserializer deserializer, IFudgeField valueField)
{
if (valueField.Type != FudgeMsgFieldType.Instance)
{
if (valueField.Value is string)
{
return(UniqueId.Parse((string)valueField.Value));
}
throw new ArgumentException("Computation target type which I don't know how to deserialize");
}
return(deserializer.FromField <object>(valueField));
}
public override PortfolioDocument DeserializeImpl(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
DateTimeOffset versionToInstant;
DateTimeOffset correctionFromInstant;
DateTimeOffset correctionToInstant;
DateTimeOffset versionFromInstant = AbstractDocument.GetDocumentValues(ffc, out versionToInstant, out correctionFromInstant, out correctionToInstant);
var uid = (ffc.GetString("uniqueId") != null) ? UniqueId.Parse(ffc.GetString("uniqueId")) : deserializer.FromField <UniqueId>(ffc.GetByName("uniqueId"));
var portfolio = deserializer.FromField <ManageablePortfolio>(ffc.GetByName("portfolio"));
return(new PortfolioDocument(versionFromInstant, versionToInstant, correctionFromInstant, correctionToInstant, uid, portfolio));
}
public override IPosition DeserializeImpl(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
var id = ffc.GetValue <string>("uniqueId");
var secKey = deserializer.FromField <ExternalIdBundle>(ffc.GetByName("securityKey"));
var quant = ffc.GetValue <string>("quantity");
var trades = deserializer.FromField <IList <ITrade> >(ffc.GetByName("trades")) ?? new List <ITrade>();
decimal quantity;
if (!decimal.TryParse(quant, out quantity))
{
if (quant == "0E-8")
{
quantity = 0;
}
else
{
throw new OpenGammaException("Failed to parse quantity " + quant);
}
}
return(new SimplePosition(id == null ? null : UniqueId.Parse(id), quantity, secKey, trades));
}
public static SecurityDocument FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
DateTimeOffset versionToInstant;
DateTimeOffset correctionFromInstant;
DateTimeOffset correctionToInstant;
DateTimeOffset versionFromInstant = GetDocumentValues(ffc, out versionToInstant, out correctionFromInstant, out correctionToInstant);
var uid = (ffc.GetString("uniqueId") != null) ? UniqueId.Parse(ffc.GetString("uniqueId")) : deserializer.FromField <UniqueId>(ffc.GetByName("uniqueId"));
var security = deserializer.FromField <ISecurity>(ffc.GetByName("security"));
return(new SecurityDocument(uid, security, versionFromInstant, versionToInstant, correctionFromInstant, correctionToInstant));
}
public static VolatilityCubeData FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
var dataPoints = MapBuilder.FromFudgeMsg(ffc.GetMessage("dataPoints"), deserializer.FromField<VolatilityPoint>, f => (double)f.Value);
var otherValues = deserializer.FromField<SnapshotDataBundle>(ffc.GetByName("otherData"));
Dictionary<Pair<Tenor, Tenor>, double> strikes = null;
var strikesField = ffc.GetMessage("strikes");
if (strikesField != null)
{
strikes = strikesField.Select(deserializer.FromField<StrikeEntry>).ToDictionary(s => new Pair<Tenor, Tenor>(new Tenor(s.SwapTenor), new Tenor(s.OptionExpiry)), s => s.Strike);
}
return new VolatilityCubeData(dataPoints, otherValues, strikes);
}
public static YieldCurveDefinition FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
Currency currency = null;
string name = null;
string interpolatorName = null;
var strips = new List<FixedIncomeStrip>();
