/// <summary>
/// Initializes a new instance of the <see cref="RateBasisCurve"/> class.
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">The client namespace</param>
/// <param name="referenceCurveData">The market data. This must contain both the underlying base curve and the spread curve.
/// Otherwise the RateBasisInterpolator can not instantiate.</param>
/// <param name="derivedCurveData">The spread Curve Data</param>
/// <param name="fixingCalendar">The fixingCalendar.</param>
/// <param name="rollCalendar">The rollCalendar.</param>
public ClearedRateCurve(ILogger logger, ICoreCache cache, String nameSpace,
Triplet <PricingStructure, PricingStructureValuation, NamedValueSet> referenceCurveData,
Triplet <PricingStructure, PricingStructureValuation, NamedValueSet> derivedCurveData, IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
: base(derivedCurveData.Third, GenerateHolder(logger, cache, nameSpace, derivedCurveData.Third))
{
PricingStructureData = new PricingStructureData(CurveType.Child, AssetClass.Rates, derivedCurveData.Third);
var curveId = GetRateCurveId();
//Set the identifier.
var nvs = derivedCurveData.Third;
var pricingStructureId = GetRateCurveId();
var refCurveId = PropertyHelper.ExtractReferenceCurveUniqueId(nvs);
ReferenceDiscountingCurveId = refCurveId != null ? new Identifier(refCurveId) : ReferenceDiscountingCurveId = null;
if (pricingStructureId.PricingStructureType != PricingStructureTypeEnum.ClearedRateCurve)
{
return;
}
//Set the reference curve
var baseCurveFpml = new Pair <PricingStructure, PricingStructureValuation>(referenceCurveData.First, referenceCurveData.Second);
var baseCurveProps = referenceCurveData.Third;
BaseDiscountingCurve = (IRateCurve)PricingStructureFactory.Create(logger, cache, nameSpace, fixingCalendar, rollCalendar, baseCurveFpml, baseCurveProps);
//Get the spread Data
var spreadCurveFpml = new Pair <PricingStructure, PricingStructureValuation>(derivedCurveData.First, derivedCurveData.Second);
//Override properties.
//var optimize = PropertyHelper.ExtractOptimizeBuildFlag(properties);
var bootstrap = PropertyHelper.ExtractBootStrapOverrideFlag(nvs);
var tempFpml = (YieldCurveValuation)spreadCurveFpml.Second;
var spreadAssets = tempFpml.inputs;
//This is to catch it when there are no discount factor points.
var discountsAbsent = tempFpml.discountFactorCurve?.point == null || tempFpml.discountFactorCurve.point.Length == 0;
var indexTenor = curveId.ForecastRateIndex?.indexTenor;
if (bootstrap || discountsAbsent)
{
//There must be a valid quoted asset set in order to bootstrap.
if (!XsdClassesFieldResolver.QuotedAssetSetIsValid(spreadAssets))
{
return;
}
PriceableClearedRateAssets =
PriceableAssetFactory.CreatePriceableClearedRateAssetsWithBasisSwaps(logger, cache, nameSpace, indexTenor, spreadAssets, pricingStructureId.BaseDate, fixingCalendar, rollCalendar);
GetYieldCurveValuation().zeroCurve = null;
TermCurve termCurve = tempFpml.discountFactorCurve ?? SetConfigurationData();
DateTime baseDate = GetYieldCurveValuation().baseDate.Value;
termCurve.point = ClearedRateBootstrapper.Bootstrap(PriceableClearedRateAssets, BaseDiscountingCurve, baseDate, termCurve.extrapolationPermitted, termCurve.interpolationMethod, Tolerance);
SetFpMLData(new Pair <PricingStructure, PricingStructureValuation>(PricingStructure, PricingStructureValuation), false);
SetInterpolator(termCurve);
}
else
{
// the discount curve is already built, so don't rebuild
PriceableClearedRateAssets = PriceableAssetFactory.CreatePriceableClearedRateAssetsWithBasisSwaps(logger, cache, nameSpace, indexTenor, spreadAssets, pricingStructureId.BaseDate, fixingCalendar, rollCalendar);
//Order the assets.
PriceableClearedRateAssets = PriceableClearedRateAssets.OrderBy(a => a.GetRiskMaturityDate()).ToList();
CreatePricingStructure(pricingStructureId, tempFpml.discountFactorCurve, spreadAssets);
// CreatePricingStructure(pricingStructureId, tempFpml.discountFactorCurve, PriceableAssetFactory.Parse(PriceableClearedRateAssets));
SetInterpolator(GetYieldCurveValuation().discountFactorCurve);
}
}
/// <summary>
/// Initializes a new instance of the <see cref="CommoditySpreadCurve2"/> class.
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">The client namespace</param>
/// <param name="referenceCurveData">The market data. This must contain both the underlying base curve and the spread curve.
