/// <summary>
/// Gets the quoted asset set.
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">The client namespace</param>
/// <param name="fixingCalendar">The fixingCalendar.</param>
/// <param name="rollCalendar">The rollCalendar.</param>
/// <returns></returns>
public override void Build(ILogger logger, ICoreCache cache, string nameSpace, IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
{
var curveId = (VolatilitySurfaceIdentifier)PricingStructureIdentifier;
//TODO This for backwards compatability. AnalyticalResults is the current interface.
BootstrapResults = new VolCurveBootstrapResults();
PriceableOptionAssets = PriceableAssetFactory.CreatePriceableRateOptionAssets(logger, cache, nameSpace, GetVolatilityMatrix().baseDate.Value, GetVolatilityMatrix().inputs, fixingCalendar, rollCalendar);
//GetVolatilityMatrix().dataPoints = null;
MultiDimensionalPricingData dataPoints = GetVolatilityMatrix().dataPoints;
DateTime baseDate = GetVolatilityMatrix().baseDate.Value;
var interpolationMethod = InterpolationMethod;
var extrapolationPermitted = ExtrapolationPermittedInput ?? ExtrapolationPermitted;
BootstrapResults.Results = CapFloorBootstrapper.Bootstrap(PriceableOptionAssets, curveId.Properties, DiscountCurve, ForecastCurve, baseDate, extrapolationPermitted, interpolationMethod, Tolerance);
IsBootstrapSuccessful = true;
InitialiseVolatilities(curveId.BaseDate, BootstrapResults.Results);
//The points use tenor strings for expiry.
var termTenors = new List <String>();
foreach (var daysDifference in VolatilityOffsets)
{
termTenors.Add(daysDifference + "D");
}
dataPoints.point = ProcessRawSurface(termTenors, Strike, VolatilityValues, curveId.StrikeQuoteUnits, curveId.UnderlyingAssetReference);
SetInterpolator(dataPoints, curveId.Algorithm, curveId.PricingStructureType);
}
public CapVolatilityCurve(ILogger logger, ICoreCache cache, string nameSpace, NamedValueSet properties, QuotedAssetSet instrumentData,
IRateCurve discountCurve, IRateCurve forecastCurve, IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
: this(logger, cache, nameSpace, new VolatilitySurfaceIdentifier(properties), fixingCalendar, rollCalendar)
{
DiscountCurve = discountCurve;
ForecastCurve = forecastCurve;
var curveId = GetCurveId();
var volCurve = SetConfigurationData();
//TODO This for backwards compatability. AnalyticalResults is the current interface.
Handle = properties.GetString(CurveProp.EngineHandle, null);
BootstrapResults = new VolCurveBootstrapResults();
//Set the underlying asset information.
var instrument = properties.GetString(CurveProp.Instrument, true);
Asset = new AnyAssetReference {
href = instrument
};
UnderlyingAssetDetails = CreateUnderlyingAssetWithProperties();
var extrapolationPermitted = ExtrapolationPermittedInput ?? ExtrapolationPermitted;
PriceableOptionAssets = PriceableAssetFactory.CreatePriceableRateOptionAssets(logger, cache, nameSpace, curveId.BaseDate, instrumentData, fixingCalendar, rollCalendar);
BootstrapResults.Results = CapFloorBootstrapper.Bootstrap(PriceableOptionAssets, properties, DiscountCurve, ForecastCurve, curveId.BaseDate, extrapolationPermitted,
InterpolationMethod, Tolerance);
IsBootstrapSuccessful = true;
InitialiseVolatilities(curveId.BaseDate, BootstrapResults.Results);
QuoteUnits = EnumHelper.Parse <QuoteUnitsEnum>(properties.GetValue(CurveProp.QuoteUnits, QuoteUnitsEnum.LogNormalVolatility.ToString()));
MeasureType = EnumHelper.Parse <MeasureTypesEnum>(properties.GetValue(CurveProp.MeasureType, MeasureTypesEnum.Volatility.ToString()));
StrikeQuoteUnits = EnumHelper.Parse <StrikeQuoteUnitsEnum>(properties.GetValue(CurveProp.StrikeQuoteUnits, StrikeQuoteUnitsEnum.ATMFlatMoneyness.ToString()));
//If there is a strike specified for the curve, use it!
IsATMBootstrap = true;
Strike = curveId.Strike;
if (Strike != null)
{
ValidateStrike((decimal)Strike);
IsFixedStrikeBootstrap = true;
IsATMBootstrap = false;
}
if (StrikeQuoteUnits == StrikeQuoteUnitsEnum.ATMFlatMoneyness || StrikeQuoteUnits == StrikeQuoteUnitsEnum.ATMMoneyness)
{
IsFixedStrikeBootstrap = false;
}
//The points use tenor strings for expiry.
var termTenors = new List <String>();
foreach (var daysDifference in VolatilityOffsets)
{
termTenors.Add(daysDifference + "D");
}
volCurve.point = ProcessRawSurface(termTenors, Strike, VolatilityValues, curveId.StrikeQuoteUnits, curveId.UnderlyingAssetReference);
// Interpolate the curve based on the respective curve interpolation
SetInterpolator(volCurve, curveId.Algorithm, curveId.PricingStructureType);
CreatePricingStructure(curveId, volCurve, instrumentData);
}
