/// <summary>
/// Gets the quoted asset set.
/// </summary>
/// <returns></returns>
public sealed override void Build(ILogger logger, ICoreCache cache, string nameSpace,
IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
{
var pricingStructureId = (RateCurveIdentifier)PricingStructureIdentifier;
//Order the assets.
PriceableRateSpreadAssets = PriceableRateSpreadAssets.OrderBy(a => a.GetRiskMaturityDate()).ToList();
var termCurve = SetConfigurationData();
//Get the reference interpolated curve.
termCurve.point = RateSpreadBootstrapper.Bootstrap(PriceableRateSpreadAssets,//TODO what about the interpoation.
BaseCurve,
pricingStructureId.BaseDate,
termCurve.extrapolationPermitted,
Tolerance);
CreatePricingStructure(pricingStructureId, termCurve, PriceableAssetFactory.Parse(PriceableRateSpreadAssets));
SetInterpolator(BaseCurve, pricingStructureId.PricingStructureType);
// Set the Zero curve, just for reference
YieldCurveValuation yieldCurveValuation = GetYieldCurveValuation();
if (yieldCurveValuation.zeroCurve?.rateCurve == null)
{
//var curveId = (RateCurveIdentifier)PricingStructureIdentifier;
//var psType = PricingStructureIdentifier.PricingStructureType;
TermCurve curve = YieldCurveAnalytics.ToZeroCurve(termCurve, GetBaseDate(), CompoundingFrequency, DayCounter);
curve.interpolationMethod = InterpolationMethodHelper.Parse(Holder.GetValue("CurveInterpolation"));
var zeroCurve = new ZeroRateCurve
{
rateCurve = curve,
compoundingFrequency = FpML.V5r3.Reporting.CompoundingFrequency.Create(CompoundingFrequency)
};
yieldCurveValuation.zeroCurve = zeroCurve;
}
}
/// <summary>
/// Initializes a new instance of the <see cref="RateBasisCurve"/> class.
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">The client namespace</param>
/// <param name="referenceCurveData">The market data. This must contain both the underlying base curve and the spread curve.
/// Otherwise the RateBasisInterpolator can not instantiate.</param>
/// <param name="spreadCurveData">The spread Curve Data</param>
/// <param name="fixingCalendar">The fixingCalendar.</param>
/// <param name="rollCalendar">The rollCalendar.</param>
public RateBasisCurve(ILogger logger, ICoreCache cache, String nameSpace,
Triplet <PricingStructure, PricingStructureValuation, NamedValueSet> referenceCurveData,
Triplet <PricingStructure, PricingStructureValuation, NamedValueSet> spreadCurveData, IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
: base(spreadCurveData.Third, GenerateHolder(logger, cache, nameSpace, spreadCurveData.Third))
{
PricingStructureData = new PricingStructureData(CurveType.Child, AssetClass.Rates, spreadCurveData.Third);
//Set the identifier.
var nvs = spreadCurveData.Third;
var pricingStructureId = GetRateCurveId();
var refCurveId = PropertyHelper.ExtractReferenceCurveUniqueId(nvs);
ReferenceCurveId = refCurveId != null ? new Identifier(refCurveId) : ReferenceCurveId = null;
if (pricingStructureId.PricingStructureType != PricingStructureTypeEnum.RateBasisCurve)
{
return;
}
//Set the reference curve
var baseCurveFpml = new Pair <PricingStructure, PricingStructureValuation>(referenceCurveData.First, referenceCurveData.Second);
var baseCurveProps = referenceCurveData.Third;
BaseCurve = (IRateCurve)PricingStructureFactory.Create(logger, cache, nameSpace, fixingCalendar, rollCalendar, baseCurveFpml, baseCurveProps);
//Get the spread Data
var spreadCurveFpml = new Pair <PricingStructure, PricingStructureValuation>(spreadCurveData.First, spreadCurveData.Second);
//Override properties.
