/// <summary>
/// Initializes a new instance of the <see cref="XccySpreadCurve"/> class.
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">THe client namespace</param>
/// <param name="fpmlData">The FPML data.</param>
/// <param name="properties">The properties for the pricing strucuture.</param>
/// <param name="fixingCalendar">The fixingCalendar.</param>
/// <param name="rollCalendar">The rollCalendar.</param>
public XccySpreadCurve(ILogger logger, ICoreCache cache, String nameSpace,
Pair <PricingStructure, PricingStructureValuation> fpmlData,
NamedValueSet properties, IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
: base(logger, cache, nameSpace, new RateCurveIdentifier(properties))
{
SetFpMLData(fpmlData, false);
var yieldCurveValuation = (YieldCurveValuation)fpmlData.Second;
BasicAssetValuation[] assetQuote = yieldCurveValuation.inputs.assetQuote;
string algorithm = ((YieldCurve)fpmlData.First).algorithm;
DateTime baseDate = yieldCurveValuation.baseDate.Value;
IRateCurve baseCurve = ExtractCurve(logger, cache, nameSpace, assetQuote, BaseCurveName, algorithm, baseDate, fixingCalendar, rollCalendar);
IRateCurve quoteCurve = ExtractCurve(logger, cache, nameSpace, assetQuote, QuoteCurveName, algorithm, baseDate, fixingCalendar, rollCalendar);
string[] fxInstruments = ExtractInstruments(assetQuote, FxCurveName);
decimal[] fxValues = ExtractValues(assetQuote, FxCurveName);
FxCurve fxCurve = null;
if (fxInstruments.Any())
{
string curveName = $"{fxInstruments[0].Substring(0, 3)}-{fxInstruments[0].Substring(3, 3)}";
var curveId = new FxCurveIdentifier(PricingStructureTypeEnum.FxCurve, curveName, baseDate);
var qas = AssetHelper.ParseToFxRateSet(fxInstruments, fxValues, null);
var fxCurveProperties = curveId.GetProperties();
fxCurve = new FxCurve(logger, cache, nameSpace, fxCurveProperties, qas, fixingCalendar, rollCalendar);
}
var instruments = ExtractInstruments(assetQuote, null);
var values = ExtractValues(assetQuote, null);
Initialize(logger, cache, nameSpace, properties, baseCurve, quoteCurve, instruments, values, fxCurve, fixingCalendar, rollCalendar);
}
/// <summary>
/// Sets the fpML data.
/// </summary>
/// <param name="fpmlData">The FPML data.</param>
/// <param name="includeId">Include an id check.</param>
protected void SetFpMLData(Pair <PricingStructure, PricingStructureValuation> fpmlData, Boolean includeId)
{
PricingStructure = fpmlData.First;
PricingStructureValuation = fpmlData.Second;
if (includeId)
{
DateTime baseDate = PricingStructureValuation.baseDate.Value;
PricingStructureIdentifier = new FxCurveIdentifier(PricingStructureTypeEnum.FxCurve, PricingStructure.id, baseDate);
}
}
/// <summary>
/// Initializes a new instance of the <see cref="FxDerivedCurve"/> class.
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">The client namespace</param>
/// <param name="curve1">The currency1 data. This should be against USD.
/// This must also be the currency1 curve for the derived fx curve.</param>
/// <param name="curve2">The currency2 data. This should be against USD.</param>
/// <param name="newFxCurveProperties">The new FxCurve properties .</param>
public FxDerivedCurve(ILogger logger, ICoreCache cache, string nameSpace, FxCurve curve1, FxCurve curve2, NamedValueSet newFxCurveProperties)
{
PricingStructureData = new PricingStructureData(CurveType.Child, AssetClass.Fx, newFxCurveProperties);
FxCurve1 = curve1;
FxCurve2 = curve2;
Currency1 = curve1.GetQuotedCurrencyPair().currency1.Value != "USD" ? curve1.GetQuotedCurrencyPair().currency1.Value : curve1.GetQuotedCurrencyPair().currency2.Value;
Currency2 = curve2.GetQuotedCurrencyPair().currency1.Value != "USD" ? curve2.GetQuotedCurrencyPair().currency1.Value : curve2.GetQuotedCurrencyPair().currency2.Value;
SpotDate = GetSpotDate(logger, cache, nameSpace, null, null, FxCurve1.GetBaseDate());//Create the new identifier.
