//Backs out the implied quotes for the asset provided and adds the spread to it.
//
protected static QuotedAssetSet MappedQuotedAssetSet(ILogger logger, ICoreCache cache,
string nameSpace, IInterpolatedSpace referenceCurve, QuotedAssetSet spreadValues,
NamedValueSet properties, IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
{
var index = 0;
var baseDate = properties.GetValue <DateTime>(CurveProp.BaseDate);
//Find the backed out implied quote for each asset.
//
foreach (var asset in spreadValues.instrumentSet.Items)
{
NamedValueSet namedValueSet = PriceableAssetFactory.BuildPropertiesForAssets(nameSpace, asset.id, baseDate);
var quote = spreadValues.assetQuote[index];
//Get the implied quote to use as the input market quote. Make sure it is rate controller.
var priceableAsset = (PriceableRateAssetController)PriceableAssetFactory.Create(logger, cache, nameSpace, quote, namedValueSet, fixingCalendar, rollCalendar);
var value = priceableAsset.CalculateImpliedQuote(referenceCurve);
//Replace the market quote in the bav and remove the spread.
var quotes = new List <BasicQuotation>(quote.quote);
var impliedQuote = MarketQuoteHelper.ReplaceQuotationByMeasureType("MarketQuote", quotes, value);
var marketQuote = new List <BasicQuotation>(impliedQuote);
spreadValues.assetQuote[index].quote = MarketQuoteHelper.MarketQuoteRemoveSpreadAndNormalise(marketQuote);
index++;
}
return(spreadValues);
}
/// <summary>
/// Gets the vol.
/// </summary>
/// <param name="volCurve">The vol curve.</param>
/// <param name="expiry">The expiry.</param>
/// <returns></returns>
public double GetCurveVolatility(IInterpolatedSpace volCurve, Double expiry)
{
IPoint point = new Point1D(expiry);
var vol = volCurve.Value(point);
return(vol);
}
/// <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 (UseSimpleModel)
{
return(IndexAtMaturity);
}
if (AnalyticsModel == null)
{
AnalyticsModel = new CommodityAverageAssetAnalytic();
}
ICommodityAverageAssetParameters analyticModelParameters = new CommodityAverageAssetParameters
{
StartIndex =
GetIndexAtMaturity(interpolatedSpace,
AdjustedStartDate, BaseDate),
};
//3. Get the Index
//
if (MarketQuote != null)
{
analyticModelParameters.AverageIndex = MarketQuoteHelper.NormalisePriceUnits(MarketQuote, "DecimalRate").value;
}
//4. Set the anaytic input parameters and Calculate the respective metrics
//
AnalyticResults = AnalyticsModel.Calculate <ICommodityAssetResults, CommodityAssetResults>(analyticModelParameters, new[] { CommodityMetrics.IndexAtMaturity });
return(CalculationResults.IndexAtMaturity);
}
/// <summary>
/// Calculates the specified model data.
/// </summary>
/// <param name="interpolatedSpace">The interpolatedSpace.</param>
/// <returns></returns>
public override decimal CalculateImpliedQuote(IInterpolatedSpace interpolatedSpace)
{
AnalyticsModel = new SimpleSwapAssetAnalytic();
//DependencyCreator.Resolve<IModelAnalytic<ISwapAssetParameters, RateMetrics>>("InflationSwapAsset");
ISwapAssetParameters analyticModelParameters = new IRSwapAssetParameters();
AnalyticResults = new RateAssetResults();
//1. instantiate curve
//var curve = (IRateCurve)modelData.MarketEnvironment.GetPricingStructure(_discountCurveName);
//2. Set the rate
analyticModelParameters.Rate = MarketQuoteHelper.NormalisePriceUnits(FixedRate, "DecimalRate").value;
//2. Get the discount factors
analyticModelParameters.DiscountFactors =
GetDiscountFactors(interpolatedSpace, AdjustedPeriodDates.ToArray(), BaseDate);
//3. Get the respective year fractions
analyticModelParameters.YearFractions = GetYearFractions();
//4. Get the Weightings
analyticModelParameters.Weightings =
CreateWeightings(CDefaultWeightingValue, analyticModelParameters.DiscountFactors.Length);
//5. Set the anaytic input parameters and Calculate the respective metrics
AnalyticResults =
AnalyticsModel.Calculate <IRateAssetResults, RateAssetResults>(analyticModelParameters,
new[] { RateMetrics.ImpliedQuote });
return(AnalyticResults.ImpliedQuote);
}
/// <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 RateSpreadAssetAnalytic();
// DependencyCreator.Resolve<IModelAnalytic<ISimpleAssetParameters, RateMetrics>>(_modelIdentifier);
}
//3. Get the Rate
