/// <summary>
/// Gets the quoted asset set.
/// </summary>
/// <returns></returns>
public sealed override void Build(ILogger logger, ICoreCache cache, string nameSpace,
IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
{
var pricingStructureId = (RateCurveIdentifier)PricingStructureIdentifier;
//Order the assets.
PriceableRateSpreadAssets = PriceableRateSpreadAssets.OrderBy(a => a.GetRiskMaturityDate()).ToList();
var termCurve = SetConfigurationData();
//Get the reference interpolated curve.
termCurve.point = RateSpreadBootstrapper.Bootstrap(PriceableRateSpreadAssets,//TODO what about the interpoation.
BaseCurve,
pricingStructureId.BaseDate,
termCurve.extrapolationPermitted,
Tolerance);
CreatePricingStructure(pricingStructureId, termCurve, PriceableAssetFactory.Parse(PriceableRateSpreadAssets));
SetInterpolator(BaseCurve, pricingStructureId.PricingStructureType);
// Set the Zero curve, just for reference
YieldCurveValuation yieldCurveValuation = GetYieldCurveValuation();
if (yieldCurveValuation.zeroCurve?.rateCurve == null)
{
//var curveId = (RateCurveIdentifier)PricingStructureIdentifier;
//var psType = PricingStructureIdentifier.PricingStructureType;
TermCurve curve = YieldCurveAnalytics.ToZeroCurve(termCurve, GetBaseDate(), CompoundingFrequency, DayCounter);
curve.interpolationMethod = InterpolationMethodHelper.Parse(Holder.GetValue("CurveInterpolation"));
var zeroCurve = new ZeroRateCurve
{
rateCurve = curve,
compoundingFrequency = FpML.V5r3.Reporting.CompoundingFrequency.Create(CompoundingFrequency)
};
yieldCurveValuation.zeroCurve = zeroCurve;
}
}
/// <summary>
/// Initializes a new instance of the <see cref="RateBasisCurve"/> 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 algorithm holder. </param>
public RateBasisCurve(NamedValueSet properties, IRateCurve referenceCurve,
List <IPriceableRateSpreadAssetController> spreadAssets, PricingStructureAlgorithmsHolder algorithm)
: base(properties, algorithm)
{
PricingStructureData = new PricingStructureData(CurveType.Child, AssetClass.Rates, properties);
//Set the identifier.
var pricingStructureId = GetRateCurveId();
if (pricingStructureId.PricingStructureType != PricingStructureTypeEnum.RateBasisCurve)
{
return;
}
//Set the reference curve
BaseCurve = referenceCurve;
ReferenceCurveId = BaseCurve.GetPricingStructureId();
PriceableRateSpreadAssets = spreadAssets;
//Order the assets.
PriceableRateSpreadAssets = PriceableRateSpreadAssets.OrderBy(a => a.GetRiskMaturityDate()).ToList();
var termCurve = SetConfigurationData();
//Get the reference interpolated curve.
termCurve.point = RateSpreadBootstrapper.Bootstrap(PriceableRateSpreadAssets,
BaseCurve,
pricingStructureId.BaseDate,
termCurve.extrapolationPermitted,
Tolerance);
CreatePricingStructure(pricingStructureId, termCurve, PriceableAssetFactory.Parse(PriceableRateSpreadAssets));
SetInterpolator(BaseCurve, pricingStructureId.PricingStructureType);
// Set the Zero curve, just for reference
YieldCurveValuation yieldCurveValuation = GetYieldCurveValuation();
if (yieldCurveValuation.zeroCurve?.rateCurve == null)
{
//var curveId = (RateCurveIdentifier)PricingStructureIdentifier;
//var psType = PricingStructureIdentifier.PricingStructureType;
TermCurve curve = YieldCurveAnalytics.ToZeroCurve(termCurve, GetBaseDate(), CompoundingFrequency, DayCounter);
curve.interpolationMethod = InterpolationMethodHelper.Parse(Holder.GetValue("CurveInterpolation"));
var zeroCurve = new ZeroRateCurve
{
rateCurve = curve,
compoundingFrequency = FpML.V5r3.Reporting.CompoundingFrequency.Create(CompoundingFrequency)
};
yieldCurveValuation.zeroCurve = zeroCurve;
}
}
//TODO this is not yet implemented. FIX IT!
internal void SetSpreadInterpolator(TermCurve discountFactorCurve, string algorithm, PricingStructureTypeEnum psType)
{
var curveId = (RateCurveIdentifier)PricingStructureIdentifier;
// The underlying curve and associated compounding frequency (compounding frequency required when underlying curve is a ZeroCurve)
CompoundingFrequency = EnumHelper.Parse <CompoundingFrequencyEnum>(Holder.GetValue("CompoundingFrequency"));
UnderlyingInterpolatedCurve = Holder.GetValue("UnderlyingCurve"); //TODO this redundant.
var interpDayCounter = Actual365.Instance;
var underlyingCurve = ParseUnderlyingCurve(UnderlyingInterpolatedCurve);
// interpolate the DiscountFactor curve based on the respective curve interpolation
if (underlyingCurve != UnderlyingCurveTypes.ZeroCurve)
{
Interpolator = new TermCurveInterpolator(discountFactorCurve, GetBaseDate(), interpDayCounter);
}
// otherwise interpolate our underlying curve will be a zero curve
else
{
var zeroCurve = new ZeroRateCurve
{
rateCurve = YieldCurveAnalytics.ToZeroCurve(discountFactorCurve,
GetBaseDate(),
CompoundingFrequency, DayCounter)
};
zeroCurve.rateCurve.interpolationMethod = InterpolationMethodHelper.Parse(Holder.GetValue("CurveInterpolation"));
zeroCurve.compoundingFrequency = FpML.V5r3.Reporting.CompoundingFrequency.Create(CompoundingFrequency);
GetYieldCurveValuation().zeroCurve = zeroCurve;
if (curveId.Algorithm == "SpreadInterpolation")
{
}
else
{
Interpolator =
new TermCurveInterpolator(GetYieldCurveValuation().zeroCurve.rateCurve, GetBaseDate(), interpDayCounter);
}//TODO this is where to add the spread stuff.
}
}
