/// <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);
}
/// <summary>
/// Create a surface from an FpML
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">The nameSpace</param>
/// <param name="fpmlData"></param>
public FxVolatilitySurface(ILogger logger, ICoreCache cache, String nameSpace, Pair <PricingStructure, PricingStructureValuation> fpmlData)
: this(logger, cache, nameSpace, fpmlData, PricingStructurePropertyHelper.FxVolatilityMatrix(fpmlData))
{
}
