/// <summary>
/// Initializes a new instance of the <see cref="CommoditySpreadCurve2"/> class.
/// </summary>
/// <param name="referenceCurve">The reference curve.</param>
/// <param name="spreadAssets">The spreads by asset.</param>
/// <param name="properties">The properties of the new spread curve.</param>
/// <param name="algorithm">The alogorithm holder. </param>
public CommoditySpreadCurve2(NamedValueSet properties, ICommodityCurve referenceCurve,
List <IPriceableCommoditySpreadAssetController> spreadAssets, PricingStructureAlgorithmsHolder algorithm)
: base(properties, algorithm)
{
PricingStructureData = new PricingStructureData(CurveType.Child, AssetClass.Commodity, properties);
//Set the identifier.
var pricingStructureId = GetCommodityCurveId();
if (pricingStructureId.PricingStructureType != PricingStructureTypeEnum.CommoditySpreadCurve)
{
return;
}
//Set the reference curve
BaseCurve = referenceCurve;
ReferenceCurveId = BaseCurve.GetPricingStructureId();
PriceableCommoditySpreadAssets = spreadAssets;
//Order the assets.
PriceableCommoditySpreadAssets = PriceableCommoditySpreadAssets.OrderBy(a => a.GetRiskMaturityDate()).ToList();
var termCurve = SetConfigurationData();
//Get the reference interpolated curve.
IList <Double> xArray = new List <double>();
IList <Double> yArray = new List <double>();
termCurve.point = CommoditySpreadBootstrapper2.Bootstrap(PriceableCommoditySpreadAssets,
BaseCurve,
pricingStructureId.BaseDate,
termCurve.extrapolationPermitted,
Tolerance, ref xArray, ref yArray);
CreatePricingStructure(pricingStructureId, termCurve, PriceableAssetFactory.Parse(PriceableCommoditySpreadAssets));
SetInterpolator(BaseCurve, xArray, yArray, pricingStructureId.PricingStructureType);
}
/// <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="derivedCurveData">The spread Curve Data</param>
/// <param name="fixingCalendar">The fixingCalendar.</param>
/// <param name="rollCalendar">The rollCalendar.</param>
public ClearedRateCurve(ILogger logger, ICoreCache cache, String nameSpace,
Triplet <PricingStructure, PricingStructureValuation, NamedValueSet> referenceCurveData,
Triplet <PricingStructure, PricingStructureValuation, NamedValueSet> derivedCurveData, IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
: base(derivedCurveData.Third, GenerateHolder(logger, cache, nameSpace, derivedCurveData.Third))
{
PricingStructureData = new PricingStructureData(CurveType.Child, AssetClass.Rates, derivedCurveData.Third);
var curveId = GetRateCurveId();
//Set the identifier.
var nvs = derivedCurveData.Third;
var pricingStructureId = GetRateCurveId();
var refCurveId = PropertyHelper.ExtractReferenceCurveUniqueId(nvs);
ReferenceDiscountingCurveId = refCurveId != null ? new Identifier(refCurveId) : ReferenceDiscountingCurveId = null;
if (pricingStructureId.PricingStructureType != PricingStructureTypeEnum.ClearedRateCurve)
{
return;
}
//Set the reference curve
var baseCurveFpml = new Pair <PricingStructure, PricingStructureValuation>(referenceCurveData.First, referenceCurveData.Second);
var baseCurveProps = referenceCurveData.Third;
BaseDiscountingCurve = (IRateCurve)PricingStructureFactory.Create(logger, cache, nameSpace, fixingCalendar, rollCalendar, baseCurveFpml, baseCurveProps);
//Get the spread Data
var spreadCurveFpml = new Pair <PricingStructure, PricingStructureValuation>(derivedCurveData.First, derivedCurveData.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;
var indexTenor = curveId.ForecastRateIndex?.indexTenor;
if (bootstrap || discountsAbsent)
{
//There must be a valid quoted asset set in order to bootstrap.
if (!XsdClassesFieldResolver.QuotedAssetSetIsValid(spreadAssets))
{
return;
}
PriceableClearedRateAssets =
PriceableAssetFactory.CreatePriceableClearedRateAssetsWithBasisSwaps(logger, cache, nameSpace, indexTenor, spreadAssets, pricingStructureId.BaseDate, fixingCalendar, rollCalendar);
GetYieldCurveValuation().zeroCurve = null;
TermCurve termCurve = tempFpml.discountFactorCurve ?? SetConfigurationData();
DateTime baseDate = GetYieldCurveValuation().baseDate.Value;
termCurve.point = ClearedRateBootstrapper.Bootstrap(PriceableClearedRateAssets, BaseDiscountingCurve, baseDate, termCurve.extrapolationPermitted, termCurve.interpolationMethod, Tolerance);
SetFpMLData(new Pair <PricingStructure, PricingStructureValuation>(PricingStructure, PricingStructureValuation), false);
SetInterpolator(termCurve);
}
else
{
// the discount curve is already built, so don't rebuild
PriceableClearedRateAssets = PriceableAssetFactory.CreatePriceableClearedRateAssetsWithBasisSwaps(logger, cache, nameSpace, indexTenor, spreadAssets, pricingStructureId.BaseDate, fixingCalendar, rollCalendar);
//Order the assets.
