//public static Market CreateYieldCurveConfiguration(string curveId, string[] assetIdentifiers)
//{
// var market = new Market {id = curveId};
// //Create the quotedAssetSet.
// var qas = QuotedAssetSetFactory.Parse(assetIdentifiers);
// //Create the curve information.
// var curve = new YieldCurve {id = curveId};
// //reate the valuation structure that contains qas.
// var curveValuation = new YieldCurveValuation {id = curveId, inputs = qas};
// //Set the market.
// market.Items = new[] { (PricingStructure)curve };
// market.Items1 = new[] { (PricingStructureValuation)curveValuation };
// return market;
//}
public static Market CreateFxCurveConfiguration(string curveId, string currency1, string currency2, string quoteBasis, FxRateSet quotedAssetSet)
{
//<QuoteBasisEnum>
var basis = EnumHelper.Parse <QuoteBasisEnum>(quoteBasis, true);
var quotedCurrencyPair = QuotedCurrencyPair.Create(currency1, currency2, basis);
var currency = CurrencyHelper.Parse(currency1);
var market = new Market {
id = curveId
};
//Create the curve information.
var curve = new FxCurve {
id = curveId, name = curveId, currency = currency, quotedCurrencyPair = quotedCurrencyPair
};
//reate the valuation structure that contains qas.
var curveValuation = new FxCurveValuation {
id = curveId, spotRate = quotedAssetSet
};
//Set the market.
market.Items = new[] { (PricingStructure)curve };
market.Items1 = new[] { (PricingStructureValuation)curveValuation };
return(market);
}
/// <summary>
/// Initializes a new instance of the <see cref="XccySpreadCurve"/> class.
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">THe client namespace</param>
/// <param name="fpmlData">The FPML data.</param>
/// <param name="properties">The properties for the pricing strucuture.</param>
/// <param name="fixingCalendar">The fixingCalendar.</param>
/// <param name="rollCalendar">The rollCalendar.</param>
public XccySpreadCurve(ILogger logger, ICoreCache cache, String nameSpace,
Pair <PricingStructure, PricingStructureValuation> fpmlData,
NamedValueSet properties, IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
: base(logger, cache, nameSpace, new RateCurveIdentifier(properties))
{
SetFpMLData(fpmlData, false);
var yieldCurveValuation = (YieldCurveValuation)fpmlData.Second;
BasicAssetValuation[] assetQuote = yieldCurveValuation.inputs.assetQuote;
string algorithm = ((YieldCurve)fpmlData.First).algorithm;
DateTime baseDate = yieldCurveValuation.baseDate.Value;
IRateCurve baseCurve = ExtractCurve(logger, cache, nameSpace, assetQuote, BaseCurveName, algorithm, baseDate, fixingCalendar, rollCalendar);
IRateCurve quoteCurve = ExtractCurve(logger, cache, nameSpace, assetQuote, QuoteCurveName, algorithm, baseDate, fixingCalendar, rollCalendar);
string[] fxInstruments = ExtractInstruments(assetQuote, FxCurveName);
decimal[] fxValues = ExtractValues(assetQuote, FxCurveName);
FxCurve fxCurve = null;
if (fxInstruments.Any())
{
string curveName = $"{fxInstruments[0].Substring(0, 3)}-{fxInstruments[0].Substring(3, 3)}";
var curveId = new FxCurveIdentifier(PricingStructureTypeEnum.FxCurve, curveName, baseDate);
var qas = AssetHelper.ParseToFxRateSet(fxInstruments, fxValues, null);
var fxCurveProperties = curveId.GetProperties();
fxCurve = new FxCurve(logger, cache, nameSpace, fxCurveProperties, qas, fixingCalendar, rollCalendar);
}
var instruments = ExtractInstruments(assetQuote, null);
var values = ExtractValues(assetQuote, null);
Initialize(logger, cache, nameSpace, properties, baseCurve, quoteCurve, instruments, values, fxCurve, fixingCalendar, rollCalendar);
