/// <summary>
/// Replaces a QuotedAssetSet with this. Note that the referential integrity between the assets
/// and valuations is checked and maintained.
/// </summary>
/// <param name="additional">The additional QuotedAssetSet.</param>
/// <returns></returns>
public void Replace(QuotedAssetSet additional)
{
var qas = XmlSerializerHelper.Clone(additional);
instrumentSet = qas.instrumentSet;
assetQuote = qas.assetQuote;
}
//Adds a spread to an asset. The spread value is added to each asset in the original curve.
//The array of spread values must be the same length as the array of assets.
// The curve is renamed with the id provided.
//
/// <summary>
///
/// </summary>
/// <param name="spreadValues"></param>
/// <param name="commodityCurve"></param>
/// <param name="curveId"></param>
/// <returns></returns>
protected static Pair <PricingStructure, PricingStructureValuation> AdjustMarketQuotes(Decimal[] spreadValues,
Pair <PricingStructure, PricingStructureValuation> commodityCurve, string curveId)
{
var ycCurveCloned = XmlSerializerHelper.Clone(commodityCurve.First);
var ycvCurveCloned = XmlSerializerHelper.Clone(commodityCurve.Second);
var yc = (FpML.V5r10.Reporting.FxCurve)ycCurveCloned;
yc.id = curveId;
var ycv = (FxCurveValuation)ycvCurveCloned;
ycv.fxForwardCurve.point = null;
ycv.fxForwardPointsCurve = null;
ycv.fxForwardCurve = null;
//This strips out the basis swaps.
//
ycv.spotRate = AssetHelper.RemoveAssetsFromQuotedAssetSet(AssetTypesEnum.BasisSwap, ycv.spotRate);
if (spreadValues.Length == ycv.spotRate.instrumentSet.Items.Length)
{
var index = 0;
foreach (var bav in ycv.spotRate.assetQuote)
{
bav.quote = MarketQuoteHelper.AddAndReplaceQuotationByMeasureType("MarketQuote",
new List <BasicQuotation>(bav.quote),
spreadValues[index]);
index++;
}
}
return(new Pair <PricingStructure, PricingStructureValuation>(yc, ycv));
}
//Adds a spread to an asset. The spread value is added to each asset in the original curve.
// The curve is renamed with the id provided.
//
/// <summary>
///
/// </summary>
/// <param name="spreadValue"></param>
/// <param name="commodityCurve"></param>
/// <param name="curveId"></param>
/// <returns></returns>
protected static Pair <PricingStructure, PricingStructureValuation> AdjustMarketQuotes(Decimal spreadValue,
Pair <PricingStructure, PricingStructureValuation> commodityCurve, string curveId)
{
var ycCurveCloned = XmlSerializerHelper.Clone(commodityCurve.First);
var ycvCurveCloned = XmlSerializerHelper.Clone(commodityCurve.Second);
// assign id to the cloned YieldCurve
//
var yc = (FpML.V5r10.Reporting.FxCurve)ycCurveCloned;
yc.id = curveId;
// nullify the discount factor curve to make sure that bootstrapping will happen)
//
var ycv = (FxCurveValuation)ycvCurveCloned;
ycv.fxForwardCurve.point = null;
ycv.fxForwardPointsCurve = null;
ycv.fxForwardCurve = null;
foreach (var bav in ycv.spotRate.assetQuote)
{
bav.quote = MarketQuoteHelper.AddAndReplaceQuotationByMeasureType("MarketQuote",
new List <BasicQuotation>(bav.quote),
spreadValue);
}
return(new Pair <PricingStructure, PricingStructureValuation>(yc, ycv));
}
private void Initialize(ILogger logger, ICoreCache cache, string nameSpace, NamedValueSet properties, IRateCurve baseCurve, IRateCurve quoteCurve,
string[] instruments, decimal[] values, FxCurve fxCurve, IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
{
var curveId = (RateCurveIdentifier)PricingStructureIdentifier;
BaseCurve = baseCurve;
QuoteCurve = quoteCurve;
//Holder = new PricingStructureAlgorithmsHolder(logger, cache, curveId.PricingStructureType, curveId.Algorithm);
Initialize(properties, Holder);
var currency = properties.GetValue <string>(CurveProp.Currency1);
if (fxCurve != null && baseCurve == null)
{
var holder = new GenericRateCurveAlgorithmHolder(logger, cache, nameSpace);
