src/Bundles/Portfolios/Controller/PortfolioCommittedForwardController.php line 47

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  1. <?php
  3. namespace Bundles\Portfolios\Controller;
  5. use Bundles\AiStudio\forms\PolicyType2;
  6. use App\Entity\CurrencyHistory;
  7. use App\Entity\Customer;
  8. use Bundles\AiStudio\forms\PolicyType1;
  9. use Symfony\Component\HttpFoundation\Request;
  10. use Psr\Log\LoggerInterface;
  11. use Symfony\Component\Cache\Adapter\AdapterInterface;
  12. use Bundles\Portfolios\Form\PortfolioType;
  13. use Bundles\Portfolios\Entity\Portfolio;
  14. use Bundles\Instruments\Base\Entity\CashFlows;
  15. use Bundles\Instruments\Base\Entity\Forward;
  16. use Bundles\Instruments\Base\Entity\ForwardOperations;
  17. use Bundles\Instruments\Base\Form\CashFlowType;
  18. use Bundles\Instruments\CommittedForward\Form\ForwardType;
  19. use Bundles\Instruments\CommittedForward\Model\HedgingPolicy as HedgingPolicyModel;
  20. use App\Entity\CurrencyPair;
  21. use Bundles\Instruments\CommittedForward\Form\TradesOperationsType;
  22. use App\Models\Spot;
  23. use App\Models\ForwardPoints;
  24. use Symfony\Component\HttpFoundation\JsonResponse;
  25. use Bundles\Instruments\Base\Model\CalcsVaR;
  26. use App\Entity\Counterparty;
  27. use Bundles\Instruments\Base\Entity\ReportFilter;
  28. use Bundles\Instruments\Base\Form\ReportFilterType;
  29. use Bundles\Instruments\CommittedForward\Model\ImportValidator;
  30. use Doctrine\DBAL\Connection;
  31. use Bundles\Messenger\Entity\Event;
  32. use Bundles\Messenger\Model\Actions;
  33. use Psr\Cache\CacheItemPoolInterface;
  36. class PortfolioCommittedForwardController extends PortfolioController {
  38. /** @var AdapterInterface */
  39. protected $model;
  40. protected $skipOtherTabs = false;
  41. protected $export = false;
  42. protected $url = '/portfolios/committed-forward?action=list&menuIndex=1';
  43. protected $importDataOverwrite = false;
  44. protected $importDataAsSpotTrades = false;
  45. protected $importCorpay = false;
  47. public function index(LoggerInterface $analyticsLogger, CacheItemPoolInterface $cache, Request $request, Connection $connection) {
  48. $this->init($analyticsLogger, $cache, $request, $connection);
  49. if ($this->step == self::STEP_PORTFOLIO) {
  50. $this->portfolioId = 0;
  51. $this->session->remove('portfolioId');
  52. }
  54. $this->portfolioId = $request->get('portfolioId') ?? (int)$this->session->get('portfolioId');
  55. $this->cashFlowId = $request->get('cashFlowId') ?? 0;
  56. $this->tradeId = $request->get('tradeId') ?? 0;
  58. if (!empty($this->portfolioId)) {
  59. $this->session->set('portfolioId', $this->portfolioId);
  61. $userPortfolios = $this->getUser()->getUserPortfolios();
  62. if ($this->getUser()->isUser() && !$userPortfolios->isEmpty()) {
  63. $portfolio = $userPortfolios->filter(function ($portfolio) {
  64. return $portfolio->getId() == $this->portfolioId;
  65. });
  66. $portfolio = $portfolio[0] ?? null;
  67. } else {
  68. $portfolio = $this->em->getRepository(Portfolio::class)->findOneBy([
  69. 'id' => $this->portfolioId,
  70. 'status' => 1,
  71. 'customer' => $this->getCustomer()->getId(),
  72. ]);
  73. }
  74. if (empty($portfolio) || $portfolio->getType() !== 'committed_forward') {
  75. $this->addFlash('warning', 'portfolio id '.$this->portfolioId.' not found or not allowed to access');
  77. return $this->redirect($this->url.'&step='.self::STEP_PORTFOLIO);
  78. }
  79. $this->data['portfolio'] = $portfolio;
  80. }
  83. $this->data['sumGroup'] = $this->sumGroup ?? 'month';
  84. $this->data['tradeFilter'] = $this->tradeFilter ?? '';
  86. $this->getPortfolios($request);
  88. if ($this->step > self::STEP_PORTFOLIO) {
  89. $this->getCashFlows($request);
  90. $this->getPolicies();
  91. $this->getTrades($request);
  92. $this->getTradesOperations($request);
  93. $this->getAnalysis();
  94. $this->getReport($request);
  95. $this->notificationsAsSeen();
  96. }
  97. if (!empty($this->export)) {
  98. return $this->export;
  99. }
  100. if ($this->redirect) {
  101. return $this->redirect($this->url.'&step='.$this->step);
  102. }
  104. $this->data['summaryTotals'] = $this->getModel()->getSummaryTotals();
  105. $this->data['step'] = $this->step;
  106. $this->data['title'] = 'Portfolios';
  107. $this->data['action'] = 'portfolio';
  108. $this->data['edit'] = $this->edit;
  109. $this->data['url'] = $this->url;
  110. $this->data['show'] = $this->show;
  111. $this->data['operation'] = $this->tradeOperation ?? null;
  112. $this->data['tradeTypes'] = array_flip($this->tradeTypes);
  114. if (!empty($this->getCustomer()->getRemoteUserCode()) && $this->getUser()->isAccessRemoteSystems()) {
  115. $this->data['remoteSystem'] = $this->getCustomer()->getRemoteSystem();
  116. }
  118. return $this->render('@committedForward/index.html.twig', $this->data);
