/// <summary>
/// Calculates the specified metric for the fast bootstrapper.
/// </summary>
/// <param name="interpolatedSpace">The intepolated Space.</param>
/// <returns></returns>
public override decimal CalculateImpliedQuote(IInterpolatedSpace interpolatedSpace)
{
if (AnalyticsModel == null)
{
AnalyticsModel = new CommoditySpreadAssetAnalytic();
// DependencyCreator.Resolve<IModelAnalytic<ISimpleAssetParameters, RateMetrics>>(_modelIdentifier);
}
//3. Get the Rate
var endDF = GetIndex(interpolatedSpace, RiskMaturityDate, BaseDate);
var analyticModelParameters = new CommodityAssetParameters
{
CommodityForward =
endDF
};
Values = new[] { endDF };
if (Spread != null)
{
analyticModelParameters.Spread = MarketQuoteHelper.NormaliseGeneralPriceUnits(SpreadQuotationType, Spread, "MarketQuote").value;
}
AnalyticResults = new CommoditySpreadAssetResults();
//4. Set the anaytic input parameters and Calculate the respective metrics
//
AnalyticResults = AnalyticsModel.Calculate <ICommoditySpreadAssetResults, CommoditySpreadAssetResults>(analyticModelParameters, new[] { CommoditySpreadMetrics.ImpliedQuote });
return(AnalyticResults.ImpliedQuote);
}
/// <summary>
/// Calculates the specified metric for the fast bootstrapper.
/// </summary>
/// <param name="interpolatedSpace">The intepolated Space.</param>
/// <returns></returns>
public override decimal CalculateImpliedQuote(IInterpolatedSpace interpolatedSpace)
{
if (AnalyticsModel == null)
{
AnalyticsModel = new RateSpreadAssetAnalytic();
// DependencyCreator.Resolve<IModelAnalytic<ISimpleAssetParameters, RateMetrics>>(_modelIdentifier);
}
//3. Get the Rate
StartDiscountFactor = GetDiscountFactor(interpolatedSpace, AdjustedStartDate, BaseDate);
EndDiscountFactor = GetDiscountFactor(interpolatedSpace, RiskMaturityDate, BaseDate);
ISimpleRateAssetParameters analyticModelParameters = new RateAssetParameters
{
YearFraction = YearFraction,
StartDiscountFactor =
StartDiscountFactor,
EndDiscountFactor =
EndDiscountFactor
};
var fixedRate = GetRate(StartDiscountFactor, EndDiscountFactor, YearFraction);
if (Spread != null)
{
analyticModelParameters.Rate = fixedRate + MarketQuoteHelper
.NormaliseGeneralPriceUnits(SpreadQuotationType, Spread,
"DecimalRate").value;
}
AnalyticResults = new RateSpreadAssetResults();
//4. Set the anaytic input parameters and Calculate the respective metrics
//
AnalyticResults =
AnalyticsModel.Calculate <IRateSpreadAssetResults, RateSpreadAssetResults>(analyticModelParameters,
new[] { RateSpreadMetrics.ImpliedQuote });
return(AnalyticResults.ImpliedQuote);
}
/// <summary>
/// Calculates the specified metric for the fast bootstrapper.
/// </summary>
/// <param name="interpolatedSpace">The interpolated Space.</param>
/// <returns></returns>
public override decimal CalculateDiscountFactorAtMaturity(IInterpolatedSpace interpolatedSpace)
{
if (AnalyticsModel == null)
{
switch (ModelIdentifier)
{
case "SwapAsset":
case "ClearedSwapAsset":
AnalyticsModel = new SimpleSwapAssetAnalytic(); //
break;
}
}
ISwapAssetParameters analyticModelParameters = new IRSwapAssetParameters
{
YearFractions = YearFractions,
StartDiscountFactor =
GetDiscountFactor(interpolatedSpace,
AdjustedStartDate, BaseDate),
Rate =
CalculateImpliedQuote(interpolatedSpace) +
MarketQuoteHelper
.NormaliseGeneralPriceUnits(QuotationType, Spread,
"DecimalRate").value
};
//3. Set the implied Rate with a spread
//
AnalyticResults = new RateAssetResults();
//4. Set the anaytic input parameters and Calculate the respective metrics
//
if (AnalyticsModel != null)
{
AnalyticResults = AnalyticsModel.Calculate <IRateAssetResults, RateAssetResults>(analyticModelParameters, new[] { RateMetrics.DiscountFactorAtMaturity });
}
return(AnalyticResults.DiscountFactorAtMaturity);
}
/// <summary>
/// Calculates the specified model data.