// Create discount factors, without any input points
RateCurve basisAdjustedDiscountCurve = CreateBasisAdjustedDiscountCurve(fxCurve, quoteCurve, currency, curveId.BaseDate, holder);
TermCurve discountCurve = ((YieldCurveValuation)basisAdjustedDiscountCurve.PricingStructureValuation).discountFactorCurve;
CreateYieldCurve();
GetYieldCurveValuation().discountFactorCurve = discountCurve;
SetInterpolator(discountCurve, curveId.Algorithm, PricingStructureTypeEnum.RateSpreadCurve);
// Put FX curve into inputs
var assetQuotes = new List <BasicAssetValuation>();
BasicAssetValuation[] fxAssetQuotes = ((FxCurveValuation)fxCurve.GetFpMLData().Second).spotRate.assetQuote;
foreach (BasicAssetValuation assetQuote in fxAssetQuotes)
{
BasicAssetValuation clonedAssetQuote = XmlSerializerHelper.Clone(assetQuote);
clonedAssetQuote.definitionRef = FxCurveName;
assetQuotes.Add(clonedAssetQuote);
}
AddQuoteCurveInputs(assetQuotes);
((YieldCurveValuation)PricingStructureValuation).inputs = new QuotedAssetSet {
assetQuote = assetQuotes.ToArray()
};
}
else
{
List <IPriceableRateAssetController> swaps
= PriceableAssetFactory.CreatePriceableRateAssets(logger, cache, nameSpace, curveId.BaseDate, instruments, values, null, fixingCalendar, rollCalendar);
if (fxCurve == null)
{
// only use the input swaps
PriceableRateAssets = swaps;
}
else
{
var holder = new GenericRateCurveAlgorithmHolder(logger, cache, nameSpace);
// Add synthetic input points
RateCurve basisAdjustedDiscountCurve = CreateBasisAdjustedDiscountCurve(fxCurve, quoteCurve, currency, curveId.BaseDate, holder);
//TODO Add some extra short end point: 1D and 1W
string[] syntheticSwapPoints = { "1M", "2M", "3M", "6M", "9M" };
PriceableRateAssets = CreateSyntheticSwaps(logger, cache, nameSpace, BaseCurve, basisAdjustedDiscountCurve,
currency, curveId.BaseDate, syntheticSwapPoints, fixingCalendar, rollCalendar);
PriceableRateAssets.AddRange(swaps);
}
// bootstrap to create the discount factors
PriceableRateAssets = PriceableRateAssets.OrderBy(a => a.GetRiskMaturityDate()).ToList();
Bootstrap((YieldCurveValuation)GetFpMLData().Second);
}
}
private void AddBaseCurveInputs(List <BasicAssetValuation> assetQuotes)
{
QuotedAssetSet baseCurveInputs = ((YieldCurveValuation)BaseCurve?.GetFpMLData().Second)?.inputs;
if (baseCurveInputs?.assetQuote != null)
{
foreach (BasicAssetValuation assetQuote in baseCurveInputs.assetQuote)
{
BasicAssetValuation clonedAssetQuote = XmlSerializerHelper.Clone(assetQuote);
clonedAssetQuote.definitionRef = BaseCurveName;
assetQuotes.Add(clonedAssetQuote);
}
}
}
/// <summary>
///
/// </summary>
/// <param name="commodityCurve"></param>
/// <param name="curveId"></param>
/// <returns></returns>
public static Pair <PricingStructure, PricingStructureValuation> CloneCurve(Pair <PricingStructure, PricingStructureValuation> commodityCurve, string curveId)
{
PricingStructure ycCurveCloned = XmlSerializerHelper.Clone(commodityCurve.First);
PricingStructureValuation ycvCurveCloned = XmlSerializerHelper.Clone(commodityCurve.Second);
// assign id to the cloned YieldCurve
//
var yc = (FpML.V5r10.Reporting.FxCurve)ycCurveCloned;
yc.id = curveId;
// nullify the discount factor curve to make sure that bootstrapping will happen)
//
var ycv = (FxCurveValuation)ycvCurveCloned;
return(new Pair <PricingStructure, PricingStructureValuation>(yc, ycv));
}
public static ValuationReport Merge(ValuationReport valuation1,
ValuationReport valuation2)
{
ValuationReport result = XmlSerializerHelper.Clone(valuation1);
ValuationReport copyOfValuation2 = XmlSerializerHelper.Clone(valuation2);
// generate new id from a valuation report
//
string valuationIdForCombinedValuationReport = Guid.NewGuid().ToString();
result.header.messageId.Value = valuationIdForCombinedValuationReport;
// copy tradeValuationItems from valuation2 to result.
