//Backs out the implied quotes for the asset provided and adds the spread to it.
//
protected static QuotedAssetSet MappedQuotedAssetSet(ILogger logger, ICoreCache cache,
string nameSpace, IInterpolatedSpace referenceCurve, QuotedAssetSet spreadValues,
NamedValueSet properties, IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
{
var index = 0;
var baseDate = properties.GetValue <DateTime>(CurveProp.BaseDate);
//Find the backed out implied quote for each asset.
//
foreach (var asset in spreadValues.instrumentSet.Items)
{
NamedValueSet namedValueSet = PriceableAssetFactory.BuildPropertiesForAssets(nameSpace, asset.id, baseDate);
var quote = spreadValues.assetQuote[index];
//Get the implied quote to use as the input market quote. Make sure it is rate controller.
var priceableAsset = (PriceableRateAssetController)PriceableAssetFactory.Create(logger, cache, nameSpace, quote, namedValueSet, fixingCalendar, rollCalendar);
var value = priceableAsset.CalculateImpliedQuote(referenceCurve);
//Replace the market quote in the bav and remove the spread.
var quotes = new List <BasicQuotation>(quote.quote);
var impliedQuote = MarketQuoteHelper.ReplaceQuotationByMeasureType("MarketQuote", quotes, value);
var marketQuote = new List <BasicQuotation>(impliedQuote);
spreadValues.assetQuote[index].quote = MarketQuoteHelper.MarketQuoteRemoveSpreadAndNormalise(marketQuote);
index++;
}
return(spreadValues);
}