public void DoesRequestMatchFilter_InvalidExpiryEndDateWithHyphen_ArgumentExceptionThrown()
{
// Act
var test = new RequestForQuoteImpl()
{
ExpiryDate = new DateTime(2012, 12, 23)
}.DoesRequestMatchFilter(new Dictionary
<string,
string>()
{
{ RequestForQuoteConstants.EXPIRY_DATE_CRITERION, "-INVALID_DATE" }
});
}
public void DoesRequestMatchFilter_InvalidTradeStartDateWithHyphen_ArgumentExceptionThrown()
{
// Act
var test = new RequestForQuoteImpl()
{
TradeDate = new DateTime(2012, 12, 23)
}.DoesRequestMatchFilter(new Dictionary
<string,
string>()
{
{ RequestForQuoteConstants.TRADE_DATE_CRITERION, "INVALID_DATE-" }
});
}
public void HandlePublishedNewRequestEvent(NewRequestForQuoteEventPayload eventPayload)
{
if (eventPayload == null)
{
throw new ArgumentNullException("eventPayload");
}
IRequestForQuote request = new RequestForQuoteImpl();
request.Legs = optionRequestParser.ParseRequest(eventPayload.NewRequestText.ToUpper(), request);
request.Request = eventPayload.NewRequestText;
request.Status = StatusEnum.PENDING;
request.Identifier = -1;
request.Client = eventPayload.NewRequestClient;
request.TradeDate = DateTime.Today;
if (request.Legs != null)
{
request.ExpiryDate = request.Legs[0].MaturityDate;
}
request.LotSize = 100;
request.Multiplier = 10;
request.Contracts = 100;
request.NotionalFXRate = 1;
request.NotionalMillions = 1;
request.BookCode = eventPayload.NewRequestBookCode;
request.DayCountConvention = 250.0;
request.PremiumSettlementFXRate = 1;
request.SalesCreditFXRate = 1;
request.IsOTC = true;
request.SalesCreditPercentage = 2;
request.PremiumSettlementDaysOverride = 1;
request.PremiumSettlementDate = DateTime.Today.AddDays(request.PremiumSettlementDaysOverride);
request.CalculatePricing(optionRequestPricer);
TodaysRequests.Add(request);
Requests.Clear();
Requests.AddRange(TodaysRequests);
NotifyPropertyChanged("Requests");
// TODO - add all fields with their defaults.
if (log.IsDebugEnabled)
{
log.Debug("Received and prcoessed published new request for quote => " + request);
}
}
/// <summary>
/// Converts web service formatted RFQ into the GUI format.
/// </summary>
/// <param name="serviceRequest"> the web service formatted RFQ to be converted.</param>
/// <returns> the GUI formatted RFQ.</returns>
/// <exception cref="ArgumentNullException"> thrown if the web service formatted RFQ is null.</exception>
/// <exception cref="InvalidDataException"> thrown if status or notionalCurrency or salesCreditCurrency or premiumSettlementCurrency or
/// hedgeType or tradeDate or expiryDate or premiumSettlementDate is invalid and cannot be converted from the string representation.</exception>
private IRequestForQuote CreateRequestForQuoteFromServiceRequest(requestDetailImpl serviceRequest)
{
if (serviceRequest == null)
{
throw new ArgumentNullException("serviceRequest");
}
StatusEnum convertedStatus = StatusEnum.PENDING;
if (serviceRequest.status != null)
{
if (!Enum.TryParse(serviceRequest.status, true, out convertedStatus))
{
throw new InvalidDataException("status");
}
}
CurrencyEnum convertedNotionalCurrency = CurrencyEnum.USD;
if (serviceRequest.notionalCurrency != null)
{
if (!Enum.TryParse(serviceRequest.notionalCurrency, true, out convertedNotionalCurrency))
{
throw new InvalidDataException("notionalCurrency");
}
}
CurrencyEnum convertedSalesCreditCurrency = CurrencyEnum.USD;
if (serviceRequest.salesCreditCurrency != null)
{
if (!Enum.TryParse(serviceRequest.salesCreditCurrency, true, out convertedSalesCreditCurrency))
{
throw new InvalidDataException("salesCreditCurrency");
}
}
CurrencyEnum convertedPremiumSettlementCurrency = CurrencyEnum.USD;
if (serviceRequest.premiumSettlementCurrency != null)
{
if (!Enum.TryParse(serviceRequest.premiumSettlementCurrency, true, out convertedPremiumSettlementCurrency))
{
throw new InvalidDataException("premiumSettlementCurrency");
}
}
HedgeTypeEnum convertedHedgeType = HedgeTypeEnum.FUTURES;
if (serviceRequest.hedgeType != null)
{
if (!Enum.TryParse(serviceRequest.hedgeType, true, out convertedHedgeType))
{
throw new InvalidDataException("hedgeType");
}
}
var convertedTradeDate = DateTime.Now;
if (serviceRequest.tradeDate != null)
{
if (!DateTime.TryParse(serviceRequest.tradeDate, out convertedTradeDate))
{
throw new InvalidDataException("tradeDate");
}
}
var convertedExpiryDate = DateTime.Now;
if (serviceRequest.expiryDate != null)
{