PriceableClearedRateAssets = PriceableClearedRateAssets.OrderBy(a => a.GetRiskMaturityDate()).ToList();
CreatePricingStructure(pricingStructureId, tempFpml.discountFactorCurve, spreadAssets);
// CreatePricingStructure(pricingStructureId, tempFpml.discountFactorCurve, PriceableAssetFactory.Parse(PriceableClearedRateAssets));
SetInterpolator(GetYieldCurveValuation().discountFactorCurve);
}
}
/// <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="baseDiscountingCurve">The reference curve.</param>
/// <param name="clearedRateAssets">The cleared rate asset.</param>
/// <param name="properties">The properties of the new spread curve.</param>
/// <param name="fixingCalendar">The fixingCalendar.</param>
/// <param name="rollCalendar">The rollCalendar.</param>
public ClearedRateCurve(ILogger logger, ICoreCache cache, string nameSpace,
IRateCurve baseDiscountingCurve, QuotedAssetSet clearedRateAssets, NamedValueSet properties,
IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
: base(logger, cache, nameSpace, new RateCurveIdentifier(properties), fixingCalendar, rollCalendar)
{
PricingStructureData = new PricingStructureData(CurveType.Child, AssetClass.Rates, properties);
BaseDiscountingCurve = baseDiscountingCurve;
ReferenceDiscountingCurveId = BaseDiscountingCurve.GetPricingStructureId();
if (PricingStructureIdentifier.PricingStructureType != PricingStructureTypeEnum.ClearedRateCurve)
{
return;
}
var termCurve = SetConfigurationData();
var curveId = GetRateCurveId();
var indexTenor = curveId.ForecastRateIndex?.indexTenor;
//Set the priceable assets.
PriceableClearedRateAssets = PriceableAssetFactory.CreatePriceableClearedRateAssetsWithBasisSwaps(logger, cache, nameSpace, indexTenor, clearedRateAssets, PricingStructureIdentifier.BaseDate, fixingCalendar, rollCalendar);
termCurve.point = ClearedRateBootstrapper.Bootstrap(PriceableClearedRateAssets, BaseDiscountingCurve, curveId.BaseDate, termCurve.extrapolationPermitted,
termCurve.interpolationMethod, Tolerance);
CreatePricingStructure(curveId, termCurve, clearedRateAssets);
// CreatePricingStructure(curveId, termCurve, PriceableAssetFactory.Parse(PriceableClearedRateAssets));
// Interpolate the DiscountFactor curve based on the respective curve interpolation
SetInterpolator(termCurve);
}
/// <summary>
/// Initializes a new instance of the <see cref="ClearedRateCurve"/> class.
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">The client namespace</param>
/// <param name="fpmlData">The FPML data.</param>
/// <param name="properties">The properties.</param>
/// <param name="fixingCalendar">The fixingCalendar.</param>
/// <param name="rollCalendar">The rollCalendar.</param>
public ClearedRateCurve(ILogger logger, ICoreCache cache, string nameSpace,
Pair <PricingStructure, PricingStructureValuation> fpmlData,
NamedValueSet properties, IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
: base(logger, cache, nameSpace, new RateCurveIdentifier(properties), fixingCalendar, rollCalendar)
{
PricingStructureData = new PricingStructureData(CurveType.Child, AssetClass.Rates, properties);
var refCurveId = PropertyHelper.ExtractReferenceCurveUniqueId(properties);
ReferenceDiscountingCurveId = refCurveId != null ? new Identifier(refCurveId) : ReferenceDiscountingCurveId = null;
var tempFpml = (YieldCurveValuation)fpmlData.Second;
var curveId = GetRateCurveId();
Initialize(properties, Holder);
FixingCalendar = fixingCalendar;
PaymentCalendar = rollCalendar;
//Override properties.
//var optimize = PropertyHelper.ExtractOptimizeBuildFlag(properties);//TODO removed optimisation as it means that partial hedges can not be undertaken.
var bootstrap = PropertyHelper.ExtractBootStrapOverrideFlag(properties);
var termCurve = SetConfigurationData();
var qas = tempFpml.inputs;
var indexTenor = curveId.ForecastRateIndex?.indexTenor;
//This is to catch it when there are no discount factor points.
var discountsAbsent = tempFpml.discountFactorCurve?.point == null || tempFpml.discountFactorCurve.point.Length == 0;
//This is an override if the cache is null, as the bootstrapper will not work.
if (cache == null)
{
//optimize = true;
bootstrap = false;
}
bool validAssets = XsdClassesFieldResolver.QuotedAssetSetIsValid(qas);
//Test to see if a bootstrap is required.
if (bootstrap || discountsAbsent)
{
//There must be a valid quoted asset set in order to bootstrap.
