/// <summary>
/// Initializes a new instance of the <see cref="CommoditySpreadCurve2"/> class.
/// </summary>
/// <param name="referenceCurve">The reference curve.</param>
/// <param name="spreadAssets">The spreads by asset.</param>
/// <param name="properties">The properties of the new spread curve.</param>
/// <param name="algorithm">The alogorithm holder. </param>
public CommoditySpreadCurve2(NamedValueSet properties, ICommodityCurve referenceCurve,
List <IPriceableCommoditySpreadAssetController> spreadAssets, PricingStructureAlgorithmsHolder algorithm)
: base(properties, algorithm)
{
PricingStructureData = new PricingStructureData(CurveType.Child, AssetClass.Commodity, properties);
//Set the identifier.
var pricingStructureId = GetCommodityCurveId();
if (pricingStructureId.PricingStructureType != PricingStructureTypeEnum.CommoditySpreadCurve)
{
return;
}
//Set the reference curve
BaseCurve = referenceCurve;
ReferenceCurveId = BaseCurve.GetPricingStructureId();
PriceableCommoditySpreadAssets = spreadAssets;
//Order the assets.
PriceableCommoditySpreadAssets = PriceableCommoditySpreadAssets.OrderBy(a => a.GetRiskMaturityDate()).ToList();
var termCurve = SetConfigurationData();
//Get the reference interpolated curve.
IList <Double> xArray = new List <double>();
IList <Double> yArray = new List <double>();
termCurve.point = CommoditySpreadBootstrapper2.Bootstrap(PriceableCommoditySpreadAssets,
BaseCurve,
pricingStructureId.BaseDate,
termCurve.extrapolationPermitted,
Tolerance, ref xArray, ref yArray);
CreatePricingStructure(pricingStructureId, termCurve, PriceableAssetFactory.Parse(PriceableCommoditySpreadAssets));
SetInterpolator(BaseCurve, xArray, yArray, pricingStructureId.PricingStructureType);
}
/// <summary>
/// Initializes a new instance of the <see cref="CommoditySpreadCurve2"/> class.
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">The client namespace</param>
/// <param name="referenceCurve">The reference parent curveid.</param>
/// <param name="spreadAssets">The spreads by asset.</param>
/// <param name="properties">The properties of the new spread curve.</param>
/// <param name="calendar">The calendar.</param>
public CommoditySpreadCurve2(ILogger logger, ICoreCache cache, string nameSpace,
ICommodityCurve referenceCurve, FxRateSet spreadAssets, NamedValueSet properties,
IBusinessCalendar calendar)
: base(logger, cache, nameSpace, ProcessQuotedAssetSet(logger, cache, nameSpace, referenceCurve, spreadAssets, properties, calendar), properties, calendar, calendar)
{
PricingStructureData = new PricingStructureData(CurveType.Child, AssetClass.Commodity, properties);
BaseCurve = referenceCurve;
ReferenceCurveId = BaseCurve.GetPricingStructureId();
if (PricingStructureIdentifier.PricingStructureType != PricingStructureTypeEnum.CommoditySpreadCurve)
{
return;
}
//Set the spread sets.
PriceableCommoditySpreadAssets = PriceableAssetFactory.CreatePriceableCommoditySpreadAssets(logger, cache, nameSpace, PricingStructureIdentifier.BaseDate, spreadAssets, calendar);
Build(logger, cache, nameSpace, calendar, calendar);
}
/// <summary>
/// Calculates the specified model data.
