/// <summary>
/// Gets and sets the required pricing structures to value this leg.
/// </summary>
public override List <string> GetRequiredPricingStructures()
{
var result = new List <string>();
if (future.currency != null && future.exchangeId != null)
{
var items = future.id.Split('-');
if (items.Length > 2)
{
var exchangeTradeCurve = CurveNameHelpers.GetExchangeTradedCurveName(future.currency.Value,
future.exchangeId.Value, items[2]);
result.Add(exchangeTradeCurve);
}
}
if (future.currency != null)
{
var discountCurve = CurveNameHelpers.GetDiscountCurveName(future.currency.Value, true);
result.Add(discountCurve);
if (unitPrice.currency != null && unitPrice.currency.Value != future.currency.Value)
{
var discountCurve2 = CurveNameHelpers.GetDiscountCurveName(unitPrice.currency, true);
result.Add(discountCurve2);
}
}
return(result);
}
/// <summary>
/// Gets and sets the required pricing structures to value this leg.
/// </summary>
public override List <String> GetRequiredPricingStructures()//TODO Need to add the case of floaters where there is a forecast curve.
{
var result = new List <String>();
if (bond?.Item is string && bond.currency != null)
{
var tempId = bond.id.Split('-');
var bondId = tempId[0];
if (tempId.Length > 2)
{
bondId = tempId[2];
}
var bondCurve = CurveNameHelpers.GetBondCurveName(bond.currency.Value, bondId);
result.Add(bondCurve);
}
if (bond?.currency != null)
{
var discountCurve = CurveNameHelpers.GetDiscountCurveName(bond.currency.Value, true);
result.Add(discountCurve);
if (notionalAmount.currency != null && notionalAmount.currency.Value != bond.currency.Value)
{
var discountCurve2 = CurveNameHelpers.GetDiscountCurveName(notionalAmount.currency, true);
result.Add(discountCurve2);
}
}
return(result);
}
/// <summary>
/// Gets and sets the required pricing structures to value this leg.
/// </summary>
public override List <String> GetRequiredPricingStructures()
{
var result = new List <String>();
if (property?.location != null && property.currency != null)
{
var tempId = property.id.Split('-');
var bondId = tempId[0];
if (tempId.Length > 2)
{
bondId = tempId[2];
}
var bondCurve = CurveNameHelpers.GetPropertyCurveName(property.currency.Value, bondId);
result.Add(bondCurve);
}
if (property?.currency != null)
{
var discountCurve = CurveNameHelpers.GetDiscountCurveName(property.currency.Value, true);
result.Add(discountCurve);
if (notionalAmount.currency != null && notionalAmount.currency.Value != property.currency.Value)
{
var discountCurve2 = CurveNameHelpers.GetDiscountCurveName(notionalAmount.currency, true);
result.Add(discountCurve2);
}
}
return(result);
}
/// <summary>
/// Gets and sets the required pricing structures to value this leg.
/// </summary>
public List <String> GetRequiredPricingStructures()
{
var result = new List <String>();
if (calculationPeriodAmount.Item is Calculation amount)
{
var currency = XsdClassesFieldResolver.CalculationGetNotionalSchedule(amount);
if (currency?.notionalStepSchedule != null)
{
var discountCurve = CurveNameHelpers.GetDiscountCurveName(currency.notionalStepSchedule.currency, true);
result.Add(discountCurve);
}
if (amount.Items[0] is FloatingRateCalculation floatingRateCalculation)
{
result.Add(CurveNameHelpers.GetForecastCurveName(floatingRateCalculation.floatingRateIndex, floatingRateCalculation.indexTenor));
}
}
//TODO
if (stubCalculationPeriodAmount != null)
{
if (stubCalculationPeriodAmount.initialStub?.Items != null)
{
result.AddRange(from value in stubCalculationPeriodAmount.initialStub.Items
where value is Money
select CurveNameHelpers.GetDiscountCurveName(((Money)value).currency, true));
}
if (stubCalculationPeriodAmount.finalStub?.Items != null)
{
result.AddRange(from value in stubCalculationPeriodAmount.finalStub.Items
where value is Money
select CurveNameHelpers.GetDiscountCurveName(((Money)value).currency, true));
}
}
return(result);
}
/// <summary>
/// Gets and sets the required pricing structures to value this leg.