//var optimize = PropertyHelper.ExtractOptimizeBuildFlag(properties);
var bootstrap = PropertyHelper.ExtractBootStrapOverrideFlag(nvs);
var tempFpml = (YieldCurveValuation)spreadCurveFpml.Second;
var spreadAssets = tempFpml.inputs;
//This is to catch it when there are no discount factor points.
var discountsAbsent = tempFpml.discountFactorCurve?.point == null || tempFpml.discountFactorCurve.point.Length == 0;
if (bootstrap || discountsAbsent)
{
//There must be a valid quoted asset set in order to bootstrap.
if (!XsdClassesFieldResolver.QuotedAssetSetIsValid(spreadAssets))
{
return;
}
PriceableRateSpreadAssets =
PriceableAssetFactory.CreatePriceableRateSpreadAssets(logger, cache, nameSpace, pricingStructureId.BaseDate, spreadAssets, fixingCalendar, rollCalendar);
Build(logger, cache, nameSpace, fixingCalendar, rollCalendar);
}
else
{
// the discount curve is already built, so don't rebuild
PriceableRateSpreadAssets = PriceableAssetFactory.CreatePriceableRateSpreadAssets(logger, cache, nameSpace, pricingStructureId.BaseDate, spreadAssets, fixingCalendar, rollCalendar);
//Order the assets.
PriceableRateSpreadAssets = PriceableRateSpreadAssets.OrderBy(a => a.GetRiskMaturityDate()).ToList();
CreatePricingStructure(pricingStructureId, tempFpml.discountFactorCurve, PriceableAssetFactory.Parse(PriceableRateSpreadAssets));
SetInterpolator(BaseCurve, pricingStructureId.PricingStructureType);
}
}
/// <summary>
///
/// </summary>
/// <param name="logger"></param>
/// <param name="cache"></param>
/// <param name="nameSpace"></param>
/// <param name="fixingCalendar"></param>
/// <param name="rollCalendar"></param>
public sealed override void Build(ILogger logger, ICoreCache cache, string nameSpace,
IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)//TODO need to define the cutover point.
{
var pricingStructureId = (RateCurveIdentifier)PricingStructureIdentifier;
//Order the assets.
PriceableRateSpreadAssets = PriceableRateSpreadAssets.OrderBy(a => a.GetRiskMaturityDate()).ToList();
//Generate the rate curve from the fx curve.
var fxProps = ReferenceFxCurve.GetPricingStructureId().Properties;
var quoteBasisEnum = PropertyHelper.ExtractQuoteBasis(fxProps);
bool isBaseCurve = IsCurrency1RateCurve && quoteBasisEnum == QuoteBasisEnum.Currency2PerCurrency1;
//var fxCurve = ReferenceFxCurve as FxCurve;
//priceableAsset is PriceableCapRateAsset asset
if (ReferenceFxCurve is FxCurve fxCurve)//fxCurve != null
{
var rateCurve = fxCurve.GenerateRateCurve(logger, cache, nameSpace, BaseCurve, isBaseCurve, pricingStructureId.GetProperties(), fixingCalendar, rollCalendar);
//remove all points after the CutOverTerm.
var rateCurvePoints = RemovePoints(rateCurve);
//Retrieve the term curve.
var termCurve = new TermCurve
{
extrapolationPermitted = rateCurve.GetTermCurve().extrapolationPermitted,
extrapolationPermittedSpecified =
rateCurve.GetTermCurve().extrapolationPermittedSpecified,
interpolationMethod = rateCurve.GetTermCurve().interpolationMethod,
point = rateCurvePoints
};
//Get the reference interpolated curve.
termCurve.point = RateXccySpreadBootstrapper.Bootstrap(PriceableRateSpreadAssets,
Currency2Curve,
pricingStructureId.BaseDate,
termCurve);
CreatePricingStructure(pricingStructureId, termCurve, PriceableAssetFactory.Parse(PriceableRateSpreadAssets));
}
SetInterpolator(Currency2Curve, pricingStructureId.PricingStructureType);
}
