public LimitDisplayModel CheckCountryLimit(SessionInfo sessioninfo, DA_TRN trn, string strExcludeID)
{
LimitCheckBusiness _limitCheckBusiness = new LimitCheckBusiness();
LimitDisplayModel limitDisplay = new LimitDisplayModel();
Guid guExcludeID = Guid.Empty;
if (trn.KK_PCCF != null)
{
List<CountryLimitModel> deal_conts = new List<CountryLimitModel>();
if (trn.FLAG_SETTLE.HasValue && trn.FLAG_SETTLE.Value)
{
deal_conts = (from f in trn.DA_TRN_FLOW
where f.FLOW_AMOUNT_THB > 0
select new CountryLimitModel
{
EXPOSURE_DATE = f.FLOW_DATE.Value,
EXPOSURE = f.FLOW_AMOUNT_THB.Value + trn.KK_CONTRIBUTE
}).ToList();
}
if (trn.TRADE_DATE.Value != trn.MATURITY_DATE.Value)
deal_conts.Add(new CountryLimitModel { EXPOSURE_DATE = trn.TRADE_DATE.Value, EXPOSURE = trn.KK_CONTRIBUTE.Value });
//Find original deal for exclude it from limit calculation
if (strExcludeID != null && Guid.TryParse(strExcludeID.Replace("\"", ""), out guExcludeID))
guExcludeID = Guid.Parse(strExcludeID.Replace("\"", ""));
List<LimitCheckModel> ori_conts = _limitCheckBusiness.CheckAllCountry(sessioninfo.Process.CurrentDate, trn, guExcludeID, Guid.Empty);
limitDisplay.LimitDisplayObject = GenerateCountryLimitDisplay(deal_conts, ori_conts, trn, null, sessioninfo.CountryOverwrite, ref limitDisplay);
if (limitDisplay.LimitCheckStatus == eLimitCheckStatus.NEEDAPPROVE)
trn.OVER_COUNTRY_AMOUNT = limitDisplay.OverAmount;
}
else
{
limitDisplay.LimitCheckStatus = eLimitCheckStatus.ERROR;
limitDisplay.Message = "This deal breach allowed tenor.";
}
return limitDisplay;
}
public LimitDisplayModel CheckFXSwapCountryLimit(SessionInfo sessioninfo, DA_TRN trn1, DA_TRN trn2, string strExcludeID)
{
LimitCheckBusiness _limitCheckBusiness = new LimitCheckBusiness();
LimitDisplayModel limitDisplay = new LimitDisplayModel();
DA_TRN oldtrn1 = null;
DA_TRN oldtrn2 = null;
Guid guExcludeID1 = Guid.Empty;
Guid guExcludeID2 = Guid.Empty;
if (trn1.KK_PCCF != null && trn2.KK_PCCF != null)
{
List<CountryLimitModel> deal_conts = new List<CountryLimitModel>();
if (trn1.FLAG_SETTLE.HasValue && trn1.FLAG_SETTLE.Value)
{
deal_conts = (from f in trn1.DA_TRN_FLOW
where f.FLOW_AMOUNT_THB > 0
select new CountryLimitModel
{
EXPOSURE_DATE = f.FLOW_DATE.Value,
EXPOSURE = f.FLOW_AMOUNT_THB.Value + trn1.KK_CONTRIBUTE
}).Union(
(from f in trn2.DA_TRN_FLOW
where f.FLOW_AMOUNT_THB > 0
select new CountryLimitModel
{
EXPOSURE_DATE = f.FLOW_DATE.Value,
EXPOSURE = f.FLOW_AMOUNT_THB.Value + trn2.KK_CONTRIBUTE
})).ToList();
}
if (trn1.TRADE_DATE.Value != trn1.MATURITY_DATE.Value)
deal_conts.Add(new CountryLimitModel { EXPOSURE_DATE = trn1.TRADE_DATE.Value, EXPOSURE = trn1.KK_CONTRIBUTE.Value + trn2.KK_CONTRIBUTE.Value });
//Find original deals for exclude them from limit calculation
if (strExcludeID != null && Guid.TryParse(strExcludeID.Replace("\"", ""), out guExcludeID1))
{
guExcludeID1 = Guid.Parse(strExcludeID.Replace("\"", ""));
oldtrn1 = GetByID(guExcludeID1);
oldtrn2 = GetDealByProcessDate(sessioninfo.Process.CurrentDate).FirstOrDefault(p => p.INT_DEAL_NO == oldtrn1.INT_DEAL_NO && p.VERSION == oldtrn1.VERSION && p.ID != oldtrn1.ID);
