TO fixes

src/Qwack.Core/Instruments/CashWrapper.cs

@@ -5,7 +5,10 @@
 using Qwack.Core.Instruments.Asset;
 using Qwack.Core.Instruments.Funding;
 using Qwack.Core.Models;
+using Qwack.Dates;
 using Qwack.Transport.BasicTypes;
+using Qwack.Transport.TransportObjects.Instruments;
+using Qwack.Transport.TransportObjects.Instruments.Asset;
 
 namespace Qwack.Core.Instruments
 {
@@ -18,6 +21,10 @@ public CashWrapper(IAssetInstrument underlyingInstrument, List<CashBalance> cash
             CashBalances = cashBalances ?? new List<CashBalance>();
             MetaData = underlyingInstrument.MetaData;
         }
+        public CashWrapper(TO_CashWrapper to, ICurrencyProvider currencyProvider, ICalendarProvider calendarProvider) :
+            this(InstrumentFactory.GetInstrument(to.Underlying, currencyProvider, calendarProvider) as IAssetInstrument, to.CashBalances?.Select(x => new CashBalance(x, currencyProvider)).ToList())
+        { 
+        }
 
         public IAssetInstrument UnderlyingInstrument { get; }
         public List<CashBalance> CashBalances { get; }
@@ -66,5 +73,15 @@ public override bool Equals(object obj)
         public string[] IrCurves(IAssetFxModel model) => UnderlyingInstrument.IrCurves(model);
         public Dictionary<string, List<DateTime>> PastFixingDates(DateTime valDate) => UnderlyingInstrument.PastFixingDates(valDate);
         public IAssetInstrument SetStrike(double strike) => UnderlyingInstrument.SetStrike(strike);
+
+        public TO_Instrument ToTransportObject() => new()
+        {
+            AssetInstrumentType = AssetInstrumentType.CashWrapper,
+            CashWrapper = new TO_CashWrapper
+            {
+                CashBalances = CashBalances.Select(x => x.ToTransportObject()).ToArray(),
+                Underlying = UnderlyingInstrument.GetTransportObject()
+            }
+        };
     }
 }

src/Qwack.Core/Instruments/Funding/CashBalance.cs

@@ -3,6 +3,7 @@
 using Qwack.Core.Basic;
 using Qwack.Core.Models;
 using Qwack.Transport.BasicTypes;
+using Qwack.Transport.TransportObjects.Instruments.Asset;
 
 namespace Qwack.Core.Instruments.Funding
 {
@@ -18,6 +19,9 @@ public CashBalance(Currency currency, double notional, DateTime? payDate = null)
             PayDate = payDate ?? DateTime.MinValue;
         }
 
+        public CashBalance(TO_CashBalance to, ICurrencyProvider currencyProvider)
+            : this(currencyProvider.GetCurrencySafe(to.Currency), to.Notional, to.PayDate) { }
+
         public double Notional { get; set; }
         public string PortfolioName { get; set; }
         public Currency Currency { get; set; }
@@ -79,5 +83,8 @@ public override bool Equals(object obj) => obj is CashBalance balance &&
         };
 
         public double SuggestPillarValue(IFundingModel model) => 0.05;
+
+        public TO_CashBalance ToTransportObject() 
+            => new TO_CashBalance { Currency = Currency.Ccy, Notional = Notional, PayDate = PayDate };
     }
 }

src/Qwack.Core/Instruments/InstrumentEx.cs

@@ -23,6 +23,7 @@ public static class InstrumentEx
             FxForward fxForward => fxForward.ToTransportObject(),
             FxPerpetual fxPerpetual => fxPerpetual.ToTransportObject(),
             Future future => future.ToTransportObject(),
+            CashWrapper cashWrapper => cashWrapper.ToTransportObject(),
             _ => throw new Exception("Unable to serialize instrument"),
         };
     }

src/Qwack.Core/Instruments/InstrumentFactory.cs

@@ -41,7 +41,8 @@ public static IInstrument GetInstrument(this TO_Instrument transportObject, ICur
                         return new FuturesOption(transportObject.FuturesOption, currencyProvider);
                     case AssetInstrumentType.Future:
                         return new Future(transportObject.Future, currencyProvider);
-
+                    case AssetInstrumentType.CashWrapper:
+                        return new CashWrapper(transportObject.CashWrapper, currencyProvider, calendarProvider);
                 }
             }
             else

src/Qwack.Transport/BasicTypes/AssetInstrumentType.cs

@@ -20,7 +20,8 @@ public enum AssetInstrumentType
         MultiPeriodBackpricingOption,
         OneTouchOption,
         Equity,
-        Bond
+        Bond,
+        CashWrapper
 
     }
 }

src/Qwack.Transport/TransportObjects/Instruments/Asset/TO_CashBalance.cs

@@ -0,0 +1,18 @@
+using System;
+using System.Collections.Generic;
+using System.Text;
+using ProtoBuf;
+
+namespace Qwack.Transport.TransportObjects.Instruments.Asset
+{
+    [ProtoContract]
+    public class TO_CashBalance
+    {
+        [ProtoMember(1)]
+        public double Notional { get; set; }
+        [ProtoMember(2)]
+        public string Currency { get; set; }
+        [ProtoMember(3)]
+        public DateTime? PayDate { get; set; }
+    }
+}

src/Qwack.Transport/TransportObjects/Instruments/Asset/TO_CashWrapper.cs

@@ -0,0 +1,14 @@
+using ProtoBuf;
+
+namespace Qwack.Transport.TransportObjects.Instruments.Asset
+{
+    [ProtoContract]
+    public class TO_CashWrapper
+    {
+        [ProtoMember(1)]
+        public TO_Instrument Underlying { get; set; }
+        [ProtoMember(2)]
+        public TO_CashBalance[] CashBalances { get; set; }
+
+    }
+}

src/Qwack.Transport/TransportObjects/Instruments/TO_Instrument.cs

@@ -39,6 +39,8 @@ public class TO_Instrument
         public TO_FxVanillaOption FxOption { get; set; }
         [ProtoMember(114)]
         public TO_FxPerpetual FxPerpetual { get; set; }
+        [ProtoMember(115)]
+        public TO_CashWrapper CashWrapper { get; set; }
 
         public override bool Equals(object obj) => obj is TO_Instrument instrument &&
             FundingInstrumentType == instrument.FundingInstrumentType &&