StartDiscountFactor = GetDiscountFactor(interpolatedSpace, AdjustedStartDate, BaseDate);
EndDiscountFactor = GetDiscountFactor(interpolatedSpace, RiskMaturityDate, BaseDate);
ISimpleRateAssetParameters analyticModelParameters = new RateAssetParameters
{
YearFraction = YearFraction,
StartDiscountFactor =
StartDiscountFactor,
EndDiscountFactor =
EndDiscountFactor
};
var fixedRate = GetRate(StartDiscountFactor, EndDiscountFactor, YearFraction);
if (Spread != null)
{
analyticModelParameters.Rate = fixedRate + MarketQuoteHelper
.NormaliseGeneralPriceUnits(SpreadQuotationType, Spread,
"DecimalRate").value;
}
AnalyticResults = new RateSpreadAssetResults();
//4. Set the anaytic input parameters and Calculate the respective metrics
//
AnalyticResults =
AnalyticsModel.Calculate <IRateSpreadAssetResults, RateSpreadAssetResults>(analyticModelParameters,
new[] { RateSpreadMetrics.ImpliedQuote });
return(AnalyticResults.ImpliedQuote);
}
/// <summary>
/// Calculates the specified metric for the fast bootstrapper.
/// </summary>
/// <param name="interpolatedSpace">The intepolated Space.</param>
/// <returns></returns>
public override decimal CalculateDiscountFactorAtMaturity(IInterpolatedSpace interpolatedSpace)
{
if (AnalyticsModel == null)
{
AnalyticsModel = new ZeroCouponRateAssetAnalytic();
// DependencyCreator.Resolve<IModelAnalytic<ISimpleAssetParameters, RateMetrics>>(_modelIdentifier);
}
IZeroRateAssetParameters analyticModelParameters = new ZeroRateAssetParameters
{
YearFraction = YearFraction,
PeriodAsTimesPerYear =
CompoundingHelper.
PeriodFractionFromCompoundingFrequency(
BaseDate, CompoundingFrequency,
DayCountFraction),
StartDiscountFactor =
GetDiscountFactor(interpolatedSpace,
BaseDate, BaseDate)
};
//2. get start df = curve.getvalue(this._adjustedStartDate);
//
//3. Get the Rate
//
if (FixedRate != null)
{
analyticModelParameters.Rate = MarketQuoteHelper.NormalisePriceUnits(FixedRate, "DecimalRate").value;
}
CalculationResults = new RateAssetResults();
//4. Set the anaytic input parameters and Calculate the respective metrics
//
CalculationResults = AnalyticsModel.Calculate <IRateAssetResults, RateAssetResults>(analyticModelParameters, new[] { RateMetrics.DiscountFactorAtMaturity });
return(CalculationResults.DiscountFactorAtMaturity);
}
/// <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)
{
ISimpleOptionAssetParameters analyticModelParameters = new SimpleRateOptionAssetParameters();
//{
// YearFraction = YearFraction,
// TimeToExpiry = TimeToExpiry,
// StartDiscountFactor =
// GetDiscountFactor(interpolatedSpace,
// AdjustedStartDate, BaseDate),
// EndDiscountFactor =
// GetDiscountFactor(interpolatedSpace,
// GetRiskMaturityDate(), BaseDate),
// Volatility = Volatility
//};
//3. Get the Rate
//
//if (Volatility != null)
//{
// analyticModelParameters.Rate = MarketQuoteHelper.NormalisePriceUnits(FixedRate, "DecimalRate").value;
//}
AnalyticResults = new SimpleRateOptionAssetResults();
//4. Set the anaytic input parameters and Calculate the respective metrics
//
AnalyticResults = AnalyticsModel.Calculate <ISimpleRateOptionAssetResults, SimpleRateOptionAssetResults>(analyticModelParameters, new[] { RateOptionMetrics.ImpliedQuote });
return(AnalyticResults.ImpliedQuote);
}
/// <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 InflationAssetAnalytic();
// DependencyCreator.Resolve<IModelAnalytic<ISimpleAssetParameters, RateMetrics>>(_modelIdentifier);
}
ISimpleDualAssetParameters analyticModelParameters = new DualRateAssetParameters
{
YearFraction = YearFraction,
StartDiscountFactor =
GetDiscountFactor(interpolatedSpace,
AdjustedStartDate, BaseDate),
EndDiscountFactor =
GetDiscountFactor(interpolatedSpace,
GetRiskMaturityDate(), BaseDate)
};
//3. Get the Rate
//
if (FixedRate != null)
{
analyticModelParameters.Rate = MarketQuoteHelper.NormalisePriceUnits(FixedRate, "DecimalRate").value;
}
AnalyticResults = new RateAssetResults();
//4. Set the anaytic input parameters and Calculate the respective metrics
//
AnalyticResults = AnalyticsModel.Calculate <IRateAssetResults, RateAssetResults>(analyticModelParameters, new[] { RateMetrics.ImpliedQuote });
return(AnalyticResults.ImpliedQuote);
}
/// <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>
/// Gets the index.
