// Methods
#region Protected Methods used in constructor
// Prepare data to be used in Solve()
protected override void PreProcessInputs()
{
// PreProcessInputs()
// 1) fill missing data
// -find missing swap;
// -create them;
// -interpolate value of them according to interpolator
// 2) Create PreProcessedData: merge missing data with starting available data
// fill missing
int MaxSwapTenor = OnlyGivenSwap.Last().Tenor.tenor; // Max tenor of available swap
List <BuildingBlock> MissingSwapList = new List <BuildingBlock>(); // List of missing swap
// Add Missing Swap to MissingSwapList
BuildingBlockFactory f = new BuildingBlockFactory(); // factory to create missing building block
for (int i = 1; i < MaxSwapTenor; i++)
{
Period p = new Period(i, TenorType.Y); // needed period
if (!OnlyGivenSwap.Any(bb => bb.Tenor.GetPeriodStringFormat() == p.GetPeriodStringFormat()))
{
// Check if in OnlyGivenSwap period "p" exists.
// if not, it starts creating missing swap. Rate 0.0 just to initialise
MissingSwapList.Add(f.CreateBuildingBlock(refDate, 0.0, p.GetPeriodStringFormat(), SwapType.buildingBlockType));
}
}
// interpolate missing rate using given data: it interpolates directly on markets rate
IEnumerable <double> xGivenDays = from c in OnlyGivenSwap
select c.endDate.SerialValue;
IEnumerable <double> yGivenSwap = from c in OnlyGivenSwap
select c.rateValue;
// Set up interpolator
OneDimInterpFactory iFactory = new OneDimInterpFactory();
IInterpolate iSwap = iFactory.FactoryMethod(MissingRateInterp, xGivenDays.ToArray(), yGivenSwap.ToArray());
// Missing swap with interpolated value
IEnumerable <BuildingBlock> MissingSwap = from c in MissingSwapList
select f.CreateBuildingBlock(c.refDate, iSwap.Solve(c.endDate.SerialValue), c.Tenor.GetPeriodStringFormat(), c.buildingBlockType);
// Complete Filled data ready to be bootstrapped
PreProcessedData = from c in BBArray.Union(MissingSwap)
orderby c.endDate.SerialValue ascending
select c;
}
// sort BB in ascending order and create BBs. return array of BB
public BuildingBlock[] GetArrayOfBB()
{
SortMaturity(); // sort
IBuildingBlockFactory factory = new BuildingBlockFactory(); // my factory
int N = List.Count; // Number of elements
BuildingBlock[] outPut = new BuildingBlock[N]; // initialise outPut array
// create each Building Block
for (int i = 0; i < N; i++)
{
outPut[i] = factory.CreateBuildingBlock(refDate, Item(i).V, Item(i).M.GetPeriodStringFormat(), Item(i).T);
}
// outPut
return(outPut);
}
