public static YieldTermStructure factory <Interpolator>(this ITraits <YieldTermStructure> self,
int settlementDays,
Calendar calendar,
DayCounter dayCounter,
List <Handle <Quote> > jumps = null,
List <Date> jumpDates = null,
Interpolator interpolator = default(Interpolator))
where Interpolator : class, IInterpolationFactory, new()
{
if (self.GetType().Equals(typeof(Discount)))
{
return(new InterpolatedDiscountCurve <Interpolator>(settlementDays, calendar, dayCounter, jumps, jumpDates, interpolator));
}
else if (self.GetType().Equals(typeof(ZeroYield)))
{
return(new InterpolatedZeroCurve <Interpolator>(settlementDays, calendar, dayCounter, jumps, jumpDates, interpolator));
}
else if (self.GetType().Equals(typeof(ForwardRate)))
{
return(new InterpolatedForwardCurve <Interpolator>(settlementDays, calendar, dayCounter, jumps, jumpDates, interpolator));
}
else
{
return(null);
}
}
public static DefaultProbabilityTermStructure factory <Interpolator>(this ITraits <DefaultProbabilityTermStructure> self,
int settlementDays,
Calendar calendar,
DayCounter dayCounter,
List <Handle <Quote> > jumps = null,
List <Date> jumpDates = null,
Interpolator interpolator = default(Interpolator))
where Interpolator : class, IInterpolationFactory, new()
{
if (self.GetType().Equals(typeof(SurvivalProbability)))
{
return(new InterpolatedSurvivalProbabilityCurve <Interpolator>(settlementDays, calendar, dayCounter, jumps, jumpDates, interpolator));
}
else if (self.GetType().Equals(typeof(HazardRate)))
{
return(new InterpolatedHazardRateCurve <Interpolator>(settlementDays, calendar, dayCounter, jumps, jumpDates, interpolator));
}
else if (self.GetType().Equals(typeof(DefaultDensity)))
{
return(new InterpolatedDefaultDensityCurve <Interpolator>(settlementDays, calendar, dayCounter, jumps, jumpDates, interpolator));
}
else
{
return(null);
}
}
public static YieldTermStructure factory <Interpolator>(this ITraits <YieldTermStructure> self,
List <Date> dates,
List <double> discounts,
DayCounter dayCounter,
Calendar calendar,
Interpolator interpolator)
where Interpolator : class, IInterpolationFactory, new()
{
if (self.GetType().Equals(typeof(Discount)))
{
return(new InterpolatedDiscountCurve <Interpolator>(dates, discounts, dayCounter, calendar, interpolator));
}
else if (self.GetType().Equals(typeof(ZeroYield)))
{
return(new InterpolatedZeroCurve <Interpolator>(dates, discounts, dayCounter, calendar, interpolator));
}
else if (self.GetType().Equals(typeof(ForwardRate)))
{
return(new InterpolatedForwardCurve <Interpolator>(dates, discounts, dayCounter, calendar, interpolator));
}
else
{
return(null);
}
}
public static DefaultProbabilityTermStructure factory <Interpolator>(this ITraits <DefaultProbabilityTermStructure> self,
List <Date> dates,
List <double> densities,
DayCounter dayCounter,
Interpolator interpolator)
where Interpolator : class, IInterpolationFactory, new()
{
if (self.GetType().Equals(typeof(HazardRate)))
{
return(new InterpolatedHazardRateCurve <Interpolator>(dates, densities, dayCounter, interpolator));
}
else if (self.GetType().Equals(typeof(DefaultDensity)))
{
return(new InterpolatedDefaultDensityCurve <Interpolator>(dates, densities, dayCounter, interpolator));
}
else
{
return(null);
}
}
public static YieldTermStructure factory <Interpolator>(this ITraits <YieldTermStructure> self,
List <Date> dates,
List <double> discounts,
DayCounter dayCounter,
List <Handle <Quote> > jumps,
List <Date> jumpDates,
Interpolator interpolator = default(Interpolator))
where Interpolator : class, IInterpolationFactory, new()
{
if (self.GetType().Equals(typeof(Discount)))
{
return(new InterpolatedDiscountCurve <Interpolator>(dates, discounts, dayCounter, jumps, jumpDates, interpolator));
}
else if (self.GetType().Equals(typeof(ForwardRate)))
{
return(new InterpolatedForwardCurve <Interpolator>(dates, discounts, dayCounter, jumps, jumpDates, interpolator));
}
else
{
return(null);
}
}