if (!validAssets)
{
return;
}
PriceableClearedRateAssets = PriceableAssetFactory.CreatePriceableClearedRateAssetsWithBasisSwaps(logger, cache, nameSpace, indexTenor, qas, GetRateCurveId().BaseDate, fixingCalendar, rollCalendar);
termCurve.point = RateBootstrapper.Bootstrap(PriceableClearedRateAssets, curveId.BaseDate,
termCurve.extrapolationPermitted,
termCurve.interpolationMethod,
Tolerance);
CreatePricingStructure(curveId, termCurve, qas);
SetInterpolator(termCurve);
}
else
{
// the discount curve is already built, so don't rebuild
SetFpMLData(fpmlData, false);
SetInterpolator(((YieldCurveValuation)PricingStructureValuation).discountFactorCurve);
//Set the priceable assets.
if (validAssets)//!optimize &&
{
PriceableClearedRateAssets = PriceableAssetFactory.CreatePriceableClearedRateAssetsWithBasisSwaps(logger, cache, nameSpace, indexTenor, qas, GetRateCurveId().BaseDate, fixingCalendar, rollCalendar);
}
}
}
///// <summary>
///// Create a surface from an FpML
///// </summary>
///// <param name="fpmlData"></param>
//public ExtendedEquityVolatilitySurface(Pair<PricingStructure, PricingStructureValuation> fpmlData)
// : this(fpmlData, PricingStructurePropertyHelper.EquityVolatilityMatrix(fpmlData))
//{}
/// <summary>
/// Create a surface from an FpML
/// </summary>
/// <param name="nameSpace">The nameSpace</param>
/// <param name="fpmlData">The data.</param>
/// <param name="logger"></param>
/// <param name="cache">The cache.</param>
/// <param name="properties">The properties.</param>
public ExtendedEquityVolatilitySurface(ILogger logger, ICoreCache cache, String nameSpace,
Pair <PricingStructure, PricingStructureValuation> fpmlData,
NamedValueSet properties)
: base(logger, cache, nameSpace, fpmlData, properties)
{
PricingStructureData = new PricingStructureData(CurveType.Parent, Constants.AssetClass.Equity);
}
public SABRVolatilitySurface(ILogger logger, ICoreCache cache, String nameSpace, NamedValueSet properties, String[] expiryTenors, Double[] strikes,
Double[,] volSurface)
: base(logger, cache, nameSpace, properties, expiryTenors, strikes, volSurface)
{
var assetClass = properties.GetString(CurveProp.AssetClass, true);
var type = EnumHelper.Parse <AssetClass>(assetClass);
var assetId = properties.GetValue <string>(CurveProp.AssetId, true);
var baseDate = properties.GetValue <DateTime>(CurveProp.BaseDate, true);
PricingStructureData = new PricingStructureData(CurveType.Parent, type);
UnderlyingPriceableAssets = new List <IPriceableAssetController>();
foreach (var tenor in expiryTenors)
{
var expiryTenor = PeriodHelper.Parse(tenor);
var offset = new Offset
{
period = expiryTenor.period,
periodMultiplier = expiryTenor.periodMultiplier,
periodSpecified = true,
dayType = DayTypeEnum.Calendar,
dayTypeSpecified = true
};
var expiryDate = offset.Add(baseDate);
var assetProperties = PriceableAssetFactory.BuildPropertiesForAssets(nameSpace, assetId, expiryDate);
var asset = PriceableAssetFactory.Create(logger, cache, nameSpace, null, assetProperties, null, null);
UnderlyingPriceableAssets.Add(asset);
}
}
/// <summary>
/// Takes a range of volatilities, an array of tenor expiries and an
/// array of strikes to create a VolatilitySurface
/// </summary>
/// <param name="expiryTenors">the expiry tenors.</param>
/// <param name="strikes">The strikes.</param>
/// <param name="volSurface">The vol surface.</param>
/// <param name="nameSpace">The nameSpace</param>
/// <param name="properties">The properties.</param>
/// <param name="logger"></param>
/// <param name="cache">The cache.</param>
/// <param name="forwards">The array of forwards. The first element is the spot value. Consequently, the length of this array is expiryTenors.Length + 1.</param>
public ExtendedEquityVolatilitySurface(ILogger logger, ICoreCache cache, String nameSpace,
NamedValueSet properties, String[] expiryTenors, Double[] strikes,
Double[] forwards, Double[,] volSurface)
: base(logger, cache, nameSpace, properties, expiryTenors, strikes, forwards, volSurface)
{
PricingStructureData = new PricingStructureData(CurveType.Parent, Constants.AssetClass.Equity);
}
/// <summary>
/// Create a surface from an FpML
/// </summary>
/// <param name="fpmlData"></param>
public VolatilityCube(Pair <PricingStructure, PricingStructureValuation> fpmlData)
: base(fpmlData)
{
PricingStructureData = new PricingStructureData(CurveType.Parent, Constants.AssetClass.Rates);//TODO Need to set for the different underlyers.
SetInterpolator();
_matrixIndexHelper = new SortedList <ExpiryTenorStrikeKey, int>(new ExpiryTenorStrikeKey());
ProcessVolatilityRepresentation();
}
/// <summary>
/// Create a surface from an FpML
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">The nameSpace</param>
/// <param name="fpmlData">The data.</param>
/// <param name="properties">The properties.</param>
public SABRVolatilitySurface(ILogger logger, ICoreCache cache, String nameSpace, Pair <PricingStructure, PricingStructureValuation> fpmlData, NamedValueSet properties)
: base(logger, cache, nameSpace, fpmlData, properties)
{
var assetClass = properties.GetString(CurveProp.AssetClass, true);
var type = EnumHelper.Parse <AssetClass>(assetClass);
PricingStructureData = new PricingStructureData(CurveType.Parent, type);
}
/// <summary>
/// Initializes a new instance of the <see cref="RateSpreadCurve"/> class.
