/// <summary>
/// Generates a perturbed curve for those items specified.
/// If the instruments are not valid they are excluded.
/// </summary>
/// <param name="perturbationArray">The perturbation Array: instrumentId and value.</param>
/// <returns></returns>
public IPricingStructure PerturbCurve(List <Pair <string, decimal> > perturbationArray)
{
if (PriceableOptionAssets == null)
{
return(null);
}
//Set the parameters and properties.
NamedValueSet properties = GetPricingStructureId().Properties.Clone();
string uniqueId = GetPricingStructureId().UniqueIdentifier;
//Clone the properties.
NamedValueSet curveProperties = properties.Clone();
curveProperties.Set("PerturbedCurve", true);
curveProperties.Set("BaseCurve", uniqueId);
curveProperties.Set(CurveProp.UniqueIdentifier, uniqueId + "." + "PerturbedCurve");
foreach (var instrument in perturbationArray)
{
//TODO clone the priceable assets.
var asset = PriceableOptionAssets.FindAll(a => a.Id.Equals(instrument.First));
if (asset[0] == null)
{
continue;
}
var temp = asset[0];
temp.MarketQuote.value = temp.MarketQuote.value + instrument.Second / 10000;
}
//Create the new curve.
var volatilityCurve = new GenericVolatilityCurve(curveProperties, PriceableOptionAssets, DiscountCurve, ForecastCurve, Holder);
return(volatilityCurve);
}
/// <summary>
/// Creates the basic rate curve risk set, using the current curve as the base curve.
/// This function takes a curves, creates a rate curve for each instrument and applying
/// supplied basis point perturbation/spread to the underlying instrument in the spread curve
/// </summary>
/// <param name="basisPointPerturbation">The basis point perturbation.</param>
/// <returns>A list of perturbed rate curves</returns>
public override List <IPricingStructure> CreateCurveRiskSet(decimal basisPointPerturbation)
{
if (PriceableOptionAssets == null)
{
return(null);
}
//Set the parameters and properties.
decimal perturbation = basisPointPerturbation / 10000.0m;
NamedValueSet properties = GetPricingStructureId().Properties.Clone();
properties.Set("PerturbedAmount", basisPointPerturbation);
string uniqueId = GetPricingStructureId().UniqueIdentifier;
//Get the assets
int index = 0;
var structures = new List <IPricingStructure>();
//Get the original quotes
var quotes = GetMarketQuotes(PriceableOptionAssets);
//Copy the assets.
var priceableOptionAssets = new IPriceableOptionAssetController[PriceableOptionAssets.Count];
PriceableOptionAssets.CopyTo(priceableOptionAssets);
foreach (var instrument in priceableOptionAssets)
{
var perturbations = new decimal[quotes.Count];
quotes.CopyTo(perturbations);
//Clone the properties.
NamedValueSet curveProperties = properties.Clone();
perturbations[index] = quotes[index] + perturbation;
curveProperties.Set("PerturbedAsset", instrument.Id);
curveProperties.Set("BaseCurve", uniqueId);
curveProperties.Set(CurveProp.UniqueIdentifier, uniqueId + "." + instrument.Id);
curveProperties.Set(CurveProp.Tolerance, Tolerance);
//Perturb the quotes
PerturbedPriceableAssets(priceableOptionAssets.ToList(), perturbations);
IPricingStructure rateCurve = new GenericVolatilityCurve(curveProperties, priceableOptionAssets.ToList(), DiscountCurve, ForecastCurve, Holder);
structures.Add(rateCurve);
//Set the counter.
perturbations[index] = 0;
index++;
}
return(structures);
}