/// </summary>
public List <String> GetRequiredVolatilitySurfaces()
{
var result = new List <String> {
CurveNameHelpers.GetRateVolatilityMatrixName(this)
};
return(result);
}
/// <summary>
/// Gets and sets the required pricing structures to value this leg.
/// </summary>
public List <String> GetRequiredPricingStructures()
{
var result = new List <String>();
if (currency != null)
{
var discountCurve = CurveNameHelpers.GetDiscountCurveName(currency, true);
result.Add(discountCurve);
}
return(result);
}
/// <summary>
/// Gets and sets the required pricing structures to value this leg.
/// </summary>
public List <String> GetRequiredPricingStructures()
{
var result = new List <String>();
if (presentValuePrincipalExchangeAmount.currency != null)
{
var discountCurve = CurveNameHelpers.GetDiscountCurveName(presentValuePrincipalExchangeAmount.currency, true);
result.Add(discountCurve);
}
return(result);
}
/// <summary>
/// Gets and sets the required pricing structures to value this leg.
/// </summary>
public List <string> GetRequiredVolatilitySurfaces()
{
var result = new List <String>();
if (calculationPeriodAmount.Item is Calculation amount)
{
if (amount.Items[0] is FloatingRateCalculation floatingRateCalculation)
{
result.Add(CurveNameHelpers.GetRateVolatilityMatrixName(floatingRateCalculation.floatingRateIndex, floatingRateCalculation.indexTenor));
}
}
return(result);
}
/// <summary>
/// Gets and sets the required pricing structures to value this leg.
/// </summary>
public override List <string> GetRequiredPricingStructures()
{
var result = new List <string>();
if (notional.currency != null)
{
var discountCurve = CurveNameHelpers.GetDiscountCurveName(notional.currency, true);
result.Add(discountCurve);
}
if (floatingRateIndex != null && indexTenor != null)
{
result.Add(CurveNameHelpers.GetForecastCurveName(floatingRateIndex, indexTenor[0]));
}
return(result);
}
/// <summary>
/// Gets and sets the required pricing structures to value this leg.
/// </summary>
public List <String> GetRequiredPricingStructures()
{
var result = new List <String>();
if (forecastPaymentAmount != null)
{
var currency = forecastPaymentAmount.currency;
var discountCurve = CurveNameHelpers.GetDiscountCurveName(currency, true);
result.Add(discountCurve);
}
if (Items != null)
{
result.AddRange(Items.Select(calculationPeriod => ((CalculationPeriod)calculationPeriod).forecastAmount).Select(forecastAmount => CurveNameHelpers.GetDiscountCurveName(forecastAmount.currency, true)));
}
return(result);
}
/// <summary>
/// Gets and sets the required pricing structures to value this leg.
/// </summary>
public List <String> GetRequiredVolatilitySurfaces()
{
var result = new List <String>();
var quoteBasis = strike.strikeQuoteBasis == StrikeQuoteBasisEnum.CallCurrencyPerPutCurrency ? QuoteBasisEnum.Currency2PerCurrency1 : QuoteBasisEnum.Currency1PerCurrency2;
var fxRate = new FxRate
{
quotedCurrencyPair =
new QuotedCurrencyPair
{
currency1 = putCurrencyAmount.currency,
currency2 = callCurrencyAmount.currency,
quoteBasis = quoteBasis
}
};
//THe other values are not necessary for the volatility curve definition.
result.Add(CurveNameHelpers.GetFxVolatilityMatrixName(fxRate, "FxSpot"));
return(result);
}
/// <summary>
/// Gets and sets the required pricing structures to value this leg.
/// </summary>
public override List <string> GetRequiredPricingStructures()//TODO Need to add the case of floaters where there is a forecast curve.
{
var result = new List <string>();
if (equity.currency != null)
{
var bondCurve = CurveNameHelpers.GetEquityCurveName(equity.currency.Value,
equity.id);
result.Add(bondCurve);
}
if (equity.currency != null)
{
var discountCurve = CurveNameHelpers.GetDiscountCurveName(equity.currency.Value, true);
result.Add(discountCurve);
if (unitPrice.currency != null && unitPrice.currency.Value != equity.currency.Value)
{
var discountCurve2 = CurveNameHelpers.GetDiscountCurveName(unitPrice.currency, true);
result.Add(discountCurve2);
}
}
return(result);
}