/// </summary>
/// <param name="referenceCurve">The reference curve.</param>
/// <param name="spreadAssets">The spreads by asset.</param>
/// <param name="properties">The properties of the new spread curve.</param>
/// <param name="algorithm">The algorithm holder. </param>
public RateSpreadCurve(NamedValueSet properties, IRateCurve referenceCurve,
List <IPriceableRateSpreadAssetController> spreadAssets, PricingStructureAlgorithmsHolder algorithm)
: base(properties, algorithm)
{
PricingStructureData = new PricingStructureData(CurveType.Child, AssetClass.Rates, properties);
PriceableSpreadAssets = spreadAssets;
BaseCurve = referenceCurve;
}
/// <summary>
/// Initializes a new instance of the <see cref="CurveBase"/> class.
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">The nameSpace</param>
/// <param name="curveIdentifier">The curveIdentifier.</param>
protected CommodityCurve(ILogger logger, ICoreCache cache, String nameSpace, PricingStructureIdentifier curveIdentifier)
: base(logger, cache, nameSpace, curveIdentifier)
{
var properties = curveIdentifier.GetProperties();
PricingStructureData = new PricingStructureData(CurveType.Parent, AssetClass.Commodity, properties);
Tolerance = PropertyHelper.ExtractDoubleProperty("Tolerance", properties) ?? GetDefaultTolerance(Holder);
}
/// <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="properties">The properties.</param>
/// <param name="refCurve">The reference parent curve id.</param>
/// <param name="value">The values.</param>
/// <param name="fixingCalendar">The fixingCalendar.</param>
/// <param name="rollCalendar">The rollCalendar.</param>
public RateBasisCurve(ILogger logger, ICoreCache cache, string nameSpace, NamedValueSet properties, IPricingStructure refCurve, Decimal value,
IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
: base(logger, cache, nameSpace, AdjustMarketQuotes(value, refCurve.GetFpMLData(), PropertyHelper.ExtractUniqueCurveIdentifier(properties)), properties,
fixingCalendar, rollCalendar)
{
PricingStructureData = new PricingStructureData(CurveType.Child, AssetClass.Rates, properties);
ReferenceCurveId = refCurve.GetPricingStructureId();
}
/// <summary>
/// Initializes a new instance of the <see cref="CurveBase"/> class.
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">The nameSpace</param>
/// <param name="curveIdentifier">The curveIdentifier.</param>
protected RateSpreadCurve(ILogger logger, ICoreCache cache, String nameSpace,
PricingStructureIdentifier curveIdentifier)
: base(logger, cache, nameSpace, curveIdentifier)
{
var properties = curveIdentifier.GetProperties();
PricingStructureData = new PricingStructureData(CurveType.Child, AssetClass.Rates, properties);
}
/// <summary>
///
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace"></param>
/// <param name="properties"></param>
/// <param name="expiries"></param>
/// <param name="vols"></param>
/// <param name="inputInstruments"></param>
/// <param name="inputSwapRates"></param>
/// <param name="blackVolatilities"></param>
public SABRVolatilitySurface(ILogger logger, ICoreCache cache, String nameSpace, NamedValueSet properties, DateTime[] expiries, double[] vols,
string[] inputInstruments, double[] inputSwapRates, double[] blackVolatilities)
: base(logger, cache, nameSpace, properties, expiries, vols, inputInstruments, inputSwapRates, blackVolatilities)
{
var assetClass = properties.GetString(CurveProp.AssetClass, true);
var type = EnumHelper.Parse <AssetClass>(assetClass);
PricingStructureData = new PricingStructureData(CurveType.Parent, type);
}
/// <summary>
/// Initializes a new instance of the <see cref="RateSpreadCurve"/> class.
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">The client namespace</param>
/// <param name="referenceCurve">The reference parent curve id.</param>
/// <param name="spreadAssets">The spreads by asset.</param>
/// <param name="properties">The properties of the new spread curve.</param>
/// <param name="fixingCalendar">The fixingCalendar.</param>
/// <param name="rollCalendar">The rollCalendar.</param>
public RateSpreadCurve(ILogger logger, ICoreCache cache, string nameSpace,
IRateCurve referenceCurve, QuotedAssetSet spreadAssets, NamedValueSet properties,
IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
: base(logger, cache, nameSpace, ProcessQuotedAssetSet(logger, cache, nameSpace, referenceCurve, spreadAssets, properties, fixingCalendar, rollCalendar), properties, fixingCalendar, rollCalendar)
{
PricingStructureData = new PricingStructureData(CurveType.Child, AssetClass.Rates, properties);
BaseCurve = referenceCurve;
ReferenceCurveId = BaseCurve.GetPricingStructureId();
}
/// <summary>
/// Takes a range of volatilities, an array of tenor expiries and an
/// array of strikes to create a VolatilitySurface
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="instrumentIds">A set of valid instrumentIds</param>
/// <param name="expiryTenors">the expiry tenors.</param>
/// <param name="strikes">The strikes.</param>
/// <param name="values">The values.</param>
/// <param name="nameSpace">The nameSpace</param>
/// <param name="properties">The properties.</param>
public SABRVolatilitySurface(ILogger logger, ICoreCache cache, String nameSpace, NamedValueSet properties, String[] instrumentIds,
String[] expiryTenors, Double[] strikes, Double[,] values)
: base(logger, cache, nameSpace, properties, expiryTenors, strikes, MapFromRatePremiums(instrumentIds, values))//TODO map into the volsurface.