}
/// <summary>
///
/// </summary>
/// <param name="fxCurve"></param>
/// <param name="usdCurve"></param>
/// <param name="currency"></param>
/// <param name="baseDate"></param>
/// <param name="algorithmHolder"></param>
/// <returns></returns>
public static RateCurve CreateBasisAdjustedDiscountCurve(FxCurve fxCurve, IRateCurve usdCurve, string currency,
DateTime baseDate, PricingStructureAlgorithmsHolder algorithmHolder)
{
string quoteCurrency = ((FxCurveIdentifier)fxCurve.GetPricingStructureId()).QuoteCurrency.Value;
double power = quoteCurrency == currency ? -1 : 1;
double fxRate0 = Math.Pow(fxCurve.GetForward(baseDate), power);
var newPoints = new Dictionary <DateTime, Pair <string, decimal> >();
foreach (TermPoint point in fxCurve.GetTermCurve().point)
{
var pillarPoint = (DateTime)point.term.Items[0];
double fxRateN = Math.Pow(fxCurve.GetForward(pillarPoint), power);
double discountFactorN = usdCurve.GetDiscountFactor(pillarPoint);
var quoteBasisAdjustedDiscountFactor = (decimal)(discountFactorN * fxRateN / fxRate0);
newPoints.Add(pillarPoint, new Pair <string, decimal>(point.id, quoteBasisAdjustedDiscountFactor));
}
var newProperties
= new Dictionary <string, object>
{
{ CurveProp.PricingStructureType, "RateCurve" },
{ CurveProp.Market, "DiscountCurveConstruction" },
{ CurveProp.IndexTenor, "0M" },
{ CurveProp.Currency1, currency },
{ CurveProp.IndexName, "XXX-XXX" },
{ CurveProp.Algorithm, "FastLinearZero" },
{ CurveProp.BaseDate, baseDate },
};
var namedValueSet = new NamedValueSet(newProperties);
return(new RateCurve(namedValueSet, algorithmHolder, newPoints));//There is no compounding frequency propertty
}
private void Initialize(ILogger logger, ICoreCache cache, string nameSpace, NamedValueSet properties, IRateCurve baseCurve, IRateCurve quoteCurve,
string[] instruments, decimal[] values, FxCurve fxCurve, IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
{
var curveId = (RateCurveIdentifier)PricingStructureIdentifier;
BaseCurve = baseCurve;
QuoteCurve = quoteCurve;
//Holder = new PricingStructureAlgorithmsHolder(logger, cache, curveId.PricingStructureType, curveId.Algorithm);
Initialize(properties, Holder);
var currency = properties.GetValue <string>(CurveProp.Currency1);
if (fxCurve != null && baseCurve == null)
{
var holder = new GenericRateCurveAlgorithmHolder(logger, cache, nameSpace);
// Create discount factors, without any input points
RateCurve basisAdjustedDiscountCurve = CreateBasisAdjustedDiscountCurve(fxCurve, quoteCurve, currency, curveId.BaseDate, holder);
TermCurve discountCurve = ((YieldCurveValuation)basisAdjustedDiscountCurve.PricingStructureValuation).discountFactorCurve;
CreateYieldCurve();
GetYieldCurveValuation().discountFactorCurve = discountCurve;
SetInterpolator(discountCurve, curveId.Algorithm, PricingStructureTypeEnum.RateSpreadCurve);
// Put FX curve into inputs
var assetQuotes = new List <BasicAssetValuation>();
BasicAssetValuation[] fxAssetQuotes = ((FxCurveValuation)fxCurve.GetFpMLData().Second).spotRate.assetQuote;
foreach (BasicAssetValuation assetQuote in fxAssetQuotes)
{
BasicAssetValuation clonedAssetQuote = XmlSerializerHelper.Clone(assetQuote);
clonedAssetQuote.definitionRef = FxCurveName;
assetQuotes.Add(clonedAssetQuote);
}
AddQuoteCurveInputs(assetQuotes);
((YieldCurveValuation)PricingStructureValuation).inputs = new QuotedAssetSet {
assetQuote = assetQuotes.ToArray()
};
}
else
{
List <IPriceableRateAssetController> swaps
= PriceableAssetFactory.CreatePriceableRateAssets(logger, cache, nameSpace, curveId.BaseDate, instruments, values, null, fixingCalendar, rollCalendar);
