/// <summary>
/// Creates the pricing structure.
/// </summary>
protected void CreatePricingStructure(EquityCurveIdentifier curveId, TermCurve termCurve, FxRateSet quotedAssetSet)
{
FpML.V5r10.Reporting.FxCurve fxCurve = CreateEquityCurve(curveId);
FxCurveValuation fxCurveValuation = CreateEquityCurveValuation(curveId, quotedAssetSet, termCurve);
var fpmlData = new Pair <PricingStructure, PricingStructureValuation>(fxCurve, fxCurveValuation);
SetFpMLData(fpmlData, false);
}
/////<summary>
/////</summary>
/////<returns></returns>
//public decimal GetSpotRate()
//{
// var fxVal = (FxCurveValuation)GetFpMLData().Second;
// BasicAssetValuation spotRateAsset = (from spotRateAssets in fxVal.spotRate.assetQuote
// where spotRateAssets.objectReference.href.EndsWith("-Equity-SP", StringComparison.InvariantCultureIgnoreCase)//TODO FIX This!
// select spotRateAssets).Single();
// decimal spotRate = spotRateAsset.quote[0].value;
// return spotRate;
//}
/// <summary>
///
/// </summary>
/// <param name="logger"></param>
/// <param name="cache"></param>
/// <param name="nameSpace">THe client namespace</param>
/// <param name="equityId">THe curve asset.</param>
/// <param name="fixingCalendar"></param>
/// <param name="rollCalendar"></param>
/// <param name="baseDate"></param>
/// <returns></returns>
protected static DateTime GetSettlementDate(ILogger logger, ICoreCache cache, string nameSpace,
EquityCurveIdentifier equityId, IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar, DateTime baseDate)
{
BasicAssetValuation bav = BasicAssetValuationHelper.Create(BasicQuotationHelper.Create(0, "MarketQuote", PriceQuoteUnitsEnum.Price.ToString()));
var assetId = BuildSpotAssetId(equityId);
var priceableAsset = (IPriceableEquityAssetController)PriceableAssetFactory.Create(logger, cache, nameSpace, assetId, baseDate, bav, fixingCalendar, rollCalendar);
return(priceableAsset.GetRiskMaturityDate());
}
/// <summary>
/// Creates the equity curve.
/// </summary>
/// <param name="curveId">The curve id.</param>
/// <returns></returns>
protected static FpML.V5r10.Reporting.FxCurve CreateEquityCurve(EquityCurveIdentifier curveId)
{
var fxCurve = new FpML.V5r10.Reporting.FxCurve
{
id = curveId.Id,
name = curveId.CurveName,
currency = curveId.Currency,
};
return(fxCurve);
}
/// <summary>
/// </summary>
/// <param name="fxRates">The spot rate.</param>
/// <param name="curveId">The curve id.</param>
/// <param name="termCurve">The bootstrapped term curve.</param>
/// <returns></returns>
private FxCurveValuation CreateEquityCurveValuation(EquityCurveIdentifier curveId, FxRateSet fxRates,
TermCurve termCurve)
{
var fxCurveValuation = new FxCurveValuation
{
baseDate = IdentifiedDateHelper.Create(curveId.BaseDate),
buildDateTime = curveId.BaseDate,
buildDateTimeSpecified = true,
spotRate = fxRates,
id = curveId.UniqueIdentifier,
fxForwardCurve = termCurve,
spotDate = IdentifiedDateHelper.Create("SettlementDate", SettlementDate),
};
return(fxCurveValuation);
}
private void InitialiseInstance(ILogger logger, ICoreCache cache, string nameSpace,
NamedValueSet properties, FxRateSet assetSet, IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
{
PricingStructureData = new PricingStructureData(CurveType.Parent, AssetClass.Equity, properties);
var curveId = new EquityCurveIdentifier(properties);
PricingStructureIdentifier = curveId;
Holder = new PricingStructureAlgorithmsHolder(logger, cache, nameSpace, curveId.PricingStructureType, curveId.Algorithm);
DateTime baseDate = PricingStructureIdentifier.BaseDate;
//Set the spot date;
SettlementDate = GetSettlementDate(logger, cache, nameSpace, GetEquityCurveId(), fixingCalendar, rollCalendar, baseDate);
//TODO