{
var assetClass = properties.GetString(CurveProp.AssetClass, true);
var type = EnumHelper.Parse <AssetClass>(assetClass);
PricingStructureData = new PricingStructureData(CurveType.Parent, type);
}
/// <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="spreadFpmlData">The FPML data.</param>
/// <param name="properties">The properties</param>
/// <param name="fixingCalendar">The fixingCalendar.</param>
/// <param name="rollCalendar">The rollCalendar.</param>
public RateBasisCurve(ILogger logger, ICoreCache cache, string nameSpace,
Pair <PricingStructure, PricingStructureValuation> spreadFpmlData, NamedValueSet properties,
IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
: base(logger, cache, nameSpace, spreadFpmlData, properties, fixingCalendar, rollCalendar)
{
PricingStructureData = new PricingStructureData(CurveType.Child, AssetClass.Rates, properties);
var refCurveId = PropertyHelper.ExtractReferenceCurveUniqueId(properties);
ReferenceCurveId = refCurveId != null ? new Identifier(refCurveId) : ReferenceCurveId = null;
}
/// <summary>
/// Initializes a new instance of the <see cref="FxDerivedCurve"/> class.
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">The client namespace</param>
/// <param name="curve1">The currency1 data. This should be against USD.
/// This must also be the currency1 curve for the derived fx curve.</param>
/// <param name="curve2">The currency2 data. This should be against USD.</param>
/// <param name="newFxCurveProperties">The new FxCurve properties .</param>
public FxDerivedCurve(ILogger logger, ICoreCache cache, string nameSpace, FxCurve curve1, FxCurve curve2, NamedValueSet newFxCurveProperties)
{
PricingStructureData = new PricingStructureData(CurveType.Child, AssetClass.Fx, newFxCurveProperties);
FxCurve1 = curve1;
FxCurve2 = curve2;
Currency1 = curve1.GetQuotedCurrencyPair().currency1.Value != "USD" ? curve1.GetQuotedCurrencyPair().currency1.Value : curve1.GetQuotedCurrencyPair().currency2.Value;
Currency2 = curve2.GetQuotedCurrencyPair().currency1.Value != "USD" ? curve2.GetQuotedCurrencyPair().currency1.Value : curve2.GetQuotedCurrencyPair().currency2.Value;
SpotDate = GetSpotDate(logger, cache, nameSpace, null, null, FxCurve1.GetBaseDate());//Create the new identifier.
PricingStructureIdentifier = new FxCurveIdentifier(newFxCurveProperties);
}
/// <summary>
/// Initializes a new instance of the <see cref="CommoditySpreadCurve2"/> 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="rollCalendar">The rollCalendar.</param>
public CommoditySpreadCurve2(ILogger logger, ICoreCache cache, String nameSpace,
Triplet <PricingStructure, PricingStructureValuation, NamedValueSet> referenceCurveData,
Triplet <PricingStructure, PricingStructureValuation, NamedValueSet> spreadCurveData, 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 = GetCommodityCurveId();
var refCurveId = PropertyHelper.ExtractReferenceCurveUniqueId(nvs);
ReferenceCurveId = refCurveId != null ? new Identifier(refCurveId) : ReferenceCurveId = null;
if (pricingStructureId.PricingStructureType != PricingStructureTypeEnum.CommoditySpreadCurve)
{
return;
}
//Set the reference curve
var baseCurveFpml = new Pair <PricingStructure, PricingStructureValuation>(referenceCurveData.First, referenceCurveData.Second);
var baseCurveProps = referenceCurveData.Third;
BaseCurve = (ICommodityCurve)PricingStructureFactory.Create(logger, cache, nameSpace, rollCalendar, 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 = (FxCurveValuation)spreadCurveFpml.Second;
var spreadAssets = tempFpml.spotRate;
//This is to catch it when there are no discount factor points.
var discountsAbsent = tempFpml.fxForwardCurve == null ||
tempFpml.fxForwardCurve.point == null ||
tempFpml.fxForwardCurve.point.Length == 0;
if (bootstrap || discountsAbsent)
{
//There must be a valid quotedassetset in order to bootstrap.
if (!XsdClassesFieldResolver.QuotedAssetSetIsValid(spreadAssets))
{
return;
}
PriceableCommoditySpreadAssets =
PriceableAssetFactory.CreatePriceableCommoditySpreadAssets(logger, cache, nameSpace, pricingStructureId.BaseDate, spreadAssets, rollCalendar);
Build(logger, cache, nameSpace, rollCalendar, rollCalendar);
}
else
{
// the discount curve is already built, so don't rebuild
PriceableCommoditySpreadAssets = PriceableAssetFactory.CreatePriceableCommoditySpreadAssets(logger, cache, nameSpace, pricingStructureId.BaseDate, spreadAssets, rollCalendar);
//Order the assets.
