/// <summary>
/// Create a surface from an FpML
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">The nameSpace</param>
/// <param name="fpmlData">The data.</param>
/// <param name="properties">The properties.</param>
protected ExtendedExpiryTermStrikeVolatilitySurface(ILogger logger, ICoreCache cache, String nameSpace, Pair <PricingStructure, PricingStructureValuation> fpmlData, NamedValueSet properties)
{
var surfaceId = new VolatilitySurfaceIdentifier(properties);
Algorithm = surfaceId.Algorithm;
PricingStructureIdentifier = surfaceId;
var data = (VolatilityMatrix)fpmlData.Second;
var holder = new PricingStructureAlgorithmsHolder(logger, cache, nameSpace, surfaceId.PricingStructureType, surfaceId.Algorithm);
//Get the forwards from the surface.
var adjustments = new ParametricAdjustment();
if (data.adjustment != null)
{
//assume the forwards are the first parameter set.
adjustments = data.adjustment[0];
}
//Creates the property collection. This should be backward compatable with V1.
PricingStructureIdentifier = new VolatilitySurfaceIdentifier(properties);
var xDimensionInterpolationMethod = InterpolationMethodHelper.Parse(holder.GetValue("xDimensionInterpolation"));
var yDimensionInterpolationMethod = InterpolationMethodHelper.Parse(holder.GetValue("yDimensionInterpolation"));
// Generate an interpolator to use
if (adjustments?.datapoint != null)
{
Interpolator = new ExtendedVolatilitySurfaceInterpolator(data.dataPoints, adjustments.datapoint, xDimensionInterpolationMethod.Value, yDimensionInterpolationMethod.Value);
}
SetFpMLData(fpmlData);
_matrixIndexHelper = new SortedList <ExpiryTenorStrikeKey, int>(new ExpiryTenorStrikeKey());
ProcessVolatilityRepresentation();
}
private static ParametricAdjustment[] GenerateForwards(IEnumerable <double> forwards)
{
var parametricAdjustment = new ParametricAdjustment
{
name = "Forwards",
datapoint =
forwards.Select(
forward =>
new ParametricAdjustmentPoint
{
parameterValue = (decimal)forward
}).
ToArray()
};
return(new[] { parametricAdjustment });
}
