public static PaaData UsdFied(PaaData fm, IDictionary <int, Dictionary <string, double> > fxHist)
{
if (!fxHist.ContainsKey(fm.EodDate))
{
return(null);
}
var fx = Utility.GetFxRate(fxHist[fm.EodDate], fm.CCY.Trim());
return(new PaaData
{
EodDate = fm.EodDate,
PosId = fm.PosId,
Quantity = fm.Quantity,
Spot = Math.Round(fm.Spot / fx, 4),
Delta = Utility.Round(fm.Delta / fx),
Theta = Utility.Round(fm.Theta / fx),
FairValue = Utility.Round(fm.FairValue / fx),
AverageCost = Math.Round(fm.AverageCost / fx, 4),
Interest = Utility.Round(fm.Interest / fx),
Coupon = Utility.Round(fm.Coupon / fx),
Dividend = Utility.Round(fm.Dividend / fx),
Realised = Utility.Round(fm.Realised / fx),
Commission = Utility.Round(fm.Commission / fx),
MOK = fm.MOK,
PLOK = fm.PLOK,
AvgCostA = Math.Round(fm.AvgCostA / fx, 4),
RlsdA = Utility.Round(fm.RlsdA / fx),
CommA = Utility.Round(fm.CommA / fx),
EOPL = Utility.Round(fm.EOPL / fx),
ThetaPL = Utility.Round(fm.ThetaPL / fx),
EOPLE = Utility.Round(fm.EOPLE / fx),
AccIntPLRD = Utility.Round(fm.AccIntPLRD / fx),
CouponPLRD = Utility.Round(fm.CouponPLRD / fx),
DivPLRD = Utility.Round(fm.DivPLRD / fx),
CCY = fm.CCY + "->USD",
DayCount = fm.DayCount,
LiborRate = fm.LiborRate / fx,
LiborPrem = Utility.Round(fm.LiborPrem / fx),
EquityPrem = Utility.Round(fm.EquityPrem / fx),
DivPrem = Utility.Round(fm.DivPrem / fx),
PfsId = fm.PfsId,
});
}
public static PaaData DtdDiffed(PaaData fm, PaaData to)
{
return(new PaaData
{
EodDate = to.EodDate,
PosId = to.PosId,
Quantity = to.Quantity - fm.Quantity,
Spot = Math.Round(to.Spot - fm.Spot, 2),
Delta = to.Delta - fm.Delta,
Theta = to.Theta - fm.Theta,
FairValue = to.FairValue - fm.FairValue,
AverageCost = Math.Round(to.AverageCost - fm.AverageCost, 2),
Interest = to.Interest - fm.Interest,
Coupon = to.Coupon - fm.Coupon,
Dividend = to.Dividend - fm.Dividend,
Realised = to.Realised - fm.Realised,
Commission = to.Commission - fm.Commission,
MOK = fm.MOK,
PLOK = fm.PLOK,
AvgCostA = Math.Round(to.AvgCostA - fm.AvgCostA, 2),
RlsdA = to.RlsdA - fm.RlsdA,
CommA = to.CommA - fm.CommA,
EOPL = to.EOPL - fm.EOPL,
ThetaPL = to.ThetaPL - fm.ThetaPL,
EOPLE = to.EOPLE - fm.EOPLE,
AccIntPLRD = to.AccIntPLRD - fm.AccIntPLRD,
CouponPLRD = to.CouponPLRD - fm.CouponPLRD,
DivPLRD = to.DivPLRD - fm.DivPLRD,
CCY = to.CCY,
DayCount = to.DayCount - fm.DayCount,
LiborRate = to.LiborRate - fm.LiborRate,
LiborPrem = to.LiborPrem - fm.LiborPrem,
EquityPrem = to.EquityPrem - fm.EquityPrem,
DivPrem = to.DivPrem - fm.DivPrem,
PfsId = to.PfsId,
});
}
public static List <PaaData> PaaUsdFiedData(IList <PaaData> input, IDictionary <int, Dictionary <string, double> > fxHist)
{
return(input.Select(p => PaaData.UsdFied(p, fxHist)).ToList());
}
public static List <PaaData> PaaDtDData(IList <PaaData> input)
{
return(input.Select((p, i) => i > 0 ? PaaData.DtdDiffed(input[i - 1], p) : p).ToList());
}
public static PfsDbConsistencyData CreatePfsDbConsistencyData(ISwapDescription p, PaaData d)
{
return(new PfsDbConsistencyData
{
EodDate = p.ValueDate,
PosId = d.PosId,
PfsTQ = p.Position.TradedQuantity,
DbTQ = d.Quantity,
PfsAvgCost = Math.Round(p.Position.ProfitLoss.AverageCost, 6),
DbAvgCost = d.AverageCost,
DbAvgCostA = d.AvgCostA,
PfsRlsd = Utility.Round(p.Position.RealisedCashFlows.Where(cf => cf.ShortCashFlowType != ShortCashFlowTypeEnum.Distibution && cf.ShortCashFlowType != ShortCashFlowTypeEnum.Reset && cf.ShortCashFlowType != ShortCashFlowTypeEnum.TransactionFee)?.Sum(cf => cf.LtdAmount) ?? 0.0),
DbRlsd = d.Realised,
DbRlsdA = d.RlsdA,
PfsComm = Utility.Round(p.Position.RealisedCashFlows.Where(cf => cf.ShortCashFlowType == ShortCashFlowTypeEnum.TransactionFee)?.Sum(cf => cf.LtdAmount) ?? 0.0),
DbComm = d.Commission,
DbCommA = d.CommA,
PfsDiv = Utility.Round(p.Position.RealisedCashFlows.Where(cf => cf.ShortCashFlowType == ShortCashFlowTypeEnum.Distibution)?.Sum(cf => cf.LtdAmount) ?? 0.0),
DbDiv = d.Dividend,
PfsCoupon = Utility.Round(p.Position.RealisedCashFlows.Where(cf => cf.ShortCashFlowType == ShortCashFlowTypeEnum.Reset)?.Sum(cf => cf.LtdAmount) ?? 0.0),
DbCoupon = d.Coupon,
PfsId = d.PfsId,
});
}