PriceableCommoditySpreadAssets = PriceableCommoditySpreadAssets.OrderBy(a => a.GetRiskMaturityDate()).ToList();
CreatePricingStructure(pricingStructureId, tempFpml.fxForwardCurve, PriceableAssetFactory.Parse(PriceableCommoditySpreadAssets));
//SetInterpolator(BaseCurve, pricingStructureId.PricingStructureType);
}
}
/// <summary>
/// Initializes a new instance of the <see cref="CommodityCurve"/> class.
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">The nameSpace</param>
/// <param name="properties">The properties.</param>
/// <param name="assetSet">The assetSet.</param>
/// <param name="fixingCalendar">The fixingCalendar.</param>
/// <param name="rollCalendar">The rollCalendar.</param>
/// <param name="tolerance">The tolerance for the solver.</param>
public CommodityCurve(ILogger logger, ICoreCache cache, string nameSpace,
NamedValueSet properties, FxRateSet assetSet, IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar, double tolerance)
{
PricingStructureData = new PricingStructureData(CurveType.Parent, AssetClass.Commodity, properties);
var curveId = new CommodityCurveIdentifier(properties);
PricingStructureIdentifier = curveId;
Holder = new PricingStructureAlgorithmsHolder(logger, cache, nameSpace, curveId.PricingStructureType, curveId.Algorithm);
// Get algo name from the properties
//
Algorithm = properties.GetValue <string>("Algorithm", true);
InitialiseInstance(logger, cache, nameSpace, curveId, curveId.BaseDate, assetSet, fixingCalendar, rollCalendar, tolerance);
}
/// <summary>
///
/// </summary>
/// <param name="properties"></param>
/// <param name="algorithmHolder"></param>
protected void Initialize(NamedValueSet properties, PricingStructureAlgorithmsHolder algorithmHolder)
{
PricingStructureData = new PricingStructureData(CurveType.Parent, AssetClass.Commodity, properties);
if (algorithmHolder != null)
{
Tolerance = PropertyHelper.ExtractDoubleProperty("Tolerance", properties) ??
GetDefaultTolerance(algorithmHolder);
Holder = algorithmHolder;
}
else
{
Tolerance = 10 ^ -9;
}
}
/// <summary>
/// Initializes a new instance of the <see cref="RateSpreadCurve"/> class.
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">The client namespace</param>
/// <param name="spreadCurveData">The spread Curve Data</param>
/// <param name="fixingCalendar">The fixingCalendar.</param>
/// <param name="rollCalendar">The rollCalendar.</param>
public RateSpreadCurve(ILogger logger, ICoreCache cache, String nameSpace,
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);
FixingCalendar = fixingCalendar;
PaymentCalendar = rollCalendar;
//Set the identifier.
var nvs = spreadCurveData.Third;
var refCurveId = PropertyHelper.ExtractReferenceCurveUniqueId(nvs);
ReferenceCurveId = refCurveId != null ? new Identifier(refCurveId) : ReferenceCurveId = null;
}
/// <summary>
/// Initializes a new instance of the <see cref="CapVolatilityCurve"/> class.
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">The nameSpace</param>
/// <param name="curveIdentifier">The curveIdentifier.</param>
protected CapVolatilityCurve(ILogger logger, ICoreCache cache, String nameSpace, PricingStructureIdentifier curveIdentifier)
: base(logger, cache, nameSpace, curveIdentifier)
{
BootstrapperName = "CapFloorBootstrapper";
UnderlyingInterpolatedCurve = "CapVolatilityCurve";
var properties = curveIdentifier.GetProperties();
PricingStructureData = new PricingStructureData(CurveType.Parent, AssetClass.Rates, properties);
Tolerance = PropertyHelper.ExtractDoubleProperty("Tolerance", properties) ?? GetDefaultTolerance(Holder);
var compoundingFrequency = properties.GetString("CompoundingFrequency", null);
CompoundingFrequency = compoundingFrequency != null
? EnumHelper.Parse <CompoundingFrequencyEnum>(compoundingFrequency)
: GetDefaultCompounding(Holder);
}
/// <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="referenceCurve">The reference parent curve id.</param>
/// <param name="spreadAssets">The spreads by asset.</param>
/// <param name="properties">The properties of the new spread curve.</param>
/// <param name="fixingCalendar">The fixingCalendar.</param>
/// <param name="rollCalendar">The rollCalendar.</param>
public RateBasisCurve(ILogger logger, ICoreCache cache, string nameSpace,
IRateCurve referenceCurve, QuotedAssetSet spreadAssets, NamedValueSet properties,
IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
: base(logger, cache, nameSpace, ProcessQuotedAssetSet(logger, cache, nameSpace, referenceCurve, spreadAssets, properties, fixingCalendar, rollCalendar), properties, fixingCalendar, rollCalendar)
{
PricingStructureData = new PricingStructureData(CurveType.Child, AssetClass.Rates, properties);
BaseCurve = referenceCurve;
ReferenceCurveId = BaseCurve.GetPricingStructureId();
if (PricingStructureIdentifier.PricingStructureType != PricingStructureTypeEnum.RateBasisCurve)
{
return;
}
//Set the spread sets.