/// </summary>
/// <param name="commodityCurve">The fx curve.</param>
/// <param name="targetDate">The target date.</param>
/// <param name="valuationDate">The valuation date.</param>
/// <returns></returns>
public decimal GetIndexAtMaturity(IInterpolatedSpace commodityCurve, DateTime targetDate,
DateTime valuationDate)
{
var point = new DateTimePoint1D(valuationDate, targetDate);
var discountFactor = (decimal)commodityCurve.Value(point);
return(discountFactor);
}
/// <summary>
/// Gets the index.
/// </summary>
/// <param name="discountFactorCurve">The discount factor curve.</param>
/// <param name="targetDate">The target date.</param>
/// <param name="valuationDate">The valuation date.</param>
/// <returns></returns>
protected decimal GetIndex(IInterpolatedSpace discountFactorCurve, DateTime targetDate,
DateTime valuationDate)
{
IPoint point = new DateTimePoint1D(valuationDate, targetDate);
var discountFactor = (decimal)discountFactorCurve.Value(point);
return(discountFactor);
}
/// <summary>
/// Gets the vols.
/// </summary>
/// <param name="volCurve">The vol curve.</param>
/// <param name="timesToExpiry">The times To Expiry.</param>
/// <returns></returns>
public List <double> GetCurveVolatilties(IInterpolatedSpace volCurve, List <double> timesToExpiry)
{
var vol = new List <double>();
foreach (var time in timesToExpiry)
{
vol.Add(GetCurveVolatility(volCurve, time));
}
return(vol);
}
/// <summary>
/// Gets the discount factor.
/// </summary>
/// <param name="discountFactorCurve">The discount factor curve.</param>
/// <param name="targetDates">The target dates.</param>
/// <param name="valuationDate">The valuation date.</param>
/// <returns></returns>
public decimal[] GetDiscountFactors(IInterpolatedSpace discountFactorCurve, DateTime[] targetDates,
DateTime valuationDate)
{
var discountFactors = new List <decimal>();
foreach (var date in targetDates)
{
discountFactors.Add(GetDiscountFactor(discountFactorCurve, date, valuationDate));
}
return(discountFactors.ToArray());
}
/// <summary>
/// Initializes a new instance of the <see cref="RateAssetQuote"/> class.
/// </summary>
/// <param name="priceableAsset">The priceable asset.</param>
/// <param name="baseDate">The base date.</param>
/// <param name="interpolation">The interpolation.</param>
/// <param name="extrapolation">if set to <c>true</c> [extrapolation].</param>
/// <param name="dfs">The discount factors.</param>
/// <param name="baseCurve">The base curve i.e. the OIS discount curve.</param>
/// <param name="tolerance">The tolerance.</param>
public ClearedRateAssetQuote(IPriceableClearedRateAssetController priceableAsset, DateTime baseDate, InterpolationMethod interpolation,
bool extrapolation, IDictionary <DateTime, double> dfs, IInterpolatedSpace baseCurve, double tolerance)
{
PriceableClearedRateAsset = priceableAsset;
BaseCurve = baseCurve;
BaseDate = baseDate;
Dfs = dfs;
InterpolationMethod = interpolation;
Extrapolation = extrapolation;
Tolerance = tolerance;
Quote = MarketQuoteHelper.NormalisePriceUnits(priceableAsset.MarketQuote, "DecimalRate").value;
}
/// <summary>
/// Calculates the specified metric for the fast bootstrapper.
