public string[] IrCurves(IAssetFxModel model)
{
if (FxConversionType == FxConversionType.None && model.GetPriceCurve(AssetId).Currency == PaymentCurrency)
{
return new[] { DiscountCurve }
}
;
else
{
if (IsFx)
{
var fxCurve = model.FundingModel.FxMatrix.DiscountCurveMap[PaymentCurrency];
var ccy1 = model.FundingModel.GetCurrency(AssetId.Split('/')[0]);
var ccy2 = model.FundingModel.GetCurrency(AssetId.Split('/')[1]);
var ccy1Curve = model.FundingModel.FxMatrix.DiscountCurveMap[ccy1];
var ccy2Curve = model.FundingModel.FxMatrix.DiscountCurveMap[ccy2];
var assetCurveCcy = model.GetPriceCurve(AssetId).Currency;
var assetCurve = model.FundingModel.FxMatrix.DiscountCurveMap[assetCurveCcy];
return((new[] { DiscountCurve, fxCurve, assetCurve, ccy1Curve, ccy2Curve }).Distinct().ToArray());
}
else
{
var fxCurve = model.FundingModel.FxMatrix.DiscountCurveMap[PaymentCurrency];
var assetCurveCcy = model.GetPriceCurve(AssetId).Currency;
var assetCurve = model.FundingModel.FxMatrix.DiscountCurveMap[assetCurveCcy];
return((new[] { DiscountCurve, fxCurve, assetCurve }).Distinct().ToArray());
}
}
}
public string[] IrCurves(IAssetFxModel model)
{
if (IsFx)
{
var ccys = AssetId.Split('/');
var c1 = model.FundingModel.FxMatrix.GetDiscountCurve(ccys[0]);
var c2 = model.FundingModel.FxMatrix.GetDiscountCurve(ccys[1]);
return((new[] { DiscountCurve, c1, c2 }).Distinct().Where(x => !string.IsNullOrWhiteSpace(x)).ToArray());
}
else
{
if (string.IsNullOrEmpty(FxPair(model)))
{
return new[] { DiscountCurve }
}
;
else
{
var fxCurve = model.FundingModel.FxMatrix.DiscountCurveMap[PaymentCurrency];
var assetCurveCcy = model.GetPriceCurve(AssetId).Currency;
var assetCurve = model.FundingModel.FxMatrix.DiscountCurveMap[assetCurveCcy];
return((new[] { DiscountCurve, fxCurve, assetCurve }).Distinct().ToArray());
}
}
}