//
var listOfTradeValuations = new List <TradeValuationItem>();
listOfTradeValuations.AddRange(result.tradeValuationItem);
listOfTradeValuations.AddRange(copyOfValuation2.tradeValuationItem);
result.tradeValuationItem = listOfTradeValuations.ToArray();
return(result);
}
/// <summary>
/// Builds this instance and retruns the underlying instrument associated with the controller
/// </summary>
/// <returns></returns>
public BondTransaction Build()
{
var bond = BondTypeInfo.Bond;
var buyerPartyReference = PartyReferenceHelper.Parse(BuyerReference);
var sellerPartyReference = PartyReferenceHelper.Parse(SellerReference);
var productType = new object[] { ProductTypeHelper.Create("BondTransaction") };
var itemName = new[] { ItemsChoiceType2.productType };
//TODO extend this
var bondTransaction = new BondTransaction
{
notionalAmount = NotionalAmount,
bond = bond,
price = XmlSerializerHelper.Clone(BondPrice),
buyerPartyReference = buyerPartyReference,
sellerPartyReference = sellerPartyReference,
id = Id,
Items = productType,
ItemsElementName = itemName
};
return(bondTransaction);
}
/// <summary>
///
/// </summary>
/// <param name="logger"></param>
/// <param name="cache"></param>
/// <param name="nameSpace"></param>
/// <param name="tradeDate"></param>
/// <param name="settlementDate">The payment settlement date.</param>
/// <param name="settlementCalendar"></param>
/// <param name="paymentCalendar"></param>
/// <param name="bondFpML"></param>
/// <param name="basePartyReference"></param>
/// <param name="bondType"></param>
/// <param name="forecastRateInterpolation"></param>
public BondTransactionPricer(ILogger logger, ICoreCache cache, string nameSpace, DateTime tradeDate,
DateTime settlementDate, IBusinessCalendar settlementCalendar, IBusinessCalendar paymentCalendar,
BondTransaction bondFpML, string basePartyReference, string bondType, Boolean forecastRateInterpolation)
{
Multiplier = 1.0m;
TradeDate = tradeDate;
BondType = EnumHelper.Parse <BondTypesEnum>(bondType);
logger.LogInfo("BondType set. Commence to build a bond transaction.");
if (bondFpML == null)
{
return;
}
BuyerReference = bondFpML.buyerPartyReference.href;
PaymentCurrencies = new List <string> {
bondFpML.notionalAmount.currency.Value
};
SellerReference = bondFpML.sellerPartyReference.href;
BasePartyBuyer = basePartyReference == bondFpML.buyerPartyReference.href;
if (!BasePartyBuyer)
{
Multiplier = -1.0m;
}
ForecastRateInterpolation = forecastRateInterpolation;
SettlementCalendar = settlementCalendar;
PaymentCalendar = paymentCalendar;
//Set the bond price information
BondPrice = new BondPrice();
if (bondFpML.price.accrualsSpecified)
{
BondPrice.accrualsSpecified = true;
BondPrice.accruals = bondFpML.price.accruals;
}
if (bondFpML.price.dirtyPriceSpecified)
{
BondPrice.dirtyPriceSpecified = true;
BondPrice.dirtyPrice = bondFpML.price.dirtyPrice;
}
BondPrice.cleanOfAccruedInterest = bondFpML.price.cleanOfAccruedInterest;
BondPrice.cleanPrice = bondFpML.price.cleanPrice;
//Set the notional information
NotionalAmount = MoneyHelper.GetAmount(bondFpML.notionalAmount.amount, bondFpML.notionalAmount.currency.Value);
//Determines the quotation and units
QuoteType = BondPriceEnum.YieldToMaturity;
//We need to get the ytm in until there is a bond market price/spread.
if (BondPrice.dirtyPriceSpecified)
{
QuoteType = BondPriceEnum.DirtyPrice;
Quote = BasicQuotationHelper.Create(BondPrice.dirtyPrice, RateQuotationType);
}
//Get the insturment configuration information.
var assetIdentifier = bondFpML.bond.currency.Value + "-Bond-" + BondType;
BondNodeStruct bondTypeInfo = null;
var instrument = InstrumentDataHelper.GetInstrumentConfigurationData(cache, nameSpace, assetIdentifier);
if (instrument != null)
{
bondTypeInfo = instrument.InstrumentNodeItem as BondNodeStruct;
}
if (bondFpML.bond != null && bondTypeInfo != null)
{
if (SettlementCalendar == null)
{
SettlementCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, bondTypeInfo.SettlementDate.businessCenters, nameSpace);
}
if (PaymentCalendar == null)
{
PaymentCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, bondTypeInfo.BusinessDayAdjustments.businessCenters, nameSpace);
}
//Preprocesses the data for the priceableasset.