if (oldtrn2 == null || oldtrn1 == null)
throw this.CreateException(new Exception(), "Cannot find original deals.");
guExcludeID1 = oldtrn1.ID;
guExcludeID2 = oldtrn2.ID;
}
List<LimitCheckModel> ori_conts = _limitCheckBusiness.CheckAllCountry(sessioninfo.Process.CurrentDate, trn2, guExcludeID1, guExcludeID2);
limitDisplay.LimitDisplayObject = GenerateCountryLimitDisplay(deal_conts, ori_conts, trn1, trn2, sessioninfo.CountryOverwrite, ref limitDisplay);
if (limitDisplay.LimitCheckStatus == eLimitCheckStatus.NEEDAPPROVE)
{
trn1.OVER_COUNTRY_AMOUNT = limitDisplay.OverAmount;
trn2.OVER_COUNTRY_AMOUNT = limitDisplay.OverAmount;
}
}
else
{
limitDisplay.LimitCheckStatus = eLimitCheckStatus.ERROR;
limitDisplay.Message = "This deal breach allowed tenor.";
}
return limitDisplay;
}
public LimitDisplayModel CheckSwapCountryLimit(SessionInfo sessioninfo, DA_TRN trn, string strExcludeID)
{
LimitCheckBusiness _limitCheckBusiness = new LimitCheckBusiness();
InstrumentBusiness _insBusiness = new InstrumentBusiness();
LimitDisplayModel limitDisplay = new LimitDisplayModel();
Guid guExcludeID = Guid.Empty;
if (trn.KK_PCCF != null)
{
List<CountryLimitModel> deal_conts = new List<CountryLimitModel>();
MA_INSTRUMENT ins = _insBusiness.GetByID(sessioninfo, trn.INSTRUMENT_ID.Value);
if (ins.LABEL == "CCS")
{
deal_conts = (from f in trn.DA_TRN_FLOW
where f.FLOW_AMOUNT > 0 // Receive cash flows only
select new
{
Flow_Date = f.FLOW_DATE,
Flow_Amount_THB = f.FLOW_AMOUNT_THB
}).GroupBy(fl => new { fl.Flow_Date })
.Select(p => new CountryLimitModel
{
EXPOSURE_DATE = p.Key.Flow_Date,
EXPOSURE = p.Sum(x => x.Flow_Amount_THB) + trn.KK_CONTRIBUTE.Value
}).OrderBy(p => p.EXPOSURE_DATE).ToList();
}
else //Net cashflow for IRS
{
deal_conts = (from f in trn.DA_TRN_FLOW
select new
{
Flow_Date = f.FLOW_DATE,
Flow_ccy = f.FLAG_FIRST ? trn.FIRST.CCY_ID : trn.SECOND.CCY_ID,
Flow_Amount_THB = f.FLOW_AMOUNT_THB
}).GroupBy(fl => new { fl.Flow_Date, fl.Flow_ccy })
.Select(p => new CountryLimitModel
{
EXPOSURE_DATE = p.Key.Flow_Date,
EXPOSURE = p.Sum(x => x.Flow_Amount_THB) + trn.KK_CONTRIBUTE.Value
}).Where(t => t.EXPOSURE > 0).OrderBy(p => p.EXPOSURE_DATE).ToList();
}
if (trn.TRADE_DATE.Value != trn.MATURITY_DATE.Value)
deal_conts.Add(new CountryLimitModel { EXPOSURE_DATE = trn.TRADE_DATE.Value, EXPOSURE = trn.KK_CONTRIBUTE.Value });
//Find original deal for exclude it from limit calculation
if (strExcludeID != null && Guid.TryParse(strExcludeID.Replace("\"", ""), out guExcludeID))
guExcludeID = Guid.Parse(strExcludeID.Replace("\"", ""));
List<LimitCheckModel> ori_conts = _limitCheckBusiness.CheckAllCountry(sessioninfo.Process.CurrentDate, trn, guExcludeID, Guid.Empty);
limitDisplay.LimitDisplayObject = GenerateCountryLimitDisplay(deal_conts, ori_conts, trn, null, sessioninfo.CountryOverwrite, ref limitDisplay);
if (limitDisplay.LimitCheckStatus == eLimitCheckStatus.NEEDAPPROVE)
trn.OVER_COUNTRY_AMOUNT = limitDisplay.OverAmount;
}
else
{
limitDisplay.LimitCheckStatus = eLimitCheckStatus.ERROR;
limitDisplay.Message = "This deal breach allowed tenor.";
}
return limitDisplay;
}