/// Otherwise the RateBasisInterpolator can not instantiate.</param>
/// <param name="spreadCurveData">The spread Curve Data</param>
/// <param name="rollCalendar">The rollCalendar.</param>
public CommoditySpreadCurve2(ILogger logger, ICoreCache cache, String nameSpace,
Triplet <PricingStructure, PricingStructureValuation, NamedValueSet> referenceCurveData,
Triplet <PricingStructure, PricingStructureValuation, NamedValueSet> spreadCurveData, IBusinessCalendar rollCalendar)
: base(spreadCurveData.Third, GenerateHolder(logger, cache, nameSpace, spreadCurveData.Third))
{
PricingStructureData = new PricingStructureData(CurveType.Child, AssetClass.Rates, spreadCurveData.Third);
//Set the identifier.
var nvs = spreadCurveData.Third;
var pricingStructureId = GetCommodityCurveId();
var refCurveId = PropertyHelper.ExtractReferenceCurveUniqueId(nvs);
ReferenceCurveId = refCurveId != null ? new Identifier(refCurveId) : ReferenceCurveId = null;
if (pricingStructureId.PricingStructureType != PricingStructureTypeEnum.CommoditySpreadCurve)
{
return;
}
//Set the reference curve
var baseCurveFpml = new Pair <PricingStructure, PricingStructureValuation>(referenceCurveData.First, referenceCurveData.Second);
var baseCurveProps = referenceCurveData.Third;
BaseCurve = (ICommodityCurve)PricingStructureFactory.Create(logger, cache, nameSpace, rollCalendar, rollCalendar, baseCurveFpml, baseCurveProps);
//Get the spread Data
var spreadCurveFpml = new Pair <PricingStructure, PricingStructureValuation>(spreadCurveData.First, spreadCurveData.Second);
//Override properties.
//var optimize = PropertyHelper.ExtractOptimizeBuildFlag(properties);
var bootstrap = PropertyHelper.ExtractBootStrapOverrideFlag(nvs);
var tempFpml = (FxCurveValuation)spreadCurveFpml.Second;
var spreadAssets = tempFpml.spotRate;
//This is to catch it when there are no discount factor points.
var discountsAbsent = tempFpml.fxForwardCurve == null ||
tempFpml.fxForwardCurve.point == null ||
tempFpml.fxForwardCurve.point.Length == 0;
if (bootstrap || discountsAbsent)
{
//There must be a valid quotedassetset in order to bootstrap.
if (!XsdClassesFieldResolver.QuotedAssetSetIsValid(spreadAssets))
{
return;
}
PriceableCommoditySpreadAssets =
PriceableAssetFactory.CreatePriceableCommoditySpreadAssets(logger, cache, nameSpace, pricingStructureId.BaseDate, spreadAssets, rollCalendar);
Build(logger, cache, nameSpace, rollCalendar, rollCalendar);
}
else
{
// the discount curve is already built, so don't rebuild
PriceableCommoditySpreadAssets = PriceableAssetFactory.CreatePriceableCommoditySpreadAssets(logger, cache, nameSpace, pricingStructureId.BaseDate, spreadAssets, rollCalendar);
//Order the assets.
PriceableCommoditySpreadAssets = PriceableCommoditySpreadAssets.OrderBy(a => a.GetRiskMaturityDate()).ToList();
CreatePricingStructure(pricingStructureId, tempFpml.fxForwardCurve, PriceableAssetFactory.Parse(PriceableCommoditySpreadAssets));
//SetInterpolator(BaseCurve, pricingStructureId.PricingStructureType);
}
}
/// <summary>
/// Initializes a new instance of the <see cref="RateXccySpreadCurve"/> class.
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">THe client namespace</param>
/// <param name="baseCurveData">The market data. This must contain both the underlying base curve and the spread curve.
/// Otherwise the RateBasisInterpolator can not instantiate.</param>
/// <param name="referenceFxCurveData">The fxcurve referenced.</param>
/// <param name="currency2CurveData">The curve data for the non base curve. This is normally the domestic curve i.e. AUD,
/// as FX is quotes as xccy basis swaps adjust on the non-USD leg.</param>
/// <param name="spreadCurveData">The spread Curve Data</param>
/// <param name="fixingCalendar">The fixingCalendar.</param>
/// <param name="rollCalendar">The rollCalendar.</param>
public RateXccySpreadCurve(ILogger logger, ICoreCache cache, string nameSpace,
Triplet <PricingStructure, PricingStructureValuation, NamedValueSet> baseCurveData,
Triplet <PricingStructure, PricingStructureValuation, NamedValueSet> referenceFxCurveData,
Triplet <PricingStructure, PricingStructureValuation, NamedValueSet> currency2CurveData,
Triplet <PricingStructure, PricingStructureValuation, NamedValueSet> spreadCurveData, IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
: base(logger, cache, nameSpace, spreadCurveData, fixingCalendar, rollCalendar)
{
//Set the identifier.