/// </summary>
/// <param name="modelData">The model data.</param>
/// <returns></returns>
public override BasicAssetValuation Calculate(IAssetControllerData modelData)
{
ModelData = modelData;
AnalyticsModel = new CommoditySpreadAssetAnalytic();
//DependencyCreator.Resolve<IModelAnalytic<ISimpleAssetParameters, SpreadMetrics>>(_modelIdentifier);
var metrics = MetricsHelper.GetMetricsToEvaluate(Metrics, AnalyticsModel.Metrics);
// Determine if DFAM has been requested - if so thats all we evaluate - every other metric is ignored
var bEvalDiscountFactorAtMaturity = false;
if (metrics.Contains(CommoditySpreadMetrics.IndexAtMaturity))
{
bEvalDiscountFactorAtMaturity = true;
metrics.RemoveAll(
metricItem => metricItem != CommoditySpreadMetrics.IndexAtMaturity);
}
var analyticModelParameters = new CommodityAssetParameters();
AnalyticResults = new CommoditySpreadAssetResults();
var metricsToEvaluate = metrics.ToArray();
var marketEnvironment = modelData.MarketEnvironment;
ICommodityCurve curve = null;
//1. instantiate curve
if (marketEnvironment.GetType() == typeof(SimpleMarketEnvironment))
{
curve = (ICommodityCurve)((ISimpleMarketEnvironment)marketEnvironment).GetPricingStructure();
CurveName = curve.GetPricingStructureId().UniqueIdentifier;
}
if (marketEnvironment.GetType() == typeof(SimpleCommodityMarketEnvironment))
{
curve = ((ISimpleCommodityMarketEnvironment)marketEnvironment).GetCommodityCurve();
CurveName = curve.GetPricingStructureId().UniqueIdentifier;
}
if (marketEnvironment.GetType() == typeof(MarketEnvironment))
{
curve = (ICommodityCurve)modelData.MarketEnvironment.GetPricingStructure(CurveName);
}
var endDF = GetIndex(curve, RiskMaturityDate, modelData.ValuationDate);
Values = new[] { endDF };
//3. Get the end discount factor
analyticModelParameters.CommodityForward = endDF;
if (Spread != null)
{
analyticModelParameters.Spread = MarketQuoteHelper.NormaliseGeneralPriceUnits(SpreadQuotationType, Spread, "Price").value;
}
if (bEvalDiscountFactorAtMaturity)
{
//4. Set the anaytic input parameters and Calculate the respective metrics
AnalyticResults =
AnalyticsModel.Calculate <ICommoditySpreadAssetResults, CommoditySpreadAssetResults>(analyticModelParameters,
metricsToEvaluate);
ValueAtMaturity = AnalyticResults.IndexAtMaturity;
}
else
{
//4. Set the anaytic input parameters and Calculate the respective metrics
AnalyticResults =
AnalyticsModel.Calculate <ICommoditySpreadAssetResults, CommoditySpreadAssetResults>(analyticModelParameters,
metricsToEvaluate);
}
return(GetValue(AnalyticResults));
}
/// <summary>
/// Calculates the specified model data.
/// </summary>
/// <param name="modelData">The model data.</param>
/// <returns></returns>
public override BasicAssetValuation Calculate(IAssetControllerData modelData)
{
ModelData = modelData;
AnalyticsModel = new CommodityAssetAnalytic();
//DependencyCreator.Resolve<IModelAnalytic<ICommodityAssetParameters, CommodityMetrics>>(_modelIdentifier);
var metrics = MetricsHelper.GetMetricsToEvaluate(Metrics, AnalyticsModel.Metrics);
// Determine if DFAM has been requested - if so thats all we evaluate - every other metric is ignored
var bEvalForwardAtMaturity = false;
if (metrics.Contains(CommodityMetrics.IndexAtMaturity))
{
bEvalForwardAtMaturity = true;
metrics.RemoveAll(
metricItem => metricItem != CommodityMetrics.IndexAtMaturity);
}
ICommodityAssetParameters analyticModelParameters = new CommodityAssetParameters();
AnalyticResults = new CommodityAssetResults();
var metricsToEvaluate = metrics.ToArray();
var marketEnvironment = modelData.MarketEnvironment;
//1. instantiate curve
ICommodityCurve commodityCurve = null;
//1. instantiate curve
if (marketEnvironment.GetType() == typeof(SimpleMarketEnvironment))
{
commodityCurve = (ICommodityCurve)((ISimpleMarketEnvironment)marketEnvironment).GetPricingStructure();
CommodityCurveName = commodityCurve.GetPricingStructureId().UniqueIdentifier;
}
if (marketEnvironment.GetType() == typeof(SimpleCommodityMarketEnvironment))
{
commodityCurve = ((ISimpleCommodityMarketEnvironment)marketEnvironment).GetCommodityCurve();
CommodityCurveName = commodityCurve.GetPricingStructureId().UniqueIdentifier;
}
if (marketEnvironment.GetType() == typeof(SwapLegEnvironment))
{
commodityCurve = ((ISwapLegEnvironment)marketEnvironment).GetCommodityCurve();
CommodityCurveName = commodityCurve.GetPricingStructureId().UniqueIdentifier;
}
if (marketEnvironment.GetType() == typeof(MarketEnvironment))
{
commodityCurve = (ICommodityCurve)modelData.MarketEnvironment.GetPricingStructure(CommodityCurveName);
}
//3. Get the Rate
if (CommodityValue != null)
{
analyticModelParameters.CommodityForward = CommodityValue.value;
}
if (bEvalForwardAtMaturity)
{
//4. Set the anaytic input parameters and Calculate the respective metrics
AnalyticResults =
AnalyticsModel.Calculate <ICommodityAssetResults, CommodityAssetResults>(analyticModelParameters,
metricsToEvaluate);
//_forwardAtMaturity = ForwardAtMaturity;
}
else
{
analyticModelParameters.NotionalAmount = NotionalAmount;
IDayCounter dc = Actual365.Instance;
analyticModelParameters.YearFraction = (decimal)dc.YearFraction(modelData.ValuationDate, RiskMaturityDate);
//3. Get the end discount factor - Need to fix this.
