/// <summary>
/// Builds this instance.
/// </summary>
public override void Build(ILogger logger, ICoreCache cache, string nameSpace,
IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
{
PriceableEquityAssets = PriceableAssetFactory.CreatePriceableEquityAssets(logger, cache, nameSpace,
GetEquityCurveValuation().baseDate.Value, GetEquityCurveValuation().spotRate, fixingCalendar, rollCalendar);
TermCurve termCurve = ((FxCurveValuation)PricingStructureValuation).fxForwardCurve;
termCurve.point = EquityBootstrapper.Bootstrap(PriceableEquityAssets, GetEquityCurveValuation().baseDate.Value, termCurve.extrapolationPermitted,
termCurve.interpolationMethod);
SetFpmlData(new Pair <PricingStructure, PricingStructureValuation>(PricingStructure, PricingStructureValuation));
SetInterpolator(GetEquityCurveValuation().baseDate.Value);
}
/// <summary>
/// Initializes a new instance of the <see cref="RateCurve"/> class.
/// This constructor is used to clone perturbed copies of a base curve.
/// </summary>
/// <param name="priceableEquityAssets">The priceable equity Assets.</param>
/// <param name="pricingStructureAlgorithmsHolder">The pricingStructureAlgorithmsHolder.</param>
/// <param name="curveProperties">The Curve Properties.</param>
public EquityCurve(NamedValueSet curveProperties, List <IPriceableEquityAssetController> priceableEquityAssets,
PricingStructureAlgorithmsHolder pricingStructureAlgorithmsHolder)
: this(curveProperties, pricingStructureAlgorithmsHolder)
{
var curveId = GetEquityCurveId();
var termCurve = SetConfigurationData();
PriceableEquityAssets = priceableEquityAssets;
termCurve.point = EquityBootstrapper.Bootstrap(PriceableEquityAssets, curveId.BaseDate, termCurve.extrapolationPermitted,
termCurve.interpolationMethod, Tolerance);
CreatePricingStructure(curveId, termCurve, PriceableEquityAssets);
// Interpolate the DiscountFactor curve based on the respective curve interpolation
DateTime baseDate = PricingStructureIdentifier.BaseDate;
SetInterpolator(baseDate);
}
/// <summary>
/// Initializes a new instance of the <see cref="FxCurve"/> 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.</param>
/// <param name="fixingCalendar">The fixingCalendar.</param>
/// <param name="rollCalendar">The rollCalendar.</param>
public EquityCurve(ILogger logger, ICoreCache cache, string nameSpace,
Pair <PricingStructure, PricingStructureValuation> fpmlData, NamedValueSet properties,
IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
: base(logger, cache, nameSpace, fpmlData, new EquityCurveIdentifier(properties))
{
PricingStructureData = new PricingStructureData(CurveType.Parent, AssetClass.Equity, properties);
if (properties == null)
{
properties = PricingStructurePropertyHelper.FxCurve(fpmlData);//TODO
}
//Set the spot date;
SettlementDate = GetSettlementDate(logger, cache, nameSpace, GetEquityCurveId(), fixingCalendar, rollCalendar, PricingStructureValuation.baseDate.Value);
var fxCurveValuation = (FxCurveValuation)fpmlData.Second;
// hack - set the base date - todo - is this the right place alex?
PricingStructureValuation.baseDate = new IdentifiedDate {
Value = PricingStructureIdentifier.BaseDate
};
SetFpmlData(fpmlData);
TermCurve termCurve = SetConfigurationData();
var bootstrap = PropertyHelper.ExtractBootStrapOverrideFlag(properties);
var buildFlag = (fxCurveValuation.spotRate != null) && (fxCurveValuation.fxForwardCurve == null || fxCurveValuation.fxForwardCurve.point == null);
// If there's no forward points - do build the curve.
// - TODO what happened the central bank dates
if ((bootstrap || buildFlag) && cache != null)
{
// if (BootstrapperName == "FastBootstrapper") //TODO
PriceableEquityAssets = PriceableAssetFactory.CreatePriceableEquityAssets(logger, cache, nameSpace,
fxCurveValuation.baseDate.Value, fxCurveValuation.spotRate, fixingCalendar, rollCalendar);
fxCurveValuation.fxForwardCurve = termCurve;
fxCurveValuation.fxForwardCurve.point = EquityBootstrapper.Bootstrap(
PriceableEquityAssets,
fxCurveValuation.baseDate.Value,
fxCurveValuation.fxForwardCurve.extrapolationPermitted,
fxCurveValuation.fxForwardCurve.interpolationMethod);
}
((FxCurveValuation)PricingStructureValuation).fxForwardCurve = fxCurveValuation.fxForwardCurve;
SetInterpolator(PricingStructureValuation.baseDate.Value);
}
private void InitialiseInstance(ILogger logger, ICoreCache cache, string nameSpace,
NamedValueSet properties, FxRateSet assetSet, IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
{
PricingStructureData = new PricingStructureData(CurveType.Parent, AssetClass.Equity, properties);
var curveId = new EquityCurveIdentifier(properties);
PricingStructureIdentifier = curveId;
Holder = new PricingStructureAlgorithmsHolder(logger, cache, nameSpace, curveId.PricingStructureType, curveId.Algorithm);
DateTime baseDate = PricingStructureIdentifier.BaseDate;
//Set the spot date;
SettlementDate = GetSettlementDate(logger, cache, nameSpace, GetEquityCurveId(), fixingCalendar, rollCalendar, baseDate);
//TODO
//FixingCalendar = null;
//RollCalendar = null;
// The bootstrapper to use
BootstrapperName = Holder.GetValue("Bootstrapper");
Tolerance = double.Parse(Holder.GetValue("Tolerance"));
bool extrapolationPermitted = bool.Parse(Holder.GetValue("ExtrapolationPermitted"));
InterpolationMethod interpolationMethod = InterpolationMethodHelper.Parse(Holder.GetValue("BootstrapperInterpolation"));
var termCurve = new TermCurve
{
extrapolationPermitted = extrapolationPermitted,
extrapolationPermittedSpecified = true,
interpolationMethod = interpolationMethod
};
PriceableEquityAssets = PriceableAssetFactory.CreatePriceableEquityAssets(logger, cache, nameSpace, baseDate, assetSet, fixingCalendar, rollCalendar);
termCurve.point = EquityBootstrapper.Bootstrap(PriceableEquityAssets, baseDate, termCurve.extrapolationPermitted,
termCurve.interpolationMethod, Tolerance);
// Pull out the fx curve and fx curve valuation
Pair <PricingStructure, PricingStructureValuation> fpmlData
= CreateFpmlPair(logger, cache, nameSpace, baseDate, (EquityCurveIdentifier)PricingStructureIdentifier, assetSet, termCurve, fixingCalendar, rollCalendar);
SetFpmlData(fpmlData);
// Interpolate the DiscountFactor curve based on the respective curve interpolation
SetInterpolator(baseDate);
}
