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 override ICurrencyMatrix DeserializeImpl(IFudgeFieldContainer message, IFudgeDeserializer deserializer)
{
var matrixImpl = new CurrencyMatrix();
IFudgeField field = message.GetByName(UniqueIDFieldName);
if (field != null)
{
var uid = UniqueId.Parse((string)field.Value);
matrixImpl.UniqueId = uid;
}
field = message.GetByName(CrossConvertFieldName);
if (field != null)
{
var crossconvert = (FudgeMsg)field.Value;
matrixImpl.LoadCross(crossconvert);
}
field = message.GetByName(FixedRateFieldName);
if (field != null)
{
throw new NotImplementedException();
}
field = message.GetByName(ValueRequirementsFieldName);
if (field != null)
{
FudgeMsg value = (FudgeMsg)field.Value;
matrixImpl.LoadReq(value, deserializer);
}
return(matrixImpl);
}
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 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 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 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 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 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 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 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 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 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 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 TestWrapper <T> FromFudgeMsg(IFudgeFieldContainer ffc,
IFudgeDeserializer deserializer)
{
return(new TestWrapper <T> {
Test = deserializer.FromField <T>(ffc.GetByName("test"))
});
}
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);
}
public override ComputationTarget DeserializeImpl(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
var computationTargetType = EnumBuilder <ComputationTargetType> .Parse(ffc.GetMessage("type").GetString(1));
object value = GetValue(deserializer, ffc.GetByName("value"));
return(new ComputationTarget(computationTargetType, value));
}
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);
}
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 DateTimeOffset GetToDateTimeOffsetWithDefault(IFudgeFieldContainer msg, string fieldName)
{
//TODO strict once [PLAT-1683] is fixed
if (msg.GetByName(fieldName).Type == IndicatorFieldType.Instance)
{
return(new DateTimeOffset());
}
return(msg.GetValue <DateTimeOffset>(fieldName));
}
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 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 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 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 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 override ITrade DeserializeImpl(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
//TODO: the rest of this
var uniqueIdentifier = UniqueId.Parse(ffc.GetString("uniqueId"));
var tradeDate = ffc.GetValue <DateTimeOffset>("tradeDate");
var securityKey = deserializer.FromField <ExternalIdBundle>(ffc.GetByName("securityKey"));
var counterPartyIdentifier = ExternalId.Parse(ffc.GetString("counterpartyKey") ?? ffc.GetString("counterparty")); //NOTE: this is a hack because we don't use proto yet
var quant = ffc.GetValue <string>("quantity");
return(new SimpleTrade(uniqueIdentifier, tradeDate, securityKey, new CounterpartyImpl(counterPartyIdentifier), decimal.Parse(quant)));
}
public static ChangeEvent FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
var changeType = EnumBuilder<ChangeType>.Parse(ffc.GetMessage("type").GetString(1));
var beforeField = ffc.GetString("beforeId");
var beforeId = beforeField == null ? null : UniqueId.Parse(beforeField);
var afterField = ffc.GetString("afterId");
var afterId = afterField == null ? null : UniqueId.Parse(afterField);
var versionField = ffc.GetByName("versionInstant");
var versionInstant = (FudgeDateTime) versionField.Value;
return new ChangeEvent(changeType,
beforeId,
afterId,
new Instant(versionInstant));
}
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 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 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));
}
protected override InMemoryViewDeltaResultModel BuildObject(IFudgeFieldContainer msg, IFudgeDeserializer deserializer, Dictionary <string, ViewCalculationResultModel> configurationMap, UniqueId viewProcessId, UniqueId viewCycleId, DateTimeOffset inputDataTimestamp, DateTimeOffset resultTimestamp, TimeSpan calculationDuration)
{
var tsField = msg.GetByName("previousTS");
DateTimeOffset previousResultTimestamp;
if (tsField.Type == IndicatorFieldType.Instance)
{
previousResultTimestamp = default(DateTimeOffset);
}
else
{
previousResultTimestamp = ((FudgeDateTime)tsField.Value).ToDateTimeOffsetWithDefault();
}
return(new InMemoryViewDeltaResultModel(viewProcessId, viewCycleId, inputDataTimestamp, resultTimestamp, configurationMap, previousResultTimestamp, calculationDuration));
}
public static ChangeEvent FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
var changeType = EnumBuilder <ChangeType> .Parse(ffc.GetMessage("type").GetString(1));
var beforeField = ffc.GetString("beforeId");
var beforeId = beforeField == null ? null : UniqueId.Parse(beforeField);
var afterField = ffc.GetString("afterId");
var afterId = afterField == null ? null : UniqueId.Parse(afterField);
var versionField = ffc.GetByName("versionInstant");
var versionInstant = (FudgeDateTime)versionField.Value;
return(new ChangeEvent(changeType,
beforeId,
afterId,
new Instant(versionInstant)));
}
public static MultipleCurrencyAmount FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
var currencies = ffc.GetMessage("currencies").Select(f => (string)f.Value).Select(Currency.Create).ToList();
var amounts = (double[])ffc.GetByName("amounts").Value;
if (currencies.Count != amounts.Length)
{
throw new ArgumentException("Mismatched labels and value", "ffc");
}
var dict = new SortedDictionary <Currency, CurrencyAmount>();
for (int i = 0; i < currencies.Count; i++)
{
dict.Add(currencies[i], new CurrencyAmount(currencies[i], amounts[i]));
}
return(new MultipleCurrencyAmount(dict));
}
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 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 CycleExecutionFailedCall FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
return(new CycleExecutionFailedCall(deserializer.FromField <ViewCycleExecutionOptions>(ffc.GetByName("executionOptions")), deserializer.FromField <JavaException>(ffc.GetByName("exception"))));
}
public override UserMarketDataSpecification DeserializeImpl(IFudgeFieldContainer msg, IFudgeDeserializer deserializer)
{
return(new UserMarketDataSpecification(deserializer.FromField <UniqueId>(msg.GetByName("userSnapshotId"))));
}
public override IPortfolio DeserializeImpl(IFudgeFieldContainer msg, IFudgeDeserializer deserializer)
{
return(new SimplePortfolio(deserializer.FromField <PortfolioNode>(msg.GetByName("root")), UniqueId.Parse(msg.GetString("identifier")), msg.GetString("name")));
}
public void Deserialize(IFudgeFieldContainer msg, IFudgeDeserializer deserializer)
{
// Skip message
Other = deserializer.FromField<ClassWithMessageIn>(msg.GetByName("other"));
}
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 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 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 ForwardCurve FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
return new ForwardCurve(deserializer.FromField<Math.Curve.Curve>(ffc.GetByName("forwardCurve")));
}
public static FixedIncomeStripWithIdentifier FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
return new FixedIncomeStripWithIdentifier(ExternalId.Parse(ffc.GetString("identifier")), deserializer.FromField<FixedIncomeStrip>(ffc.GetByName("strip")));
}
