private static PricingStructureAlgorithmsHolder GenerateHolder(ILogger logger, ICoreCache cache, String nameSpace, NamedValueSet properties)
{
var pricingStructureId = new CommodityCurveIdentifier(properties);
var holder = new PricingStructureAlgorithmsHolder(logger, cache, nameSpace, pricingStructureId.PricingStructureType, pricingStructureId.Algorithm);
return(holder);
}
/// <summary>
/// Creates the pricing structure.
/// </summary>
protected void CreatePricingStructure(CommodityCurveIdentifier curveId, TermCurve termCurve, IEnumerable <IPriceableCommodityAssetController> priceableCommodityAssets,
IEnumerable <IPriceableCommoditySpreadAssetController> priceableCommoditySpreadAssets)
{
FxRateSet quotedAssetSet = priceableCommodityAssets != null?PriceableAssetFactory.Parse(priceableCommodityAssets, priceableCommoditySpreadAssets) : null;
CreatePricingStructure(curveId, termCurve, quotedAssetSet);
}
/// <summary>
/// Creates the pricing structure.
/// </summary>
protected void CreatePricingStructure(CommodityCurveIdentifier curveId, TermCurve termCurve, FxRateSet quotedAssetSet)
{
FpML.V5r10.Reporting.FxCurve yieldCurve = CreateCommodityCurve(curveId);
FxCurveValuation yieldCurveValuation = CreateCommodiyCurveValuation(curveId, quotedAssetSet, yieldCurve.id, termCurve);
var fpmlData = new Pair <PricingStructure, PricingStructureValuation>(yieldCurve, yieldCurveValuation);
SetFpMLData(fpmlData, false);
}
/// <summary>
/// Creates the yield curve.
/// </summary>
/// <param name="curveId">The curve id.</param>
/// <returns></returns>
protected static FpML.V5r10.Reporting.FxCurve CreateCommodityCurve(CommodityCurveIdentifier curveId)
{
var yieldCurve = new FpML.V5r10.Reporting.FxCurve
{
id = curveId.Id,
name = curveId.CurveName,
currency = curveId.Currency,
};
return(yieldCurve);
}
/// <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);
}
public void PricingStructureIdTestWithProperties13()
{
var props = new NamedValueSet();
props.Set(CurveProp.PricingStructureType, "CommodityCurve");
props.Set(CurveProp.CurveName, "AUD-USD");
props.Set("BuildDateTime", _baseDate);
props.Set(CurveProp.BaseDate, _baseDate);
props.Set("Algorithm", "Default");
props.Set("Identifier", "Alex");
props.Set("CommodityAsset", "Wheat");
var curveId = new CommodityCurveIdentifier(props);
Debug.Print("RateCurveIdentifier : {0} BuildDateTime : {1} CurveName : {2} PricingStructureType : {3} Algorithm : {4}Currency : {5} BaseDate : {6} CommodityAsset : {7} Domain : {8} SourceSystem : {9} UniqueId : {10} Market : {11}",
curveId.Id, curveId.BuildDateTime, curveId.CurveName, curveId.PricingStructureType,
curveId.Algorithm, curveId.Currency.Value, curveId.BaseDate, curveId.CommodityAsset, curveId.Domain, curveId.SourceSystem, curveId.UniqueIdentifier, curveId.Market);
}
//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="calendar"></param>
/// <returns></returns>
public static Pair <PricingStructure, PricingStructureValuation> ProcessQuotedAssetSet(ILogger logger, ICoreCache cache,
string nameSpace, ICommodityCurve referenceCurve, FxRateSet spreadValues, NamedValueSet properties, IBusinessCalendar calendar)
{
var identifier = new CommodityCurveIdentifier(properties);
//Clone the ref curves.
//
Pair <PricingStructure, PricingStructureValuation> fpml = CloneCurve(referenceCurve.GetFpMLData(), identifier.UniqueIdentifier);
if (identifier.PricingStructureType != PricingStructureTypeEnum.CommoditySpreadCurve)
{
var ycvCurveCloned = (FxCurveValuation)fpml.Second;
// assign id to the cloned YieldCurve
//
ycvCurveCloned.fxForwardCurve.point = null;
ycvCurveCloned.fxForwardCurve = null;
//Manipulate the quated asset set.
ycvCurveCloned.spotRate = MappedQuotedAssetSet(logger, cache, nameSpace, referenceCurve, spreadValues,
properties, calendar);
}
return(fpml);
}
/// <summary>
///
/// </summary>
/// <param name="properties">The properties.</param>
/// <param name="algorithmHolder">The algorithmHolder.</param>
public CommodityCurve(NamedValueSet properties, PricingStructureAlgorithmsHolder algorithmHolder)
{
PricingStructureData = new PricingStructureData(CurveType.Parent, AssetClass.Commodity, properties);
PricingStructureIdentifier = new CommodityCurveIdentifier(properties);
Initialize(properties, algorithmHolder);
}