var nvs = spreadCurveData.Third;
var pricingStructureId = new RateCurveIdentifier(nvs);
PricingStructureIdentifier = pricingStructureId;
var refCurveId = nvs.GetValue <string>(CurveProp.ReferenceCurveUniqueId);
ReferenceCurveId = refCurveId != null ? new Identifier(refCurveId) : ReferenceCurveId = null;
if (pricingStructureId.PricingStructureType != PricingStructureTypeEnum.RateXccyCurve)
{
return;
}
//Set the curve term.
var cutOverTerm = spreadCurveData.Third.GetValue <string>("CutOverTerm");
if (cutOverTerm != null)
{
CutOverTerm = PeriodHelper.Parse(cutOverTerm);
}
//Set the reference curve
var baseCurveFpML = new Pair <PricingStructure, PricingStructureValuation>(baseCurveData.First, baseCurveData.Second);
var baseCurveProps = baseCurveData.Third;
BaseCurve = (IRateCurve)PricingStructureFactory.Create(logger, cache, nameSpace, fixingCalendar, rollCalendar, baseCurveFpML, baseCurveProps);
var fxCurveFpML = new Pair <PricingStructure, PricingStructureValuation>(referenceFxCurveData.First, referenceFxCurveData.Second);
var fxCurveProps = referenceFxCurveData.Third;
ReferenceFxCurve = (IFxCurve)PricingStructureFactory.Create(logger, cache, nameSpace, fixingCalendar, rollCalendar, fxCurveFpML, fxCurveProps);
//Set the reference curve
var currency2CurveFpML = new Pair <PricingStructure, PricingStructureValuation>(currency2CurveData.First, currency2CurveData.Second);
var currency2CurveProps = currency2CurveData.Third;
Currency2Curve = (RateCurve)PricingStructureFactory.Create(logger, cache, nameSpace, fixingCalendar, rollCalendar, currency2CurveFpML, currency2CurveProps);
//Get the spread Data
var spreadCurveFpML = new Pair <PricingStructure, PricingStructureValuation>(spreadCurveData.First, spreadCurveData.Second);
var spreadCurveProps = spreadCurveData.Third;
IsCurrency1RateCurve = spreadCurveProps.GetValue <bool>("Currency1RateCurve");
//Override properties.
//var optimize = PropertyHelper.ExtractOptimizeBuildFlag(properties);TODO add this later.
var bootstrap = PropertyHelper.ExtractBootStrapOverrideFlag(nvs);
var tempFpml = (YieldCurveValuation)spreadCurveFpML.Second;
var spreadAssets = tempFpml.inputs;
//This is to catch it when there are no discount factor points.
var discountsAbsent = tempFpml.discountFactorCurve?.point == null || tempFpml.discountFactorCurve.point.Length == 0;
if (cache == null)
{
bootstrap = false;
}
if (bootstrap || discountsAbsent)
{
//There must be a valid quoted asset set in order to bootstrap.
if (!XsdClassesFieldResolver.QuotedAssetSetIsValid(spreadAssets))
{
return;
}
PriceableRateSpreadAssets = PriceableAssetFactory.CreatePriceableRateSpreadAssets(logger, cache, nameSpace, pricingStructureId.BaseDate, spreadAssets, fixingCalendar, rollCalendar);
Build(logger, cache, nameSpace, fixingCalendar, rollCalendar);
}
else
{
if (cache != null)
{
// the discount curve is already built, so don't rebuild
PriceableRateSpreadAssets = PriceableAssetFactory.CreatePriceableRateSpreadAssets(logger, cache, nameSpace, pricingStructureId.BaseDate, spreadAssets, fixingCalendar, rollCalendar);
CreatePricingStructure(pricingStructureId, tempFpml.discountFactorCurve, PriceableAssetFactory.Parse(PriceableRateSpreadAssets));
SetInterpolator(BaseCurve, pricingStructureId.PricingStructureType);
}
else
{
CreatePricingStructure(pricingStructureId, tempFpml.discountFactorCurve, spreadAssets);
SetInterpolator(BaseCurve, pricingStructureId.PricingStructureType);
}
}
}
public void ProcessItems()
{
int count = Interlocked.Decrement(ref _queuedCalls);
// exit if there are more callbacks following us
//if (count % 10000 == 0)
_loggerRef.Target.LogDebug("ProcessItems: Queued calls remaining: {0}", count);
if (count != 0)
{
return;
}
ICoreItem item = null;
_queuedItems.Locked(queue =>
{
if (queue.Count > 0)
{
item = queue.Dequeue();
}
});
while (item != null)
{
var qas = item.Data as QuotedAssetSet;
if (qas != null)
{
// 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();
// });
}
}
}
}
