// ***********************************
// EXTRACTING DIVIDEND TERM STRUCTURE
// ***********************************
public Handle <YieldTermStructure> dividend_FwdCrv()
{
YieldTermStructure crv;
if (_isNewFormat == false)
{
QLNet_Results res = dividend.GetDividendDF_TermStructure(impliedSpot, forward.data, DF.data);
crv = new InterpolatedDiscountCurve <Cubic>(res.timeStamps(), res.dataPoints(), dayCounter()); //InterpolatedDiscountCurve<Cubic>
}
else
{
QLNet_Results res = dividend.GetDividendDF_TermStructure_NewFormat();
crv = new InterpolatedZeroCurve <Linear>(res.timeStamps(), res.dataPoints(), _dayCounter, _calendar); //InterpolatedZeroCurve<Linear>
//(res.timeStamps(), res.dataPoints(), dayCounter());
}
return(new Handle <YieldTermStructure>(crv));
}
private YieldTermStructure Discountcurve(List <Date> dates, List <double> dfs, DayCounter dayCounter)
{
YieldTermStructure yieldts;
switch (_interpolationMethod)
{
case InterpolationMethod.Linear:
yieldts = new InterpolatedDiscountCurve <Linear>(dates, dfs, dayCounter, new Linear());
break;
case InterpolationMethod.LogLinear:
yieldts =
new InterpolatedDiscountCurve <LogLinear>(dates, dfs, dayCounter, new LogLinear());
break;
case InterpolationMethod.NaturalCubic:
yieldts = new InterpolatedDiscountCurve <Cubic>(
dates, dfs, dayCounter, new Cubic(CubicInterpolation.DerivativeApprox.Kruger, true, CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0, CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0));
break;
case InterpolationMethod.FinancialCubic:
yieldts = new InterpolatedDiscountCurve <Cubic>(
dates, dfs, dayCounter,
new Cubic(CubicInterpolation.DerivativeApprox.Kruger, true, CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0, CubicInterpolation.BoundaryCondition.FirstDerivative, 0.0));
break;
case InterpolationMethod.ConvexMonotone:
yieldts = new InterpolatedDiscountCurve <ConvexMonotone>(dates, dfs, dayCounter);
break;
default:
Utils.QL_FAIL("Interpolation method not recognised.");
throw new Exception();
}
return(yieldts);
}
// ************************************************************
// METHODS : EXTRACTING TERM STRUCTURES FOR QLNET USAGE
// ************************************************************
#region
// ***********************************
// EXTRACTING RISK FREE TERM STRUCTURE
// ***********************************
public Handle <YieldTermStructure> riskFree_FwdCrv()
{
InterpolatedDiscountCurve <Cubic> crv = new InterpolatedDiscountCurve <Cubic>(DF.Dates(), DF.Points(), dayCounter());
return(new Handle <YieldTermStructure>(crv));
}
