/// <summary>
/// Constructor
/// </summary>
/// <param name="asof"></param>
/// <param name="spec"></param>
public FXSpot(Date asof, FXSpotSpec spec, Loader loader)
{
foreach (var md in loader.LoadQuotes(asof))
{
if (md.AsofDate() == asof && md.GetInstrumentType() == MarketDatum.InstrumentType.FX_SPOT)
{
FXSpotQuote q = md as FXSpotQuote;
Utils.QL_REQUIRE(q != null, () => "Failed to cast " + md.Name() + " to FXSpotQuote");
if (q.UnitCcy() == spec.UnitCcy() && q.Ccy() == spec.Ccy())
{
_spot = q.Quote();
return;
}
}
}
Utils.QL_FAIL("Failed to find a quote for " + spec);
}
public TodaysMarket(Date asof, TodaysMarketParameters todaysParams, Loader loader, CurveConfigurations curveConfigs, Conventions conventions) : base(conventions)
{
// Fixings
// Apply them now in case a curve builder needs them
//LOG("Todays Market Loading Fixings");
//applyFixings(loader.loadFixings(), conventions);
//LOG("Todays Market Loading Fixing done.");
// store all curves built, since they might appear in several configurations
// and might therefore be reused
Dictionary <string, YieldCurve> requiredYieldCurves = new Dictionary <string, YieldCurve>();
Dictionary <string, SwapIndex> requiredSwapIndices = new Dictionary <string, SwapIndex>();
Dictionary <string, FXSpot> requiredFxSpots = new Dictionary <string, FXSpot>();
Dictionary <string, FXVolCurve> requiredFxVolCurves = new Dictionary <string, FXVolCurve>();
//Dictionary<string, SwaptionVolCurve> requiredSwaptionVolCurves = new Dictionary<string, SwaptionVolCurve>();
foreach (var configuration in todaysParams.Configurations())
{
//LOG("Build objects in TodaysMarket configuration " << configuration.first);
_asof = asof;
// Build the curve specs
List <CurveSpec> specs = new List <CurveSpec>();
foreach (var it in todaysParams.CurveSpecs(configuration.Key))
{
specs.Add(CurveSpecParser.ParseCurveSpec(it));
//DLOG("CurveSpec: " << specs.back()->name());
}
// order them
//Order(specs, curveConfigs);
bool swapIndicesBuilt = false;
// Loop over each spec, build the curve and add it to the MarketImpl container.
for (int count = 0; count < specs.Count; ++count)
{
var spec = specs[count];
//LOG("Loading spec " << *spec);
switch (spec.BaseType())
{
case CurveSpec.CurveType.Yield:
//YieldCurveSpec ycspec = new YieldCurveSpec(spec);
//Utils.QL_REQUIRE(ycspec != null, () => "Failed to convert spec " + spec + " to yield curve spec");
//// have we built the curve already ?
//auto itr = requiredYieldCurves.find(ycspec->name());
//if (itr == requiredYieldCurves.end())
//{
// // build
// //LOG("Building YieldCurve for asof " << asof);
// YieldCurve yieldCurve = new YieldCurve(asof, *ycspec, curveConfigs, loader, conventions, requiredYieldCurves);
// itr = requiredYieldCurves.insert(make_pair(ycspec->name(), yieldCurve)).first;
//}
////DLOG("Added YieldCurve \"" << ycspec->name() << "\" to requiredYieldCurves map");
//if (itr->second->currency().code() != ycspec->ccy())
//{
// //WLOG("Warning: YieldCurve has ccy " << itr->second->currency() << " but spec has ccy " << ycspec->ccy());
//}
//// We may have to add this spec multiple times (for discounting, yield and forwarding curves)
//List<YieldCurveType> yieldCurveTypes = new List<YieldCurveType>{ YieldCurveType.Discount, YieldCurveType.Yield };
//foreach (var y in yieldCurveTypes)
//{
// MarketObject o = y as MarketObject;
// foreach (auto & it : params.mapping(o, configuration.first))
// {
// if (it.second == spec->name())
// {
// LOG("Adding YieldCurve(" << it.first << ") with spec " << *ycspec << " to configuration " << configuration.first);
// yieldCurves_[make_tuple(configuration.first, y, it.first)] = itr->second->handle();
// }
// }
//}
//for (const auto&it : params.mapping(MarketObject::IndexCurve, configuration.first))
//{
// if (it.second == spec->name())
// {
// LOG("Adding Index(" << it.first << ") with spec " << *ycspec << " to configuration "
// << configuration.first);
// iborIndices_[make_pair(configuration.first, it.first)] =
// Handle<IborIndex>(parseIborIndex(it.first, itr->second->handle()));
// }
//}
break;
case CurveSpec.CurveType.FX:
FXSpotSpec fxspec = spec as FXSpotSpec;
QLNet.Utils.QL_REQUIRE(fxspec != null, () => "Failed to convert spec " + spec + " to fx spot spec");
//// have we built the curve already ?
//var itr = requiredFxSpots.find(fxspec->name());
//if (itr == requiredFxSpots.end())
//{
// // build the curve
// LOG("Building FXSpot for asof " << asof);
// boost::shared_ptr<FXSpot> fxSpot = boost::make_shared<FXSpot>(asof, *fxspec, loader);
// itr = requiredFxSpots.insert(make_pair(fxspec->name(), fxSpot)).first;
//}
//// add the handle to the Market Map (possible lots of times for proxies)
//for (const auto&it : params.mapping(MarketObject::FXSpot, configuration.first))
//{
// if (it.second == spec->name())
// {
// LOG("Adding FXSpot (" << it.first << ") with spec " << *fxspec << " to configuration "
// << configuration.first);
// fxSpots_[configuration.first].addQuote(it.first, itr->second->handle());
// }
//}
break;
default:
throw new NotImplementedException();
}
}
}
}