if (fxCurve == null)
{
// only use the input swaps
PriceableRateAssets = swaps;
}
else
{
var holder = new GenericRateCurveAlgorithmHolder(logger, cache, nameSpace);
// Add synthetic input points
RateCurve basisAdjustedDiscountCurve = CreateBasisAdjustedDiscountCurve(fxCurve, quoteCurve, currency, curveId.BaseDate, holder);
//TODO Add some extra short end point: 1D and 1W
string[] syntheticSwapPoints = { "1M", "2M", "3M", "6M", "9M" };
PriceableRateAssets = CreateSyntheticSwaps(logger, cache, nameSpace, BaseCurve, basisAdjustedDiscountCurve,
currency, curveId.BaseDate, syntheticSwapPoints, fixingCalendar, rollCalendar);
PriceableRateAssets.AddRange(swaps);
}
// bootstrap to create the discount factors
PriceableRateAssets = PriceableRateAssets.OrderBy(a => a.GetRiskMaturityDate()).ToList();
Bootstrap((YieldCurveValuation)GetFpMLData().Second);
}
}
/// <summary>
/// Initializes a new instance of the <see cref="FxDerivedCurve"/> class.
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">The client namespace</param>
/// <param name="curve1">The currency1 data. This should be against USD.
/// This must also be the currency1 curve for the derived fx curve.</param>
/// <param name="curve2">The currency2 data. This should be against USD.</param>
/// <param name="newFxCurveProperties">The new FxCurve properties .</param>
public FxDerivedCurve(ILogger logger, ICoreCache cache, string nameSpace, FxCurve curve1, FxCurve curve2, NamedValueSet newFxCurveProperties)
{
PricingStructureData = new PricingStructureData(CurveType.Child, AssetClass.Fx, newFxCurveProperties);
FxCurve1 = curve1;
FxCurve2 = curve2;
Currency1 = curve1.GetQuotedCurrencyPair().currency1.Value != "USD" ? curve1.GetQuotedCurrencyPair().currency1.Value : curve1.GetQuotedCurrencyPair().currency2.Value;
Currency2 = curve2.GetQuotedCurrencyPair().currency1.Value != "USD" ? curve2.GetQuotedCurrencyPair().currency1.Value : curve2.GetQuotedCurrencyPair().currency2.Value;
SpotDate = GetSpotDate(logger, cache, nameSpace, null, null, FxCurve1.GetBaseDate());//Create the new identifier.
PricingStructureIdentifier = new FxCurveIdentifier(newFxCurveProperties);
}
/// <summary>
/// Initializes a new instance of the <see cref="XccySpreadCurve"/> class,
/// by applying spreads to an existing RateCurve. Using FX Curve to create synthetic swaps
/// for the period under 1Y.
/// </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 of the new curve.</param>
/// <param name="baseCurve">The base zero curve.</param>
/// <param name="quoteCurve">The quote zero curve.</param>
/// <param name="fxCurve">The FX curve, used for constructing synthetic deposits</param>
/// <param name="inputs">The quoted asset instruments.</param>
/// <param name="fixingCalendar">The fixingCalendar.</param>
/// <param name="rollCalendar">The rollCalendar.</param>
public XccySpreadCurve(ILogger logger, ICoreCache cache, String nameSpace, NamedValueSet properties, QuotedAssetSet inputs,
IRateCurve baseCurve, IRateCurve quoteCurve, FxCurve fxCurve,
IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
: base(logger, cache, nameSpace, new RateCurveIdentifier(properties))
{
BasicAssetValuation[] assetQuote = inputs.assetQuote;
string[] instruments = ExtractInstruments(assetQuote, null);
decimal[] values = ExtractValues(assetQuote, null);
Initialize(logger, cache, nameSpace, properties, baseCurve, quoteCurve, instruments, values, fxCurve, fixingCalendar, rollCalendar);
}
/// <summary>
/// Clones the curve.
