public override object[,] DoXLReport(InstrumentControllerBase pricer)
{
if (pricer is VanillaEuropeanFxOptionPricer fxswap)
{
var result = new object[fxswap.GetChildren().Count, 5];
var index = 0;
foreach (var cashflow in fxswap.GetChildren())
{
var flow = (PriceableCashflow)cashflow;
result[index, 0] = flow.CashflowType.Value;
result[index, 1] = flow.PaymentDate;
result[index, 2] = flow.PaymentAmount.currency.Value;
if (flow.ForecastAmount != null)
{
result[index, 3] = flow.ForecastAmount.amount;
}
else
{
result[index, 3] = flow.PaymentAmount.amount;
}
result[index, 4] = flow.ProductType.ToString();
//result[index, 5] = flow.;
index++;
}
return(result);
}
return(null);
}
public override object[,] DoXLReport(InstrumentControllerBase instrument)
{
if (instrument is FraPricer forwardRateAgreement)
{
var result = new object[forwardRateAgreement.GetChildren().Count, 7];
var index = 0;
foreach (var receiveRateCoupon in forwardRateAgreement.GetChildren())
{
var flow = (PriceableRateCoupon)receiveRateCoupon;
result[index, 0] = flow.CashflowType.Value;
result[index, 1] = flow.PaymentDate;
result[index, 2] = flow.AccrualStartDate;
result[index, 3] = flow.AccrualEndDate;
result[index, 4] = flow.NotionalAmount.amount;
result[index, 5] = flow.Rate;
if (flow.ForecastAmount != null)
{
result[index, 6] = flow.ForecastAmount.amount;
}
else
{
result[index, 6] = flow.PaymentAmount.amount;
}
index++;
}
return(result);
}
return(null);
}
public override object DoReport(InstrumentControllerBase priceable)
{
if (priceable is InterestRateSwaptionPricer interestRateSwaption)
{
Debug.Print("Number of legs : {0}", interestRateSwaption.GetChildren().Count);
if (interestRateSwaption.Swap is InterestRateSwapPricer swap)
{
Debug.Print("Receive leg {0} coupons", swap.ReceiveLeg.Coupons.Count);
foreach (var receiveRateCoupon in swap.ReceiveLeg.Coupons)
{
Debug.Print(
"Coupon: coupon type: {0},payment date: {1}, notional amount : {2}, fixed rate : {3}, payment amount: {4}",
receiveRateCoupon.CashflowType, receiveRateCoupon.PaymentDate,
receiveRateCoupon.Notional, receiveRateCoupon.Rate, receiveRateCoupon.PaymentAmount);
}
Debug.Print("Pay leg {0} coupons", swap.PayLeg.Coupons.Count);
foreach (var payRateCoupon in swap.PayLeg.Coupons)
{
Debug.Print(
"Coupon: coupon type: {0},payment date: {1}, notional amount : {2}, fixed rate : {3}, payment amount: {4}",
payRateCoupon.CashflowType, payRateCoupon.PaymentDate,
payRateCoupon.Notional, payRateCoupon.Rate, payRateCoupon.PaymentAmount);
}
}
}
return(null);
}
public override object DoReport(InstrumentControllerBase priceable)
{
if (priceable is InterestRateSwapPricer interestRateSwap)
{
var fixedStream = new InterestRateStream
{
cashflows = new Cashflows
{
paymentCalculationPeriod = interestRateSwap.ReceiveLeg.Coupons.Select(fixedRateCoupon => fixedRateCoupon.Build()).ToArray()
}
};
var floatStream = new InterestRateStream
{
cashflows = new Cashflows {
paymentCalculationPeriod = interestRateSwap.ReceiveLeg.Coupons.Select(payRateCoupon => payRateCoupon.Build()).ToArray()
}
};
var fpmlSwap = new Swap
{
swapStream = new[] { fixedStream, floatStream }
};
return(fpmlSwap);
}
return(null);
}
public override object[,] DoXLReport(InstrumentControllerBase pricer)
{
if (pricer is BondTransactionPricer bond)
{
var result = new object[bond.GetChildren().Count, 8];
var index = 0;
foreach (var cashflow in bond.GetChildren())
{
