/// <summary>
/// Initializes a new instance of the <see cref="CurveBase"/> class.
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">The nameSpace</param>
/// <param name="curveIdentifier">The curveIdentifier.</param>
protected RateSpreadCurve(ILogger logger, ICoreCache cache, String nameSpace,
PricingStructureIdentifier curveIdentifier)
: base(logger, cache, nameSpace, curveIdentifier)
{
var properties = curveIdentifier.GetProperties();
PricingStructureData = new PricingStructureData(CurveType.Child, AssetClass.Rates, properties);
}
/// <summary>
/// Initializes a new instance of the <see cref="CurveBase"/> class.
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">The nameSpace</param>
/// <param name="curveIdentifier">The curveIdentifier.</param>
protected CommodityCurve(ILogger logger, ICoreCache cache, String nameSpace, PricingStructureIdentifier curveIdentifier)
: base(logger, cache, nameSpace, curveIdentifier)
{
var properties = curveIdentifier.GetProperties();
PricingStructureData = new PricingStructureData(CurveType.Parent, AssetClass.Commodity, properties);
Tolerance = PropertyHelper.ExtractDoubleProperty("Tolerance", properties) ?? GetDefaultTolerance(Holder);
}
/// <summary>
/// Initializes a new instance of the <see cref="CapVolatilityCurve"/> class.
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">The nameSpace</param>
/// <param name="curveIdentifier">The curveIdentifier.</param>
protected CapVolatilityCurve(ILogger logger, ICoreCache cache, String nameSpace, PricingStructureIdentifier curveIdentifier)
: base(logger, cache, nameSpace, curveIdentifier)
{
BootstrapperName = "CapFloorBootstrapper";
UnderlyingInterpolatedCurve = "CapVolatilityCurve";
var properties = curveIdentifier.GetProperties();
PricingStructureData = new PricingStructureData(CurveType.Parent, AssetClass.Rates, properties);
Tolerance = PropertyHelper.ExtractDoubleProperty("Tolerance", properties) ?? GetDefaultTolerance(Holder);
var compoundingFrequency = properties.GetString("CompoundingFrequency", null);
CompoundingFrequency = compoundingFrequency != null
? EnumHelper.Parse <CompoundingFrequencyEnum>(compoundingFrequency)
: GetDefaultCompounding(Holder);
}