protected static PricingStructureAlgorithmsHolder GenerateHolder(ILogger logger, ICoreCache cache, String nameSpace, NamedValueSet properties)
{
var pricingStructureId = new RateCurveIdentifier(properties);
var holder = new PricingStructureAlgorithmsHolder(logger, cache, nameSpace, pricingStructureId.PricingStructureType, pricingStructureId.Algorithm);
return(holder);
}
//Clones a curve, maps the quoted assets specified and then returns an FpML structure back.
//
/// <summary>
///
/// </summary>
/// <param name="logger"></param>
/// <param name="cache"></param>
/// <param name="nameSpace"></param>
/// <param name="referenceCurve"></param>
/// <param name="spreadValues"></param>
/// <param name="properties"></param>
/// <param name="fixingCalendar"></param>
/// <param name="rollCalendar"></param>
/// <returns></returns>
public static Pair <PricingStructure, PricingStructureValuation> ProcessQuotedAssetSet(ILogger logger, ICoreCache cache,
string nameSpace, IRateCurve referenceCurve,
QuotedAssetSet spreadValues, NamedValueSet properties, IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
{
var pricingStructureId = new RateCurveIdentifier(properties);
Pair <PricingStructure, PricingStructureValuation> fpml = null;
if (pricingStructureId.PricingStructureType != PricingStructureTypeEnum.RateBasisCurve)
{
//Clone the ref curves.
//
fpml = CloneCurve(referenceCurve.GetFpMLData(), pricingStructureId.UniqueIdentifier);
//var ycCurveCloned = (YieldCurve)fpml.First;
var ycvCurveCloned = (YieldCurveValuation)fpml.Second;
// assign id to the cloned YieldCurve
//
ycvCurveCloned.discountFactorCurve.point = null;
ycvCurveCloned.zeroCurve = null;
ycvCurveCloned.forwardCurve = null;
//Manipulate the quoted asset set.
//
ycvCurveCloned.inputs = MappedQuotedAssetSet(logger, cache, nameSpace, referenceCurve, spreadValues, properties, fixingCalendar, rollCalendar);
}
return(fpml);
}
public void RateCurveIdConstructorWithCurveIdTest()
{
var rateCurve = new RateCurveIdentifier("RateCurve.AUD-ZERO-BANK-3M", DateTime.Today);
Assert.IsNotNull(rateCurve);
Assert.AreEqual(DateTime.Today, rateCurve.BaseDate);
Assert.AreEqual("AUD-ZERO-BANK-3M", rateCurve.CurveName);
Assert.AreEqual("AUD", rateCurve.Currency.Value);
Assert.AreEqual("ZERO-BANK", rateCurve.Index);
Assert.AreEqual("3M", rateCurve.IndexTenor);
}
public void PricingStructureIdTestWithProperties10()
{
var props = new NamedValueSet();
props.Set(CurveProp.PricingStructureType, "DiscountCurve");
props.Set(CurveProp.CurveName, "AUD-NAB-SENIOR");
props.Set("BuildDateTime", _baseDate);
props.Set(CurveProp.BaseDate, _baseDate);
props.Set("Algorithm", "Default");
props.Set("Identifier", "Alex");
var rateCurveId = new RateCurveIdentifier(props);
Debug.Print("RateCurveIdentifier : {0} BuildDateTime : {1} CurveName : {2} PricingStructureType : {3} Algorithm : {4} Currency : {5} BaseDate : {6} CreditInstrumentId : {7} CreditSeniority : {8}",
rateCurveId.Id, rateCurveId.BuildDateTime, rateCurveId.CurveName, rateCurveId.PricingStructureType,
rateCurveId.Algorithm, rateCurveId.Currency.Value, rateCurveId.BaseDate, rateCurveId.CreditInstrumentId.Value, rateCurveId.CreditSeniority.Value);
}
public void PricingStructureIdTestWithProperties11()
{
var props = new NamedValueSet();
props.Set(CurveProp.PricingStructureType, "InflationCurve");
props.Set(CurveProp.CurveName, LiborIndexName);
