/// <summary>
/// Initializes a new instance of the <see cref="ClearedRateCurve"/> 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 ClearedRateCurve(ILogger logger, ICoreCache cache, string nameSpace,
Pair <PricingStructure, PricingStructureValuation> fpmlData,
NamedValueSet properties, IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
: base(logger, cache, nameSpace, new RateCurveIdentifier(properties), fixingCalendar, rollCalendar)
{
PricingStructureData = new PricingStructureData(CurveType.Child, AssetClass.Rates, properties);
var refCurveId = PropertyHelper.ExtractReferenceCurveUniqueId(properties);
ReferenceDiscountingCurveId = refCurveId != null ? new Identifier(refCurveId) : ReferenceDiscountingCurveId = null;
var tempFpml = (YieldCurveValuation)fpmlData.Second;
var curveId = GetRateCurveId();
Initialize(properties, Holder);
FixingCalendar = fixingCalendar;
PaymentCalendar = rollCalendar;
//Override properties.
//var optimize = PropertyHelper.ExtractOptimizeBuildFlag(properties);//TODO removed optimisation as it means that partial hedges can not be undertaken.
var bootstrap = PropertyHelper.ExtractBootStrapOverrideFlag(properties);
var termCurve = SetConfigurationData();
var qas = tempFpml.inputs;
var indexTenor = curveId.ForecastRateIndex?.indexTenor;
//This is to catch it when there are no discount factor points.
var discountsAbsent = tempFpml.discountFactorCurve?.point == null || tempFpml.discountFactorCurve.point.Length == 0;
//This is an override if the cache is null, as the bootstrapper will not work.
if (cache == null)
{
//optimize = true;
bootstrap = false;
}
bool validAssets = XsdClassesFieldResolver.QuotedAssetSetIsValid(qas);
//Test to see if a bootstrap is required.
if (bootstrap || discountsAbsent)
{
//There must be a valid quoted asset set in order to bootstrap.
if (!validAssets)
{
return;
}
PriceableClearedRateAssets = PriceableAssetFactory.CreatePriceableClearedRateAssetsWithBasisSwaps(logger, cache, nameSpace, indexTenor, qas, GetRateCurveId().BaseDate, fixingCalendar, rollCalendar);
termCurve.point = RateBootstrapper.Bootstrap(PriceableClearedRateAssets, curveId.BaseDate,
termCurve.extrapolationPermitted,
termCurve.interpolationMethod,
Tolerance);
CreatePricingStructure(curveId, termCurve, qas);
SetInterpolator(termCurve);
}
else
{
// the discount curve is already built, so don't rebuild
SetFpMLData(fpmlData, false);
SetInterpolator(((YieldCurveValuation)PricingStructureValuation).discountFactorCurve);
//Set the priceable assets.
if (validAssets)//!optimize &&
{
PriceableClearedRateAssets = PriceableAssetFactory.CreatePriceableClearedRateAssetsWithBasisSwaps(logger, cache, nameSpace, indexTenor, qas, GetRateCurveId().BaseDate, fixingCalendar, rollCalendar);
}
}
}
/// <summary>
/// Generate a set of perturbed rate curves by just changing the market quote values of the priceable assets and
/// thus not requiring the use of the cache or business calendars.
/// THIS ONLY WORKS FOR MARKET QUOTES.
/// </summary>
/// <param name="baseDate"></param>
/// <param name="perturbation"></param>
/// <param name="priceableRateAssets"></param>
/// <param name="extrapolationPermitted"></param>
/// <param name="interpolationMethod"></param>
/// <param name="tolerance"></param>
/// <returns></returns>
public static List <TermCurve> GenerateCurvesWithPerturbedMarketQuotes(DateTime baseDate, Decimal perturbation, List <IPriceableRateAssetController> priceableRateAssets,
bool extrapolationPermitted, InterpolationMethod interpolationMethod, double tolerance)
{
var termCurves = new List <TermCurve>();
//Modify the quotes.
if (priceableRateAssets != null)
{
foreach (var rateAsset in priceableRateAssets)
{
//Set up the new term curve.
var termCurve = new TermCurve
{
extrapolationPermitted = extrapolationPermitted, interpolationMethod = interpolationMethod
};
//Perturb the asset quote.
