/// <summary>
/// Calculates the specified metric for the fast bootstrapper.
/// </summary>
/// <param name="interpolatedSpace">The intepolated Space.</param>
/// <param name="discountedSpace">The OIS Space.</param>
/// <returns></returns>
public Decimal CalculateImpliedQuote(IInterpolatedSpace interpolatedSpace, IInterpolatedSpace discountedSpace)
{
if (AnalyticsModel == null)
{
AnalyticsModel = new RateAssetAnalytic();
// DependencyCreator.Resolve<IModelAnalytic<ISimpleAssetParameters, RateMetrics>>(_modelIdentifier);
}
ISimpleRateAssetParameters analyticModelParameters = new RateAssetParameters
{
YearFraction = YearFraction,
StartDiscountFactor = GetDiscountFactor(interpolatedSpace, AdjustedStartDate, BaseDate),
EndDiscountFactor = GetDiscountFactor(interpolatedSpace, GetRiskMaturityDate(), BaseDate),
PaymentDiscountFactor = GetDiscountFactor(discountedSpace, GetRiskMaturityDate(), BaseDate),
};
//3. Get the Rate
//
if (FixedRate != null)
{
analyticModelParameters.Rate = MarketQuoteHelper.NormalisePriceUnits(FixedRate, "DecimalRate").value;
}
CalculationResults = new RateAssetResults();
//4. Set the anaytic input parameters and Calculate the respective metrics
//
CalculationResults = AnalyticsModel.Calculate <IRateAssetResults, RateAssetResults>(analyticModelParameters, new[] { RateMetrics.ImpliedQuote });
return(CalculationResults.ImpliedQuote);
}
/// <summary>
/// Calculates the specified model data.
/// </summary>
/// <param name="modelData">The model data.</param>
/// <returns></returns>
public override BasicAssetValuation Calculate(IAssetControllerData modelData)
{
ModelData = modelData;
if (AnalyticsModel == null)
{
AnalyticsModel = new RateAssetAnalytic();
//DependencyCreator.Resolve<IModelAnalytic<ISimpleAssetParameters, RateMetrics>>(_modelIdentifier);
}
var metrics = MetricsHelper.GetMetricsToEvaluate(Metrics, AnalyticsModel.Metrics);
// Determine if DFAM has been requested - if so thats all we evaluate - every other metric is ignored
//
var bEvalDiscountFactorAtMaturity = false;
if (metrics.Contains(RateMetrics.DiscountFactorAtMaturity))
{
bEvalDiscountFactorAtMaturity = true;
// Remove all metrics except DFAM
//
metrics.RemoveAll(metricItem => metricItem != RateMetrics.DiscountFactorAtMaturity);
}
ISimpleRateAssetParameters analyticModelParameters = new RateAssetParameters {
YearFraction = YearFraction
};
CalculationResults = new RateAssetResults();
var metricsToEvaluate = metrics.ToArray();
var marketEnvironment = modelData.MarketEnvironment;
IRateCurve curve = null;
//1. instantiate curve
if (marketEnvironment.GetType() == typeof(SimpleMarketEnvironment))
{
curve = (IRateCurve)((ISimpleMarketEnvironment)marketEnvironment).GetPricingStructure();
CurveName = curve.GetPricingStructureId().UniqueIdentifier;
}
if (marketEnvironment.GetType() == typeof(SimpleRateMarketEnvironment))
{
curve = ((ISimpleRateMarketEnvironment)marketEnvironment).GetRateCurve();
CurveName = curve.GetPricingStructureId().UniqueIdentifier;
}
if (marketEnvironment.GetType() == typeof(SwapLegEnvironment))
{
curve = ((ISwapLegEnvironment)marketEnvironment).GetDiscountRateCurve();
CurveName = curve.GetPricingStructureId().UniqueIdentifier;
}
if (marketEnvironment.GetType() == typeof(MarketEnvironment))
{
curve = (IRateCurve)modelData.MarketEnvironment.GetPricingStructure(CurveName);
}
//2. get start df = curve.getvalue(this._adjustedStartDate);
//
analyticModelParameters.StartDiscountFactor = GetDiscountFactor(curve, AdjustedStartDate, modelData.ValuationDate);
//3. Get the Rate
//
if (FixedRate != null)
{
analyticModelParameters.Rate = MarketQuoteHelper.NormalisePriceUnits(FixedRate, "DecimalRate").value;
}
if (bEvalDiscountFactorAtMaturity)
{
//4. Set the anaytic input parameters and Calculate the respective metrics
//
CalculationResults = AnalyticsModel.Calculate <IRateAssetResults, RateAssetResults>(analyticModelParameters, metricsToEvaluate);
EndDiscountFactor = CalculationResults.DiscountFactorAtMaturity;
}
else
{
analyticModelParameters.NotionalAmount = Notional;
//3. Get the end discount factor
//
EndDiscountFactor = GetDiscountFactor(curve, GetRiskMaturityDate(), modelData.ValuationDate);
analyticModelParameters.EndDiscountFactor = EndDiscountFactor;
analyticModelParameters.PaymentDiscountFactor = analyticModelParameters.EndDiscountFactor;
//4. Set the anaytic input parameters and Calculate the respective metrics
//
CalculationResults = AnalyticsModel.Calculate <IRateAssetResults, RateAssetResults>(analyticModelParameters, metricsToEvaluate);
}
return(GetValue(CalculationResults));
}