/// </summary>
/// <param name="interpolatedSpace">The intepolated Space.</param>
/// <param name="discountedSpace">The OIS Space.</param>
/// <returns></returns>
public Decimal CalculateImpliedQuote(IInterpolatedSpace interpolatedSpace, IInterpolatedSpace discountedSpace)
{
switch (ModelIdentifier)
{
case "SwapAsset":
AnalyticsModel = new SwapAssetAnalytic();
break;
case "DiscountSwapAsset":
AnalyticsModel = new DiscountSwapAssetAnalytic();
break;
}
//1. Set the basic parameters.
ISwapAssetParameters analyticModelParameters = new IRSwapAssetParameters
{
NotionalAmount = Notional,
//2. Get the discount factors
DiscountFactors = GetDiscountFactors(discountedSpace, AdjustedPeriodDates.ToArray(), BaseDate),
//3. Get the respective year fractions
YearFractions = YearFractions,
Rate = MarketQuoteHelper.NormalisePriceUnits(FixedRate, "DecimalRate").value
};
//2. Get any rates that have reset.
if (ForwardRates != null)
{
analyticModelParameters.FloatingLegForwardRates = ForwardRates;
}
//4. Get the Weightings
analyticModelParameters.Weightings =
CreateWeightings(CDefaultWeightingValue, analyticModelParameters.DiscountFactors.Length - 1);
analyticModelParameters.FloatingLegDiscountFactors =
GetDiscountFactors(discountedSpace, FloatingLegAdjustedPeriodDates.ToArray(), BaseDate);
//6. Get the respective fixed leg year fractions
analyticModelParameters.FloatingLegYearFractions = FloatingLegYearFractions;
//7. Get the Fixed Leg Weightings
analyticModelParameters.FloatingLegWeightings = FloatingLegWeightings;
//8. Get the forecast curve discount factors.
analyticModelParameters.FloatingLegForecastDiscountFactors =
GetDiscountFactors(interpolatedSpace, FloatingLegAdjustedPeriodDates.ToArray(), BaseDate);
AnalyticResults = new RateAssetResults();
//4. Set the analytic input parameters and Calculate the respective metrics
//
if (AnalyticsModel != null)
{
AnalyticResults = AnalyticsModel.Calculate <IRateAssetResults, RateAssetResults>(analyticModelParameters, new[] { RateMetrics.ImpliedQuote });
}
return(AnalyticResults.ImpliedQuote);
}
/// <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)
{
switch (ModelIdentifier)
{
case "SwapAsset":
case "SimpleSwapAsset":
case "ClearedSwapAsset":
AnalyticsModel = new SimpleSwapAssetAnalytic();
break;
case "DiscountSwapAsset":
case "SimpleDiscountSwapAsset":
case "DiscountClearedSwapAsset":
AnalyticsModel = new SimpleDiscountSwapAssetAnalytic();
break;
}
}
ISwapAssetParameters analyticModelParameters = new IRSwapAssetParameters
{
NotionalAmount = Notional,
//2. Get the discount factors
DiscountFactors =
GetDiscountFactors(interpolatedSpace,
AdjustedPeriodDates.ToArray(),
BaseDate),
//3. Get the respective year fractions
YearFractions = YearFractions,
Rate =
MarketQuoteHelper.NormalisePriceUnits(
FixedRate, "DecimalRate").value
};
//4. Get the Weightings
analyticModelParameters.Weightings =
CreateWeightings(CDefaultWeightingValue, analyticModelParameters.DiscountFactors.Length - 1);
AnalyticResults = new RateAssetResults();
//4. Set the anaytic input parameters and Calculate the respective metrics
//
if (AnalyticsModel != null)
{
AnalyticResults = AnalyticsModel.Calculate <IRateAssetResults, RateAssetResults>(analyticModelParameters, new[] { RateMetrics.ImpliedQuote });
}
return(AnalyticResults.ImpliedQuote);
}
/// <summary>
///
/// </summary>
/// <param name="interpolatedSpace"></param>
/// <returns>The premium</returns>
public override decimal CalculateImpliedQuote(IInterpolatedSpace interpolatedSpace)
{
//Check the curves. If they are null use the market quote.
if (DiscountCurve != null && ForecastCurve != null)
{
//1. Copy the vols.
var volatilities = GetCurveVolatilties(interpolatedSpace, TimesToExpiry);
//Currently onlt non-discounted caps are avialable.
var notionals = CreateList(InitialNotional, TimesToExpiry.Count);
//2.The premium of the flat volatility must be calculated.