props.Set("BuildDateTime", _baseDate);
props.Set(CurveProp.BaseDate, _baseDate);
props.Set("Algorithm", "Default");
props.Set("Identifier", "Alex");
props.Set(CurveProp.IndexName, "AUD-LIBOR-BBA");
props.Set(CurveProp.IndexTenor, "3M");
props.Set("InflationLag", "3M");
var rateCurveId = new RateCurveIdentifier(props);
Debug.Print("RateCurveIdentifier : {0} BuildDateTime : {1} CurveName : {2} PricingStructureType : {3} Algorithm : {4}Currency : {5} BaseDate : {6} InflationLag : {7}",
rateCurveId.Id, rateCurveId.BuildDateTime, rateCurveId.CurveName, rateCurveId.PricingStructureType,
rateCurveId.Algorithm, rateCurveId.Currency.Value, rateCurveId.BaseDate, rateCurveId.InflationLag);
}
private static IRateCurve ExtractCurve(ILogger logger, ICoreCache cache,
string nameSpace, IEnumerable <BasicAssetValuation> assetQuote,
string curveName, string algorithm, DateTime baseDate, IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
{
if (assetQuote != null)
{
var basicAssetValuations = assetQuote as BasicAssetValuation[] ?? assetQuote.ToArray();
string[] instruments = ExtractInstruments(basicAssetValuations, curveName);
if (!instruments.Any())
{
return(null);
}
var curveId = new RateCurveIdentifier(PricingStructureTypeEnum.RateCurve, instruments[0], baseDate, algorithm);
decimal[] values = ExtractValues(basicAssetValuations, curveName);
var qas = AssetHelper.Parse(instruments, values, null);
return(new RateCurve(logger, cache, nameSpace, curveId, qas, fixingCalendar, rollCalendar));
}
return(null);
}
internal static TermCurve ConstructDiscountFactors(ILogger logger, ICoreCache cache, string nameSpace, TermCurve inputCurve, DateTime baseDate, string currency)
{
List <DateTime> dates = inputCurve.point.Select(a => (DateTime)a.term.Items[0]).ToList();
List <decimal> values = inputCurve.point.Select(a => a.mid).ToList();
var properties = new NamedValueSet();
properties.Set(CurveProp.PricingStructureType, PricingStructureTypeEnum.RateCurve.ToString());
properties.Set(CurveProp.Market, "ConstructDiscountFactors");
properties.Set(CurveProp.IndexTenor, "0M");
properties.Set(CurveProp.Currency1, currency);
properties.Set(CurveProp.IndexName, "XXX-XXX");
properties.Set(CurveProp.Algorithm, "FastLinearZero");
properties.Set(CurveProp.BaseDate, baseDate);
var curveId = new RateCurveIdentifier(properties);
var algorithmHolder = new PricingStructureAlgorithmsHolder(logger, cache, nameSpace, curveId.PricingStructureType, curveId.Algorithm);
var curve = new RateCurve(properties, algorithmHolder, dates, values);
var termPoints = new List <TermPoint>();
for (DateTime date = dates.First(); date <= dates.Last(); date = date.AddMonths(1))
{
var discountFactor = (decimal)curve.GetDiscountFactor(date);
var timeDimension = new TimeDimension();
XsdClassesFieldResolver.TimeDimensionSetDate(timeDimension, date);
var termPoint = new TermPoint
{
mid = discountFactor,
midSpecified = true,
term = timeDimension
};
termPoints.Add(termPoint);
}
var termCurve = new TermCurve {
point = termPoints.ToArray()
};
return(termCurve);
}
/// <summary>
/// Initializes a new instance of the <see cref="RateXccySpreadCurve"/> class.
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">THe client namespace</param>
/// <param name="baseCurveData">The market data. This must contain both the underlying base curve and the spread curve.