ExternalId region = null;
foreach (var fudgeField in ffc)
{
switch (fudgeField.Name)
{
case "currency":
currency = Currency.Create((string)fudgeField.Value);
break;
case "name":
name = (string)fudgeField.Value;
break;
case "interpolatorName":
interpolatorName = (string)fudgeField.Value;
break;
case "region":
region = ExternalId.Parse((string)fudgeField.Value);
break;
case "strip":
strips.Add(deserializer.FromField<FixedIncomeStrip>(fudgeField));
break;
}
}
var yieldCurveDefinition = new YieldCurveDefinition(currency, name, interpolatorName);
yieldCurveDefinition.Region = region;
yieldCurveDefinition.AddStrip(strips.ToArray());
return yieldCurveDefinition;
}
public static SABRFittedSurfaces FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
return new SABRFittedSurfaces(
deserializer.FromField<InterpolatedDoublesSurface>(ffc.GetByName("AlphaSurface")),
deserializer.FromField<InterpolatedDoublesSurface>(ffc.GetByName("BetaSurface")),
deserializer.FromField<InterpolatedDoublesSurface>(ffc.GetByName("NuSurface")),
deserializer.FromField<InterpolatedDoublesSurface>(ffc.GetByName("RhoSurface")),
Currency.Create(ffc.GetString("Currency")),
ffc.GetString("DayCountName")
);
}
public void LoadReq(FudgeMsg message, IFudgeDeserializer deserializer)
{
var values = new Dictionary<Tuple<Currency, Currency>, CurrencyMatrixValue>();
foreach (var field in message)
{
Currency source = Currency.Create(field.Name);
foreach (var field2 in (IFudgeFieldContainer)field.Value)
{
Currency target = Currency.Create(field2.Name);
if (field2.Value is IFudgeFieldContainer)
{
CurrencyMatrixValue value = deserializer.FromField<CurrencyMatrixValue.CurrencyMatrixValueRequirement>(field2);
values.Add(Tuple.Create(source, target), value);
values.Add(Tuple.Create(target, source), value.Reciprocal);
}
else
{
values.Remove(Tuple.Create(target, source));
}
}
}
foreach (var valueEntry in values)
{
AddConversion(valueEntry.Key.Item1, valueEntry.Key.Item2, valueEntry.Value);
}
}
public static ForwardCurve FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
return new ForwardCurve(deserializer.FromField<Math.Curve.Curve>(ffc.GetByName("forwardCurve")));
}
public void Deserialize(IFudgeFieldContainer msg, IFudgeDeserializer deserializer)
{
// Skip message
Other = deserializer.FromField<ClassWithMessageIn>(msg.GetByName("other"));
}
protected virtual bool DeserializeField(IFudgeDeserializer deserializer, IFudgeField field)
{
switch (field.Name)
{
case "name":
Name = field.GetString();
return true;
case "mainAddress":
MainAddress = deserializer.FromField<Address>(field);
return true;
}
// Field not recognised
return false;
}
public static VolatilityCubeDefinition FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
return new VolatilityCubeDefinition(
deserializer.FromField<List<string>>(ffc.GetByName("swapTenors")).Select(s => new Tenor(s)).ToList(),
deserializer.FromField<List<string>>(ffc.GetByName("optionExpiries")).Select(s => new Tenor(s)).ToList(),
ffc.GetMessage("relativeStrikes").Select(f => f.Value).Cast<double>().ToList()
);
}
/// <inheritdoc/>
public object Deserialize(IFudgeFieldContainer msg, IFudgeDeserializer deserializer)
{
// We create the new object without constructing it, so we can register it before trying
// to deserialize the parameters. This allows us to support cycles.
