Adds underlying meta to FxVega cubes

cetusfinance · Nov 29, 2022 · 6fdd7de · 6fdd7de
1 parent deed698
commit 6fdd7de
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Showing 4 changed files with 43 additions and 2 deletions.
diff --git a/clients/Qwack.Excel/Options/VolSurfaceFunctions.cs b/clients/Qwack.Excel/Options/VolSurfaceFunctions.cs
@@ -18,6 +18,8 @@
 using Qwack.Excel.Curves;
 using Qwack.Core.Cubes;
 using Qwack.Transport.BasicTypes;
+using Qwack.Transport.TransportObjects.MarketData.VolSurfaces;
+using Newtonsoft.Json;
 
 namespace Qwack.Excel.Options
 {
@@ -526,5 +528,42 @@ public static object SurfaceToQuotes(
                 return rrbf.DisplayQuotes();
             });
         }
+
+        [ExcelFunction(Description = "Extracts TO from surface object", Category = CategoryNames.Volatility,
+            Name = CategoryNames.Volatility + "_" + nameof(SurfaceToTransportObject), IsThreadSafe = Parallel)]
+        public static object SurfaceToTransportObject(
+            [ExcelArgument(Description = "Surface name")] string SurfaceName,
+            [ExcelArgument(Description = "Transport Object filename")] string TOFileName)
+        {
+            return ExcelHelper.Execute(_logger, () =>
+            {
+                var surface = ContainerStores.GetObjectCache<IVolSurface>().GetObjectOrThrow(SurfaceName, $"Vol surface {SurfaceName} not found");
+                var jsonString = string.Empty;
+                
+                if(surface.Value is RiskyFlySurface rrbf)
+                {
+                    var to = rrbf.GetTransportObject();
+                    jsonString = JsonConvert.SerializeObject(to);
+                }
+                else if (surface.Value is GridVolSurface gr)
+                {
+                    var to = gr.GetTransportObject();
+                    jsonString = JsonConvert.SerializeObject(to);
+                }
+                else if (surface.Value is ConstantVolSurface cv)
+                {
+                    var to = cv.GetTransportObject();
+                    jsonString = JsonConvert.SerializeObject(to);
+                }
+
+                if(jsonString != string.Empty)
+                {
+                    System.IO.File.WriteAllText(TOFileName, jsonString);
+                    return $"Wrote {jsonString.Length} chars to {TOFileName}";
+                }
+
+                return "Unable to convert surface object";
+            });
+        }
     }
 }
diff --git a/src/Qwack.Models/Risk/BasicMetrics.cs b/src/Qwack.Models/Risk/BasicMetrics.cs
@@ -271,6 +271,7 @@ public static ICube FxVega(this IPvModel pvModel, Currency reportingCcy)
                 { TradeId, typeof(string) },
                 { TradeType, typeof(string) },
                 { AssetId, typeof(string) },
+                { "Underlying", typeof(string) },
                 { "PointDate", typeof(DateTime) },
                 { PointLabel, typeof(string) },
                 { Metric, typeof(string) }
@@ -326,6 +327,7 @@ public static ICube FxVega(this IPvModel pvModel, Currency reportingCcy)
                                 { TradeId, bumpedRows[i].MetaData[tidIx] },
                                 { TradeType, bumpedRows[i].MetaData[tTypeIx] },
                                 { AssetId, surface.Key },
+                                { "Underlying", surface.Key },
                                 { "PointDate", bCurve.Value.PillarDatesForLabel(bCurve.Key) },
                                 { PointLabel, bCurve.Key },
                                 { Metric, "Vega" }

diff --git a/version.props b/version.props
@@ -1,5 +1,5 @@
 <Project>
     <PropertyGroup>
-        <VersionPrefix>0.7.10</VersionPrefix>
+        <VersionPrefix>0.7.11</VersionPrefix>
     </PropertyGroup>
 </Project>
diff --git a/version.txt b/version.txt
@@ -1 +1 @@
-0.7.10
+0.7.11