var flow = (PriceableCashflow)cashflow;
result[index, 0] = flow.CashflowType.Value;
result[index, 1] = flow.PaymentDate;
result[index, 2] = flow.PaymentAmount.currency.Value;
if (flow.ForecastAmount != null)
{
result[index, 3] = flow.ForecastAmount.amount;
}
else
{
result[index, 3] = flow.PaymentAmount.amount;
}
result[index, 4] = flow.ProductType.ToString();
result[index, 5] = flow.PayerIsBaseParty;
result[index, 6] = flow.ReceiverPartyReference?.href;
result[index, 7] = flow.PayerPartyReference?.href;
index++;
}
return(result);
}
return(null);
}
public override List <object[]> DoExpectedCashflowReport(InstrumentControllerBase pricer)
{
if (pricer is BulletPaymentPricer payment)
{
return((from PriceableCashflow flow in payment.GetChildren() select CashflowReportHelper.DoCashflowReport(pricer.Id, flow)).ToList());
}
return(null);
}
public override List <object[]> DoExpectedCashflowReport(InstrumentControllerBase pricer)
{
if (pricer is PropertyTransactionPricer bond)
{
return((from PriceableCashflow flow in bond.GetChildren() select CashflowReportHelper.DoCashflowReport(pricer.Id, flow)).ToList());
}
return(null);
}
public override object DoReport(InstrumentControllerBase priceable)
{
if (priceable is FraPricer forwardRateAgreement)
{
Debug.Print("Fra leg {0} coupons", forwardRateAgreement.GetChildren().Count);
foreach (var receiveRateCoupon in forwardRateAgreement.GetChildren())
{
var flow = (PriceableRateCoupon)receiveRateCoupon;
var forecast = flow.ForecastAmount ?? new Money();
Debug.Print("Cashflow type: {0}, payment date: {1}, payment amount: {2}, forecast amount: {3}",
flow.CashflowType, flow.PaymentDate, flow.PaymentAmount, forecast);
}
}
return(null);
}
public override object DoReport(InstrumentControllerBase priceable)
{
if (priceable is VanillaEuropeanFxOptionPricer fxswap)
{
Debug.Print("Payment {0} coupons", fxswap.GetChildren().Count);
foreach (var cashflow in fxswap.GetChildren())
{
var flow = (PriceableCashflow)cashflow;
var forecast = flow.ForecastAmount ?? new Money();
Debug.Print("Cashflow type: {0}, payment date: {1}, payment amount: {2}, forecast amount: {3}",
flow.CashflowType, flow.PaymentDate, flow.PaymentAmount, forecast);
}
}
return(null);
}
public override object DoReport(InstrumentControllerBase priceable)
{
if (priceable is TermDepositPricer termDeposit)
{
Debug.Print("Number of coupons : {0}", termDeposit.GetChildren().Count);
foreach (var receiveRateCoupon in termDeposit.GetChildren())
{
var flow = (PriceableRateCoupon)receiveRateCoupon;
var forecast = flow.ForecastAmount ?? new Money();
Debug.Print("Coupon: coupon type: {0},payment date: {1}, notional amount : {2}, fixed rate : {3}, payment amount: {4}, forecast amount: {5}",
flow.CashflowType, flow.PaymentDate, flow.Notional, flow.Rate, flow.PaymentAmount, forecast);
}
}
return(null);
}
public override object DoReport(InstrumentControllerBase priceable)
{
if (priceable is FutureTransactionPricer future)
{
Debug.Print("Futures {0} underlyer", future.GetChildren().Count);
foreach (var cashflow in future.GetChildren())
{
var flow = (PriceableCashflow)cashflow;
var forecast = flow.ForecastAmount ?? new Money();
Debug.Print("Cashflow type: {0}, payment date: {1}, payment amount: {2}, forecast amount: {3}",
flow.CashflowType, flow.PaymentDate, flow.PaymentAmount, forecast);
}
}
return(null);
}
public override object DoReport(InstrumentControllerBase priceable)
{