analyticModelParameters.CommodityCurveForward =
GetIndexAtMaturity(commodityCurve, GetRiskMaturityDate(), modelData.ValuationDate);
//4. Set the anaytic input parameters and Calculate the respective metrics
AnalyticResults =
AnalyticsModel.Calculate <ICommodityAssetResults, CommodityAssetResults>(analyticModelParameters,
metricsToEvaluate);
}
return(GetValue(AnalyticResults));
}
/// <summary>
/// Calculates the specified model data.
/// </summary>
/// <param name="modelData">The model data.</param>
/// <returns></returns>
public override BasicAssetValuation Calculate(IAssetControllerData modelData)
{
ModelData = modelData;
AnalyticsModel = new CommodityFuturesAssetAnalytic();
//DependencyCreator.Resolve<IModelAnalytic<ICommodityFuturesAssetParameters, CommodityMetrics>>(_modelIdentifier);
var metrics = MetricsHelper.GetMetricsToEvaluate(Metrics, AnalyticsModel.Metrics);
// Determine if DFAM has been requested - if so that is all we evaluate - every other metric is ignored
var bEvalIndexAtMaturity = false;
if (metrics.Contains(CommodityMetrics.IndexAtMaturity))
{
bEvalIndexAtMaturity = true;
// remove all except DiscountFactorAtMaturity metric
//
metrics.RemoveAll(metricItem => metricItem != CommodityMetrics.IndexAtMaturity);
}
var metricsToEvaluate = metrics.ToArray();
ICommodityFuturesAssetParameters analyticModelParameters = new CommodityFuturesAssetParameters
{
UnitAmount = Amount,
TimeToExpiry = TimeToExpiry
};
var marketEnvironment = modelData.MarketEnvironment;
//1. instantiate curve
ICommodityCurve commodityCurve = null;
//1. instantiate curve
if (marketEnvironment.GetType() == typeof(SimpleMarketEnvironment))
{
commodityCurve = (ICommodityCurve)((ISimpleMarketEnvironment)marketEnvironment).GetPricingStructure();
CurveName = commodityCurve.GetPricingStructureId().UniqueIdentifier;
}
if (marketEnvironment.GetType() == typeof(SimpleCommodityMarketEnvironment))
{
commodityCurve = ((ISimpleCommodityMarketEnvironment)marketEnvironment).GetCommodityCurve();
CurveName = commodityCurve.GetPricingStructureId().UniqueIdentifier;
}
if (marketEnvironment.GetType() == typeof(SwapLegEnvironment))
{
commodityCurve = ((ISwapLegEnvironment)marketEnvironment).GetCommodityCurve();
CurveName = commodityCurve.GetPricingStructureId().UniqueIdentifier;
}
if (marketEnvironment.GetType() == typeof(MarketEnvironment))
{
commodityCurve = (ICommodityCurve)modelData.MarketEnvironment.GetPricingStructure(CurveName);
}
//4. Get the Index
analyticModelParameters.Index = CommodityValue.value;
if (bEvalIndexAtMaturity)
{
//5. Set the analytic input parameters and Calculate the respective metrics
AnalyticResults =
AnalyticsModel.Calculate <ICommodityAssetResults, CommodityAssetResults>(analyticModelParameters,
metricsToEvaluate);
ForwardIndex = IndexAtMaturity;
}
else
{
//4. Get the end discount factor
ForwardIndex = GetCommodityForward(commodityCurve, GetRiskMaturityDate(), modelData.ValuationDate);
analyticModelParameters.Index = IndexAtMaturity;
//5. Get the TimeToExpiry
analyticModelParameters.TimeToExpiry = GetTimeToExpiry();
//6. Get the position
analyticModelParameters.Position = Position;
//7. Set the analytic input parameters and Calculate the respective metrics
AnalyticResults =
AnalyticsModel.Calculate <ICommodityAssetResults, CommodityAssetResults>(analyticModelParameters,
metricsToEvaluate);
}
return(GetValue(AnalyticResults));
}