  119. }
  121. /**
  122. * @param Forward $tradeParent
  123. * @param Forward $newTrade
  124. * @return void
  125. */
  126. protected function updateCashflows($tradeParent, $newTrade = null, $action = 'extension') {
  128. if (empty($tradeParent->getCommittedCashflows())) {
  129. return;
  130. }
  132. $this->needFlush = false;
  133. $cashflows = $tradeParent->getCommittedCashflows();
  134. foreach ($cashflows as $cashflow) {
  135. $this->updateCashflow($action, $cashflow, $tradeParent, $newTrade);
  136. }
  137. if ($this->needFlush) {
  138. $this->em->flush();
  139. }
  140. }
  142. /**
  143. * @param ['extension', 'drawdown' ] $action
  144. * @param CashFlows $cashflow
  145. * @param Forward $tradeParent
  146. * @param Forward $tradeUpdated
  147. * @return void
  148. * @throws \Doctrine\ORM\Exception\ORMException
  149. */
  150. protected function updateCashflow($action, $cashflow, $tradeParent, $newTrade = null) {
  151. $newDate = $newTrade?->getDateDelivery() ?? $tradeParent->getDateDelivery();
  154. $restAmount = $tradeParent->getAmountMinor() - ($newTrade?->getAmountMinor() ?? 0);
  155. $newAmount = $newTrade?->getAmountMinor() ?? 0;
  157. $this->collectOldDataForRestore($cashflow);
  158. $this->needFlush = true;
  160. // jeigu keiciasi tik data, tai pakeiciam ir cashflowsui tik data
  161. // jeigu keiciasi tik amount, tai pakeiciam ir cashflowsui tik amount
  162. // jeigu keiciasi ir data ir amount, tai pakeiciam ir data ir amount
  165. switch ($action) {
  167. case 'update':
  168. $cashflow->setFlowDate($newDate);
  169. $this->em->persist($cashflow);
  171. return;
  173. case 'extension':
  174. if (empty($restAmount)) {
  175. $cashflow->setFlowDate($newDate);
  176. $this->em->persist($cashflow);
  178. return;
  179. }
  180. // reiksias tokiai sumai reikia naujo flowso ir ji susieti su nauju tradu
  181. if ($restAmount > 0 && $newAmount > 0) {
  182. $newCashFlows = clone $cashflow;
  183. $newCashFlows->setId(null);
  184. $newCashFlows->setCashAmountMinor($newAmount);
  185. $newCashFlows->setFlowDate($newDate);
  188. $cashflow->setCashAmountMinor($restAmount);
  189. $newTrade->removeCommittedCashflows($cashflow);
  190. $newTrade->addCommittedCashflows($newCashFlows);
  192. $this->em->persist($newCashFlows);
  193. $this->em->persist($cashflow);
  194. $this->em->persist($newTrade);
  196. return;
  198. }
  199. case 'drawdown':
  201. $cashflow->setCashAmountMinor($tradeParent->getAmountMinor());
  202. $this->em->persist($cashflow);
  204. return;
  206. }
  207. }
  210. protected function getCashFlows($request) {
  212. if (empty($this->portfolioId) || empty($this->data['portfolio']) || $this->redirect) {
  213. return false;
  214. }
  215. $step = self::STEP_CASH_FLOWS;
  217. $form = $this->getForm($step, null, ['portfolioId' => $this->portfolioId]);
  218. $form->handleRequest($request);
  219. $importDataCashFlow = $request->request->get('importDataCashFlow');
  220. $this->importDataOverwrite = $request->request->get('dataOverwriteCashFlow');
  222. if (($form->isSubmitted() && $form->isValid()) || !empty($importDataCashFlow)) {
  223. $this->actionsCashFlows($form, $importDataCashFlow);
  224. }
  226. if (!empty($this->cashFlowId)) {
  227. $cashFlow = $this->em->getRepository(CashFlows::class)->find($this->cashFlowId);
  228. if (!empty($cashFlow)) {
  229. $cashFlow->setRate($this->getRate($cashFlow->getCurrencyPair()));
  230. $this->data['cashFlow'] = $cashFlow ?? null;
  231. }
  232. }
  233. $cashFlows = $this->em->getRepository(CashFlows::class)->findByDates([
  234. 'Portfolio' => $this->portfolioId,
  235. 'show' => $this->show,
  236. ]);
  237. $this->data['cashFlows'] = $cashFlows;
  238. $this->data['cashFlowSumAmount'] = $this->getModel()->getCashFlowSums($cashFlows, 'minor');
  239. $this->data['cashFlowSumAmountMajor'] = $this->getModel()->getCashFlowSums($cashFlows);
  241. $this->data['eventAlerts'] = $this->getEventAlertStatuses();
  242. $this->data['marginCalls'] = $this->marginCalls;
  243. $this->data['spot'] = $this->getRate($this->data['portfolio']->getCurrencyPair());
  244. $this->data['form'.$step] = $this->getForm($step, ($this->data['cashFlow'] ?? null))->createView();
  246. if ($form->isSubmitted()) {
  247. return $this->redirect($this->url.'&step='.$step);
  248. }
  249. }
  252. protected function getPolicies() {
  253. $options = [
  254. 'customerPairs' => [$this->data['portfolio']->getCurrencyPair()->getId() ?? []],
  255. ];
  256. $this->data['policyForm2'] = $this->createForm(PolicyType2::class, null, $options)->createView();
  257. $this->data['symbol'] = $this->data['portfolio']->getCurrencyPair()->getCurrencyNameByNumber(2);
  258. }
  261. protected function getTrades($request) {
  262. if (empty($this->portfolioId) || empty($this->data['portfolio']) || $this->redirect) {