PricingStructureIdentifier = new FxCurveIdentifier(newFxCurveProperties);
}
public void FxCurveIdConstructByIdTest()
{
const string curveId = "AUD-USD";
var fxCurveId = new FxCurveIdentifier(curveId);
Assert.IsNotNull(fxCurveId);
Assert.IsNotNull(fxCurveId.Currency);
Assert.AreEqual("AUD", fxCurveId.Currency.Value);
Assert.AreEqual("USD", fxCurveId.QuoteCurrency.Value);
Assert.AreEqual("USD", fxCurveId.QuotedCurrencyPair.currency2.Value);
Debug.Print("RateCurveIdentifier : {0} BuildDateTime : {1} CurveName : {2} PricingStructureType : {3} Algorithm : {4}Currency : {5} BaseDate : {6}",
fxCurveId.Id, fxCurveId.BuildDateTime, fxCurveId.CurveName, fxCurveId.PricingStructureType,
fxCurveId.Algorithm, fxCurveId.Currency.Value, fxCurveId.BaseDate);
}
/// <summary>
/// Sets the fpML data.
/// </summary>
/// <param name="fpmlData">The FPML data.</param>
private void SetFpMLData(Pair <PricingStructure, PricingStructureValuation> fpmlData)
{
PricingStructure = fpmlData.First;
PricingStructureValuation = fpmlData.Second;
try
{
if (null == PricingStructureIdentifier)
{
PricingStructureIdentifier = new FxCurveIdentifier(PricingStructure.id);
}
}
// ReSharper disable EmptyGeneralCatchClause
catch // b/c the FxCurveIdentifier ctor throws the exception
// ReSharper restore EmptyGeneralCatchClause
{
}
}
public void PricingStructureIdTestWithProperties12()
{
var props = new NamedValueSet();
props.Set(CurveProp.PricingStructureType, "FxCurve");
props.Set(CurveProp.CurveName, "AUD-USD");
props.Set("BuildDateTime", _baseDate);
props.Set(CurveProp.BaseDate, _baseDate);
props.Set("Algorithm", "Default");
props.Set("Identifier", "Alex");
props.Set("CurrencyPair", "AUD-USD");
props.Set("QuoteBasis", "Currency2PerCurrency1");
var curveId = new FxCurveIdentifier(props);
Debug.Print("RateCurveIdentifier : {0} BuildDateTime : {1} CurveName : {2} PricingStructureType : {3} Algorithm : {4}Currency : {5} BaseDate : {6} QuotedCurrencyPair1 : {7} QuotedCurrencyPair2 : {8}",
curveId.Id, curveId.BuildDateTime, curveId.CurveName, curveId.PricingStructureType,
curveId.Algorithm, curveId.Currency.Value, curveId.BaseDate, curveId.QuotedCurrencyPair.currency1.Value, curveId.QuotedCurrencyPair.currency2.Value);
}
/// <summary>
///
/// </summary>
/// <param name="properties">The properties.</param>
/// <param name="algorithmHolder">The algorithmHolder.</param>
public EquityCurve(NamedValueSet properties, PricingStructureAlgorithmsHolder algorithmHolder)
{
PricingStructureData = new PricingStructureData(CurveType.Parent, AssetClass.Equity, properties);
PricingStructureIdentifier = new FxCurveIdentifier(properties);
Initialize(properties, algorithmHolder);
}