PriceableRateSpreadAssets = PriceableAssetFactory.CreatePriceableRateSpreadAssets(logger, cache, nameSpace, PricingStructureIdentifier.BaseDate, spreadAssets, fixingCalendar, rollCalendar);
Build(logger, cache, nameSpace, fixingCalendar, rollCalendar);
}
/// <summary>
/// Initializes a new instance of the <see cref="CommodityCurve"/> class.
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">The client namespace</param>
/// <param name="fpmlData">The FPML data.</param>
/// <param name="properties">The properties.</param>
/// <param name="fixingCalendar">The fixingCalendar.</param>
/// <param name="rollCalendar">The rollCalendar.</param>
public CommodityCurve(ILogger logger, ICoreCache cache, string nameSpace,
Pair <PricingStructure, PricingStructureValuation> fpmlData, NamedValueSet properties,
IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
: base(logger, cache, nameSpace, fpmlData, new CommodityCurveIdentifier(properties))
{
PricingStructureData = new PricingStructureData(CurveType.Parent, AssetClass.Commodity, properties);
if (fpmlData == null)
{
return;
}
FixingCalendar = fixingCalendar;
PaymentCalendar = rollCalendar;
var tempFpML = (FxCurveValuation)fpmlData.Second;
// Use default algorithm name
//
Algorithm = DefaultAlgorithName;
var termCurve = SetConfigurationData();
//SetFpMLData(fpmlData);
BootstrapperName = Holder.GetValue("Bootstrapper");
var bootstrap = PropertyHelper.ExtractBootStrapOverrideFlag(properties);
// If there's no forward points - do build the curve.
//
//This is to catch it when there are no discount factor points.
var discountsAbsent = tempFpML.fxForwardCurve == null ||
tempFpML.fxForwardCurve.point == null ||
tempFpML.fxForwardCurve.point.Length == 0;
if (cache == null)
{
//optimize = true;
bootstrap = false;
}
bool doBuild = (tempFpML.spotRate != null) && discountsAbsent;
if (bootstrap || doBuild)
{
var qas = tempFpML.spotRate;
PriceableCommodityAssets = PriceableAssetFactory.CreatePriceableCommodityAssets(logger, cache, nameSpace, tempFpML.baseDate.Value, qas, fixingCalendar, rollCalendar);
var point = CommodityBootstrapper.Bootstrap(PriceableCommodityAssets, tempFpML.baseDate.Value, termCurve.extrapolationPermitted,
termCurve.interpolationMethod);
((FxCurveValuation)fpmlData.Second).fxForwardCurve.point = point;
}
SetInterpolator(PricingStructureValuation.baseDate.Value, Holder);
}
/// <summary>
/// Initializes a new instance of the <see cref="RateBasisCurve"/> class.
/// </summary>
/// <param name="referenceCurve">The reference curve.</param>
/// <param name="spreadAssets">The spreads by asset.</param>
/// <param name="properties">The properties of the new spread curve.</param>
/// <param name="algorithm">The algorithm holder. </param>
public RateBasisCurve(NamedValueSet properties, IRateCurve referenceCurve,
List <IPriceableRateSpreadAssetController> spreadAssets, PricingStructureAlgorithmsHolder algorithm)
: base(properties, algorithm)
{
PricingStructureData = new PricingStructureData(CurveType.Child, AssetClass.Rates, properties);
//Set the identifier.
var pricingStructureId = GetRateCurveId();
if (pricingStructureId.PricingStructureType != PricingStructureTypeEnum.RateBasisCurve)
{
return;
}
//Set the reference curve
BaseCurve = referenceCurve;
ReferenceCurveId = BaseCurve.GetPricingStructureId();
PriceableRateSpreadAssets = spreadAssets;
//Order the assets.
PriceableRateSpreadAssets = PriceableRateSpreadAssets.OrderBy(a => a.GetRiskMaturityDate()).ToList();
var termCurve = SetConfigurationData();
//Get the reference interpolated curve.
termCurve.point = RateSpreadBootstrapper.Bootstrap(PriceableRateSpreadAssets,
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>
/// Construct a VolatilityCube from points
/// </summary>
/// <param name="properties"></param>
/// <param name="points"></param>
public VolatilityCube(NamedValueSet properties, PricingStructurePoint[] points)
{
properties.Set(EnvironmentProp.Function, FunctionProp.Market.ToString());
PricingStructureIdentifier = new VolatilitySurfaceIdentifier(properties);
var surfaceId = (VolatilitySurfaceIdentifier)PricingStructureIdentifier;
PricingStructureData = new PricingStructureData(CurveType.Parent, Constants.AssetClass.Rates);//TODO Need to set for the different underlyers.