if (!DateTime.TryParse(serviceRequest.expiryDate, out convertedExpiryDate))
{
throw new InvalidDataException("expiryDate");
}
}
var convertedPremiumSettlementDate = DateTime.Now;
if (serviceRequest.premiumSettlementDate != null)
{
if (!DateTime.TryParse(serviceRequest.premiumSettlementDate, out convertedPremiumSettlementDate))
{
throw new InvalidDataException("premiumSettlementDate");
}
}
var requestForQuoteToCreate = new RequestForQuoteImpl();
if (serviceRequest.legs != null && serviceRequest.legs.optionDetailList != null)
{
if (serviceRequest.legs.optionDetailList.Length > 0)
{
requestForQuoteToCreate.Legs = new List <OptionDetailImpl>();
}
foreach (var leg in serviceRequest.legs.optionDetailList)
{
var optionLeg = CreateRequestForQuoteLegFromServiceOptionLeg(leg);
optionLeg.ParentRequest = requestForQuoteToCreate;
requestForQuoteToCreate.AddLeg(optionLeg);
}
}
requestForQuoteToCreate.BookCode = serviceRequest.bookCode;
requestForQuoteToCreate.Request = serviceRequest.request;
requestForQuoteToCreate.Identifier = serviceRequest.identifier;
requestForQuoteToCreate.Client = clientManager.GetClientWithMatchingIdentifier(serviceRequest.clientId);
requestForQuoteToCreate.IsOTC = serviceRequest.isOTC;
requestForQuoteToCreate.Status = convertedStatus; //6
requestForQuoteToCreate.TradeDate = convertedTradeDate;
requestForQuoteToCreate.ExpiryDate = convertedExpiryDate; //8
requestForQuoteToCreate.DayCountConvention = serviceRequest.dayCountConvention;
requestForQuoteToCreate.LotSize = serviceRequest.lotSize;
requestForQuoteToCreate.Multiplier = serviceRequest.multiplier;
requestForQuoteToCreate.Contracts = serviceRequest.contracts;
requestForQuoteToCreate.NotionalMillions = serviceRequest.notionalMillions;
requestForQuoteToCreate.NotionalFXRate = serviceRequest.notionalFXRate;
requestForQuoteToCreate.NotionalCurrency = convertedNotionalCurrency; //15
requestForQuoteToCreate.Delta = serviceRequest.delta;
requestForQuoteToCreate.Gamma = serviceRequest.gamma;
requestForQuoteToCreate.Vega = serviceRequest.vega;
requestForQuoteToCreate.Theta = serviceRequest.theta;
requestForQuoteToCreate.Rho = serviceRequest.rho; //20
requestForQuoteToCreate.AskFinalAmount = serviceRequest.askFinalAmount;
requestForQuoteToCreate.AskFinalPercentage = serviceRequest.askFinalPercentage;
requestForQuoteToCreate.AskImpliedVol = serviceRequest.askImpliedVol;
requestForQuoteToCreate.AskPremiumAmount = serviceRequest.askPremiumAmount;
requestForQuoteToCreate.AskPremiumPercentage = serviceRequest.askPremiumPercentage; //35
requestForQuoteToCreate.BidFinalAmount = serviceRequest.bidFinalAmount;
requestForQuoteToCreate.BidFinalPercentage = serviceRequest.bidFinalPercentage;
requestForQuoteToCreate.BidImpliedVol = serviceRequest.bidImpliedVol;
requestForQuoteToCreate.BidPremiumAmount = serviceRequest.bidPremiumAmount;
requestForQuoteToCreate.BidPremiumPercentage = serviceRequest.bidPremiumPercentage; //40
requestForQuoteToCreate.PremiumAmount = serviceRequest.premiumAmount;
requestForQuoteToCreate.PremiumPercentage = serviceRequest.premiumPercentage;
requestForQuoteToCreate.ImpliedVol = serviceRequest.impliedVol; //43
requestForQuoteToCreate.SalesCreditAmount = serviceRequest.salesCreditAmount;
requestForQuoteToCreate.SalesCreditPercentage = serviceRequest.salesCreditPercentage;
requestForQuoteToCreate.SalesCreditCurrency = convertedSalesCreditCurrency;
requestForQuoteToCreate.SalesCreditFXRate = serviceRequest.salesCreditFXRate; //47
requestForQuoteToCreate.PremiumSettlementCurrency = convertedPremiumSettlementCurrency;
requestForQuoteToCreate.PremiumSettlementDate = convertedPremiumSettlementDate;
requestForQuoteToCreate.PremiumSettlementDaysOverride = serviceRequest.premiumSettlementDaysOverride;
requestForQuoteToCreate.PremiumSettlementFXRate = serviceRequest.premiumSettlementFXRate; //51
requestForQuoteToCreate.SalesComment = serviceRequest.salesComment;
requestForQuoteToCreate.TraderComment = serviceRequest.traderComment;
requestForQuoteToCreate.ClientComment = serviceRequest.clientComment; //54
requestForQuoteToCreate.HedgePrice = serviceRequest.hedgePrice;
requestForQuoteToCreate.HedgeType = convertedHedgeType;
requestForQuoteToCreate.PickedUpBy = serviceRequest.pickedUpBy; //58
return(requestForQuoteToCreate);
}
public void DoesRequestMatchFilter_NullCriteria_ArgumentNullExceptionThrown()
{
// Act
var test = new RequestForQuoteImpl().DoesRequestMatchFilter(null);
}
