/// <summary>
/// Gets and sets the required pricing structures to value this leg.
/// </summary>
public List <String> GetRequiredPricingStructures()
{
var result = new List <String>();
if (calculationPeriodAmount.Item is Calculation amount)
{
var currency = XsdClassesFieldResolver.CalculationGetNotionalSchedule(amount);
if (currency?.notionalStepSchedule != null)
{
var discountCurve = CurveNameHelpers.GetDiscountCurveName(currency.notionalStepSchedule.currency, true);
result.Add(discountCurve);
}
if (amount.Items[0] is FloatingRateCalculation floatingRateCalculation)
{
result.Add(CurveNameHelpers.GetForecastCurveName(floatingRateCalculation.floatingRateIndex, floatingRateCalculation.indexTenor));
}
}
//TODO
if (stubCalculationPeriodAmount != null)
{
if (stubCalculationPeriodAmount.initialStub?.Items != null)
{
result.AddRange(from value in stubCalculationPeriodAmount.initialStub.Items
where value is Money
select CurveNameHelpers.GetDiscountCurveName(((Money)value).currency, true));
}
if (stubCalculationPeriodAmount.finalStub?.Items != null)
{
result.AddRange(from value in stubCalculationPeriodAmount.finalStub.Items
where value is Money
select CurveNameHelpers.GetDiscountCurveName(((Money)value).currency, true));
}
}
return(result);
}
/// <summary>
/// Gets and sets the required pricing structures to value this leg.
/// </summary>
public override List <string> GetRequiredPricingStructures()
{
var result = new List <string>();
if (notional.currency != null)
{
var discountCurve = CurveNameHelpers.GetDiscountCurveName(notional.currency, true);
result.Add(discountCurve);
}
if (floatingRateIndex != null && indexTenor != null)
{
result.Add(CurveNameHelpers.GetForecastCurveName(floatingRateIndex, indexTenor[0]));
}
return(result);
}