/// </summary>
/// <returns></returns>
public object Clone()//THis does not instantiate any priceable assets or bootstrap the curve. This means no evaluation of component assets.
{
//Clone the properties and set values.
//
NamedValueSet properties = GetProperties().Clone();
string baseCurveId = properties.GetString(CurveProp.UniqueIdentifier, true);
string id = baseCurveId + ".Clone";
properties.Set(CurveProp.UniqueIdentifier, id);
//Clone the curve data.
//
Pair <PricingStructure, PricingStructureValuation> fpml = GetFpMLData();
var fxCurve = new FxCurve(null, null, null, CloneCurve(fpml, id), properties, null, null, false);
return(fxCurve);
}
/// <summary>
/// Initializes a new instance of the <see cref="XccySpreadCurve"/> class,
/// by applying spreads to an existing RateCurve. Using FX Curve to create synthetic swaps
/// for the period under 1Y.
/// </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 of the new curve.</param>
/// <param name="baseCurve">The base zero curve.</param>
/// <param name="quoteCurve">The quote zero curve.</param>
/// <param name="fxCurve">The FX curve, used for constructing synthetic deposits</param>
/// <param name="instruments">The spread instruments.</param>
/// <param name="values">The spread values.</param>
/// <param name="fixingCalendar">The fixingCalendar.</param>
/// <param name="rollCalendar">The rollCalendar.</param>
public XccySpreadCurve(ILogger logger, ICoreCache cache, String nameSpace, NamedValueSet properties, IRateCurve baseCurve, IRateCurve quoteCurve, FxCurve fxCurve,
string[] instruments, decimal[] values, IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
: base(logger, cache, nameSpace, new RateCurveIdentifier(properties))
{
Initialize(logger, cache, nameSpace, properties, baseCurve, quoteCurve, instruments, values, fxCurve, fixingCalendar, rollCalendar);
}
public void TestUsingDerivedTypes()
{
// tests control of the serialisation type
// - type b (derived from a) is saved as b, loaded as b;
// - type b (derived from a) is saved as a, loaded as a (but is type b).
// (in this example a = PricingStructure, b = YieldCurve)
using (Reference <ILogger> loggerRef = Reference <ILogger> .Create(new TraceLogger(true)))
{
using (ICoreClient client = new PrivateCore(loggerRef.Target))
{
{
YieldCurve dataA = new YieldCurve()
{
currency = new Currency()
{
Value = "USD"
},
algorithm = "FastCubicSpline"
};
// - save as derived type
client.SaveObject(dataA, "TestA", null, TimeSpan.MaxValue);
ICoreItem test1 = client.LoadItem <YieldCurve>("TestA");
Assert.IsNotNull(test1);
Assert.AreEqual(typeof(YieldCurve).FullName, test1.DataTypeName);
Assert.AreEqual(typeof(YieldCurve), test1.DataType);
Assert.IsNotNull(test1.Data);
Assert.AreEqual(typeof(YieldCurve), test1.Data.GetType());
// - save as base type
client.SaveObject <PricingStructure>(dataA, "TestA", null, TimeSpan.MaxValue);
ICoreItem test2 = client.LoadItem <PricingStructure>("TestA");
Assert.IsNotNull(test2);
Assert.AreEqual(typeof(PricingStructure).FullName, test2.DataTypeName);
Assert.AreEqual(typeof(PricingStructure), test2.DataType);