  263. return false;
  264. }
  265. $step = self::STEP_TRADES;
  266. $options = ['portfolioId' => $this->portfolioId, 'customer' => $this->getCustomer()->getId()];
  267. $form = $this->getForm($step, null, $options);
  268. $form->handleRequest($request);
  270. $importDataTrades = $request->request->get('importDataTrades');
  271. $this->importCorpay = $request->request->get('importCorpay');
  272. $this->importDataOverwrite = $request->request->get('dataOverwriteTrades');
  273. $this->importDataAsSpotTrades = $request->request->get('importSpotTrades') ?? false;
  275. if ($form->isSubmitted() || !empty($importDataTrades)) {
  276. $this->actionsTrades($form, $importDataTrades);
  277. }
  279. if (!empty($this->tradeId)) {
  280. $trade = $this->em->getRepository(Forward::class)->find($this->tradeId);
  281. if (!empty($trade) && !empty($trade->getCommittedCashflows())) {
  282. $options['cashflows'] = [];
  283. foreach ($trade->getCommittedCashflows() as $item) {
  284. $options['cashflows'][] = $item->getId();
  285. }
  286. }
  287. $this->data['trade'] = $trade;
  288. }
  290. $tradesOrigin = $this->em->getRepository(Forward::class)->findByDates([
  291. 'Portfolio' => $this->portfolioId,
  292. 'show' => $this->show,
  293. 'tradeFilter' => $this->tradeFilter,
  294. 'type' => 'forward',
  295. ]);
  296. $spotTrades = $this->em->getRepository(Forward::class)->findByDates([
  297. 'Portfolio' => $this->portfolioId,
  298. 'show' => $this->show,
  299. 'tradeFilter' => $this->tradeFilter,
  300. 'type' => 'spot',
  301. ]);
  302. $cashFlows = $this->em->getRepository(CashFlows::class)->findByDates([
  303. 'Portfolio' => $this->portfolioId,
  304. 'show' => $this->show,
  305. ]);
  306. $this->data['trades'] = $tradesOrigin;
  307. $this->data['spotTrades'] = $spotTrades;
  308. $this->data['tradeFilter'] = $this->tradeFilter;
  309. $this->data['portfolioOperations'] = $this->em->getRepository(ForwardOperations::class)->findAllByPortfolio($this->portfolioId, 'DESC');
  310. $this->data['valuation'] = $this->getModel()->tradeValuation($this->data['trades'], 0, [], $cashFlows, $this->sumGroup);
  311. $this->data['form'.$step] = $this->getForm($step, ($this->data['trade'] ?? null), $options)->createView();
  313. if ($form->isSubmitted()) {
  314. return $this->redirect($this->url.'&step='.$step);
  315. }
  316. }
  318. /**
  319. * @param $form
  320. * @return bool|void
  321. */
  322. protected function actionsCashFlows($form, $importData = '') {
  323. $this->portfolioId = $this->session->get('portfolioId');
  324. $action = $form->get('delete')->isClicked() ? 'delete' : 'add';
  325. $formData = $form->getData();
  326. $cashFlowId = $formData->getId();
  327. if (!empty($cashFlowId)) {
  328. $cashFlowRecord = $this->em->getRepository(CashFlows::class)->find($cashFlowId);
  329. }
  330. if ($action == 'delete') {
  331. if (empty($cashFlowId)) {
  332. $this->addFlash('warning', 'No cash flow ID submited');
  334. return false;
  335. }
  336. if (empty($cashFlowRecord)) {
  337. $this->addFlash('warning', 'No cash flow record was found');
  339. return false;
  340. }
  341. //todo: padaryti isjungima per status=0
  342. //$this->em->remove($cashFlowRecord);
  343. $cashFlowRecord->setStatus(0);
  344. $this->em->persist($cashFlowRecord);
  345. $this->em->flush();
  346. $this->addFlash('success', 'Cash flow record was deleted successfully');
  347. $this->redirect = true;
  348. } elseif (empty($importData)) { //add/edit
  349. if (empty($this->portfolioId)) {
  350. $this->addFlash('warning', 'No portfolio found');
  352. return false;
  353. }
  354. if (empty($cashFlowId)) {
  355. $cashFlowRecord = new CashFlows();
  356. $cashFlowRecord->setPortfolio($this->data['portfolio']);
  357. }
  358. $cashFlowRecord->setCurrencyPair($formData->getCurrencyPair());
  359. $cashFlowRecord->setFlowDate($formData->getFlowDate());
  360. $cashFlowRecord->setCashAmount(0);
  361. $cashFlowRecord->setCashAmountMinor($formData->getCashAmountMinor());
  362. $cashFlowRecord->setRate(0);
  363. $cashFlowRecord->setBudgetRate($formData->getBudgetRate());
  364. $cashFlowRecord->setHedgeRatio($formData->getHedgeRatio());
  365. $cashFlowRecord->setComment($formData->getComment());
  366. $cashFlowRecord->setAdditionalInfo($formData->getAdditionalInfo());
  367. $cashFlowRecord->setStatus(true);
  368. if (empty($cashFlowRecord->getDaysToExpire())) {
  369. $cashFlowRecord->setDaysToExpire($formData->getFlowDate());
  370. }
  372. $this->em->persist($cashFlowRecord);
  373. $this->em->flush();
  374. $this->addFlash('success', 'Cash flow was '.($cashFlowId > 0 ? 'updated' : 'created').' successfully');
  376. $this->callAlert($cashFlowRecord->getId(), 'flow');
  378. $this->redirect = true;
  379. } elseif (!empty($importData)) {
  380. try {
