/// <summary>
/// Stores all relevant curve data.
/// </summary>
/// <param name="curveType">The curve type: Parent or Child</param>
/// <param name="assetClass">The asset class: fx, rates etc.</param>
/// <param name="properties">The properties for that curve. </param>
public PricingStructureData(CurveType curveType, Constants.AssetClass assetClass, NamedValueSet properties)
{
CurveType = curveType;
AssetClass = assetClass;
PricingStructureRiskSetType = PricingStructureRiskSetType.Parent;
try
{
var pricingStructureRiskSetType = properties.GetValue <string>("PricingStructureRiskSetType", false);
if (pricingStructureRiskSetType != null)
{
var result = EnumHelper.Parse <PricingStructureRiskSetType>(pricingStructureRiskSetType);
PricingStructureRiskSetType = result;
}
}
catch (System.Exception)
{
var exception = new System.Exception("PricingStructureRiskSetType does not exist");
throw exception;
}
}
/// <summary>
/// Creates the basic rate curve risk set, using the current curve as the base curve.
/// This function takes a curves, creates a rate curve for each instrument and applying
/// supplied basis point perturbation/spread to the underlying instrument in the spread curve
/// </summary>
/// <param name="basisPointPerturbation">The basis point perturbation.</param>
/// <param name="pricingStructureRiskSetType">This determine which assets to perturb. </param>
/// <returns>A list of perturbed rate curves</returns>
private List <IPricingStructure> CreateCurveRiskSet(decimal basisPointPerturbation, PricingStructureRiskSetType pricingStructureRiskSetType)
{
var structures = new List <IPricingStructure>();
if (PriceableRateSpreadAssets == null)
{
return(structures);
}
//Add the spread asset perturbed curves.
//
//Set the parameters and properties.
decimal perturbation = basisPointPerturbation / 10000.0m;
NamedValueSet properties = GetPricingStructureId().Properties.Clone();
properties.Set("PerturbedAmount", basisPointPerturbation);
string uniqueId = GetPricingStructureId().UniqueIdentifier;
int index = 0;
//Perturb the base curve quote set
if (BaseCurve.PriceableRateAssets != null && pricingStructureRiskSetType != PricingStructureRiskSetType.Child)
{
var basequotes = GetMarketQuotes(BaseCurve.PriceableRateAssets);
foreach (var instrument in BaseCurve.PriceableRateAssets)
{
var perturbations = new decimal[basequotes.Count];
basequotes.CopyTo(perturbations);
//Clone the properties.
NamedValueSet curveProperties = properties.Clone();
perturbations[index] = basequotes[index] + perturbation;
curveProperties.Set("PerturbedAsset", instrument.Id);
curveProperties.Set("BaseCurve", uniqueId);
curveProperties.Set(CurveProp.UniqueIdentifier, uniqueId + "." + instrument.Id);
curveProperties.Set(CurveProp.Tolerance, Tolerance);
//Perturb the quotes
PerturbedPriceableAssets(BaseCurve.PriceableRateAssets, perturbations);
//Create the new curve.
var baseCurve = new RateCurve(curveProperties, BaseCurve.PriceableRateAssets, Holder);
IPricingStructure rateCurve = new RateBasisCurve(curveProperties, baseCurve,
PriceableRateSpreadAssets, Holder);
structures.Add(rateCurve);
//Set the counter.
perturbations[index] = 0;
index++;
}
}
//Perturb the spread curve quotes
if (pricingStructureRiskSetType != PricingStructureRiskSetType.Parent)
{
var spreadquotes = GetMarketQuotes(PriceableRateSpreadAssets);
index = 0;
foreach (var instrument in PriceableRateSpreadAssets)
{
var perturbations = new decimal[spreadquotes.Count];
spreadquotes.CopyTo(perturbations);
//Clone the properties.
NamedValueSet curveProperties = properties.Clone();
perturbations[index] = spreadquotes[index] + perturbation;
curveProperties.Set("PerturbedAsset", instrument.Id);
curveProperties.Set("BaseCurve", uniqueId);
curveProperties.Set(CurveProp.UniqueIdentifier, uniqueId + "." + instrument.Id);
curveProperties.Set(CurveProp.Tolerance, Tolerance);
//Perturb the quotes
PerturbedPriceableAssets(new List <IPriceableRateAssetController>(PriceableRateSpreadAssets),
perturbations);
IPricingStructure rateCurve = new RateBasisCurve(curveProperties, BaseCurve,
PriceableRateSpreadAssets, Holder);
structures.Add(rateCurve);
//Set the counter.
perturbations[index] = 0;
index++;
}
}
return(structures);
}
/// <summary>
/// Stores all relevant curve data.
/// </summary>
/// <param name="curveType">The curve type: Parent or Child</param>
/// <param name="assetClass">The asset class: fx, rates etc.</param>
public PricingStructureData(CurveType curveType, Constants.AssetClass assetClass)
{
CurveType = curveType;
AssetClass = assetClass;
PricingStructureRiskSetType = PricingStructureRiskSetType.Parent;
}