/// </summary>
/// <param name="modelData">The model data.</param>
/// <returns></returns>
public override BasicAssetValuation Calculate(IAssetControllerData modelData)
{
ModelData = modelData;
AnalyticsModel = new CommoditySpreadAssetAnalytic();
//DependencyCreator.Resolve<IModelAnalytic<ISimpleAssetParameters, SpreadMetrics>>(_modelIdentifier);
var metrics = MetricsHelper.GetMetricsToEvaluate(Metrics, AnalyticsModel.Metrics);
// Determine if DFAM has been requested - if so thats all we evaluate - every other metric is ignored
var bEvalDiscountFactorAtMaturity = false;
if (metrics.Contains(CommoditySpreadMetrics.IndexAtMaturity))
{
bEvalDiscountFactorAtMaturity = true;
metrics.RemoveAll(
metricItem => metricItem != CommoditySpreadMetrics.IndexAtMaturity);
}
var analyticModelParameters = new CommodityAssetParameters();
AnalyticResults = new CommoditySpreadAssetResults();
var metricsToEvaluate = metrics.ToArray();
var marketEnvironment = modelData.MarketEnvironment;
ICommodityCurve curve = null;
//1. instantiate curve
if (marketEnvironment.GetType() == typeof(SimpleMarketEnvironment))
{
curve = (ICommodityCurve)((ISimpleMarketEnvironment)marketEnvironment).GetPricingStructure();
CurveName = curve.GetPricingStructureId().UniqueIdentifier;
}
if (marketEnvironment.GetType() == typeof(SimpleCommodityMarketEnvironment))
{
curve = ((ISimpleCommodityMarketEnvironment)marketEnvironment).GetCommodityCurve();
CurveName = curve.GetPricingStructureId().UniqueIdentifier;
}
if (marketEnvironment.GetType() == typeof(MarketEnvironment))
{
curve = (ICommodityCurve)modelData.MarketEnvironment.GetPricingStructure(CurveName);
}
var endDF = GetIndex(curve, RiskMaturityDate, modelData.ValuationDate);
Values = new[] { endDF };
//3. Get the end discount factor
analyticModelParameters.CommodityForward = endDF;
if (Spread != null)
{
analyticModelParameters.Spread = MarketQuoteHelper.NormaliseGeneralPriceUnits(SpreadQuotationType, Spread, "Price").value;
}
if (bEvalDiscountFactorAtMaturity)
{
//4. Set the anaytic input parameters and Calculate the respective metrics
AnalyticResults =
AnalyticsModel.Calculate <ICommoditySpreadAssetResults, CommoditySpreadAssetResults>(analyticModelParameters,
metricsToEvaluate);
ValueAtMaturity = AnalyticResults.IndexAtMaturity;
}
else
{
//4. Set the anaytic input parameters and Calculate the respective metrics
AnalyticResults =
AnalyticsModel.Calculate <ICommoditySpreadAssetResults, CommoditySpreadAssetResults>(analyticModelParameters,
metricsToEvaluate);
}
return(GetValue(AnalyticResults));
}
/// <summary>
/// Calculates the specified model data.
