/// <summary>
/// Calculates the specified model data.
/// </summary>
/// <param name="curve">The curve.</param>
/// <param name="valuationDate">The valuation date.</param>
/// <returns></returns>
public decimal CalculateAssetSwap(IRateCurve curve, DateTime valuationDate)
{
AnalyticsModel = new BondAssetAnalytic();
IBondAssetParameters analyticModelParameters = new BondAssetParameters();
CalculationResults = new BondAssetResults();
//2. Set the rate and Multiplier
analyticModelParameters.Multiplier = Multiplier;
analyticModelParameters.Quote = QuoteValue; // MarketQuoteHelper.NormalisePriceUnits(Quote, "DecimalRate").value;
analyticModelParameters.CouponRate = GetCouponRate();
analyticModelParameters.NotionalAmount = Notional;
analyticModelParameters.Frequency = Frequency;
analyticModelParameters.IsYTMQuote = IsYTMQuote;
analyticModelParameters.AccruedFactor = GetAccruedFactor();
analyticModelParameters.RemainingAccruedFactor = GetRemainingAccruedFactor();
//2. Get the discount factors
analyticModelParameters.PaymentDiscountFactors =
GetDiscountFactors(curve, AdjustedPeriodDates, valuationDate);
//3. Get the respective year fractions
analyticModelParameters.AccrualYearFractions = GetYearFractions();
//4. Get the Weightings
Weightings =
CreateWeightings(CDefaultWeightingValue, analyticModelParameters.PaymentDiscountFactors.Length);
analyticModelParameters.Weightings = Weightings;
//5. Set the analytic input parameters and Calculate the respective metrics
AnalyticModelParameters = analyticModelParameters;
CalculationResults =
AnalyticsModel.Calculate <IBondAssetResults, BondAssetResults>(analyticModelParameters,
new[] { BondMetrics.AssetSwapSpread });
return(CalculationResults.AssetSwapSpread);
}
/// <summary>
/// Calculates the specified model data.
/// </summary>
/// <param name="modelData">The model data.</param>
/// <returns></returns>
public override BasicAssetValuation Calculate(IAssetControllerData modelData)
{
ModelData = modelData;
AnalyticsModel = new BondAssetAnalytic();
var metrics = MetricsHelper.GetMetricsToEvaluate(Metrics, AnalyticsModel.Metrics);
// Determine if DFAM has been requested - if so that's all we evaluate - every other metric is ignored
var metricsToEvaluate = metrics.ToArray();
var analyticModelParameters = new BondAssetParameters();
CalculationResults = new BondAssetResults();
var marketEnvironment = modelData.MarketEnvironment;
//IRateCurve rate forecast curve = null;
IRateCurve rateDiscountCurve = null;
//0. Set the valuation date and recalculate the settlement date. This could mean regenerating all the coupon dates as well
//Alternatively the bond can be recreated with a different base date = valuation date.
//TODO Check that the dates are correct and that the last coupon date is used.
//Set the purchase price.
analyticModelParameters.PurchasePrice = PurchasePrice;
//1. instantiate curve
if (marketEnvironment.GetType() == typeof(SimpleMarketEnvironment))
{
rateDiscountCurve = (IRateCurve)((ISimpleMarketEnvironment)marketEnvironment).GetPricingStructure();
SwapDiscountCurveName = rateDiscountCurve.GetPricingStructureId().UniqueIdentifier;
}
if (marketEnvironment.GetType() == typeof(SimpleRateMarketEnvironment))
{
rateDiscountCurve = ((ISimpleRateMarketEnvironment)marketEnvironment).GetRateCurve();
SwapDiscountCurveName = rateDiscountCurve.GetPricingStructureId().UniqueIdentifier;
}
if (marketEnvironment.GetType() == typeof(SwapLegEnvironment))
{
rateDiscountCurve = ((ISwapLegEnvironment)marketEnvironment).GetDiscountRateCurve();
SwapDiscountCurveName = rateDiscountCurve.GetPricingStructureId().UniqueIdentifier;
}
if (marketEnvironment.GetType() == typeof(MarketEnvironment))
{
var bondCurve = (IBondCurve)modelData.MarketEnvironment.GetPricingStructure(BondCurveName);
if (bondCurve != null)
{
var marketDataType =
bondCurve.GetPricingStructureId().Properties.GetValue <string>(AssetMeasureEnum.MarketQuote.ToString(), false);
if (marketDataType != null && marketDataType == BondPriceEnum.YieldToMaturity.ToString())
{
IsYTMQuote = true;
}
//TODO handle the other cases like: AssetSwapSpread; DirtyPrice and ZSpread.
var mq = (decimal)bondCurve.GetYieldToMaturity(modelData.ValuationDate, SettlementDate);
Quote = BasicQuotationHelper.Create(mq, AssetMeasureEnum.MarketQuote.ToString(),
PriceQuoteUnitsEnum.DecimalRate.ToString());
}
//The forecast rate curve will need to be set if it is a floating rate note.
rateDiscountCurve = (IRateCurve)modelData.MarketEnvironment.GetPricingStructure(SwapDiscountCurveName);
}
//2. Set the rate and the Multiplier
analyticModelParameters.Multiplier = Multiplier;
analyticModelParameters.Quote = QuoteValue;
analyticModelParameters.CouponRate = GetCouponRate();
analyticModelParameters.NotionalAmount = Notional;
analyticModelParameters.Frequency = Frequency;
analyticModelParameters.IsYTMQuote = IsYTMQuote;
analyticModelParameters.AccruedFactor = GetAccruedFactor();
analyticModelParameters.RemainingAccruedFactor = GetRemainingAccruedFactor();
//3. Get the discount factors
analyticModelParameters.PaymentDiscountFactors =
GetDiscountFactors(rateDiscountCurve, AdjustedPeriodDates, modelData.ValuationDate);
//4. Get the respective year fractions
analyticModelParameters.AccrualYearFractions = GetYearFractions();
//5. Get the Weightings
Weightings =
CreateWeightings(CDefaultWeightingValue, analyticModelParameters.PaymentDiscountFactors.Length);
analyticModelParameters.Weightings = Weightings;
//6. Set the analytic input parameters and Calculate the respective metrics
AnalyticModelParameters = analyticModelParameters;
CalculationResults =
AnalyticsModel.Calculate <IBondAssetResults, BondAssetResults>(analyticModelParameters,
metricsToEvaluate);
return(GetValue(CalculationResults));
}