/// Otherwise the RateBasisInterpolator can not instantiate.</param>
/// <param name="referenceFxCurveData">The fxcurve referenced.</param>
/// <param name="currency2CurveData">The curve data for the non base curve. This is normally the domestic curve i.e. AUD,
/// as FX is quotes as xccy basis swaps adjust on the non-USD leg.</param>
/// <param name="spreadCurveData">The spread Curve Data</param>
/// <param name="fixingCalendar">The fixingCalendar.</param>
/// <param name="rollCalendar">The rollCalendar.</param>
public RateXccySpreadCurve(ILogger logger, ICoreCache cache, string nameSpace,
Triplet <PricingStructure, PricingStructureValuation, NamedValueSet> baseCurveData,
Triplet <PricingStructure, PricingStructureValuation, NamedValueSet> referenceFxCurveData,
Triplet <PricingStructure, PricingStructureValuation, NamedValueSet> currency2CurveData,
Triplet <PricingStructure, PricingStructureValuation, NamedValueSet> spreadCurveData, IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
: base(logger, cache, nameSpace, spreadCurveData, fixingCalendar, rollCalendar)
{
//Set the identifier.
var nvs = spreadCurveData.Third;
var pricingStructureId = new RateCurveIdentifier(nvs);
PricingStructureIdentifier = pricingStructureId;
var refCurveId = nvs.GetValue <string>(CurveProp.ReferenceCurveUniqueId);
ReferenceCurveId = refCurveId != null ? new Identifier(refCurveId) : ReferenceCurveId = null;
if (pricingStructureId.PricingStructureType != PricingStructureTypeEnum.RateXccyCurve)
{
return;
}
//Set the curve term.
var cutOverTerm = spreadCurveData.Third.GetValue <string>("CutOverTerm");
if (cutOverTerm != null)
{
CutOverTerm = PeriodHelper.Parse(cutOverTerm);
}
//Set the reference curve
var baseCurveFpML = new Pair <PricingStructure, PricingStructureValuation>(baseCurveData.First, baseCurveData.Second);
var baseCurveProps = baseCurveData.Third;
BaseCurve = (IRateCurve)PricingStructureFactory.Create(logger, cache, nameSpace, fixingCalendar, rollCalendar, baseCurveFpML, baseCurveProps);
var fxCurveFpML = new Pair <PricingStructure, PricingStructureValuation>(referenceFxCurveData.First, referenceFxCurveData.Second);
var fxCurveProps = referenceFxCurveData.Third;
ReferenceFxCurve = (IFxCurve)PricingStructureFactory.Create(logger, cache, nameSpace, fixingCalendar, rollCalendar, fxCurveFpML, fxCurveProps);
//Set the reference curve
var currency2CurveFpML = new Pair <PricingStructure, PricingStructureValuation>(currency2CurveData.First, currency2CurveData.Second);
var currency2CurveProps = currency2CurveData.Third;
Currency2Curve = (RateCurve)PricingStructureFactory.Create(logger, cache, nameSpace, fixingCalendar, rollCalendar, currency2CurveFpML, currency2CurveProps);
//Get the spread Data
var spreadCurveFpML = new Pair <PricingStructure, PricingStructureValuation>(spreadCurveData.First, spreadCurveData.Second);
var spreadCurveProps = spreadCurveData.Third;
IsCurrency1RateCurve = spreadCurveProps.GetValue <bool>("Currency1RateCurve");
//Override properties.
//var optimize = PropertyHelper.ExtractOptimizeBuildFlag(properties);TODO add this later.
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 (cache == null)
{
bootstrap = false;
}
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
{
if (cache != null)
{
// the discount curve is already built, so don't rebuild
PriceableRateSpreadAssets = PriceableAssetFactory.CreatePriceableRateSpreadAssets(logger, cache, nameSpace, pricingStructureId.BaseDate, spreadAssets, fixingCalendar, rollCalendar);
CreatePricingStructure(pricingStructureId, tempFpml.discountFactorCurve, PriceableAssetFactory.Parse(PriceableRateSpreadAssets));
SetInterpolator(BaseCurve, pricingStructureId.PricingStructureType);
}
else
{
CreatePricingStructure(pricingStructureId, tempFpml.discountFactorCurve, spreadAssets);
SetInterpolator(BaseCurve, pricingStructureId.PricingStructureType);
}
}
}