/// <summary>
/// Gets the equity factor.
/// </summary>
/// <param name="equityCurve">The equity curve.</param>
/// <param name="targetDate">The target date.</param>
/// <param name="valuationDate">The valuation date.</param>
/// <returns></returns>
public decimal GetEquityFactor(IEquityCurve equityCurve,
DateTime valuationDate, DateTime targetDate)
{
IPoint point = new DateTimePoint1D(valuationDate, targetDate);
var discountFactor = (decimal)equityCurve.Value(point);
return(discountFactor);
}
/// <summary>
/// Calculates the specified model data.
/// </summary>
/// <param name="modelData">The model data.</param>
/// <returns></returns>
public override BasicAssetValuation Calculate(IAssetControllerData modelData)
{
ModelData = modelData;
if (AnalyticsModel == null)
{
AnalyticsModel = new EquityAssetAnalytic();
//DependencyCreator.Resolve<IModelAnalytic<ISimpleAssetParameters, RateMetrics>>(_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 bEvalIndexAtMaturity = false;
if (metrics.Contains(EquityMetrics.IndexAtMaturity))
{
bEvalIndexAtMaturity = true;
// Remove all metrics except DFAM
//
metrics.RemoveAll(metricItem => metricItem != EquityMetrics.IndexAtMaturity);
}
var metricsToEvaluate = metrics.ToArray();
IEquityAssetParameters analyticModelParameters = new EquityAssetParameters();
CalculationResults = new EquityAssetResults();
var marketEnvironment = modelData.MarketEnvironment;
IEquityCurve equitycurve = null;
//1. instantiate curve
if (marketEnvironment.GetType() == typeof(SimpleMarketEnvironment))
{
equitycurve = (IEquityCurve)((ISimpleMarketEnvironment)marketEnvironment).GetPricingStructure();
}
if (marketEnvironment.GetType() == typeof(MarketEnvironment))
{
equitycurve = (IEquityCurve)modelData.MarketEnvironment.GetPricingStructure(EquityCurveName);
}
if (equitycurve != null)
{
//1. Get the current equity value from the curve.
var equityValue = GetEquityFactor(equitycurve, modelData.ValuationDate, SettlementDate);
//2. Set the market rate
analyticModelParameters.Multiplier = Multiplier;
analyticModelParameters.Quote = QuoteValue;
analyticModelParameters.EquityPrice = equityValue;
analyticModelParameters.NotionalAmount = Notional;
//3. Set the anaytic input parameters and Calculate the respective metrics
AnalyticModelParameters = analyticModelParameters;
CalculationResults = AnalyticsModel.Calculate <IEquityAssetResults, EquityAssetResults>(analyticModelParameters, metricsToEvaluate);
if (bEvalIndexAtMaturity)
{
//4. Set the anaytic input parameters and Calculate the respective metrics
//
IndexAtMaturity = CalculationResults.IndexAtMaturity;
}
return(GetValue(CalculationResults));
}
return(null);
}
/// <summary>
/// Evaluates the implied quote.
/// </summary>
/// <param name="priceableAssets">The priceable assets.</param>
/// <param name="equityCurve"></param>
public NamedValueSet EvaluateImpliedQuote(IPriceableEquityAssetController[] priceableAssets,
IEquityCurve equityCurve)
{
var result = new NamedValueSet();
foreach (IPriceableEquityAssetController priceableAsset in priceableAssets)
{
result.Set(priceableAsset.Id, priceableAsset.CalculateImpliedQuote(equityCurve));
}
return(result);
}
/// <summary>
/// Evaluates the implied quote.
/// </summary>
/// <param name="fxCurve">The rate curve.</param>
/// <param name="priceableAssets">The priceable assets.</param>
public NamedValueSet EvaluateImpliedQuote(IEquityCurve fxCurve, IPriceableEquityAssetController[] priceableAssets)
{
return(EvaluateImpliedQuote(priceableAssets, fxCurve));
}