var bond = XmlSerializerHelper.Clone(bondFpML.bond);
BondTypeInfo = XmlSerializerHelper.Clone(bondTypeInfo);
BondTypeInfo.Bond = bond;
//This is done because the config data is not stored in the ciorrect way. Need to add a price quote units.
if (bond.couponRateSpecified)
{
var coupon = bond.couponRate;
BondTypeInfo.Bond.couponRate = coupon;
}
BondTypeInfo.Bond.faceAmount = NotionalAmount.amount;
if (BondTypeInfo.Bond.maturitySpecified)
{
RiskMaturityDate = BondTypeInfo.Bond.maturity;
}
SettlementDate = settlementDate;
if (!PaymentCurrencies.Contains(bondFpML.bond.currency.Value))
{
PaymentCurrencies.Add(bondFpML.bond.currency.Value);
}
logger.LogInfo("Bond transaction has been successfully created.");
}
else
{
logger.LogInfo("Bond type data not available.");
}
//Add payments like the settlement price
if (!BondPrice.dirtyPriceSpecified)
{
return;
}
var amount = BondPrice.dirtyPrice * NotionalAmount.amount / 100;
var settlementPayment = PaymentHelper.Create("BondSettlemetAmount", BuyerReference, SellerReference, amount, SettlementDate);
AdditionalPayments = PriceableInstrumentsFactory.CreatePriceablePayments(basePartyReference, new[] { settlementPayment }, SettlementCalendar);
if (!PaymentCurrencies.Contains(settlementPayment.paymentAmount.currency.Value))
{
PaymentCurrencies.Add(settlementPayment.paymentAmount.currency.Value);
}
}
/// <summary>
///
/// </summary>
/// <param name="logger"></param>
/// <param name="cache"></param>
/// <param name="nameSpace"></param>
/// <param name="tradeDate"></param>
/// <param name="settlementDate">The payment settlement date.</param>
/// <param name="settlementCalendar"></param>
/// <param name="paymentCalendar"></param>
/// <param name="bondFpML"></param>
/// <param name="basePartyReference"></param>
/// <param name="bondType"></param>
/// <param name="forecastRateInterpolation"></param>
public BondTransactionPricer(ILogger logger, ICoreCache cache, string nameSpace, DateTime tradeDate,
DateTime settlementDate, IBusinessCalendar settlementCalendar, IBusinessCalendar paymentCalendar,
BondTransaction bondFpML, string basePartyReference, string bondType, bool forecastRateInterpolation)
{
Multiplier = 1.0m;
TradeDate = tradeDate;
BondType = EnumHelper.Parse <BondTypesEnum>(bondType);
logger.LogInfo("BondType set. Commence to build a bond transaction.");
if (bondFpML == null)
{
return;
}
BuyerReference = bondFpML.buyerPartyReference.href;
PaymentCurrencies = new List <string> {
bondFpML.notionalAmount.currency.Value
};
SellerReference = bondFpML.sellerPartyReference.href;
BasePartyBuyer = basePartyReference == bondFpML.buyerPartyReference.href;
if (!BasePartyBuyer)
{
Multiplier = -1.0m;
}
ForecastRateInterpolation = forecastRateInterpolation;
SettlementCalendar = settlementCalendar;
PaymentCalendar = paymentCalendar;
//Set the bond price information
BondPrice = new BondPrice();
if (bondFpML.price.accrualsSpecified)
{
BondPrice.accrualsSpecified = true;
BondPrice.accruals = bondFpML.price.accruals;
}
if (bondFpML.price.dirtyPriceSpecified)
{
BondPrice.dirtyPriceSpecified = true;
BondPrice.dirtyPrice = bondFpML.price.dirtyPrice;
}
BondPrice.cleanOfAccruedInterest = bondFpML.price.cleanOfAccruedInterest;
BondPrice.cleanPrice = bondFpML.price.cleanPrice;
//Set the currencies
CouponCurrency = bondFpML.notionalAmount.currency;
PaymentCurrency = bondFpML.notionalAmount.currency;//This could be another currency!