//FixingCalendar = null;
//RollCalendar = null;
// The bootstrapper to use
BootstrapperName = Holder.GetValue("Bootstrapper");
Tolerance = double.Parse(Holder.GetValue("Tolerance"));
bool extrapolationPermitted = bool.Parse(Holder.GetValue("ExtrapolationPermitted"));
InterpolationMethod interpolationMethod = InterpolationMethodHelper.Parse(Holder.GetValue("BootstrapperInterpolation"));
var termCurve = new TermCurve
{
extrapolationPermitted = extrapolationPermitted,
extrapolationPermittedSpecified = true,
interpolationMethod = interpolationMethod
};
PriceableEquityAssets = PriceableAssetFactory.CreatePriceableEquityAssets(logger, cache, nameSpace, baseDate, assetSet, fixingCalendar, rollCalendar);
termCurve.point = EquityBootstrapper.Bootstrap(PriceableEquityAssets, baseDate, termCurve.extrapolationPermitted,
termCurve.interpolationMethod, Tolerance);
// Pull out the fx curve and fx curve valuation
Pair <PricingStructure, PricingStructureValuation> fpmlData
= CreateFpmlPair(logger, cache, nameSpace, baseDate, (EquityCurveIdentifier)PricingStructureIdentifier, assetSet, termCurve, fixingCalendar, rollCalendar);
SetFpmlData(fpmlData);
// Interpolate the DiscountFactor curve based on the respective curve interpolation
SetInterpolator(baseDate);
}
/// <summary>
/// Creates the pricing structure.
/// </summary>
protected void CreatePricingStructure(EquityCurveIdentifier curveId, TermCurve termCurve, IEnumerable <IPriceableEquityAssetController> priceableEquityAssets)
{
FxRateSet quotedAssetSet = priceableEquityAssets != null?PriceableAssetFactory.Parse(priceableEquityAssets) : null;
CreatePricingStructure(curveId, termCurve, quotedAssetSet);
}
private static string BuildSpotAssetId(EquityCurveIdentifier equityId)
{
return(equityId.Currency.Value + "-Equity-" + equityId.EquityAsset);
}
/// <summary>
/// Creates the equity curve.
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">THe client namespace</param>
/// <param name="equityId">THe underlying curve asset.</param>
/// <param name="fixingCalendar"></param>
/// <param name="rollCalendar"></param>
/// <param name="baseDate">The base date.</param>
/// <param name="fxRates">The spot rate.</param>
/// <param name="curveId">The curve id.</param>
/// <param name="termCurve">The bootstrapped term curve.</param>
/// <returns></returns>
private static FxCurveValuation CreateEquityCurveValuation(ILogger logger, ICoreCache cache, string nameSpace, EquityCurveIdentifier equityId,
IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar, DateTime baseDate, FxRateSet fxRates, string curveId,
TermCurve termCurve)
{
DateTime settlementDate = GetSettlementDate(logger, cache, nameSpace, equityId, fixingCalendar, rollCalendar, baseDate);
var fxCurveValuation = new FxCurveValuation
{
baseDate = IdentifiedDateHelper.Create(baseDate),
buildDateTime = baseDate,
buildDateTimeSpecified = true,
spotRate = fxRates,
id = curveId,
fxForwardCurve = termCurve,
spotDate = IdentifiedDateHelper.Create("SettlementDate", settlementDate)
};
return(fxCurveValuation);
}
private static Pair <PricingStructure, PricingStructureValuation> CreateFpmlPair(ILogger logger, ICoreCache cache, string nameSpace, DateTime baseDate,
EquityCurveIdentifier curveId, FxRateSet assetSet, TermCurve termCurve, IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
{
FpML.V5r10.Reporting.FxCurve fxCurve = CreateEquityCurve(curveId.Id, curveId.CurveName, curveId.Currency);
FxCurveValuation fxCurveValuation = CreateEquityCurveValuation(logger, cache, nameSpace, curveId, fixingCalendar, rollCalendar, baseDate, assetSet, fxCurve.id, termCurve);
return(new Pair <PricingStructure, PricingStructureValuation>(fxCurve, fxCurveValuation));
}
