/// <summary>
/// Bootstraps the specified priceable assets, where the assets
/// are simple commodity asset with single cash flows on a
/// single index observation.
/// </summary>
/// <param name="priceableAssets">The priceable assets.</param>
/// <param name="referenceCurve">The reference curve.</param>
/// <param name="baseDate">The base date.</param>
/// <param name="extrapolationPermitted">The extrapolationPermitted flag.</param>
/// <param name="tolerance">The tolerance for the solver</param>
/// <param name="spreadXArray">THe spread interpolator produced in the bootstrapper</param>
/// <param name="spreadYArray">THe spread interpolator produced in the bootstrapper</param>
/// <returns></returns>
public static TermPoint[] Bootstrap(IEnumerable <IPriceableCommoditySpreadAssetController> priceableAssets,
ICommodityCurve referenceCurve, DateTime baseDate, bool extrapolationPermitted, double tolerance, ref IList <double> spreadXArray, ref IList <double> spreadYArray)
{
//only works for linear on zero.
//InterpolationMethod interp = InterpolationMethodHelper.Parse("LinearInterpolation");
// Add the first element (date : discount factor) to the list
var points = new Dictionary <DateTime, double>();
var items
= new SortedDictionary <DateTime, Pair <string, decimal> >();
var dayCounter = new Actual365();
foreach (var priceableAsset in priceableAssets)
{
DateTime assetMaturityDate = priceableAsset.GetRiskMaturityDate();
if (points.Keys.Contains(assetMaturityDate))
{
continue;
}
//This now should automatically extrapolate the required discount factor on a flat rate basis.
if (IsSpreadAsset(priceableAsset))
{
//These are simple assts so the solver is unnecessary.
var value = (double)priceableAsset.CalculateImpliedQuoteWithSpread(referenceCurve);
var dayCount = dayCounter.YearFraction(baseDate, assetMaturityDate);
spreadXArray.Add(dayCount);
spreadYArray.Add((double)priceableAsset.MarketQuote.value); //TODO Get the marketquote
points.Add(assetMaturityDate, value);
items.Add(assetMaturityDate,
new Pair <string, decimal>(priceableAsset.Id, (decimal)points[assetMaturityDate]));
}
}
if (spreadXArray.Count > 2)
{
var spreadCurveInterpolator = new LinearInterpolation(spreadXArray.ToArray(),
spreadYArray.ToArray());
var index = 0;
foreach (var assetMaturityDate in referenceCurve.GetTermCurve().GetListTermDates())
{
if (points.Keys.Contains(assetMaturityDate))
{
continue;
}
var dayCount = dayCounter.YearFraction(baseDate, assetMaturityDate);
double spreadValue = spreadCurveInterpolator.ValueAt(dayCount, true);
var value = referenceCurve.GetForward(baseDate, assetMaturityDate);
points.Add(assetMaturityDate, value + spreadValue);
items.Add(assetMaturityDate,
new Pair <string, decimal>("RefCurvePillar_" + index, (decimal)points[assetMaturityDate]));
index++;
}
return(TermPointsFactory.Create(items));
}
return(null);
}
/// <summary>
/// This assumes that the rest dates are consistent with the curve.
/// </summary>
/// <param name="valuationDate"></param>
/// <param name="paymentDate">The payment date. The same rest period is assumed as with the spot date.</param>
/// <param name="indexCurve">The index curve should be already in the correct form for the fx.</param>
/// <param name="currency1">Normally the domestic rate curve. </param>
public CommoditySwapLegAnalytic(DateTime valuationDate, DateTime paymentDate, ICommodityCurve indexCurve, IRateCurve currency1)
{
//ToReportingCurrencyRate = EvaluateReportingCurrencyFxRate(valuationDate, reportingCurrencyFxCurve);
var todayRate = indexCurve.GetForward(valuationDate, valuationDate); //TODO The spot rate may not be the same due to the carry effect, but the evolution works.
var df1 = currency1.GetDiscountFactor(valuationDate, paymentDate);
}
/// <summary>
/// This assumes that the rest dates are consistent with the curve.
/// </summary>
/// <param name="valuationDate"></param>
/// <param name="paymentDate"></param>
/// <param name="indexCurve"></param>
public CommoditySwapLegAnalytic(DateTime valuationDate, DateTime paymentDate, ICommodityCurve indexCurve)
{
//ToReportingCurrencyRate = EvaluateReportingCurrencyFxRate(valuationDate, reportingCurrencyFxCurve);
Units = (decimal)indexCurve.GetForward(valuationDate, paymentDate);
}