Assert.IsNotNull(test2.Data);
Assert.AreEqual(typeof(YieldCurve), test2.Data.GetType());
}
{
FxCurve dataB = new FxCurve()
{
quotedCurrencyPair = new QuotedCurrencyPair()
{
currency1 = new Currency {
Value = "USD"
},
currency2 = new Currency {
Value = "JPY"
},
quoteBasis = QuoteBasisEnum.Currency2PerCurrency1
}
};
// - save as derived type
client.SaveObject(dataB, "TestB", null, TimeSpan.MaxValue);
ICoreItem test1 = client.LoadItem <FxCurve>("TestB");
Assert.IsNotNull(test1);
Assert.AreEqual(typeof(FxCurve).FullName, test1.DataTypeName);
Assert.AreEqual(typeof(FxCurve), test1.DataType);
Assert.IsNotNull(test1.Data);
Assert.AreEqual(typeof(FxCurve), test1.Data.GetType());
// - save as base type
client.SaveObject <PricingStructure>(dataB, "TestB", null, TimeSpan.MaxValue);
ICoreItem test2 = client.LoadItem <PricingStructure>("TestB");
Assert.IsNotNull(test2);
Assert.AreEqual(typeof(PricingStructure).FullName, test2.DataTypeName);
Assert.AreEqual(typeof(PricingStructure), test2.DataType);
Assert.IsNotNull(test2.Data);
Assert.AreEqual(typeof(FxCurve), test2.Data.GetType());
}
{
// load a collection of the base type and verify specific types
List <ICoreItem> items = client.LoadItems <PricingStructure>(Expr.ALL);
Assert.AreEqual(2, items.Count);
Dictionary <string, PricingStructure> index = new Dictionary <string, PricingStructure>();
foreach (ICoreItem item in items)
{
index[item.Name] = (PricingStructure)item.Data;
}
Assert.AreEqual(typeof(YieldCurve), index["TestA"].GetType());
Assert.AreEqual(typeof(FxCurve), index["TestB"].GetType());
}
}
}
}
public void TestSerialisingDerivedTypes()
{
// tests control of the serialisation type
// - type b (derived from a) is saved as b, loaded as b;
// - type b (derived from a) is saved as a, loaded as a (but is type b).
// (in this example a = PricingStructure, b = YieldCurve)
using (Reference <ILogger> loggerRef = Reference <ILogger> .Create(new TraceLogger(true)))
{
using (CoreServer server = new CoreServer(loggerRef, "UTT", NodeType.Router))
{
// start server
server.Start();
using (ICoreClient client = new CoreClientFactory(loggerRef).SetEnv("UTT").Create())
{
{
YieldCurve dataA = new YieldCurve
{
currency = new Currency {
Value = "USD"
},
algorithm = "FastCubicSpline"
};
// - save as derived type
client.SaveObject(dataA, "TestA", null, TimeSpan.MaxValue);
ICoreItem test1 = client.LoadItem <YieldCurve>("TestA");
Assert.IsNotNull(test1);
Assert.IsNotNull(test1.Text);
Assert.AreEqual(
"<?xml version=\"1.0\" encoding=\"utf-8\"?>\r\n<yieldCurve xmlns:xsi=\"http://www.w3.org/2001/XMLSchema-instance\" xmlns:xsd=\"http://www.w3.org/2001/XMLSchema\" xmlns=\"http://www.fpml.org/FpML-5/reporting\">\r\n <currency>USD</currency>\r\n <algorithm>FastCubicSpline</algorithm>\r\n</yieldCurve>",
test1.Text);
Assert.AreEqual(typeof(YieldCurve).FullName, test1.DataTypeName);
Assert.AreEqual(typeof(YieldCurve), test1.DataType);
Assert.IsNotNull(test1.Data);
Assert.AreEqual(typeof(YieldCurve), test1.Data.GetType());
// - save as base type
client.SaveObject <PricingStructure>(dataA, "TestA", null, TimeSpan.MaxValue);
