/// <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="modelData">The model data.</param>
/// <returns></returns>
public override BasicAssetValuation Calculate(IAssetControllerData modelData)
{
ModelData = modelData;
AnalyticsModel = new CommodityAverageAssetAnalytic();
//DependencyCreator.Resolve<IModelAnalytic<ICommodityAssetParameters, CommodityMetrics>>(_modelIdentifier);
var metrics = MetricsHelper.GetMetricsToEvaluate(Metrics, AnalyticsModel.Metrics);
// Determine if DFAM has been requested - if so thats all we evaluate - every other metric is ignored
var bEvalForwardAtMaturity = false;
if (metrics.Contains(CommodityMetrics.IndexAtMaturity))
{
bEvalForwardAtMaturity = true;
metrics.RemoveAll(
metricItem => metricItem != CommodityMetrics.IndexAtMaturity);
}
ICommodityAverageAssetParameters analyticModelParameters = new CommodityAverageAssetParameters();
AnalyticResults = new CommodityAssetResults();
var metricsToEvaluate = metrics.ToArray();
var marketEnvironment = modelData.MarketEnvironment;
//1. instantiate curve
ICommodityCurve commodityCurve = null;
//1. instantiate curve
if (marketEnvironment.GetType() == typeof(SimpleMarketEnvironment))
{
commodityCurve = (ICommodityCurve)((ISimpleMarketEnvironment)marketEnvironment).GetPricingStructure();
CommodityCurveName = commodityCurve.GetPricingStructureId().UniqueIdentifier;
}
if (marketEnvironment.GetType() == typeof(SimpleCommodityMarketEnvironment))
{
commodityCurve = ((ISimpleCommodityMarketEnvironment)marketEnvironment).GetCommodityCurve();
CommodityCurveName = commodityCurve.GetPricingStructureId().UniqueIdentifier;
}
if (marketEnvironment.GetType() == typeof(SwapLegEnvironment))
{
commodityCurve = ((ISwapLegEnvironment)marketEnvironment).GetCommodityCurve();
CommodityCurveName = commodityCurve.GetPricingStructureId().UniqueIdentifier;
}
if (marketEnvironment.GetType() == typeof(MarketEnvironment))
{
commodityCurve = (ICommodityCurve)modelData.MarketEnvironment.GetPricingStructure(CommodityCurveName);
}
//3. Get the Rate
if (CommodityValue != null)
{
analyticModelParameters.CommodityForward = CommodityValue.value;
}
if (bEvalForwardAtMaturity)
{
//4. Set the anaytic input parameters and Calculate the respective metrics
AnalyticResults =
AnalyticsModel.Calculate <ICommodityAssetResults, CommodityAverageAssetResults>(analyticModelParameters,
metricsToEvaluate);
}
else
{
analyticModelParameters.NotionalAmount = NotionalAmount;
IDayCounter dc = Actual365.Instance;
analyticModelParameters.YearFraction = (decimal)dc.YearFraction(modelData.ValuationDate, RiskMaturityDate);
//3. Get the end discount factor - Need to fix this.
analyticModelParameters.CommodityCurveForward =
GetIndexAtMaturity(commodityCurve, GetRiskMaturityDate(), modelData.ValuationDate);
//4. Set the anaytic input parameters and Calculate the respective metrics
AnalyticResults =
AnalyticsModel.Calculate <ICommodityAssetResults, CommodityAssetResults>(analyticModelParameters,
metricsToEvaluate);
}
return(GetValue(AnalyticResults));
}
