private static Pair <PricingStructure, PricingStructureValuation> CreateFpmlPair(ILogger logger, ICoreCache cache, string nameSpace, DateTime baseDate,
EquityCurveIdentifier curveId, FxRateSet assetSet, TermCurve termCurve, IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
{
FpML.V5r10.Reporting.FxCurve fxCurve = CreateEquityCurve(curveId.Id, curveId.CurveName, curveId.Currency);
FxCurveValuation fxCurveValuation = CreateEquityCurveValuation(logger, cache, nameSpace, curveId, fixingCalendar, rollCalendar, baseDate, assetSet, fxCurve.id, termCurve);
return(new Pair <PricingStructure, PricingStructureValuation>(fxCurve, fxCurveValuation));
}
/// <summary>
/// Creates the pricing structure.
/// </summary>
protected void CreatePricingStructure(EquityCurveIdentifier curveId, TermCurve termCurve, FxRateSet quotedAssetSet)
{
FpML.V5r10.Reporting.FxCurve fxCurve = CreateEquityCurve(curveId);
FxCurveValuation fxCurveValuation = CreateEquityCurveValuation(curveId, quotedAssetSet, termCurve);
var fpmlData = new Pair <PricingStructure, PricingStructureValuation>(fxCurve, fxCurveValuation);
SetFpMLData(fpmlData, false);
}
/// <summary>
/// Creates the pricing structure.
/// </summary>
protected void CreatePricingStructure(CommodityCurveIdentifier curveId, TermCurve termCurve, FxRateSet quotedAssetSet)
{
FpML.V5r10.Reporting.FxCurve yieldCurve = CreateCommodityCurve(curveId);
FxCurveValuation yieldCurveValuation = CreateCommodiyCurveValuation(curveId, quotedAssetSet, yieldCurve.id, termCurve);
var fpmlData = new Pair <PricingStructure, PricingStructureValuation>(yieldCurve, yieldCurveValuation);
SetFpMLData(fpmlData, false);
}
/// <summary>
/// Creates the equity curve.
/// </summary>
/// <param name="curveId">The curve id.</param>
/// <returns></returns>
protected static FpML.V5r10.Reporting.FxCurve CreateEquityCurve(EquityCurveIdentifier curveId)
{
var fxCurve = new FpML.V5r10.Reporting.FxCurve
{
id = curveId.Id,
name = curveId.CurveName,
currency = curveId.Currency,
};
return(fxCurve);
}
/// <summary>
/// </summary>
/// <param name="id">The curve id.</param>
/// <param name="name">The name.</param>
/// <param name="currency"></param>
/// <returns></returns>
private static FpML.V5r10.Reporting.FxCurve CreateEquityCurve(string id, string name, Currency currency)
{
var fxCurve = new FpML.V5r10.Reporting.FxCurve
{
id = id,
name = name,
currency = currency,
};
return(fxCurve);
}
/// <summary>
/// Creates the yield curve.
/// </summary>
/// <param name="curveId">The curve id.</param>
/// <returns></returns>
protected static FpML.V5r10.Reporting.FxCurve CreateCommodityCurve(CommodityCurveIdentifier curveId)
{
var yieldCurve = new FpML.V5r10.Reporting.FxCurve
{
id = curveId.Id,
name = curveId.CurveName,
currency = curveId.Currency,
};
return(yieldCurve);
}
/// <summary>
/// Creates the yield curve.
/// </summary>
/// <param name="curveId">The curve id.</param>
/// <param name="name">The name.</param>
/// <param name="currency">The currency.</param>
/// <returns></returns>
private static FpML.V5r10.Reporting.FxCurve CreateCommodityCurve(string curveId, string name, Currency currency)
{
// var currencyPair = QuotedCurrencyPairHelper.Parse(currency.Value, currency.Value, QuoteBasisEnum.Currency2PerCurrency1);
var commodityCurve = new FpML.V5r10.Reporting.FxCurve
{
id = curveId,
name = name,
currency = currency
// , quotedCurrencyPair = currencyPair
};
return(commodityCurve);
}
