//Clones a curve, maps the quoted assets specified and then returns an FpML structure back.
//
/// <summary>
///
/// </summary>
/// <param name="logger"></param>
/// <param name="cache"></param>
/// <param name="nameSpace"></param>
/// <param name="referenceCurve"></param>
/// <param name="spreadValues"></param>
/// <param name="properties"></param>
/// <param name="fixingCalendar"></param>
/// <param name="rollCalendar"></param>
/// <returns></returns>
public static Pair <PricingStructure, PricingStructureValuation> ProcessQuotedAssetSet(ILogger logger, ICoreCache cache,
string nameSpace, IRateCurve referenceCurve,
QuotedAssetSet spreadValues, NamedValueSet properties, IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
{
var pricingStructureId = new RateCurveIdentifier(properties);
Pair <PricingStructure, PricingStructureValuation> fpml = null;
if (pricingStructureId.PricingStructureType != PricingStructureTypeEnum.RateBasisCurve)
{
//Clone the ref curves.
//
fpml = CloneCurve(referenceCurve.GetFpMLData(), pricingStructureId.UniqueIdentifier);
//var ycCurveCloned = (YieldCurve)fpml.First;
var ycvCurveCloned = (YieldCurveValuation)fpml.Second;
// assign id to the cloned YieldCurve
//
ycvCurveCloned.discountFactorCurve.point = null;
ycvCurveCloned.zeroCurve = null;
ycvCurveCloned.forwardCurve = null;
//Manipulate the quoted asset set.
//
ycvCurveCloned.inputs = MappedQuotedAssetSet(logger, cache, nameSpace, referenceCurve, spreadValues, properties, fixingCalendar, rollCalendar);
}
return(fpml);
}