/// <summary>
/// Gets the quoted asset set.
/// </summary>
/// <returns></returns>
public sealed override void Build(ILogger logger, ICoreCache cache, string nameSpace,
IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
{
var pricingStructureId = (RateCurveIdentifier)PricingStructureIdentifier;
//Order the assets.
PriceableRateSpreadAssets = PriceableRateSpreadAssets.OrderBy(a => a.GetRiskMaturityDate()).ToList();
var termCurve = SetConfigurationData();
//Get the reference interpolated curve.
termCurve.point = RateSpreadBootstrapper.Bootstrap(PriceableRateSpreadAssets,//TODO what about the interpoation.
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>
/// Gets the yield curve valuation.
/// </summary>
/// <returns></returns>
public YieldCurveValuation GetYieldCurveValuation()
{
var yieldCurveValuation = new YieldCurveValuation
{
baseDate = IdentifiedDateHelper.Create(DateTime.MinValue)
};
return(yieldCurveValuation);
}
/// <summary>
/// GetYieldCurveValuation
/// </summary>
/// <returns></returns>
public YieldCurveValuation GetYieldCurveValuation()
{
var yieldCurveValuation = new YieldCurveValuation
{
baseDate = IdentifiedDateHelper.Create(BaseDate),
discountFactorCurve = null
};
return(yieldCurveValuation);
}
/// <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;
}
}
private void Bootstrap(YieldCurveValuation yieldCurveValuation)
{
if (yieldCurveValuation == null || yieldCurveValuation.inputs != null && yieldCurveValuation.discountFactorCurve?.point == null)
{
CreateYieldCurve();
}
var curveId = (RateCurveIdentifier)PricingStructureIdentifier;
// Add extra input points for BaseCurve - if they exist
List <BasicAssetValuation> assetQuotes = ((YieldCurveValuation)PricingStructureValuation).inputs.assetQuote.ToList();
AddBaseCurveInputs(assetQuotes);
// Add extra input points for QuoteCurve - if they exist
AddQuoteCurveInputs(assetQuotes);
((YieldCurveValuation)PricingStructureValuation).inputs.assetQuote = assetQuotes.ToArray();
TermCurve discountCurve = ((YieldCurveValuation)PricingStructureValuation).discountFactorCurve;
SetInterpolator(discountCurve, curveId.Algorithm, PricingStructureTypeEnum.RateSpreadCurve);
}
public static Market CreateYieldCurveConfiguration(string curveId, QuotedAssetSet quotedAssetSet)
{
var market = new Market {
id = curveId
};
//Create the curve information.
var curve = new YieldCurve {
id = curveId
};
//reate the valuation structure that contains qas.
var curveValuation = new YieldCurveValuation {
id = curveId, inputs = quotedAssetSet
};
//Set the market.
market.Items = new[] { (PricingStructure)curve };
market.Items1 = new[] { (PricingStructureValuation)curveValuation };
return(market);
}
