/// <summary>
/// Initializes a new instance of the <see cref="CommoditySpreadCurve2"/> class.
/// </summary>
/// <param name="referenceCurve">The reference curve.</param>
/// <param name="spreadAssets">The spreads by asset.</param>
/// <param name="properties">The properties of the new spread curve.</param>
/// <param name="algorithm">The alogorithm holder. </param>
public CommoditySpreadCurve2(NamedValueSet properties, ICommodityCurve referenceCurve,
List <IPriceableCommoditySpreadAssetController> spreadAssets, PricingStructureAlgorithmsHolder algorithm)
: base(properties, algorithm)
{
PricingStructureData = new PricingStructureData(CurveType.Child, AssetClass.Commodity, properties);
//Set the identifier.
var pricingStructureId = GetCommodityCurveId();
if (pricingStructureId.PricingStructureType != PricingStructureTypeEnum.CommoditySpreadCurve)
{
return;
}
//Set the reference curve
BaseCurve = referenceCurve;
ReferenceCurveId = BaseCurve.GetPricingStructureId();
PriceableCommoditySpreadAssets = spreadAssets;
//Order the assets.
PriceableCommoditySpreadAssets = PriceableCommoditySpreadAssets.OrderBy(a => a.GetRiskMaturityDate()).ToList();
var termCurve = SetConfigurationData();
//Get the reference interpolated curve.
IList <Double> xArray = new List <double>();
IList <Double> yArray = new List <double>();
termCurve.point = CommoditySpreadBootstrapper2.Bootstrap(PriceableCommoditySpreadAssets,
BaseCurve,
pricingStructureId.BaseDate,
termCurve.extrapolationPermitted,
Tolerance, ref xArray, ref yArray);
CreatePricingStructure(pricingStructureId, termCurve, PriceableAssetFactory.Parse(PriceableCommoditySpreadAssets));
SetInterpolator(BaseCurve, xArray, yArray, pricingStructureId.PricingStructureType);
}
/// <summary>
/// Gets the quoted asset set.
/// </summary>
/// <returns></returns>
public override void Build(ILogger logger, ICoreCache cache, string nameSpace,
IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
{
var pricingStructureId = (CommodityCurveIdentifier)PricingStructureIdentifier;
//Order the assets.
PriceableCommoditySpreadAssets = PriceableCommoditySpreadAssets.OrderBy(a => a.GetRiskMaturityDate()).ToList();
var termCurve = SetConfigurationData();
//Get the reference interpolated curve.
IList <Double> xArray = new List <double>();
IList <Double> yArray = new List <double>();
termCurve.point = CommoditySpreadBootstrapper2.Bootstrap(PriceableCommoditySpreadAssets,//TODO what about the interpoation.
BaseCurve,
pricingStructureId.BaseDate,
termCurve.extrapolationPermitted,
Tolerance, ref xArray, ref yArray);
CreatePricingStructure(pricingStructureId, termCurve, PriceableAssetFactory.Parse(PriceableCommoditySpreadAssets));
SetInterpolator(BaseCurve, xArray, yArray, pricingStructureId.PricingStructureType);//TOTO Modify with the actual spreads....
}