  381. $importDataList = json_decode($importData, true, 512, JSON_THROW_ON_ERROR);
  382. if (empty($importDataList)) {
  383. return false;
  384. }
  385. $recordNr = 0;
  386. $successSaved = [];
  387. $allErrors = [];
  388. $portfolioCurrency = $this->data['portfolio']->getCurrencyPair();
  389. foreach ($importDataList as $item) {
  390. $recordNr++;
  391. $errors = $this->getImportValidatorModel()->validImportDataCashFlow($item, $portfolioCurrency);
  392. if (!empty($errors)) {
  393. $allErrors[$recordNr] = $errors;
  394. continue;
  395. }
  396. $date = date_create($item[0])->format('Y-m-d');
  397. $cashFlowRecord = $this->em->getRepository(CashFlows::class)->findOneBy([
  398. 'flowDate' => $date,
  399. 'Portfolio' => $this->data['portfolio']->getId(),
  400. ], ['id' => 'DESC']);
  401. if (empty($cashFlowRecord) || empty($this->importDataOverwrite)) {
  402. $cashFlowRecord = new CashFlows();
  403. }
  405. $cashFlowRecord->setPortfolio($this->data['portfolio']);
  406. $cashFlowRecord->setCurrencyPair($portfolioCurrency);
  407. $cashFlowRecord->setFlowDate($date);
  408. $amountMinor = (int)$item[2];
  410. if ($amountMinor < 0 && $cashFlowRecord->getCashAmountMinor() + $amountMinor < 0) {
  411. $allErrors[$recordNr][] = 'Incorrect amount value';
  412. continue;
  413. }
  414. if ($amountMinor < 0 && $cashFlowRecord->getCashAmountMinor() >= $amountMinor) { //jei ivesta neigiama, isminusuojam is esamo
  415. $amountMinor = (int)$cashFlowRecord->getCashAmountMinor() + $amountMinor;
  416. }
  418. $budgetRate = (float)$item[3];
  419. if ($budgetRate <= 0) {
  420. $allErrors[$recordNr][] = 'Incorrect budget rate value';
  421. continue;
  422. }
  423. $hedgeRatio = (float)$item[4];
  424. if ($hedgeRatio < 0 || $hedgeRatio > 100) {
  425. $allErrors[$recordNr][] = 'Incorrect hedge ratio (range is 0-100)';
  426. continue;
  427. }
  429. $cashFlowRecord->setCashAmountMinor($amountMinor);
  430. $cashFlowRecord->setRate(1);
  431. $cashFlowRecord->setBudgetRate($budgetRate);
  432. $cashFlowRecord->setHedgeRatio($hedgeRatio);
  433. $cashFlowRecord->setComment(trim(($item[5] ?? ''), '"'));
  434. $cashFlowRecord->setStatus(true);
  436. $this->em->persist($cashFlowRecord);
  437. $this->em->flush();
  438. $successSaved[] = $recordNr;
  439. }
  440. } catch (\Exception $e) {
  441. $this->addFlash('warning', 'Internal error, import data process stopped.'.$e->getMessage());
  442. }
  443. if (!empty($successSaved)) {
  444. $this->addFlash('success', 'Import data created successfully for '.count($successSaved).' records from '.count($importDataList));
  445. $this->redirect = true;
  446. }
  448. if (!empty($allErrors)) {
  449. $errorString = 'Errors found on these records:<br>';
  450. foreach ($allErrors as $id => $errors) {
  451. $errorString .= 'Record nr. '.$id.'<br>';
  452. foreach ($errors as $key => $error) {
  453. $errorString .= 'Column '.$key.': '.$error.'<br>';
  454. }
  455. $errorString .= '<hr>';
  456. }
  457. $this->addFlash('warning', $errorString);
  458. }
  459. }
  461. }
  464. /**
  465. * @param $form
  466. * @return bool|void
  467. */
  468. protected function actionsTrades($form, $importData = []) {
  470. $action = $form->get('delete')->isClicked() ? 'delete' : 'add';
  471. $formData = $form->getData();
  472. // dump($formData);
  473. $tradeId = $formData->getId();
  474. if (!empty($tradeId)) {
  475. $tradeRecord = $this->em->getRepository(Forward::class)->find($tradeId);
  476. }
  477. if ($action == 'delete') {
  478. if (empty($tradeId)) {
  479. $this->addFlash('warning', 'No trade ID submited');
  481. return false;
  482. }
  483. if (empty($tradeRecord)) {
  484. $this->addFlash('warning', 'No trade record was found');
  486. return false;
  487. }
  488. //todo: padaryti isjungima per status=0
  489. $this->em->remove($tradeRecord);
  490. $this->em->flush();
  491. $this->addFlash('success', 'Trade record was deleted successfully');
  492. $this->tradeId = 0;
  493. } elseif (empty($importData)) { //add/edit
  494. if (empty($this->portfolioId)) {
  495. $this->addFlash('warning', 'No portfolio found');
  497. return false;
  498. }
  499. if (empty($tradeId)) {
  500. $tradeRecord = new Forward();
  501. $tradeRecord->setPortfolio($this->data['portfolio']);
  502. }
  504. $tradeRecord->setCurrencyPair($formData->getCurrencyPair());
  505. $tradeRecord->setAmount($formData->getAmount());
  506. $tradeRecord->setAmountMinor($formData->getAmountMinor());
  507. $tradeRecord->setDateExpire(date('Y-m-d'));
  508. $tradeRecord->setDateDelivery($formData->getDateDelivery());
  509. $tradeRecord->setExposureDirection($formData->getExposureDirection());
  510. $tradeRecord->setStatus(true);
  511. $tradeRecord->setStrike($formData->getStrike());
  512. $tradeRecord->setCounterparty($formData->getCounterparty());
  513. $tradeRecord->setComment($formData->getComment());