if (priceable is PropertyTransactionPricer equity)
{
Debug.Print("Equity {0} dividends", equity.GetChildren().Count);
foreach (var cashflow in equity.GetChildren())
{
var flow = (PriceableCashflow)cashflow;
var forecast = flow.ForecastAmount ?? new Money();
Debug.Print("Cashflow type: {0}, payment date: {1}, payment amount: {2}, forecast amount: {3}",
flow.CashflowType, flow.PaymentDate, flow.PaymentAmount, forecast);
}
}
return(null);
}
public override List <object[]> DoExpectedCashflowReport(InstrumentControllerBase pricer)
{
if (pricer is FraPricer payment)
{
var result = new List <object[]>();
foreach (var cashflow in payment.GetChildren())
{
var flow = (PriceableCashflow)cashflow;
var reportHelper = CashflowReportHelper.DoCashflowReport(pricer.Id, flow);
reportHelper[0] = pricer.Id;
result.Add(reportHelper);
}
return(result);
}
return(null);
}
public override List <object[]> DoExpectedCashflowReport(InstrumentControllerBase pricer)
{
if (pricer is VanillaEuropeanFxOptionPricer payment)
{
var result = new List <object[]>();
var index = 0;
foreach (var cashflow in payment.GetChildren())
{
var flow = (PriceableCashflow)cashflow;
var reportHelper = CashflowReportHelper.DoCashflowReport(pricer.Id, flow);
reportHelper[0] = pricer.Id;
result[index] = reportHelper;
index++;
}
return(result);
}
return(null);
}
static public void ProcessInstrumentControllerResultsEvolve(InstrumentControllerBase instrumentController, string[] metrics, DateTime baseDate, DateTime valuationDate)
{
Assert.IsNotNull(instrumentController);
//Double[] times = { 0, 1, 2, 3, 4, 5 };
//Double[] dfs = { 1, 0.98, 0.96, 0.91, 0.88, 0.85};
ISwapLegEnvironment market = CreateInterestRateStreamTestEnvironment(baseDate);
IInstrumentControllerData controllerData = CreateInstrumentModelData(metrics, valuationDate, market);
Assert.IsNotNull(controllerData);
var results = instrumentController.Calculate(controllerData);
Debug.Print("Id : {0}", instrumentController.Id);
foreach (var metric in results.quote)
{
Debug.Print("Id : {0} Metric Name : {1} Metric Value : {2}", instrumentController.Id, metric.measureType.Value, metric.value);
}
}
static public void ProcessFxLegResultsWithCurrency(InstrumentControllerBase instrumentController,
string[] metrics, DateTime baseDate, string currency)
{
Assert.IsNotNull(instrumentController);
//Double[] times = { 0, 1, 2, 3, 4, 5 };
//Double[] dfs = { 1, 0.98, 0.96, 0.91, 0.88, 0.85};
IMarketEnvironment market = CreateFxLegTestEnvironment(baseDate);
IInstrumentControllerData controllerData = CreateInstrumentModelData(metrics, baseDate, market, currency);
Assert.IsNotNull(controllerData);
var results = instrumentController.Calculate(controllerData);
Debug.Print("Id : {0}", instrumentController.Id);
foreach (var metric in results.quote)
{
Debug.Print("Id : {0} Metric Name : {1} Metric Value : {2}", instrumentController.Id, metric.measureType.Value, metric.value);
}
}
public override List <object[]> DoExpectedCashflowReport(InstrumentControllerBase instrument)
{
var interestRateSwaption = instrument as InterestRateSwaptionPricer;
List <object[]> result = new List <object[]>();
if (interestRateSwaption?.Swap != null)
{
var expectedCashFlows = new InterestRateSwapReporter().DoExpectedCashflowReport(interestRateSwaption.Swap);
result.AddRange(expectedCashFlows);
if (interestRateSwaption.PremiumPayments != null)
{
foreach (var pemium in interestRateSwaption.PremiumPayments)
