public MarketInstrument(ICalibrationSupportedInstrument instrument,
double targetValue,
MktInstrumentCalibMethod calibMethod)
{
Instrument = instrument;
TargetValue = targetValue;
CalibMethod = calibMethod;
}
public static ICalibrationSupportedInstrument CreateDepositInstrument(
Date curveDate,
RateMktData rateMktData,
out MktInstrumentCalibMethod calibMethod)
{
ICalibrationSupportedInstrument deposit = null;
if (rateMktData.TradeInfo != null)
{
var depositInfo = (DepositInfo)rateMktData.TradeInfo;
deposit = new Deposit(depositInfo.StartDate.ToDate(),
depositInfo.MaturityDate.ToDate(),
depositInfo.Coupon,
depositInfo.DayCount.ToDayCount().Get(),
depositInfo.Calendar.ToCalendarImpl(),
depositInfo.BusinessDayConvention.ToBda(),
depositInfo.Currency.ToCurrencyCode()
);
}
else
{
var indexType = rateMktData.IndexType.ToIndexType();
var depositInfo = MktInstrumentDepositRule.MktDepositRule[indexType].DepositInfo;
var calendar = depositInfo.Calendar.ToCalendarImpl();
var startDate = curveDate;
var isTernor = rateMktData.IsTerm();
var tenor = isTernor ? rateMktData.Tenor : null;
var maturityDate = isTernor ? new Term(tenor).Next(startDate) : new Date(DateTime.Parse(rateMktData.Tenor));
deposit = new Deposit(startDate,
maturityDate,
rateMktData.Rate,
depositInfo.DayCount.ToDayCount().Get(),
calendar,
depositInfo.BusinessDayConvention.ToBda(),
depositInfo.Currency.ToCurrencyCode(),
1.0,
tenor
);
}
calibMethod = MktInstrumentCalibMethod.Default;
return(deposit);
}
protected ICalibrationSupportedInstrument CreateIrsInstrument(RateMktData rateMktData,
out MktInstrumentCalibMethod calibMethod)
{
MktIrsJson irsJson = null;
ICalibrationSupportedInstrument irs = null;
if (rateMktData.TradeInfo != null)
{
var irsInfo = (InterestRateSwapInfo)rateMktData.TradeInfo;
var vf = new InterestRateSwapVf(irsInfo);
irs = vf.GenerateInstrument();
irsJson = MktInstrumentIrsRule.MktIrsRule[irsInfo.Index.ToIndexType()];
}
else
{
irsJson = MktInstrumentIrsRule.MktIrsRule[rateMktData.IndexType.ToIndexType()];
var irsInfo = irsJson.InterestRateSwapInfo;
var calendar = irsInfo.Calendar.ToCalendarImpl();
var startDate = calendar.NextBizDay(Market.ReferenceDate);
var isTernor = rateMktData.IsTerm();
var tenor = isTernor ? rateMktData.Tenor : null;
var maturityDate = isTernor ? new Term(tenor).Next(startDate) : new Date(DateTime.Parse(rateMktData.Tenor));
var fixedLeg = new SwapLeg(startDate,
maturityDate,
-1.0,
false,
irsInfo.Currency.ToCurrencyCode(),
new FixedCoupon(rateMktData.Rate),
calendar,
irsInfo.FixedLegFreq.ToFrequency(),
irsInfo.FixedLegStub.ToStub(),
irsInfo.FixedLegDC.ToDayCountImpl(),
irsInfo.FixedLegBD.ToBda()
);
var floatingLegFrequency = irsInfo.FloatingLegFreq.ToFrequency();
var floatingCouponResetTerm = new Term(irsInfo.ResetTerm);
if (floatingCouponResetTerm.Equals(floatingLegFrequency.GetTerm()))
{
floatingCouponResetTerm = null;
}
var floatingCoupon =
new FloatingCoupon(
new Index(rateMktData.IndexType.ToIndexType(), 1, irsInfo.ResetCompound.ToCouponCompound()),
calendar,
irsInfo.FloatingLegDC.ToDayCountImpl(),
0.0,
floatingCouponResetTerm,
irsInfo.ResetStub.ToStub(),
irsInfo.ResetBD.ToBda(),
new DayGap(irsInfo.ResetToFixingGap));
var floatingLeg = new SwapLeg(startDate,
maturityDate,
1.0,
false,
irsInfo.Currency.ToCurrencyCode(),
floatingCoupon,
calendar,
irsInfo.FloatingLegFreq.ToFrequency(),
irsInfo.FloatingLegStub.ToStub(),
irsInfo.FloatingLegDC.ToDayCountImpl(),
irsInfo.FloatingLegBD.ToBda()
);
irs = new InterestRateSwap(fixedLeg, floatingLeg, SwapDirection.Payer, tenor);
}
calibMethod = irsJson.CalibrationMethod.ToCalibMethod();
return(irs);
}
