public string PublishCurve(object[][] structurePropertiesRange, object[][] publishPropertiesRange, object[][] valuesRange)
{
// Create curve
IPricingStructure pricingStructure = PricingStructureFactory.CreatePricingStructure(Logger.Target, Cache, NameSpace, structurePropertiesRange, valuesRange);
// Get properties needed
Market market = GetMarket(pricingStructure);
string uniqueIdentifier = pricingStructure.GetPricingStructureId().UniqueIdentifier;
NamedValueSet properties = pricingStructure.GetPricingStructureId().Properties;
// Save
Publish(market, uniqueIdentifier, properties, publishPropertiesRange);
return(uniqueIdentifier);
}
/// <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>
/// Creates a market environment for use in calculations.
///</summary>
///<param name="marketName">The name of the market environment.</param>
///<param name="curve">The curve.</param>
///<returns></returns>
public static IMarketEnvironment Create(string marketName, IPricingStructure curve)
{
var environment = new MarketEnvironment(marketName);
var name = (PricingStructureIdentifier)curve.GetPricingStructureId();
environment.AddPricingStructure(name.UniqueIdentifier, curve);
return(environment);
}
///<summary>
/// Creates the specified curve type.
///</summary>
///<param name="structurePropertiesRange">The properties range. This must include all mandatory properties.</param>
///<param name="valuesRange">The values to be used for bootstrapping.</param>
///<returns>A handle to a bootstrapped pricing structure.</returns>
///<exception cref="NotImplementedException"></exception>
private string CreatePricingStructure(object[,] structurePropertiesRange, object[,] valuesRange)
{
IPricingStructure pricingStructure = Engine.CreatePricingStructure(structurePropertiesRange.ToNamedValueSet(), valuesRange);
string structureId = pricingStructure.GetPricingStructureId().UniqueIdentifier;
Engine.SaveCurve(pricingStructure);
return(structureId);
}
private static Market GetMarket(IPricingStructure pricingStructure)
{
string uniqueIdentifier = pricingStructure.GetPricingStructureId().UniqueIdentifier;
var fpml = pricingStructure.GetFpMLData();
Market market = PricingStructureHelper.CreateMarketFromFpML(uniqueIdentifier, fpml);
return(market);
}