  514. $tradeRecord->setTradeNumber($formData->getTradeNumber());
  515. $tradeRecord->setType($formData->getType());
  517. if (empty((float)$tradeRecord->getRate())) {
  518. $tradeRecord->setRate($this->getRate($tradeRecord->getCurrencyPair(), $tradeRecord->getDateExpire()));
  519. }
  521. if (!empty($tradeRecord->getCommittedCashflows()) && !empty($formData->getCommittedCashflows())) {
  522. foreach ($tradeRecord->getCommittedCashflows() as $item) {
  523. $tradeRecord->removeCommittedCashflows($item);
  524. }
  525. }
  526. // $this->em->persist($tradeRecord);
  527. // $tradeRecord->resetCommittedCashflows();
  528. if (!empty($formData->getCommittedCashflows())) {
  529. foreach ($formData->getCommittedCashflows() as $item) {
  530. $tradeRecord->addCommittedCashflows($item);
  531. }
  532. }
  534. $this->em->persist($tradeRecord);
  535. $this->em->flush();
  536. $this->addFlash('success', 'Trade was '.($tradeId > 0 ? 'updated' : 'created').' successfully');
  537. $this->redirect = true;
  538. } elseif (!empty($importData)) {
  540. $importData = str_replace('\r', '', $importData);
  542. try {
  544. $importDataList = json_decode($importData, true, 512, JSON_THROW_ON_ERROR);
  545. if (empty($importDataList)) {
  546. return false;
  547. }
  548. $recordNr = 0;
  549. $successSaved = [];
  550. $allErrors = [];
  551. $portfolioCurrency = $this->data['portfolio']->getCurrencyPair();
  552. $counterparties = $this->em->getRepository(Counterparty::class)->findBy(['Customer' => $this->getCustomer()]);
  553. foreach ($importDataList as $item) {
  555. $recordNr++;
  556. $errors = $this->getImportValidatorModel()->validImportDataTrades($item, $portfolioCurrency, $counterparties, $allErrors);
  557. if (!empty($errors)) {
  558. $allErrors[$recordNr] = $errors;
  559. continue;
  560. }
  561. $date = date_create($item[0])->format('Y-m-d');
  562. $tradeRecord = $this->em->getRepository(Forward::class)->findOneBy([
  563. 'tradeNumber' => $item[1],
  564. 'Portfolio' => $this->data['portfolio']->getId(),
  565. ]);
  566. if (empty($tradeRecord) || empty($this->importDataOverwrite)) {
  567. $tradeRecord = new Forward();
  568. }
  569. $tradeRecord->setPortfolio($this->data['portfolio']);
  570. $tradeRecord->setCurrencyPair($portfolioCurrency);
  572. $amountMinor = (int)$item[3];
  573. if ($amountMinor < 0 && $tradeRecord->getAmountMinor() + $amountMinor < 0) {
  574. $allErrors[$recordNr][] = 'Incorrect amount value';
  575. continue;
  576. }
  577. if ($amountMinor < 0 && $tradeRecord->getAmountMinor() >= $amountMinor) { //jei ivesta neigiama, isminusuojam is esamo
  578. $amountMinor = (int)$tradeRecord->getAmountMinor() + $amountMinor;
  579. }
  580. $hedgeRate = (float)str_replace(',', '.', $item[4]);
  581. $tradeRecord->setAmount($amountMinor / $hedgeRate);
  582. $tradeRecord->setAmountMinor($amountMinor);
  583. $tradeRecord->setDateExpire(date('Y-m-d'));
  584. $tradeRecord->setDateDelivery($date);
  585. $tradeRecord->setExposureDirection($this->data['portfolio']->getDirection());
  586. $tradeRecord->setStatus(true);
  587. $tradeRecord->setStrike($hedgeRate);
  588. if (!empty($this->importCorpay)) {
  589. $tradeRecord->setType('spot');
  590. if (strpos($item[1], 'FD') !== false) { //OFD, EFD - forwardai
  591. $tradeRecord->setType('forward');
  592. }
  593. } else {
  594. $tradeRecord->setType($this->importDataAsSpotTrades ? 'spot' : 'forward');
  595. }
  597. $counterParty = $this->getModel()->findCounterParty($counterparties, $item[5] ?? '');
  598. if (!empty($counterParty)) {
  599. $tradeRecord->setCounterparty($counterParty);
  600. }
  601. $tradeRecord->setComment($item[6] ?? '');
  602. $tradeRecord->setTradeNumber($item[1]);
  604. //todo kai turesime spotu istorija, bus galima imti is istorijos pagal $tradeRecord->getDateExpire() data
  605. // kolkas isivedam ivedimo dienos spota limito skaiciavimams
  606. $tradeRecord->setRate($this->getRate($tradeRecord->getCurrencyPair()));
  608. $this->em->persist($tradeRecord);
  609. $this->em->flush();
  610. $successSaved[] = $recordNr;
  612. }
  613. } catch (\Exception $e) {
  615. $this->addFlash('warning', 'Internal error, process stopped. ImportData. Error: '.$e->getMessage());
  616. }
  617. if (!empty($successSaved)) {
  618. $this->addFlash('success', 'Import data created successfully for '.count($successSaved).' records from '.count($importDataList));
  619. }
  620. if (!empty($allErrors)) {
  621. if (empty($successSaved)) {
  622. $errorString = 'Globals errors are:<br>';
  623. $globalErrors = '';
  624. $errorList = $allErrors[1] ?? [];
  625. if (!empty($errorList['counterparty'])) {
  626. $globalErrors .= '<li>'.$errorList['counterparty'].'</li>';
  627. }
  628. if (!empty($errorList['currencyPair'])) {
  629. $globalErrors .= '<li>'.$errorList['currencyPair'].'</li>';
  630. }