{
var expectedCashFlow = CashflowReportHelper.DoCashflowReport(instrument.Id, pemium);
expectedCashFlow[0] = instrument.Id;
result.Add(expectedCashFlow);
}
}
}
return(result);
}
public override List <object[]> DoExpectedCashflowReport(InstrumentControllerBase instrument)
{
var interestRateSwap = instrument as InterestRateSwapPricer;
var result = new List <object[]>();
if (interestRateSwap != null)
{
foreach (var leg in interestRateSwap.Legs)
{
var expectedCashFlows = CashflowReportHelper.DoCashflowReport(instrument.Id, leg);
result.AddRange(expectedCashFlows);
}
if (interestRateSwap.AdditionalPayments != null)
{
foreach (var payment in interestRateSwap.AdditionalPayments)
{
var pay = CashflowReportHelper.DoCashflowReport(instrument.Id, payment);
pay[0] = instrument.Id;
result.Add(pay);
}
}
}
return(result);
}
/// <summary>
/// REturns the report for that particluar product type.
/// </summary>
/// <returns></returns>
public override object[,] DoXLReport(InstrumentControllerBase instrument)
{
return(ProductReporter.DoXLReport(instrument));
}
/// <summary>
/// REturns the report for that particluar product type.
/// </summary>
/// <param name="instrument"></param>
/// <returns></returns>
public override List <object[]> DoExpectedCashflowReport(InstrumentControllerBase instrument)
{
return(ProductReporter.DoExpectedCashflowReport(instrument));
}
///<summary>
/// Prices the trade.
///</summary>
///<returns></returns>
public override ValuationReport Price(IInstrumentControllerData modelData, ValuationReportType reportType)
{
//Price.
if (TradeHelper.IsImplementedProductType(ProductType))
{
// A new valuationReport.
var valuationReport = new ValuationReport();
//var valSet = new ValuationSet();
InstrumentControllerBase priceableProduct = PriceableProduct;
if (priceableProduct == null)
{
throw new ApplicationException("PriceableProduct is null!");
}
//This makes sure the marketenvironment has curves in it, otherwise the pricer will not function.
if (modelData.MarketEnvironment == null)
{
throw new ApplicationException("MarketEnvironment is null!");
}
//Set the appropriate Multiplier based on the reporting party
var result = new AssetValuation();
var reportingParty = modelData.BaseCalculationParty.Id;
if (BaseParty == TradeProp.Party1)
{
if (reportingParty == TradeProp.Party1)
{
result = priceableProduct.Calculate(modelData);
}
if (Parties[0].partyName.Value == reportingParty)
{
result = priceableProduct.Calculate(modelData);
}
if (Parties[1].partyName.Value == reportingParty || reportingParty == TradeProp.Party2)
{
priceableProduct.Multiplier = -1;
result = priceableProduct.Calculate(modelData);
priceableProduct.Multiplier = 1;
}
}
if (BaseParty == TradeProp.Party2)
{
if (reportingParty == TradeProp.Party2)
{
result = priceableProduct.Calculate(modelData);
}
if (Parties[1].partyName.Value == reportingParty)
{
result = priceableProduct.Calculate(modelData);
}
if (Parties[0].partyName.Value == reportingParty || reportingParty == TradeProp.Party1)
{
priceableProduct.Multiplier = -1;
result = priceableProduct.Calculate(modelData);
priceableProduct.Multiplier = 1;
}
}
if (modelData.IsReportingCounterpartyRequired)
{
priceableProduct.Multiplier = 0;
result = priceableProduct.Calculate(modelData);
priceableProduct.Multiplier = 1;
}
var valSet = new ValuationSet {
assetValuation = new[] { result }
};
//The tradevaluation item.
