///<summary>
///</summary>
///<param name="description"></param>
///<param name="priceableAsset"></param>
public MarketInstrument(string description, IPriceableAssetController priceableAsset)
{
Identifier = priceableAsset.Id;
Description = description;
PriceableAsset = priceableAsset;
Calculated = false;
}
public NewtonRaphsonSolverFunctions(IPriceableAssetController asset, IPriceableAssetController previousAsset, PricingStructureAlgorithmsHolder algorithmHolder,
IRateCurve baseCurve, DateTime baseDate, SortedDictionary <DateTime, Pair <string, decimal> > items,
double compoundingPeriod, IDictionary <DateTime, double> zeroRateSpreads, IDayCounter dayCounter,
List <DateTime> assetDates)
{
_asset = asset;
_baseCurve = baseCurve;
_zeroRateSpreads = zeroRateSpreads;
string currency = PropertyHelper.ExtractCurrency(baseCurve.GetPricingStructureId().Properties);
_algorithm = algorithmHolder;
_properties = new NamedValueSet(new Dictionary <string, object>
{
{ CurveProp.PricingStructureType, "RateCurve" },
{ CurveProp.Market, "DiscountCurveConstruction" },
{ CurveProp.IndexTenor, "0M" },
{ CurveProp.Currency1, currency },
{ "Index", "XXX-XXX" },
{ "Algorithm", "FastLinearZero" },
{ "BaseDate", baseDate },
});
_items = items;
_compoundingPeriod = compoundingPeriod;
_dayCounter = dayCounter;
_assetDates = assetDates;
if (previousAsset != null)
{
DateTime previousAssetMaturity = previousAsset.GetRiskMaturityDate();
DateTime assetMaturity = asset.GetRiskMaturityDate();
IEnumerable <KeyValuePair <DateTime, string> > points
= from b in baseCurve.GetTermCurve().point
where (DateTime)b.term.Items[0] > previousAssetMaturity &&
(DateTime)b.term.Items[0] < assetMaturity
select new KeyValuePair <DateTime, string>((DateTime)b.term.Items[0], b.id);
foreach (KeyValuePair <DateTime, string> point in points)
{
_extraPoints.Add(point.Key, point.Value);
Pair <string, decimal> pair = new Pair <string, decimal>(point.Value, 0);
items.Add(point.Key, pair);
}
}
}
static public void ProcessAssetControllerResults(IPriceableAssetController assetController, string[] metrics, DateTime baseDate)
{
Assert.IsNotNull(assetController);
Double[] times = { 0, 1, 5 };
Double[] dfs = { 1, 0.9, 0.3 };
ISimpleRateMarketEnvironment market = CreateSimpleRateMarketEnvironment(baseDate, times, dfs);
IAssetControllerData controllerData = CreateModelData(metrics, baseDate, market);
Assert.IsNotNull(controllerData);
Assert.AreEqual(controllerData.BasicAssetValuation.quote.Length, metrics.Length);
Assert.AreEqual(controllerData.BasicAssetValuation.quote[0].measureType.Value, metrics[0]);
BasicAssetValuation results = assetController.Calculate(controllerData);
Debug.Print("Id : {0}", assetController.Id);
foreach (var metric in results.quote)
{
Debug.Print("Id : {0} Metric Name : {1} Metric Value : {2}", assetController.Id, metric.measureType.Value, metric.value);
}
}
private static bool IsSpreadAsset(IPriceableAssetController priceableAsset)
{
return(priceableAsset is PriceableSimpleCommoditySpreadAsset);
}
private static bool IsSpreadAsset(IPriceableAssetController priceableAsset)
{
return(priceableAsset is PriceableBasisSwap || priceableAsset is PriceableSimpleRateSpreadAsset);
}
