//public static Market CreateYieldCurveConfiguration(string curveId, string[] assetIdentifiers)
//{
// var market = new Market {id = curveId};
// //Create the quotedAssetSet.
// var qas = QuotedAssetSetFactory.Parse(assetIdentifiers);
// //Create the curve information.
// var curve = new YieldCurve {id = curveId};
// //reate the valuation structure that contains qas.
// var curveValuation = new YieldCurveValuation {id = curveId, inputs = qas};
// //Set the market.
// market.Items = new[] { (PricingStructure)curve };
// market.Items1 = new[] { (PricingStructureValuation)curveValuation };
// return market;
//}
public static Market CreateFxCurveConfiguration(string curveId, string currency1, string currency2, string quoteBasis, FxRateSet quotedAssetSet)
{
//<QuoteBasisEnum>
var basis = EnumHelper.Parse <QuoteBasisEnum>(quoteBasis, true);
var quotedCurrencyPair = QuotedCurrencyPair.Create(currency1, currency2, basis);
var currency = CurrencyHelper.Parse(currency1);
var market = new Market {
id = curveId
};
//Create the curve information.
var curve = new FxCurve {
id = curveId, name = curveId, currency = currency, quotedCurrencyPair = quotedCurrencyPair
};
//reate the valuation structure that contains qas.
var curveValuation = new FxCurveValuation {
id = curveId, spotRate = quotedAssetSet
};
//Set the market.
market.Items = new[] { (PricingStructure)curve };
market.Items1 = new[] { (PricingStructureValuation)curveValuation };
return(market);
}
/// <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);
}
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(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>
/// Evaluates the implied quote.
/// </summary>
public NamedValueSet EvaluateImpliedQuote(ILogger logger, ICoreCache cache, string nameSpace, IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
{
if (PriceableEquityAssets != null)
{
return(EvaluateImpliedQuote(this, PriceableEquityAssets.ToArray()));
}
FxCurveValuation curveValuation = GetEquityCurveValuation();
PriceableEquityAssets = PriceableAssetFactory.CreatePriceableEquityAssets(logger, cache, nameSpace, curveValuation.baseDate.Value, curveValuation.spotRate, fixingCalendar, rollCalendar);
return(EvaluateImpliedQuote(this, PriceableEquityAssets.ToArray()));
}
/// <summary>
/// </summary>
/// <param name="fxRates">The spot rate.</param>
/// <param name="curveId">The curve id.</param>
/// <param name="termCurve">The bootstrapped term curve.</param>
/// <returns></returns>
private FxCurveValuation CreateEquityCurveValuation(EquityCurveIdentifier curveId, FxRateSet fxRates,
TermCurve termCurve)
{
var fxCurveValuation = new FxCurveValuation
{
baseDate = IdentifiedDateHelper.Create(curveId.BaseDate),
buildDateTime = curveId.BaseDate,
buildDateTimeSpecified = true,
spotRate = fxRates,
id = curveId.UniqueIdentifier,
fxForwardCurve = termCurve,
spotDate = IdentifiedDateHelper.Create("SettlementDate", SettlementDate),
};
return(fxCurveValuation);
}
/// <summary>
/// Creates the yield curve valuation.
/// </summary>
/// <param name="curveId"></param>
/// <param name="quotedAssetSet">The quoted asset set.</param>
/// <param name="commodityurveId">The commodity curve id.</param>
/// <param name="forwardCurve">The curve</param>
/// <returns></returns>
protected static FxCurveValuation CreateCommodiyCurveValuation(PricingStructureIdentifier curveId, FxRateSet quotedAssetSet,
string commodityurveId, TermCurve forwardCurve)
{
var yieldCurveValuation = new FxCurveValuation
{
baseDate = IdentifiedDateHelper.Create(curveId.BaseDate),
buildDateTime = curveId.BuildDateTime,
buildDateTimeSpecified = true,
spotRate = quotedAssetSet,
id = commodityurveId,
definitionRef = curveId.PricingStructureType.ToString(),
fxForwardCurve = forwardCurve
};
return(yieldCurveValuation);
}
/// <summary>
/// </summary>
/// <param name="baseDate">The base date.</param>
/// <param name="commodityRates">The spot rate.</param>
/// <param name="curveId">The curve id.</param>
/// <param name="termCurve">The bootstrapped term curve.</param>
/// <returns></returns>
private static FxCurveValuation CreateCommodityCurveValuation(DateTime baseDate,
FxRateSet commodityRates,
string curveId,
TermCurve termCurve)
{
var commodityCurveValuation = new FxCurveValuation
{
baseDate = IdentifiedDateHelper.Create(baseDate),
buildDateTime = baseDate,
buildDateTimeSpecified = true,
spotRate = commodityRates,
id = curveId,
fxForwardCurve = termCurve
};
return(commodityCurveValuation);
}
/// <summary>
/// Creates the equity curve.
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">THe client namespace</param>
/// <param name="equityId">THe underlying curve asset.</param>
/// <param name="fixingCalendar"></param>
/// <param name="rollCalendar"></param>
/// <param name="baseDate">The base date.</param>
/// <param name="fxRates">The spot rate.</param>
/// <param name="curveId">The curve id.</param>
/// <param name="termCurve">The bootstrapped term curve.</param>
/// <returns></returns>
private static FxCurveValuation CreateEquityCurveValuation(ILogger logger, ICoreCache cache, string nameSpace, EquityCurveIdentifier equityId,
IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar, DateTime baseDate, FxRateSet fxRates, string curveId,
TermCurve termCurve)
{
DateTime settlementDate = GetSettlementDate(logger, cache, nameSpace, equityId, fixingCalendar, rollCalendar, baseDate);
var fxCurveValuation = new FxCurveValuation
{
baseDate = IdentifiedDateHelper.Create(baseDate),
buildDateTime = baseDate,
buildDateTimeSpecified = true,
spotRate = fxRates,
id = curveId,
fxForwardCurve = termCurve,
spotDate = IdentifiedDateHelper.Create("SettlementDate", settlementDate)
};
return(fxCurveValuation);
}