var analyticsModel = new RateOptionAssetAnalytic();
if (Strike != null)
{
var strikes = CreateList((decimal)Strike, TimesToExpiry.Count);
var analyticModelParameters = new RateOptionAssetParameters
{
PaymentDiscountFactors = GetDiscountFactors(DiscountCurve, AdjustedPeriodDates.ToArray(), BaseDate),
ForecastDiscountFactors = GetDiscountFactors(ForecastCurve, AdjustedPeriodDates.ToArray(), BaseDate),
Volatilities = volatilities,
YearFractions = GetYearFractions(),
Strikes = strikes,
TimesToExpiry = TimesToExpiry,
IsDiscounted = false,
IsPut = !IsCap,
Notionals = notionals
};
//3. Solve for the forward volatility that has the same premium.
var metrics = new[] { RateOptionMetrics.NPV };
var analyticResults =
analyticsModel.Calculate <IRateOptionAssetResults, RateOptionAssetResults>(analyticModelParameters,
metrics);
decimal calculatedPremium;
if (IncludeFirstPeriod)
{
calculatedPremium = (decimal)SumDoubleList(analyticResults.NPV, 0);
}
else
{
calculatedPremium = (decimal)SumDoubleList(analyticResults.NPV, 1);
}
return(calculatedPremium);
}
}
return(0.0m);
}
/// <summary>
/// Calculates the specified metric for the fast bootstrapper.
/// </summary>
/// <param name="interpolatedSpace">The intepolated Space.</param>
/// <returns></returns>
public override decimal CalculateDiscountFactorAtMaturity(IInterpolatedSpace interpolatedSpace)
{
if (AnalyticsModel == null)
{
switch (ModelIdentifier)
{
case "SwapAsset":
case "SimpleSwapAsset":
case "ClearedSwapAsset":
AnalyticsModel = new SimpleSwapAssetAnalytic();
break;
case "DiscountSwapAsset":
case "SimpleDiscountSwapAsset":
case "DiscountClearedSwapAsset":
AnalyticsModel = new SimpleDiscountSwapAssetAnalytic();
break;
}
}
ISwapAssetParameters analyticModelParameters = new IRSwapAssetParameters()
{
YearFractions = YearFractions,
StartDiscountFactor = GetDiscountFactor(interpolatedSpace, AdjustedStartDate, BaseDate)
};
//3. Get the Rate
//
if (FixedRate != null)
{
analyticModelParameters.Rate = MarketQuoteHelper.NormalisePriceUnits(FixedRate, "DecimalRate").value;
}
AnalyticResults = new RateAssetResults();
//4. Set the anaytic input parameters and Calculate the respective metrics
//
if (AnalyticsModel == null)
{
return(1.0m);
}
AnalyticResults = AnalyticsModel.Calculate <IRateAssetResults, RateAssetResults>(analyticModelParameters,
new[] { RateMetrics.DiscountFactorAtMaturity });
return(AnalyticResults.DiscountFactorAtMaturity);
}
/// <summary>
/// Calculates the specified model data.
/// </summary>
/// <param name="interpolatedSpace">The interpolatedSpace.</param>
/// <returns></returns>
public override decimal CalculateDiscountFactorAtMaturity(IInterpolatedSpace interpolatedSpace)
{
AnalyticsModel = new SwapAssetAnalytic();
//DependencyCreator.Resolve<IModelAnalytic<ISwapAssetParameters, RateMetrics>>("InflationSwapAsset");
ISwapAssetParameters analyticModelParameters = new IRSwapAssetParameters();
AnalyticResults = new RateAssetResults();
//1. instantiate curve
//var curve = (IRateCurve)modelData.MarketEnvironment.GetPricingStructure(_discountCurveName);
//2. Set the rate
analyticModelParameters.Rate = MarketQuoteHelper.NormalisePriceUnits(FixedRate, "DecimalRate").value;
//3. Set the start diccount factor
analyticModelParameters.StartDiscountFactor =
GetDiscountFactor(interpolatedSpace, AdjustedStartDate, BaseDate);
//4. Get the respective year fractions
analyticModelParameters.YearFractions = GetYearFractions();
//5. Set the anaytic input parameters and Calculate the respective metrics
AnalyticResults =
AnalyticsModel.Calculate <IRateAssetResults, RateAssetResults>(analyticModelParameters,
new[] { RateMetrics.DiscountFactorAtMaturity });
return(AnalyticResults.DiscountFactorAtMaturity);
}
/// <summary>
/// Calculates the specified metric for the fast bootstrapper.