//Set the notional information
NotionalAmount = MoneyHelper.GetAmount(bondFpML.notionalAmount.amount, bondFpML.notionalAmount.currency.Value);
//Determines the quotation and units
QuoteType = BondPriceEnum.YieldToMaturity;
//We need to get the ytm in until there is a bond market price/spread.
if (BondPrice.dirtyPriceSpecified)
{
QuoteType = BondPriceEnum.DirtyPrice;
Quote = BasicQuotationHelper.Create(BondPrice.dirtyPrice, RateQuotationType);
}
//Get the instrument configuration information.
var assetIdentifier = bondFpML.bond.currency.Value + "-Bond-" + BondType;
BondNodeStruct bondTypeInfo = null;
//TODO Set the swap curves for asset swap valuation.
//
//Gets the template bond type
var instrument = InstrumentDataHelper.GetInstrumentConfigurationData(cache, nameSpace, assetIdentifier);
if (instrument != null)
{
bondTypeInfo = instrument.InstrumentNodeItem as BondNodeStruct;
}
if (bondFpML.bond != null && bondTypeInfo != null)
{
if (SettlementCalendar == null)
{
SettlementCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, bondTypeInfo.SettlementDate.businessCenters, nameSpace);
}
if (PaymentCalendar == null)
{
PaymentCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, bondTypeInfo.BusinessDayAdjustments.businessCenters, nameSpace);
}
//Pre-processes the data for the priceable asset.
var bond = XmlSerializerHelper.Clone(bondFpML.bond);
Bond = bond;
bondTypeInfo.Bond = Bond;
//Set the curves to use for valuations.
BondCurveName = CurveNameHelpers.GetBondCurveName(Bond.currency.Value, Bond.id);
//THe discount curve is only for credit calculations.
DiscountCurveName = CurveNameHelpers.GetDiscountCurveName(Bond.currency.Value, true);
if (bond.maturitySpecified)
{
MaturityDate = bond.maturity;
}
SettlementDateConvention = bondTypeInfo.SettlementDate;
BusinessDayAdjustments = bondTypeInfo.BusinessDayAdjustments;
ExDivDateConvention = bondTypeInfo.ExDivDate;
//This is done because the config data is not stored in the correct way. Need to add a price quote units.
if (bond.couponRateSpecified)
{
var coupon = bond.couponRate;
Bond.couponRate = coupon;
}
bondTypeInfo.Bond.faceAmount = NotionalAmount.amount;
bondTypeInfo.Bond.faceAmountSpecified = true;
Bond.faceAmount = NotionalAmount.amount;
if (Bond.maturitySpecified)
{
RiskMaturityDate = Bond.maturity;
}
SettlementDate = settlementDate;
if (!PaymentCurrencies.Contains(bondFpML.bond.currency.Value))
{
PaymentCurrencies.Add(bondFpML.bond.currency.Value);
}
logger.LogInfo("Bond transaction has been successfully created.");
}
else
{
logger.LogInfo("Bond type data not available.");
}
//Set the underlying bond
UnderlyingBond = new PriceableSimpleBond(tradeDate, bondTypeInfo, SettlementCalendar, PaymentCalendar, Quote, QuoteType);
BondIssuer = UnderlyingBond.Issuer;
if (BondPrice.dirtyPriceSpecified)
{
UnderlyingBond.PurchasePrice = BondPrice.dirtyPrice / 100; //PriceQuoteUnits
}
//Set the coupons
var bondId = Bond.id;//Could use one of the instrumentIds
//bondStream is an interest Rate Stream but needs to be converted to a bond stream.
//It automatically contains the coupon currency.
Coupons = new PriceableBondCouponRateStream(logger, cache, nameSpace, bondId, tradeDate,
bondFpML.notionalAmount.amount, CouponStreamType.GenericFixedRate, Bond,
BusinessDayAdjustments, ForecastRateInterpolation, null, PaymentCalendar);
//Add payments like the settlement price
if (!BondPrice.dirtyPriceSpecified)
{
return;
}
var amount = BondPrice.dirtyPrice * NotionalAmount.amount / 100;
var settlementPayment = PaymentHelper.Create(BuyerReference, SellerReference, PaymentCurrency.Value, amount, SettlementDate);
AdditionalPayments = PriceableInstrumentsFactory.CreatePriceablePayments(basePartyReference, new[] { settlementPayment }, SettlementCalendar);
//
var finalPayment = PaymentHelper.Create(BondIssuer, BuyerReference, CouponCurrency.Value, NotionalAmount.amount, RiskMaturityDate);
FinalRedemption =
PriceableInstrumentsFactory.CreatePriceablePayment(basePartyReference, finalPayment, PaymentCalendar);
AdditionalPayments.Add(FinalRedemption);
if (!PaymentCurrencies.Contains(settlementPayment.paymentAmount.currency.Value))
{
PaymentCurrencies.Add(settlementPayment.paymentAmount.currency.Value);
}
}