SetInterpolator();
foreach (PricingStructurePoint point in points)
{
point.underlyingAssetReference = surfaceId.UnderlyingAssetReference;
point.quoteUnits = surfaceId.StrikeQuoteUnits;
}
PricingStructure = new VolatilityRepresentation
{
name = surfaceId.Name,
id = surfaceId.Id,
currency = surfaceId.Currency,
asset = new AnyAssetReference {
href = surfaceId.Instrument
},
};
var datapoints = new MultiDimensionalPricingData {
point = points
};
PricingStructureValuation = new VolatilityMatrix
{
dataPoints = datapoints,
objectReference = new AnyAssetReference {
href = surfaceId.Instrument
},
baseDate = new IdentifiedDate {
Value = surfaceId.BaseDate
},
buildDateTime = DateTime.Now,
buildDateTimeSpecified = true
};
_matrixIndexHelper = new SortedList <ExpiryTenorStrikeKey, int>(new ExpiryTenorStrikeKey());
ProcessVolatilityRepresentation();
}
/// <summary>
/// Initializes a new instance of the <see cref="FxCurve"/> class.
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">THe client namespace</param>
/// <param name="fpmlData">The FPML data.</param>
/// <param name="properties">The properties.</param>
/// <param name="fixingCalendar">The fixingCalendar.</param>
/// <param name="rollCalendar">The rollCalendar.</param>
public EquityCurve(ILogger logger, ICoreCache cache, string nameSpace,
Pair <PricingStructure, PricingStructureValuation> fpmlData, NamedValueSet properties,
IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
: base(logger, cache, nameSpace, fpmlData, new EquityCurveIdentifier(properties))
{
PricingStructureData = new PricingStructureData(CurveType.Parent, AssetClass.Equity, properties);
if (properties == null)
{
properties = PricingStructurePropertyHelper.FxCurve(fpmlData);//TODO
}
//Set the spot date;
SettlementDate = GetSettlementDate(logger, cache, nameSpace, GetEquityCurveId(), fixingCalendar, rollCalendar, PricingStructureValuation.baseDate.Value);
var fxCurveValuation = (FxCurveValuation)fpmlData.Second;
// hack - set the base date - todo - is this the right place alex?
PricingStructureValuation.baseDate = new IdentifiedDate {
Value = PricingStructureIdentifier.BaseDate
};
SetFpmlData(fpmlData);
TermCurve termCurve = SetConfigurationData();
var bootstrap = PropertyHelper.ExtractBootStrapOverrideFlag(properties);
var buildFlag = (fxCurveValuation.spotRate != null) && (fxCurveValuation.fxForwardCurve == null || fxCurveValuation.fxForwardCurve.point == null);
// If there's no forward points - do build the curve.
// - TODO what happened the central bank dates
if ((bootstrap || buildFlag) && cache != null)
{
// if (BootstrapperName == "FastBootstrapper") //TODO
PriceableEquityAssets = PriceableAssetFactory.CreatePriceableEquityAssets(logger, cache, nameSpace,
fxCurveValuation.baseDate.Value, fxCurveValuation.spotRate, fixingCalendar, rollCalendar);
fxCurveValuation.fxForwardCurve = termCurve;
fxCurveValuation.fxForwardCurve.point = EquityBootstrapper.Bootstrap(
PriceableEquityAssets,
fxCurveValuation.baseDate.Value,
fxCurveValuation.fxForwardCurve.extrapolationPermitted,
fxCurveValuation.fxForwardCurve.interpolationMethod);
}
((FxCurveValuation)PricingStructureValuation).fxForwardCurve = fxCurveValuation.fxForwardCurve;
SetInterpolator(PricingStructureValuation.baseDate.Value);
}
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>
/// Initializes a new instance of the <see cref="GenericVolatilityCurve"/> class.
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">The nameSpace</param>
/// <param name="fpmlData">The FPML data.</param>
/// <param name="properties">The properties for the pricing structure.</param>
/// <param name="fixingCalendar">The fixingCalendar. If the curve is already bootstrapped, then this can be null.</param>
/// <param name="rollCalendar">The rollCalendar. If the curve is already bootstrapped, then this can be null.</param>
public GenericVolatilityCurve(ILogger logger, ICoreCache cache, String nameSpace,
Pair <PricingStructure, PricingStructureValuation> fpmlData, NamedValueSet properties,
IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
: base(logger, cache, nameSpace, fpmlData, properties, fixingCalendar, rollCalendar)
{
PricingStructureData = new PricingStructureData(CurveType.Parent, AssetClass.Rates, properties);
var curveId = GetCurveId();
Initialize(properties, Holder);
//Set the underlying asset information.
if (properties != null)
{
var instrument = properties.GetString("Instrument", false);
Asset = new AnyAssetReference {
href = instrument
};
}
if (fpmlData == null)
{
return;
}
FixingCalendar = fixingCalendar;
PaymentCalendar = rollCalendar;
if (DayCounter == null)
{
DayCounter = DayCounterHelper.Parse("ACT/365.FIXED");
if (Holder != null)
{
string dayCountBasis = Holder.GetValue("DayCounter");
DayCounter = DayCounterHelper.Parse(dayCountBasis);
}
}
// the curve is already built, so don't rebuild
//Process the matrix
SetInterpolator(((VolatilityMatrix)PricingStructureValuation).dataPoints, curveId.Algorithm, curveId.PricingStructureType);
SetFpMLData(fpmlData, false);
}
