public static IPriceCurve GetPriceCurve(this TO_PriceCurve transportObject, ICurrencyProvider currencyProvider, ICalendarProvider calendarProvider)
{
if (transportObject.ConstantPriceCurve != null)
{
return new ConstantPriceCurve(transportObject.ConstantPriceCurve.Price, transportObject.ConstantPriceCurve.BuildDate, currencyProvider)
{
Currency = currencyProvider.GetCurrencySafe(transportObject.ConstantPriceCurve.Currency),
AssetId = transportObject.ConstantPriceCurve.AssetId,
Name = transportObject.ConstantPriceCurve.Name,
}
}
;
if (transportObject.BasicPriceCurve != null)
{
return(new BasicPriceCurve(transportObject.BasicPriceCurve, currencyProvider));
}
if (transportObject.BasisPriceCurve != null)
{
return(new BasisPriceCurve(transportObject.BasisPriceCurve, currencyProvider, calendarProvider));
}
if (transportObject.ContangoPriceCurve != null)
{
return(new ContangoPriceCurve(transportObject.ContangoPriceCurve, currencyProvider));
}
throw new Exception("Unable to build price curve");
}
public PriceCurve(TO_PriceCurve transportObject, ICurrencyProvider currencyProvider) : this(transportObject.BuildDate, transportObject.PillarDates, transportObject.Prices, transportObject.CurveType, currencyProvider, transportObject.PillarLabels)
{
Currency = currencyProvider.GetCurrency(transportObject.Currency);
CollateralSpec = transportObject.CollateralSpec;
}