  631. if (!empty($globalErrors)) {
  632. $errorString .= '<ul>'.$globalErrors.'</ul>';
  633. $this->addFlash('warning', $errorString);
  634. }
  636. } else {
  637. $errorString = 'Errors found on these records:<br>';
  638. foreach ($allErrors as $id => $errors) {
  639. $errorString .= 'Record nr. '.$id.'<br>';
  640. foreach ($errors as $key => $error) {
  641. $errorString .= 'Column '.$key.': '.$error.'<br>';
  642. }
  643. $errorString .= '<hr>';
  644. }
  645. $this->addFlash('warning', $errorString);
  646. // dump($errorString);
  647. }
  648. } else {
  649. $this->redirect = true;
  650. }
  651. }
  653. }
  655. protected function getForm($step, $object = null, $options = []) {
  656. switch ($step) {
  657. case self::STEP_PORTFOLIO:
  658. if (empty($object)) {
  659. $object = new Portfolio();
  660. }
  661. $objetType = PortfolioType::class;
  662. break;
  664. case self::STEP_CASH_FLOWS:
  665. if (empty($object)) {
  666. $object = new CashFlows();
  667. }
  668. $objetType = CashFlowType::class;
  669. break;
  670. case self::STEP_TRADES:
  671. if (empty($object)) {
  672. $object = new Forward();
  673. }
  674. $objetType = ForwardType::class;
  676. break;
  677. case 'reportFilter':
  678. if (empty($object)) {
  679. $object = new ReportFilter();
  680. }
  681. $objetType = ReportFilterType::class;
  682. $step = self::STEP_REPORT;
  683. break;
  684. case 'tradesOperations':
  685. if (empty($object)) {
  686. $object = new ForwardOperations();
  687. }
  688. $objetType = TradesOperationsType::class;
  689. $step = self::STEP_TRADES.'&tradeId='.$this->tradeId.'&operation='.$this->tradeOperation;
  690. break;
  691. }
  693. $options['portfolioId'] = $this->portfolioId;
  694. $options['url'] = $this->url.'&step='.$step;
  697. return $this->createForm($objetType, $object, $options);
  698. }
  700. protected function getAnalysis() {
  701. if (empty($this->portfolioId) || $this->redirect) {
  702. return false;
  703. }
  705. $this->data['trades'] = $this->em->getRepository(Forward::class)->findByDates([
  706. 'Portfolio' => $this->portfolioId,
  707. 'show' => $this->show,
  708. 'tradeFilter' => $this->tradeFilter,
  709. 'type' => 'forward',
  710. ]);
  711. $this->data['summary'] = $this->getModel()->totalPortfolioSummary($this->data, $this->sumGroup);
  712. $this->data['summaryMonthly'] = $this->data['summary'];
  713. if ($this->sumGroup !== 'month') {
  714. $this->getModel()->emptyTotals();
  715. $this->data['summaryMonthly'] = $this->getModel()->totalPortfolioSummary($this->data, 'month');
  716. }
  718. $analysis = [];
  720. if (empty($this->data['summary'])) {
  721. return false;
  722. }
  723. /** @var CurrencyPair $portfolioCurrencyPair */
  724. $portfolioCurrencyPair = $this->data['portfolio']->getCurrencyPair();
  725. $analysis['majorCurrency'] = $portfolioCurrencyPair->getCurrencyNameByNumber(1);
  726. $analysis['minorCurrency'] = $portfolioCurrencyPair->getCurrencyNameByNumber(2);
  727. $spot['bid'] = $this->getRate($this->data['portfolio']->getCurrencyPair());
  728. $forwardPoints = [0 => $spot];
  729. $forwardPointList = (new ForwardPoints())->get($this->data['portfolio']->getCurrencyPair());
  730. if (!empty($forwardPointList)) {
  731. $forwardPoints += $forwardPointList;
  732. } else {
  733. //reikia siusti pranesima adminams - negavom kursu
  734. }
  735. $this->data['currentMarketRate'] = $spot; //nusistatom current spot rate
  736. foreach ($forwardPoints as $days => $points) {
  737. $period = date_create(' + '.$days.' days')->format('Y-m');
  738. $analysis['forwards'][$period] = $points['bid'];
  739. if (empty($analysis['budgetRates'][$period])) {
  740. $analysis['budgetRates'][$period] = 'null';
  741. $analysis['averageHedgedRate'][$period] = 'null';
  742. }
  743. $analysis['ratePeriods'][] = $period;
  744. }
  746. foreach ($this->data['summaryMonthly'] as $period => $item) {
  747. if ($period < date('Y-m')) {
  748. continue;
  749. }
  750. $analysis['periods'][] = $period;
  751. $analysis['cashFlows'][] = isset($item['cashFlows']) ? number_format(($item['cashFlows']), 0, '', '') : 0;
  752. $analysis['hedgeRequired'][] = !empty($item['hedgeRequiredAmount']) ? number_format($item['hedgeRequiredAmount'], 0, '', '') : 'null';
  753. $analysis['trades'][] = isset($item['trades']) ? number_format($item['trades'], 0, '', '') : 0;
  754. $analysis['averageHedgedRate'][$period] = $item['averageHedgedRate'] ?? 'null';
  755. $analysis['budgetRates'][$period] = $item['budgetRate'] ?? 'null';
  756. if (empty($this->data['currentBudgetRate']) && $analysis['budgetRates'][$period] != 'null') {
  757. $this->data['currentBudgetRate'] = $analysis['budgetRates'][$period]; //nusistatom current budget rate
  758. }
  759. //jeigu reiksmiu daugiau nei metiniu forwardu, sulyginame su flowsu/tradu periodais, kad grafikas negriutu.
