/// <summary>
/// Calculates the specified metric for the fast bootstrapper.
/// </summary>
/// <param name="interpolatedSpace">The intepolated Space.</param>
/// <returns></returns>
public override decimal CalculateImpliedQuote(IInterpolatedSpace interpolatedSpace)
{
if (AnalyticsModel == null)
{
AnalyticsModel = new CommoditySpreadAssetAnalytic();
// DependencyCreator.Resolve<IModelAnalytic<ISimpleAssetParameters, RateMetrics>>(_modelIdentifier);
}
//3. Get the Rate
var endDF = GetIndex(interpolatedSpace, RiskMaturityDate, BaseDate);
var analyticModelParameters = new CommodityAssetParameters
{
CommodityForward =
endDF
};
Values = new[] { endDF };
if (Spread != null)
{
analyticModelParameters.Spread = MarketQuoteHelper.NormaliseGeneralPriceUnits(SpreadQuotationType, Spread, "MarketQuote").value;
}
AnalyticResults = new CommoditySpreadAssetResults();
//4. Set the anaytic input parameters and Calculate the respective metrics
//
AnalyticResults = AnalyticsModel.Calculate <ICommoditySpreadAssetResults, CommoditySpreadAssetResults>(analyticModelParameters, new[] { CommoditySpreadMetrics.ImpliedQuote });
return(AnalyticResults.ImpliedQuote);
}
/// <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 CommoditySpreadAssetAnalytic();
//DependencyCreator.Resolve<IModelAnalytic<ISimpleAssetParameters, SpreadMetrics>>(_modelIdentifier);
var metrics = MetricsHelper.GetMetricsToEvaluate(Metrics, AnalyticsModel.Metrics);
// Determine if DFAM has been requested - if so thats all we evaluate - every other metric is ignored
var bEvalDiscountFactorAtMaturity = false;
if (metrics.Contains(CommoditySpreadMetrics.IndexAtMaturity))
{
bEvalDiscountFactorAtMaturity = true;
metrics.RemoveAll(
metricItem => metricItem != CommoditySpreadMetrics.IndexAtMaturity);
}
var analyticModelParameters = new CommodityAssetParameters();
AnalyticResults = new CommoditySpreadAssetResults();
var metricsToEvaluate = metrics.ToArray();
var marketEnvironment = modelData.MarketEnvironment;
ICommodityCurve curve = null;
//1. instantiate curve
if (marketEnvironment.GetType() == typeof(SimpleMarketEnvironment))
{
curve = (ICommodityCurve)((ISimpleMarketEnvironment)marketEnvironment).GetPricingStructure();
CurveName = curve.GetPricingStructureId().UniqueIdentifier;
}
if (marketEnvironment.GetType() == typeof(SimpleCommodityMarketEnvironment))
{
curve = ((ISimpleCommodityMarketEnvironment)marketEnvironment).GetCommodityCurve();
CurveName = curve.GetPricingStructureId().UniqueIdentifier;
}
if (marketEnvironment.GetType() == typeof(MarketEnvironment))
{
curve = (ICommodityCurve)modelData.MarketEnvironment.GetPricingStructure(CurveName);
}
var endDF = GetIndex(curve, RiskMaturityDate, modelData.ValuationDate);
Values = new[] { endDF };
//3. Get the end discount factor
analyticModelParameters.CommodityForward = endDF;
if (Spread != null)
{
analyticModelParameters.Spread = MarketQuoteHelper.NormaliseGeneralPriceUnits(SpreadQuotationType, Spread, "Price").value;
}
if (bEvalDiscountFactorAtMaturity)
{
//4. Set the anaytic input parameters and Calculate the respective metrics
AnalyticResults =
AnalyticsModel.Calculate <ICommoditySpreadAssetResults, CommoditySpreadAssetResults>(analyticModelParameters,
metricsToEvaluate);
ValueAtMaturity = AnalyticResults.IndexAtMaturity;
}
else
{
//4. Set the anaytic input parameters and Calculate the respective metrics
AnalyticResults =
AnalyticsModel.Calculate <ICommoditySpreadAssetResults, CommoditySpreadAssetResults>(analyticModelParameters,
metricsToEvaluate);
}
return(GetValue(AnalyticResults));
}
/// <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 CommodityAssetAnalytic();
//DependencyCreator.Resolve<IModelAnalytic<ICommodityAssetParameters, CommodityMetrics>>(_modelIdentifier);
var metrics = MetricsHelper.GetMetricsToEvaluate(Metrics, AnalyticsModel.Metrics);
// Determine if DFAM has been requested - if so thats all we evaluate - every other metric is ignored
var bEvalForwardAtMaturity = false;
if (metrics.Contains(CommodityMetrics.IndexAtMaturity))
{
bEvalForwardAtMaturity = true;
metrics.RemoveAll(
metricItem => metricItem != CommodityMetrics.IndexAtMaturity);
}
ICommodityAssetParameters analyticModelParameters = new CommodityAssetParameters();
AnalyticResults = new CommodityAssetResults();
var metricsToEvaluate = metrics.ToArray();
var marketEnvironment = modelData.MarketEnvironment;
//1. instantiate curve
ICommodityCurve commodityCurve = null;
//1. instantiate curve
if (marketEnvironment.GetType() == typeof(SimpleMarketEnvironment))
{
commodityCurve = (ICommodityCurve)((ISimpleMarketEnvironment)marketEnvironment).GetPricingStructure();
CommodityCurveName = commodityCurve.GetPricingStructureId().UniqueIdentifier;
}
if (marketEnvironment.GetType() == typeof(SimpleCommodityMarketEnvironment))
{
commodityCurve = ((ISimpleCommodityMarketEnvironment)marketEnvironment).GetCommodityCurve();
CommodityCurveName = commodityCurve.GetPricingStructureId().UniqueIdentifier;
}
if (marketEnvironment.GetType() == typeof(SwapLegEnvironment))
{
commodityCurve = ((ISwapLegEnvironment)marketEnvironment).GetCommodityCurve();
CommodityCurveName = commodityCurve.GetPricingStructureId().UniqueIdentifier;
}
if (marketEnvironment.GetType() == typeof(MarketEnvironment))
{
commodityCurve = (ICommodityCurve)modelData.MarketEnvironment.GetPricingStructure(CommodityCurveName);
}
//3. Get the Rate
if (CommodityValue != null)
{
analyticModelParameters.CommodityForward = CommodityValue.value;
}
if (bEvalForwardAtMaturity)
{
//4. Set the anaytic input parameters and Calculate the respective metrics
AnalyticResults =
AnalyticsModel.Calculate <ICommodityAssetResults, CommodityAssetResults>(analyticModelParameters,
metricsToEvaluate);
//_forwardAtMaturity = ForwardAtMaturity;
}
else
{
analyticModelParameters.NotionalAmount = NotionalAmount;
IDayCounter dc = Actual365.Instance;
analyticModelParameters.YearFraction = (decimal)dc.YearFraction(modelData.ValuationDate, RiskMaturityDate);
//3. Get the end discount factor - Need to fix this.
analyticModelParameters.CommodityCurveForward =
GetIndexAtMaturity(commodityCurve, GetRiskMaturityDate(), modelData.ValuationDate);
//4. Set the anaytic input parameters and Calculate the respective metrics
AnalyticResults =
AnalyticsModel.Calculate <ICommodityAssetResults, CommodityAssetResults>(analyticModelParameters,
metricsToEvaluate);
}
return(GetValue(AnalyticResults));
}