ICoreItem test2 = client.LoadItem <PricingStructure>("TestA");
Assert.IsNotNull(test2);
Assert.IsNotNull(test2.Text);
Assert.AreEqual(
"<?xml version=\"1.0\" encoding=\"utf-8\"?>\r\n<PricingStructure xmlns:xsi=\"http://www.w3.org/2001/XMLSchema-instance\" xmlns:xsd=\"http://www.w3.org/2001/XMLSchema\" xmlns:q1=\"http://www.fpml.org/FpML-5/reporting\" xsi:type=\"q1:YieldCurve\">\r\n <q1:currency>USD</q1:currency>\r\n <q1:algorithm>FastCubicSpline</q1:algorithm>\r\n</PricingStructure>",
test2.Text);
Assert.AreEqual(typeof(PricingStructure).FullName, test2.DataTypeName);
Assert.AreEqual(typeof(PricingStructure), test2.DataType);
Assert.IsNotNull(test2.Data);
Assert.AreEqual(typeof(YieldCurve), test2.Data.GetType());
}
{
FxCurve dataB = new FxCurve()
{
quotedCurrencyPair = new QuotedCurrencyPair()
{
currency1 = new Currency()
{
Value = "USD"
},
currency2 = new Currency()
{
Value = "JPY"
},
quoteBasis = QuoteBasisEnum.Currency2PerCurrency1
}
};
// - save as derived type
client.SaveObject(dataB, "TestB", null, TimeSpan.MaxValue);
ICoreItem test1 = client.LoadItem <FxCurve>("TestB");
Assert.IsNotNull(test1);
Assert.IsNotNull(test1.Text);
Assert.AreEqual(
"<?xml version=\"1.0\" encoding=\"utf-8\"?>\r\n<fxCurve xmlns:xsi=\"http://www.w3.org/2001/XMLSchema-instance\" xmlns:xsd=\"http://www.w3.org/2001/XMLSchema\" xmlns=\"http://www.fpml.org/FpML-5/reporting\">\r\n <quotedCurrencyPair>\r\n <currency1>USD</currency1>\r\n <currency2>JPY</currency2>\r\n </quotedCurrencyPair>\r\n</fxCurve>",
test1.Text);
Assert.AreEqual(typeof(FxCurve).FullName, test1.DataTypeName);
Assert.AreEqual(typeof(FxCurve), test1.DataType);
Assert.IsNotNull(test1.Data);
Assert.AreEqual(typeof(FxCurve), test1.Data.GetType());
// - save as base type
client.SaveObject <PricingStructure>(dataB, "TestB", null, TimeSpan.MaxValue);
ICoreItem test2 = client.LoadItem <PricingStructure>("TestB");
Assert.IsNotNull(test2);
Assert.IsNotNull(test2.Text);
Assert.AreEqual(
"<?xml version=\"1.0\" encoding=\"utf-8\"?>\r\n<PricingStructure xmlns:xsi=\"http://www.w3.org/2001/XMLSchema-instance\" xmlns:xsd=\"http://www.w3.org/2001/XMLSchema\" xmlns:q1=\"http://www.fpml.org/FpML-5/reporting\" xsi:type=\"q1:FxCurve\">\r\n <q1:quotedCurrencyPair>\r\n <q1:currency1>USD</q1:currency1>\r\n <q1:currency2>JPY</q1:currency2>\r\n </q1:quotedCurrencyPair>\r\n</PricingStructure>",
test2.Text);
Assert.AreEqual(typeof(PricingStructure).FullName, test2.DataTypeName);
Assert.AreEqual(typeof(PricingStructure), test2.DataType);
Assert.IsNotNull(test2.Data);
Assert.AreEqual(typeof(FxCurve), test2.Data.GetType());
}
{
// load a collection of the base type and verify specific types
List <ICoreItem> items = client.LoadItems <PricingStructure>(Expr.ALL);
Assert.AreEqual(2, items.Count);
Dictionary <string, PricingStructure> index = new Dictionary <string, PricingStructure>();
foreach (ICoreItem item in items)
{
index[item.Name] = (PricingStructure)item.Data;
}
Assert.AreEqual(typeof(YieldCurve), index["TestA"].GetType());
Assert.AreEqual(typeof(FxCurve), index["TestB"].GetType());
}
}
// shutdown
server.Stop();
}
}
}