var trade = new Trade {
id = TradeIdentifier.UniqueIdentifier, tradeHeader = TradeHeader
};
//Checks to see if the deatil data is required and if so builds the product.//TODO Add other ItemChoice types.e.g. Fra
if (reportType == ValuationReportType.Full)
{
var item = PriceableProduct.BuildTheProduct();
trade.Item = item;
trade.ItemElementName = trade.GetTradeTypeFromItem();
}
var tradeValuationItem = new TradeValuationItem {
Items = new object[] { trade }, valuationSet = valSet
};
valuationReport.tradeValuationItem = new[] { tradeValuationItem };
return(valuationReport);
}
throw new NotSupportedException("Product pricing is not supported!");
}
public abstract List <object[]> DoExpectedCashflowReport(InstrumentControllerBase pricer);
public abstract object[,] DoXLReport(InstrumentControllerBase pricer);
public abstract object DoReport(InstrumentControllerBase priceable);
public override object[,] DoXLReport(InstrumentControllerBase instrument)
{
return(null);
}
public override List <object[]> DoExpectedCashflowReport(InstrumentControllerBase pricer)
{
return(null);
}
public override object[,] DoXLReport(InstrumentControllerBase instrument)
{
var interestRateSwap = instrument as InterestRateSwapPricer;
object[,] result = null;
if (interestRateSwap != null)
{
var receiveLegExchangesCount = 0;
if (interestRateSwap.ReceiveLeg.PriceablePrincipalExchanges != null)
{
receiveLegExchangesCount = interestRateSwap.ReceiveLeg.PriceablePrincipalExchanges.Count;
}
var payLegExchangesCount = 0;
if (interestRateSwap.PayLeg.PriceablePrincipalExchanges != null)
{
payLegExchangesCount = interestRateSwap.PayLeg.PriceablePrincipalExchanges.Count;
}
var rows = interestRateSwap.ReceiveLeg.Coupons.Count + interestRateSwap.PayLeg.Coupons.Count + 1 + receiveLegExchangesCount + payLegExchangesCount;
result = new object[rows, 15];
var index = 1;
//Headings First:
result[0, 0] = "Leg";
result[0, 1] = "Coupon";
result[0, 2] = "PriceableCouponType";
//result[0, 3] = "PaymentDate";
result[0, 3] = "NotionalAmount";
result[0, 4] = "Rate";
result[0, 5] = "ForecastAmount";
result[0, 6] = "Currency";
result[0, 7] = "AccrualStartDate";
result[0, 8] = "AccrualEndDate";
result[0, 9] = "PaymentDate";
result[0, 10] = "PaymentDiscountFactor";
result[0, 11] = "NPV";
result[0, 12] = "CouponYearFraction";
result[0, 13] = "IsDiscounted";
result[0, 14] = "IsRealised";
foreach (var receiveRateCoupon in interestRateSwap.ReceiveLeg.Coupons)
{
result[index, 0] = "ReceiveLeg";
result[index, 1] = "Coupon_" + index;
result[index, 2] = receiveRateCoupon.PriceableCouponType.ToString();
//result[index, 3] = receiveRateCoupon.PaymentDate;
result[index, 3] = receiveRateCoupon.NotionalAmount.amount;
result[index, 4] = receiveRateCoupon.Rate;
result[index, 5] = receiveRateCoupon.ForecastAmount.amount;
result[index, 6] = receiveRateCoupon.NotionalAmount.currency.Value;
result[index, 7] = receiveRateCoupon.AccrualStartDate;
result[index, 8] = receiveRateCoupon.AccrualEndDate;
result[index, 9] = receiveRateCoupon.PaymentDate;
