//Adds a spread to an asset. The spread value is added to each asset in the original curve.
// The curve is renamed with the id provided.
//
/// <summary>
///
/// </summary>
/// <param name="spreadValue"></param>
/// <param name="commodityCurve"></param>
/// <param name="curveId"></param>
/// <returns></returns>
protected static Pair <PricingStructure, PricingStructureValuation> AdjustMarketQuotes(Decimal spreadValue,
Pair <PricingStructure, PricingStructureValuation> commodityCurve, string curveId)
{
var ycCurveCloned = XmlSerializerHelper.Clone(commodityCurve.First);
var ycvCurveCloned = XmlSerializerHelper.Clone(commodityCurve.Second);
// assign id to the cloned YieldCurve
//
var yc = (FpML.V5r10.Reporting.FxCurve)ycCurveCloned;
yc.id = curveId;
// nullify the discount factor curve to make sure that bootstrapping will happen)
//
var ycv = (FxCurveValuation)ycvCurveCloned;
ycv.fxForwardCurve.point = null;
ycv.fxForwardPointsCurve = null;
ycv.fxForwardCurve = null;
foreach (var bav in ycv.spotRate.assetQuote)
{
bav.quote = MarketQuoteHelper.AddAndReplaceQuotationByMeasureType("MarketQuote",
new List <BasicQuotation>(bav.quote),
spreadValue);
}
return(new Pair <PricingStructure, PricingStructureValuation>(yc, ycv));
}
//Adds a spread to an asset. The spread value is added to each asset in the original curve.
//The array of spread values must be the same length as the array of assets.
// The curve is renamed with the id provided.
//
/// <summary>
///
/// </summary>
/// <param name="spreadValues"></param>
/// <param name="commodityCurve"></param>
/// <param name="curveId"></param>
/// <returns></returns>
protected static Pair <PricingStructure, PricingStructureValuation> AdjustMarketQuotes(Decimal[] spreadValues,
Pair <PricingStructure, PricingStructureValuation> commodityCurve, string curveId)
{
var ycCurveCloned = XmlSerializerHelper.Clone(commodityCurve.First);
var ycvCurveCloned = XmlSerializerHelper.Clone(commodityCurve.Second);
var yc = (FpML.V5r10.Reporting.FxCurve)ycCurveCloned;
yc.id = curveId;
var ycv = (FxCurveValuation)ycvCurveCloned;
ycv.fxForwardCurve.point = null;
ycv.fxForwardPointsCurve = null;
ycv.fxForwardCurve = null;
//This strips out the basis swaps.
//
ycv.spotRate = AssetHelper.RemoveAssetsFromQuotedAssetSet(AssetTypesEnum.BasisSwap, ycv.spotRate);
if (spreadValues.Length == ycv.spotRate.instrumentSet.Items.Length)
{
var index = 0;
foreach (var bav in ycv.spotRate.assetQuote)
{
bav.quote = MarketQuoteHelper.AddAndReplaceQuotationByMeasureType("MarketQuote",
new List <BasicQuotation>(bav.quote),
spreadValues[index]);
index++;
}
}
return(new Pair <PricingStructure, PricingStructureValuation>(yc, ycv));
}