var quote = rateAsset.MarketQuote.value;
var perturbedQuote = rateAsset.MarketQuote.value + perturbation;
rateAsset.MarketQuote.value = perturbedQuote;
termCurve.point = RateBootstrapper.Bootstrap(priceableRateAssets, baseDate, extrapolationPermitted,
interpolationMethod, tolerance);
//Reset the old value.
rateAsset.MarketQuote.value = quote;
//Add the perturbed term curve
termCurves.Add(termCurve);
}
}
return(termCurves);
}
/// <summary>
/// Generate a set of perturbed rate curves by just changing the market quote values of the priceable assets and
/// thus not requiring the use of the cache or business calendars.
/// </summary>
/// <param name="baseDate"></param>
/// <param name="value"></param>
/// <param name="assetPosition"></param>
/// <param name="priceableRateAssets"></param>
/// <param name="extrapolationPermitted"></param>
/// <param name="interpolationMethod"></param>
/// <param name="tolerance"></param>
/// <returns></returns>
public static TermCurve PerturbSpecificAsset(DateTime baseDate, Decimal value, int assetPosition, List <IPriceableRateAssetController> priceableRateAssets,
bool extrapolationPermitted, InterpolationMethod interpolationMethod, double tolerance)
{
//Set up the new term curve.
var termCurve = new TermCurve();
termCurve.extrapolationPermitted = extrapolationPermitted;
termCurve.interpolationMethod = interpolationMethod;
//Modify the quotes.
if (priceableRateAssets != null && assetPosition <= priceableRateAssets.Count)
{
//Perturb the aset quote.
var quote = priceableRateAssets[assetPosition].MarketQuote.value;
var pertrubedQuote = priceableRateAssets[assetPosition].MarketQuote.value + value;
priceableRateAssets[assetPosition].MarketQuote.value = pertrubedQuote;
termCurve.point = RateBootstrapper.Bootstrap(priceableRateAssets, baseDate, extrapolationPermitted,
interpolationMethod, tolerance);
//Reset the old value.
priceableRateAssets[assetPosition].MarketQuote.value = quote;
}
return(termCurve);
}
/// <summary>
/// Gets the quoted asset set.
/// </summary>
/// <param name="baseDate"></param>
/// <param name="values"></param>
/// <param name="priceableRateAssets"></param>
/// <param name="extrapolationPermitted"></param>
/// <param name="interpolationMethod"></param>
/// <param name="tolerance"></param>
/// <returns></returns>
public static TermCurve PerturbAllAssets(DateTime baseDate, Decimal[] values, List <IPriceableRateAssetController> priceableRateAssets,
bool extrapolationPermitted, InterpolationMethod interpolationMethod, double tolerance)
{
//Set up the new term curve.
var termCurve = new TermCurve
{
extrapolationPermitted = extrapolationPermitted, interpolationMethod = interpolationMethod
};
//Modify the quotes.
if (priceableRateAssets != null)
{
var quotes = new List <decimal>();
var numControllers = priceableRateAssets.Count;
var valuesArray = new decimal[numControllers];
if (values.Length == numControllers)
{
valuesArray = values;
}
if (values.Length < numControllers)
{
for (var i = 0; i < values.Length; i++)
{
valuesArray[i] = values[i];
}
for (var i = values.Length; i < numControllers; i++)
{
valuesArray[i] = values[values.Length - 1];
}
}
else
{
for (var i = 0; i < numControllers; i++)
{
valuesArray[i] = values[i];
}
}
var index = 0;
foreach (var rateController in priceableRateAssets)
{
//Perturb the asset quote.
var quote = rateController.MarketQuote.value;
quotes.Add(quote);
var perturbedQuote = quote + valuesArray[index];
rateController.MarketQuote.value = perturbedQuote;
index++;
}
termCurve.point =
RateBootstrapper.Bootstrap(priceableRateAssets, baseDate,
extrapolationPermitted,
interpolationMethod, tolerance);
index = 0;
foreach (var rateController in priceableRateAssets)
{
//Reset the asset quote.
rateController.MarketQuote.value = quotes[index];
index++;
}
}
return(termCurve);
}
