/// <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);
}