Initial Commit

MarketData/MarketDataLib/Generator/TermStructure/CurveMapping.cs

@@ -0,0 +1,141 @@
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Text;
+using System.Threading.Tasks;
+
+namespace MarketData.Generator.TermStructure
+{
+  public class CurveData
+  {
+    public CurveData() { ;}
+    public String CurveName{get;set;}
+    public DateTime PricingDate { get; set; }
+    public Tenors CurveTenors { get; set; }
+    public String GetTenorValue(String tenorName)
+    {
+      try
+      {
+        int index=CurveTenors.FindIndex(x => x.Item.Equals(tenorName));
+        if (-1 == index || index >= CurveTenors.Count) return null;
+        return CurveTenors[index].Value;
+      }
+      catch (Exception /*exception*/)
+      {
+        return null;
+      }
+    }
+    public void RemoveTenors(String strTenors)
+    {
+      string[] strTenorArray = strTenors.Split(',');
+      foreach (String strTenor in strTenorArray)
+      {
+        CurveTenors.Remove(strTenor);
+      }
+    }
+  }
+// *************************************************************8
+  public class CurveMappings : List<CurveMapping>
+  {
+    public CurveMappings()
+    {
+    }
+  }
+  public class CurveMapping
+  {
+    public CurveMapping()
+    {
+    }
+    public String CurveName { get; set; }
+    public String Currency { get; set; }
+    public String BloombergMnemonic { get; set; }
+    public String Field { get; set; }
+    public String AttributeName { get; set; }
+    public String CurveId { get; set; }
+    public Tenors TenorMappings{get;set;}
+    public DateTime PricingDate { get; set; }
+    public void SetTenorValues(String strValues)
+    {
+      String[] strTenorValues = strValues.Split(',');
+      if (strTenorValues.Length != TenorMappings.Count) throw new Exception("Tenor mapping count does not match tenor value count");
+      for (int index = 0; index < TenorMappings.Count; index++)
+      {
+        TenorMappings[index].Value = strTenorValues[index];
+      }
+    }
+  }
+  public class Tenors : List<Tenor>
+  {
+    public Tenors()
+    {
+    }
+    public void Remove(String strTenor)
+    {
+      for(int index=0;index<Count;index++)
+      {
+        if (this[index].Item.Equals(strTenor))
+        {
+          RemoveAt(index);
+          return;
+        }
+      }
+    }
+    public static Tenors FromString(String strTenors)
+    {
+      Tenors tenors = new Tenors();
+      String[] strTenorsArray = strTenors.Split(',');
+      for (int index = 0; index < strTenorsArray.Length; index++)
+      {
+        tenors.Add(new Tenor(strTenorsArray[index]));
+      }
+      return tenors;
+    }
+    public String GetTenorValues()
+    {
+      StringBuilder sb = new StringBuilder();
+      for (int index = 0; index < this.Count;index++)
+      {
+        String value = this[index].Value;
+        if(null!=value)sb.Append(value);
+        if (index < this.Count - 1) sb.Append(",");
+      }
+      return sb.ToString();
+    }
+  }
+  public class Tenor
+  {
+    public Tenor()
+    {
+    }
+    public Tenor(String tenor, String value)
+    {
+      Item = tenor;
+      Value = value;
+    }
+    public Tenor(String tenor)
+    {
+      Item = tenor;
+    }
+    public String Item { get; set; }
+    public String Value { get; set; }
+    public double ValueNum{get{return double.Parse(Value);}}
+    public int Days
+    {
+      get
+      {
+        return GetTenorDays(this.Item);
+      }
+    }
+    public static int GetTenorDays(String strTenor)
+    {
+      int multiplier = 1;
+      strTenor=strTenor.ToUpper();
+      if (strTenor.EndsWith("D")) multiplier = 1;
+      else if(strTenor.EndsWith("W")) multiplier = 7;
+      else if(strTenor.EndsWith("M")) multiplier = 30;
+      else if(strTenor.EndsWith("Y")) multiplier = 360;
+      strTenor = strTenor.Substring(0, strTenor.Length - 1);
+      return Int32.Parse(strTenor)*multiplier;
+    }
+  }
+}