private void InitialiseInstance(ILogger logger, ICoreCache cache, string nameSpace, PricingStructureIdentifier curveId,
DateTime baseDate, FxRateSet assetSet, IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar, double tolerance)
{
FixingCalendar = fixingCalendar;
PaymentCalendar = rollCalendar;
// The bootstrapper to use
//
BootstrapperName = Holder.GetValue("Bootstrapper");
var termCurve = new TermCurve
{
extrapolationPermitted =
bool.Parse(Holder.GetValue("ExtrapolationPermitted")),
extrapolationPermittedSpecified = true,
interpolationMethod =
InterpolationMethodHelper.Parse(
Holder.GetValue("BootstrapperInterpolation"))
};
PriceableCommodityAssets = PriceableAssetFactory.CreatePriceableCommodityAssets(logger, cache, nameSpace, curveId.BaseDate, assetSet, fixingCalendar, rollCalendar);
termCurve.point = CommodityBootstrapper.Bootstrap(PriceableCommodityAssets, curveId.BaseDate, termCurve.extrapolationPermitted,
termCurve.interpolationMethod, tolerance);
// Pull out the fx curve and fx curve valuation
//
var quotedAssetSet = PriceableCommodityAssets != null?PriceableAssetFactory.Parse(PriceableCommodityAssets) : assetSet;
var fpmlData = CreateFpMLPair(baseDate, curveId, quotedAssetSet, termCurve);
//Bootstrapper = Bootstrap(bootstrapperName, fpmlData.First, fpmlData.Second);
SetFpMLData(fpmlData);
// Interpolate the DiscountFactor curve based on the respective curve interpolation
//
SetInterpolator(baseDate, Holder);
}
/// <summary>
/// Builds this instance.
/// </summary>
public override void Build(ILogger logger, ICoreCache cache, string nameSpace,
IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
{
PriceableCommodityAssets = PriceableAssetFactory.CreatePriceableCommodityAssets(logger, cache, nameSpace, GetFxCurveValuation().baseDate.Value, GetFxCurveValuation().spotRate, fixingCalendar, rollCalendar);
var termCurve = ((FxCurveValuation)PricingStructureValuation).fxForwardCurve;
termCurve.point = CommodityBootstrapper.Bootstrap(PriceableCommodityAssets, GetFxCurveValuation().baseDate.Value, termCurve.extrapolationPermitted,
termCurve.interpolationMethod);
SetFpMLData(new Pair <PricingStructure, PricingStructureValuation>(PricingStructure, PricingStructureValuation));
SetInterpolator(GetFxCurveValuation().baseDate.Value, Holder);
}
/// <summary>
/// Initializes a new instance of the <see cref="RateCurve"/> class.
/// This constructor is used to clone perturbed copies of a base curve.
/// </summary>
/// <param name="priceableCommodityAssets">The priceable Commodity Assets.</param>
/// <param name="pricingStructureAlgorithmsHolder">The pricingStructureAlgorithmsHolder.</param>
/// <param name="curveProperties">The Curve Properties.</param>
public CommodityCurve(NamedValueSet curveProperties, List <IPriceableCommodityAssetController> priceableCommodityAssets,
PricingStructureAlgorithmsHolder pricingStructureAlgorithmsHolder)
: this(curveProperties, pricingStructureAlgorithmsHolder)
{
var curveId = GetCommodityCurveId();
var termCurve = SetConfigurationData();
PriceableCommodityAssets = priceableCommodityAssets;
termCurve.point = CommodityBootstrapper.Bootstrap(PriceableCommodityAssets, curveId.BaseDate, termCurve.extrapolationPermitted,
termCurve.interpolationMethod, Tolerance);
CreatePricingStructure(curveId, termCurve, PriceableCommodityAssets, null);
// Interpolate the DiscountFactor curve based on the respective curve interpolation
SetInterpolator(curveId.BaseDate, Holder);
}
/// <summary>
/// Initializes a new instance of the <see cref="CommodityCurve"/> class.
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">The client namespace</param>
/// <param name="fpmlData">The FPML data.</param>
/// <param name="properties">The properties.</param>
/// <param name="fixingCalendar">The fixingCalendar.</param>
/// <param name="rollCalendar">The rollCalendar.</param>
public CommodityCurve(ILogger logger, ICoreCache cache, string nameSpace,
Pair <PricingStructure, PricingStructureValuation> fpmlData, NamedValueSet properties,
IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
: base(logger, cache, nameSpace, fpmlData, new CommodityCurveIdentifier(properties))
{
PricingStructureData = new PricingStructureData(CurveType.Parent, AssetClass.Commodity, properties);
if (fpmlData == null)
{
return;
}
FixingCalendar = fixingCalendar;
PaymentCalendar = rollCalendar;
var tempFpML = (FxCurveValuation)fpmlData.Second;
// Use default algorithm name
//
Algorithm = DefaultAlgorithName;
var termCurve = SetConfigurationData();
//SetFpMLData(fpmlData);
BootstrapperName = Holder.GetValue("Bootstrapper");
var bootstrap = PropertyHelper.ExtractBootStrapOverrideFlag(properties);
// If there's no forward points - do build the curve.
//
//This is to catch it when there are no discount factor points.
var discountsAbsent = tempFpML.fxForwardCurve == null ||
tempFpML.fxForwardCurve.point == null ||
tempFpML.fxForwardCurve.point.Length == 0;
if (cache == null)
{
//optimize = true;
bootstrap = false;
}
bool doBuild = (tempFpML.spotRate != null) && discountsAbsent;
if (bootstrap || doBuild)
{
var qas = tempFpML.spotRate;
PriceableCommodityAssets = PriceableAssetFactory.CreatePriceableCommodityAssets(logger, cache, nameSpace, tempFpML.baseDate.Value, qas, fixingCalendar, rollCalendar);
var point = CommodityBootstrapper.Bootstrap(PriceableCommodityAssets, tempFpML.baseDate.Value, termCurve.extrapolationPermitted,
termCurve.interpolationMethod);
((FxCurveValuation)fpmlData.Second).fxForwardCurve.point = point;
}
SetInterpolator(PricingStructureValuation.baseDate.Value, Holder);
}