result[index, 10] = receiveRateCoupon.PaymentDiscountFactor;
result[index, 11] = receiveRateCoupon.NPV.amount;
result[index, 12] = receiveRateCoupon.CouponYearFraction;
result[index, 13] = receiveRateCoupon.IsDiscounted;
result[index, 14] = receiveRateCoupon.IsRealised;
index++;
}
var secondIndex = 1;
foreach (var payRateCoupon in interestRateSwap.PayLeg.Coupons)
{
result[index, 0] = "PayLeg";
result[index, 1] = "Coupon_" + secondIndex;
result[index, 2] = payRateCoupon.PriceableCouponType.ToString();
//result[index, 3] = payRateCoupon.PaymentDate;
result[index, 3] = payRateCoupon.NotionalAmount.amount;
result[index, 4] = payRateCoupon.Rate;
result[index, 5] = payRateCoupon.ForecastAmount.amount;
result[index, 6] = payRateCoupon.NotionalAmount.currency.Value;
result[index, 7] = payRateCoupon.AccrualStartDate;
result[index, 8] = payRateCoupon.AccrualEndDate;
result[index, 9] = payRateCoupon.PaymentDate;
result[index, 10] = payRateCoupon.PaymentDiscountFactor;
result[index, 11] = payRateCoupon.NPV.amount;
result[index, 12] = payRateCoupon.CouponYearFraction;
result[index, 13] = payRateCoupon.IsDiscounted;
result[index, 14] = payRateCoupon.IsRealised;
index++;
secondIndex++;
}
if (interestRateSwap.ReceiveLeg.Exchanges != null)
{
var thirdIndex = 1;
foreach (var principal in interestRateSwap.ReceiveLeg.Exchanges)
{
result[index, 0] = "ReceiveLeg";
result[index, 1] = "Principal_" + thirdIndex;
result[index, 2] = "PrincipalExchange";
//result[index, 3] = principal.RiskMaturityDate;
result[index, 3] = principal.PaymentAmount.amount;
result[index, 4] = 0.0m;
result[index, 5] = principal.PaymentAmount.amount;
result[index, 6] = principal.PaymentAmount.currency.Value;
result[index, 7] = principal.PaymentDate;
result[index, 8] = principal.PaymentDate;
result[index, 9] = principal.PaymentDate;
result[index, 10] = principal.PaymentDiscountFactor;
var npv = 0.0m;
if (principal.NPV != null)
{
npv = principal.NPV.amount;
}
result[index, 11] = npv;
result[index, 12] = principal.YearFractionToCashFlowPayment;
result[index, 13] = false;
result[index, 14] = principal.IsRealised;
index++;
thirdIndex++;
}
}
if (interestRateSwap.PayLeg.Exchanges != null)
{
var fourthIndex = 1;
foreach (var principal in interestRateSwap.PayLeg.Exchanges)
{
result[index, 0] = "PayLeg";
result[index, 1] = "Principal_" + fourthIndex;
result[index, 2] = "PrincipalExchange";
//result[index, 3] = principal.RiskMaturityDate;
result[index, 3] = principal.PaymentAmount.amount;
result[index, 4] = 0.0m;
result[index, 5] = principal.PaymentAmount.amount;
result[index, 6] = principal.PaymentAmount.currency.Value;
result[index, 7] = principal.PaymentDate;
result[index, 8] = principal.PaymentDate;
result[index, 9] = principal.PaymentDate;
result[index, 10] = principal.PaymentDiscountFactor;
var npv = 0.0m;
if (principal.NPV != null)
{
npv = principal.NPV.amount;
}
result[index, 11] = npv;
result[index, 12] = principal.YearFractionToCashFlowPayment;
result[index, 13] = false;
result[index, 14] = principal.IsRealised;
index++;
fourthIndex++;
}
}
}
return(result);
}
