public string CreateFraTradeValuation(ILogger logger, ICoreCache cache,
IRateCurve forwardCurve, IRateCurve discountCurve,
IBusinessCalendar fixingCalendar, IBusinessCalendar paymentCalendar,
FraInputRange fraInputRange, string[] metrics,
NamedValueSet properties, String nameSpace)
{
//get the balues reqired from the property bag.
var valuationId = new ValuationReportIdentifier(properties);
var baseParty = properties.GetString("BaseParty", true);
var reportingCurrency = properties.GetString("ReportingCurrency", true);
properties.Set("Function", "ValuationReport");
properties.Set("Domain", "Orion.ValuationReport");
//TODO add other properties
//var fra = Cache.GetTrade(fraId);
var fra = ProductFactory.GetFpMLFra(fraInputRange);
//Get the curves and store.
var marketFactory = new MarketFactory();
var uniqueCurves = new List <IRateCurve>();
//var forwardCurve = (RateCurve)ObjectCacheHelper.GetPricingStructureFromSerialisable(fraInputRange.ForwardCurveId);
//var discountCurve = (RateCurve)ObjectCacheHelper.GetPricingStructureFromSerialisable(fraInputRange.DiscountingCurveId);
var market = CreateMarket(discountCurve, forwardCurve);
var agreement = new FraPricer(logger, cache, null, null, fra, nameSpace);
var modelData = CreateInstrumentModelData(metrics, fraInputRange.ValuationDate, market, reportingCurrency);
var asetValuation = agreement.Calculate(modelData);
// Add forward yield curve to the market environment ...
//
//var forwardCurve = (IRateCurve)ObjectCacheHelper.GetPricingStructureFromSerialisable(fraInputRange.ForwardCurveId);
uniqueCurves.Add(forwardCurve);
// ... if discount curve is not the same as forward curve - add a discount curve too.
//
//if (fraInputRange.ForwardCurveId != fraInputRange.DiscountingCurveId)
//{
// var discountingCurve = (IRateCurve)ObjectCacheHelper.GetPricingStructureFromSerialisable(fraInputRange.DiscountingCurveId);
// uniqueCurves.Add(discountingCurve);
//}
//TODO Add the FX curve if the reporting currency is different.
foreach (var rateCurve in uniqueCurves)
{
// Add all unique curves into market
//
Pair <PricingStructure, PricingStructureValuation> pair = rateCurve.GetFpMLData();
marketFactory.AddPricingStructure(pair);
}
var valuation = new Valuation();
// create ValuationReport and add it to in-memory collection.
//
valuation.CreateFraValuationReport(cache, nameSpace, valuationId.UniqueIdentifier, baseParty, fra, marketFactory.Create(), asetValuation, properties);
return(valuationId.UniqueIdentifier);
}
private void ValueStripMenuItemClick(object sender, EventArgs e)
{
var itemToValue = treeNavigation.SelectedNode?.Tag as ICoreItem;
if (itemToValue == null)
{
return;
}
var schema = itemToValue.AppProps.GetValue <string>(TradeProp.Schema, true);
Trade trade;
if (schema == FpML5R3NameSpaces.ConfirmationSchema)
{
var xml = itemToValue.Text; //XmlSerializerHelper.SerializeToString(itemToValue.Data);
var newxml = xml.Replace("FpML-5/confirmation", "FpML-5/reporting");
trade = XmlSerializerHelper.DeserializeFromString <Trade>(newxml);
}
else
{
trade = XmlSerializerHelper.DeserializeFromString <Trade>(itemToValue.Text);
}
if (trade != null)
{
// the item
var properties = itemToValue.AppProps;
var party1 = properties.GetValue <string>(TradeProp.Party1, true);
var baseParty = comboBoxParty.Text == party1 ? "Party1" : "Party2";
var nameSpace = properties.GetValue <string>(EnvironmentProp.NameSpace, true);
var valuationDate = dateTimePickerValuation.Value;
var market = comboBoxMarket.Items[comboBoxMarket.SelectedIndex].ToString();
var reportingCurrency = comboBoxCurrency.Items[comboBoxCurrency.SelectedIndex].ToString();
//Predefined metrics
var metrics = new List <string> {
"NPV", "Delta0", "Delta1", "LocalCurrencyNPV", "NFV"
};
var requestedMetrics = listBoxMetrics.SelectedItems;
foreach (var metric in requestedMetrics)
{
if (!metrics.Contains(metric.ToString()))
{
metrics.Add(metric.ToString());
}
}
var uniqueTradeId = itemToValue.Name;
var product = trade.Item;
try
{
_loggerRef.Target.LogDebug("Valuing the trade: ." + uniqueTradeId);
var pricer = new TradePricer(_loggerRef.Target, _client, nameSpace, null, trade, itemToValue.AppProps);
//Get the market
var marketEnviroment = CurveEngine.GetMarket(_loggerRef.Target, _client, nameSpace, product, market, reportingCurrency, false);
var controller = TradePricer.CreateInstrumentModelData(metrics, valuationDate, marketEnviroment, reportingCurrency, baseParty);
var assetValuationReport = pricer.Price(controller, ValuationReportType.Full);
_loggerRef.Target.LogDebug("Valued the trade: ." + uniqueTradeId);
var id = uniqueTradeId.Split('.')[uniqueTradeId.Split('.').Length - 1];
//Build the val report properties
var valProperties = properties.Clone();
//Trade type
var tradeType = ProductTypeHelper.TradeTypeHelper(product);
valProperties.Set(ValueProp.PortfolioId, tradeType + "." + id);
valProperties.Set(ValueProp.BaseParty, baseParty);
valProperties.Set(ValueProp.MarketName, market);
valProperties.Set(ValueProp.CalculationDateTime, valuationDate);
valProperties.Set(TradeProp.UniqueIdentifier, null);
//The unique identifier for the valuation report
var valuationIdentifier = new ValuationReportIdentifier(valProperties);
_client.SaveObject(assetValuationReport, nameSpace + "." + valuationIdentifier.UniqueIdentifier, valProperties);
_loggerRef.Target.LogDebug("Valued and saved results for the trade: {0}", uniqueTradeId);
}
catch (Exception excp)
{
MessageBox.Show(excp.ToString(), Resources.CoreViewerForm_ValueStripMenuItemClick_Value_failed, MessageBoxButtons.OK, MessageBoxIcon.Error);
}
}
}