/// </summary>
/// <param name="modelData">The model data.</param>
/// <returns></returns>
public override BasicAssetValuation Calculate(IAssetControllerData modelData)
{
ModelData = modelData;
AnalyticsModel = new RateSpreadAssetAnalytic();
//DependencyCreator.Resolve<IModelAnalytic<ISimpleAssetParameters, SpreadMetrics>>(_modelIdentifier);
var metrics = MetricsHelper.GetMetricsToEvaluate(Metrics, AnalyticsModel.Metrics);
// Determine if DFAM has been requested - if so thats all we evaluate - every other metric is ignored
var bEvalDiscountFactorAtMaturity = false;
var bEvalDiscountFactorAtStart = false;
if (metrics.Contains(RateSpreadMetrics.DiscountFactorAtMaturity))
{
bEvalDiscountFactorAtMaturity = true;
metrics.RemoveAll(
metricItem => metricItem != RateSpreadMetrics.DiscountFactorAtMaturity);
}
if (metrics.Contains(RateSpreadMetrics.DiscountFactorAtStart))
{
bEvalDiscountFactorAtStart = true;
metrics.RemoveAll(
metricItem => metricItem != RateSpreadMetrics.DiscountFactorAtStart);
}
ISimpleRateAssetParameters analyticModelParameters = new RateAssetParameters {
YearFraction = YearFraction
};
AnalyticResults = new RateSpreadAssetResults();
var metricsToEvaluate = metrics.ToArray();
var marketEnvironment = modelData.MarketEnvironment;
IRateCurve curve = null;
//1. instantiate curve
if (marketEnvironment.GetType() == typeof(SimpleMarketEnvironment))
{
curve = (IRateCurve)((ISimpleMarketEnvironment)marketEnvironment).GetPricingStructure();
CurveName = curve.GetPricingStructureId().UniqueIdentifier;
}
if (marketEnvironment.GetType() == typeof(SimpleRateMarketEnvironment))
{
curve = ((ISimpleRateMarketEnvironment)marketEnvironment).GetRateCurve();
CurveName = curve.GetPricingStructureId().UniqueIdentifier;
}
if (marketEnvironment.GetType() == typeof(SwapLegEnvironment))
{
curve = ((ISwapLegEnvironment)marketEnvironment).GetDiscountRateCurve();
CurveName = curve.GetPricingStructureId().UniqueIdentifier;
}
if (marketEnvironment.GetType() == typeof(MarketEnvironment))
{
curve = (IRateCurve)modelData.MarketEnvironment.GetPricingStructure(CurveName);
}
//3. Get the Rate
StartDiscountFactor = GetDiscountFactor(curve, AdjustedStartDate, modelData.ValuationDate);
//2. get start df = curve.getvalue(this._adjustedStartDate);
analyticModelParameters.StartDiscountFactor = StartDiscountFactor;
EndDiscountFactor = GetDiscountFactor(curve, RiskMaturityDate, modelData.ValuationDate);
var fixedRate = GetRate(StartDiscountFactor, EndDiscountFactor, YearFraction);
if (Spread != null)
{
analyticModelParameters.Rate = fixedRate + MarketQuoteHelper
.NormaliseGeneralPriceUnits(SpreadQuotationType, Spread,
"DecimalRate").value;
}
if (bEvalDiscountFactorAtMaturity)
{
//4. Set the anaytic input parameters and Calculate the respective metrics
AnalyticResults =
AnalyticsModel.Calculate <IRateSpreadAssetResults, RateSpreadAssetResults>(analyticModelParameters,
metricsToEvaluate);
}
if (bEvalDiscountFactorAtStart)
{
//4. Set the anaytic input parameters and Calculate the respective metrics
AnalyticResults =
AnalyticsModel.Calculate <IRateSpreadAssetResults, RateSpreadAssetResults>(analyticModelParameters,
metricsToEvaluate);
}
else
{
//3. Get the end discount factor
EndDiscountFactor = GetDiscountFactor(curve, GetRiskMaturityDate(), modelData.ValuationDate);
analyticModelParameters.EndDiscountFactor = EndDiscountFactor;
//4. Set the anaytic input parameters and Calculate the respective metrics
AnalyticResults =
AnalyticsModel.Calculate <IRateSpreadAssetResults, RateSpreadAssetResults>(analyticModelParameters,
metricsToEvaluate);
}
return(GetValue(AnalyticResults));
}