/// </summary>
/// <param name="interpolatedSpace">The interpolated Space.</param>
/// <returns></returns>
public override decimal CalculateDiscountFactorAtMaturity(IInterpolatedSpace interpolatedSpace)
{
if (AnalyticsModel == null)
{
switch (ModelIdentifier)
{
case "SwapAsset":
case "ClearedSwapAsset":
AnalyticsModel = new SimpleSwapAssetAnalytic(); //
break;
}
}
ISwapAssetParameters analyticModelParameters = new IRSwapAssetParameters
{
YearFractions = YearFractions,
StartDiscountFactor =
GetDiscountFactor(interpolatedSpace,
AdjustedStartDate, BaseDate),
Rate =
CalculateImpliedQuote(interpolatedSpace) +
MarketQuoteHelper
.NormaliseGeneralPriceUnits(QuotationType, Spread,
"DecimalRate").value
};
//3. Set the implied Rate with a spread
//
AnalyticResults = new RateAssetResults();
//4. Set the anaytic input parameters and Calculate the respective metrics
//
if (AnalyticsModel != null)
{
AnalyticResults = AnalyticsModel.Calculate <IRateAssetResults, RateAssetResults>(analyticModelParameters, new[] { RateMetrics.DiscountFactorAtMaturity });
}
return(AnalyticResults.DiscountFactorAtMaturity);
}
/// <summary>
///
/// </summary>
/// <param name="interpolatedSpace"></param>
/// <returns></returns>
public override decimal CalculateImpliedQuote(IInterpolatedSpace interpolatedSpace)
{
return(Quote.value);
}
///<summary>
///</summary>
///<param name="interpolatedSpace"></param>
///<returns>The spread calculated from the curve provided and the marketquote of the asset.</returns>
public override decimal CalculateSpreadQuote(IInterpolatedSpace interpolatedSpace)
{
return(Spread.value);
}
///<summary> ///</summary> ///<param name="interpolatedSpace"></param> ///<returns>The spread calculated from the curve provided and the market quote of the asset.</returns> public abstract decimal CalculateSpreadQuote(IInterpolatedSpace interpolatedSpace);
/// <summary> /// Calculates the specified metric for the fast bootstrapper. /// </summary> /// <param name="interpolatedSpace">The interpolated Space.</param> /// <returns></returns> public abstract decimal CalculateImpliedQuoteWithSpread(IInterpolatedSpace interpolatedSpace);
///<summary>
///</summary>
///<param name="interpolatedSpace"></param>
///<returns></returns>
public override decimal CalculateImpliedQuote(IInterpolatedSpace interpolatedSpace)
{
throw new NotImplementedException();
}
/// <summary>
///
/// </summary>
/// <param name="interpolatedSpace"></param>
/// <returns></returns>
public override decimal CalculateImpliedQuote(IInterpolatedSpace interpolatedSpace)
{
return(Quote.value);//TODO This will only work for ytm quotes.
}
/// <summary>
///
/// </summary>
/// <param name="interpolatedSpace"></param>
/// <returns></returns>
public override decimal CalculateImpliedQuote(IInterpolatedSpace interpolatedSpace)
{
return(IndexAtMaturity);
}
/// <summary>
/// Gets the discount factor.
/// </summary>
/// <param name="discountFactorCurve">The discount factor curve.</param>
/// <param name="targetDates">The target dates.</param>
/// <param name="valuationDate">The valuation date.</param>
/// <returns></returns>
public decimal[] GetDiscountFactors(IInterpolatedSpace discountFactorCurve, DateTime[] targetDates,
DateTime valuationDate)
{
return(targetDates.Select(date => GetDiscountFactor(discountFactorCurve, date, valuationDate)).ToArray());
}
///<summary> ///</summary> ///<param name="interpolatedSpace"></param> ///<returns></returns> public abstract decimal CalculateDiscountFactorAtMaturity(IInterpolatedSpace interpolatedSpace);
///<summary>
///</summary>
///<param name="interpolatedSpace"></param>
///<returns>The spread calculated from the curve provided and the marketquote of the asset.</returns>
public override decimal CalculateSpreadQuote(IInterpolatedSpace interpolatedSpace)
{
return(MarketQuote.value - CalculateImpliedQuote(interpolatedSpace));
}