  760. // Privaloma, kad butu tiek periodu, kiek yra flowsu/treidu periodu suvesta i ateiti
  761. if (empty($analysis['forwards'][$period])) {
  762. $analysis['forwards'][$period] = 'null';
  763. $analysis['ratePeriods'][] = $period;
  764. }
  765. }
  768. ksort($analysis['budgetRates']);
  769. ksort($analysis['averageHedgedRate']);
  770. $analysis['scaleMax'] = $this->getModel()->getMax($analysis['forwards'], $analysis['budgetRates'], $analysis['averageHedgedRate']);
  771. $analysis['scaleMin'] = $this->getModel()->getMin($analysis['forwards'], $analysis['budgetRates'], $analysis['averageHedgedRate']);
  772. $analysis['analysisMethod'] = $this->analysisMethod;
  773. $analysis['cvarMethod'] = $this->cvarMethod;
  774. if (!empty($this->sensitivity)) {
  775. $this->data['sensitivity'] = $this->sensitivity;
  776. $this->data['budgetRates'] = $analysis['budgetRates'];
  777. $analysis['analysisTable'] = $this->getModel()->getAnalysisTable($spot, $this->data, $this->analysisMethod, $this->data['portfolio']->getDirection());
  778. }
  780. $calcVar = new CalcsVaR($this->em, $this->session);
  781. $calcVar->calc($this->data['portfolio']->getCurrencyPair()->getId());
  783. // $trades = $this->cvarMethod == 'full' ? [] : $analysis['trades'];
  784. // $analysis['varChartData'] = $calcVar->calcLossAmounts($this->cvarMethod, $analysis['cashFlows'], $trades);
  785. // $analysis['varChartDataMonthly'] = $calcVar->calcLossMonthly($analysis['periods'], $this->cvarMethod, $analysis['cashFlows'], $trades);
  787. $this->data['analysis'] = $analysis;
  789. }
  791. protected function getReport(Request $request) {
  792. if (empty($this->portfolioId) || $this->redirect) {
  793. return false;
  794. }
  795. $reportFilter = $this->getForm('reportFilter');
  796. $reportFilter->handleRequest($request);
  797. if ($reportFilter->isSubmitted() && $reportFilter->isValid()) {
  798. $reportData = $reportFilter->getData();
  799. $this->export = $this->getReportModel()->getReport($reportData, $this->portfolioId, 'committedCashflow');
  800. if (empty($this->export)) {
  801. $this->addFlash('warning', 'No data found. Try to change report type or period of data');
  802. }
  803. }
  805. $this->data['reportForm'] = $reportFilter->createView();
  807. }
  809. protected function getBudgetRateList($data = []) {
  810. $summary = $this->getModel()->totalPortfolioSummary($data);
  812. return $this->getModel()->getBudgetRatesFromSummary($summary);
  813. }
  816. public function tradeOperationAjax(?int $tradeId, $tradeOperation, Request $request) {
  817. parent::initialize($request);
  818. $trade = $this->em->getRepository(Forward::class)->find($tradeId);
  819. if (empty($trade)) {
  820. return new JsonResponse('trade not found', 400);
  821. }
  822. $portfolio = $this->em->getRepository(Portfolio::class)->findOneBy([
  823. 'id' => $trade->getPortfolio(),
  824. 'customer' => $this->getCustomer()->getId(),
  825. ]);
  826. if (empty($portfolio)) {
  827. return new JsonResponse('unauthorized access', 400);
  828. }
  829. $this->tradeId = $tradeId;
  830. $this->tradeOperation = $tradeOperation;
  831. $this->portfolioId = $portfolio->getId();
  832. $object = new ForwardOperations();
  833. $object->setRate($trade->getStrike());
  834. $object->setAmount($trade->getAmountMinor());
  835. $object->setTradeNumber($trade->getTradeNumber());
  836. $object->setRate($trade->getStrike());
  838. $form = $this->getForm('tradesOperations', $object);
  840. $operationFormData = [
  841. 'trade' => $trade,
  842. 'operation' => $this->tradeOperation,
  843. 'form' => $form->createView(),
  844. ];
  845. $operationForm = $this->render('@instrumentsBase/operation_form.html.twig', $operationFormData)->getContent();
  847. return new JsonResponse($operationForm, 200);
  848. }
  850. public function cashflowAjax(?int $cashflowId, LoggerInterface $analyticsLogger, CacheItemPoolInterface $cache, Request $request, Connection $connection) {
  851. $this->init($analyticsLogger, $cache, $request, $connection);
  853. $cashflow = $this->em->getRepository(CashFlows::class)->find($cashflowId);
  854. if (empty($cashflow)) {
  855. return new JsonResponse('cashflow not found', 400);
  856. }
  857. $portfolio = $this->em->getRepository(Portfolio::class)->findOneBy([
  858. 'id' => $cashflow->getPortfolio(),
  859. 'customer' => $this->getCustomer()->getId(),
  860. ]);
  861. if (empty($portfolio)) {
  862. return new JsonResponse('unauthorized access', 400);
  863. }
  864. // $this->portfolioId = $portfolio->getId();
  865. $pairId = $portfolio->getCurrencyPair()->getId();
  867. //pasiimam jau paskaiciuota var data is sesijos
  868. $varData = $this->session->get('var_result_pairId_'.$pairId);
  869. $dailyVolatility = abs($varData['daily']['VaR'][95]);
  870. $calcAll = $request->get('all') ?? 0; //jei yra get parametras, tai skaiciuojam visus aktyvius flowsus siam portfeliui
  871. if (!empty($calcAll)) {
  873. $qb = $this->em->createQueryBuilder();
  874. $qb->select('c')->from(CashFlows::class, 'c')->where('c.Portfolio = :portfolio')->andWhere('c.flowDate >= :flowDate')->andWhere('c.status = 1')->setParameter('portfolio', $portfolio)->setParameter('flowDate', date_create()->format('Y-m-d'));
  876. $cashflows = $qb->getQuery()->getResult();
  878. } else {
  879. $cashflows = [$cashflow];
  880. }
  882. // reikia surasti paskutine expire date.