object result = FormatterServices.GetUninitializedObject(type);
deserializer.Register(msg, result);
var args = new object[constructorParams.Length];
foreach (var field in msg)
{
if (field.Name != null)
{
string name = field.Name.ToLower();
for (int i = 0; i < constructorParams.Length; i++)
{
var constructorParam = constructorParams[i];
if (constructorParam.LowerName == name)
{
switch (constructorParam.Kind)
{
case TypeData.TypeKind.FudgePrimitive:
args[i] = context.TypeHandler.ConvertType(field.Value, constructorParam.TypeData.Type); ;
break;
default:
args[i] = deserializer.FromField(field, constructorParam.TypeData.Type);
break;
}
break;
}
}
}
}
constructor.Invoke(result, args);
return result;
}
public static CycleExecutionFailedCall FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
return new CycleExecutionFailedCall(deserializer.FromField<ViewCycleExecutionOptions>(ffc.GetByName("executionOptions")), deserializer.FromField<JavaException>(ffc.GetByName("exception")));
}
public static ViewDefinitionCompilationFailedCall FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
return new ViewDefinitionCompilationFailedCall(ffc.GetValue<DateTimeOffset>("valuationTime"), deserializer.FromField<JavaException>(ffc.GetByName("exception")));
}
public static CompiledViewDefinitionImpl FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
ViewDefinition defn = deserializer.FromField<ViewDefinition>(ffc.GetByName("viewDefinition"));
IPortfolio portfolio = deserializer.FromField<IPortfolio>(ffc.GetByName("portfolio"));
DateTimeOffset latestValidity = ffc.GetValue<FudgeDateTime>("latestValidity").ToDateTimeOffsetWithDefault();
DateTimeOffset earliestValidity = ffc.GetValue<FudgeDateTime>("earliestValidity").ToDateTimeOffsetWithDefault();
var configs = ffc.GetAllByName("compiledCalculationConfigurations").Select(deserializer.FromField<CompiledViewCalculationConfigurationImpl>).ToDictionary(c => c.Name, c => (ICompiledViewCalculationConfiguration)c);
return new CompiledViewDefinitionImpl(defn, portfolio, latestValidity, earliestValidity, configs);
}
public static UniqueId GetUniqueIdentifier(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer, string fieldName)
{
UniqueId portfolioIdentifier;
IFudgeField idField = ffc.GetByName(fieldName);
if (idField != null)
{
var value = idField.Value;
if (value is string)
{
portfolioIdentifier = UniqueId.Parse((string) value);
}
else if (value is IFudgeFieldContainer)
{
portfolioIdentifier = deserializer.FromField<UniqueId>(idField);
}
else
{
throw new ArgumentException(String.Format("Couldn't read UID {0}", value));
}
}
else
{
portfolioIdentifier = null;
}
return portfolioIdentifier;
}
public static ViewDefinition FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
var name = ffc.GetValue<string>("name");
var uniqueIdString = ffc.GetString("uniqueId");
var uniqueId = uniqueIdString == null ? null : UniqueId.Parse(uniqueIdString);
var resultModelDefinition = deserializer.FromField<ResultModelDefinition>(ffc.GetByName("resultModelDefinition"));
UniqueId portfolioIdentifier = ValueRequirement.GetUniqueIdentifier(ffc, deserializer, "identifier");
var user = deserializer.FromField<UserPrincipal>(ffc.GetByName("user"));
var currency = ffc.GetValue<Currency>("currency");
var minDeltaCalcPeriod = ReadNullableTimeSpanField(ffc, "minDeltaCalcPeriod");
var maxDeltaCalcPeriod = ReadNullableTimeSpanField(ffc, "maxDeltaCalcPeriod");
var minFullCalcPeriod = ReadNullableTimeSpanField(ffc, "fullDeltaCalcPeriod");
var maxFullCalcPeriod = ReadNullableTimeSpanField(ffc, "maxFullCalcPeriod");
var calculationConfigurationsByName = ffc.GetAllByName("calculationConfiguration")
.Select(deserializer.FromField<ViewCalculationConfiguration>)
.ToDictionary(vcc => vcc.Name);
return new ViewDefinition(name, resultModelDefinition, portfolioIdentifier, user, currency, minDeltaCalcPeriod, maxDeltaCalcPeriod, minFullCalcPeriod, maxFullCalcPeriod, calculationConfigurationsByName, uniqueId);
}
public static FixedIncomeStripWithIdentifier FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
return new FixedIncomeStripWithIdentifier(ExternalId.Parse(ffc.GetString("identifier")), deserializer.FromField<FixedIncomeStrip>(ffc.GetByName("strip")));
}
protected override bool DeserializeField(IFudgeDeserializer deserializer, IFudgeField field)
{
// Let the base process first
if (base.DeserializeField(deserializer, field))
return true;
// Now process our fields
switch (field.Name)
{
case "siblings":
siblings.Add(deserializer.FromField<Person>(field));
return true;
}
// Neither recognised the field
return false;
}