  883. $dateExpireNewest = $this->getModel()->getDateBy('new', $cashflows);
  884. //$leftDays = $this->getModel()->getLeftDays($cashflows);
  885. $leftDays = $request->get('spotHistory') ?? 60;
  887. if ($dateExpireNewest < date_create()->format('Y-m-d')) {
  888. $forecastDataPoints = 0;
  889. $spot = $this->getRate($portfolio->getCurrencyPair(), $dateExpireNewest);
  890. } else {
  891. $forecastDataPoints = 2; //kiek dienu i ateiti prognozuosime
  892. $spot = $this->getRate($portfolio->getCurrencyPair());
  893. }
  895. $result = $this->em->getRepository(CurrencyHistory::class)->getSpotsBy($pairId, $dateExpireNewest, $leftDays);
  898. $spots = array_column($result, 'rate');
  899. $dates = array_column($result, 'date');
  900. if ($dateExpireNewest > date_create()->format('Y-m-d')) { //prediction idedam tik tada, jei dar nepasibaiges flowsas
  901. $dates[] = date_create(' + 1 days')->format('Y-m-d');
  902. $dates[] = date_create(' + 2 days')->format('Y-m-d');
  903. }
  905. $portfolioDirection = $portfolio->getDirection();
  907. // skaiciuojam riskus
  908. $riskData = $this->getModel()->getRiskCalcs($cashflows, $dailyVolatility, $portfolioDirection, $spot);
  909. $averageHedgeRate = $riskData['averageHedgeRate'];
  912. $serieData = [];
  913. foreach ($dates as $key => $date) {
  914. if (!isset($serie0)) {
  915. $serie0 = [];
  916. $serie1 = [];
  917. $serie2 = [];
  918. $serie3 = [];
  919. }
  921. // skaiciuojame spot rate range lyginant su praejusios dienos spot rate
  922. $temKey = $key > 0 ? $key - 1 : 0;
  923. $temSpot = $spots[$temKey] ?? $spot;
  924. $spotMin = round($temSpot - ($temSpot * $dailyVolatility), 4);
  925. $spotMax = round($temSpot + ($temSpot * $dailyVolatility), 4);
  927. $serie0[] = ['x' => $date, 'y' => [$spotMin, $spotMax]];
  928. $serie1[] = ['x' => $date, 'y' => $spots[$key] ?? $temSpot];
  929. $serie2[] = ['x' => $date, 'y' => $riskData['budgetRateAvg']];
  930. if (!empty($averageHedgeRate)) {
  931. $serie3[] = ['x' => $date, 'y' => round($averageHedgeRate, 5)];
  932. }
  934. if ($spotMin < $riskData['minRate']) {
  935. $riskData['minRate'] = $spotMin;
  936. }
  937. if ($spotMax > $riskData['maxRate']) {
  938. $riskData['maxRate'] = $spotMax;
  939. }
  941. }
  942. $serieData[] = ['type' => 'rangeArea', 'name' => 'Spot range', 'data' => $serie0];
  943. $serieData[] = ['type' => 'line', 'name' => 'Spot', 'data' => $serie1];
  944. $serieData[] = ['type' => 'line', 'name' => 'Budget Rate', 'data' => $serie2];
  945. if (!empty($averageHedgeRate)) {
  946. $serieData[] = ['type' => 'line', 'name' => 'Hedge Rate', 'data' => $serie3];
  947. }
  949. if (empty($spots)) {
  950. $spots = $serie1;
  951. }
  954. $calcs = [
  955. 'dates' => $dates,
  956. 'spotSeries' => $serieData,
  957. 'forecastDataPoints' => $forecastDataPoints,
  958. ];
  959. $calcs = array_merge_recursive($calcs, $riskData);
  961. $params = [
  962. 'calcs' => $calcs ?? null,
  963. 'minorCurrency' => $portfolio->getCurrencyPair()->getCurrencyNameByNumber(2),
  964. 'spots' => $spots,
  965. ];
  966. $content = $this->render('@instrumentsBase/cashflow_details.html.twig', $params)->getContent();
  967. $response = [
  968. 'content' => $content,
  969. 'calcs' => $calcs ?? [],
  970. ];
  972. return new JsonResponse($response, 200);
  973. }
  975. /**
  976. * @return HedgingPolicyModel
  977. */
  978. protected function getModel($renew = false) {
  979. if (empty($this->model) || $renew) {
  980. $this->model = new HedgingPolicyModel($this->em, $this->logger);
  981. }
  983. return $this->model;
  984. }
  987. /**
  988. * @param $renew
  989. * @return ImportValidator
  990. */
  991. protected function getImportValidatorModel($renew = false) {
  992. if (empty($this->importValidatorModel) || $renew) {
  993. $this->importValidatorModel = new ImportValidator();
  994. }
  996. return $this->importValidatorModel;
  997. }
  999. }