//swap curve building for both pricing and pnl, bond curve building only, not for pnl
public YieldCurve(
string name,
Date referenceDate,
MarketInstrument[] marketInstruments,
BusinessDayConvention bda,
IDayCount dayCount,
ICalendar calendar,
CurrencyCode currency,
Compound compound,
Interpolation interpolation,
YieldCurveTrait trait,
IMarketCondition baseMarket = null,
Expression <Func <IMarketCondition, object> >[] calibrateMktUpdateCondition = null,
ISpread spread = null,
Date[] knotPoints = null,
string[] keyTenors = null,
InstrumentCurveDefinition rawDefinition = null
)
{
Name = name;
ReferenceDate = referenceDate;
Currency = currency;
Bda = bda;
DayCount = dayCount;
Compound = compound;
Calendar = calendar;
Interpolation = interpolation;
Trait = trait;
RawDefinition = rawDefinition;
var tempMarketInstruments = marketInstruments.OrderBy(x => x.Instrument.UnderlyingMaturityDate).ToArray();
var uniqueTenorMktInstruments = new List <MarketInstrument> {
tempMarketInstruments[0]
};
for (var i = 1; i < tempMarketInstruments.Length; ++i)
{
if (tempMarketInstruments[i].Instrument.GetCalibrationDate() != tempMarketInstruments[i - 1].Instrument.GetCalibrationDate())
{
uniqueTenorMktInstruments.Add(tempMarketInstruments[i]);
}
}
MarketInstruments = uniqueTenorMktInstruments.ToArray();
InputRateByTenor = MarketInstruments.ToDictionary(p => p.Instrument.Tenor, p => p.TargetValue);
BaseMarket = baseMarket;
Spread = spread ?? new ZeroSpread(0.0);
CalibrateMktUpdateCondition = calibrateMktUpdateCondition;
if (MarketInstruments.Any(x => x.Instrument is Bond))
{
var err = double.NaN;
KeyPoints = BondCurveCalibrator.Calibrate(Name, ReferenceDate, MarketInstruments.ToArray(), Bda, DayCount, Calendar, Compound, Interpolation, Trait, Currency, knotPoints, out err, baseMarket, CalibrateMktUpdateCondition);
fittingError = err;
}
else
{
KeyPoints = YieldCurveCalibrator.Calibrate(name, ReferenceDate, MarketInstruments.ToArray(), Bda, DayCount, Calendar, Compound, Interpolation, Trait, Currency, baseMarket, CalibrateMktUpdateCondition);
}
//if (KeyPoints.Select(x => x.Item1).Any(z => z is Date))
//{
// _curve = new Curve<Date>(ReferenceDate, KeyPoints, x => x.ToOADate(), interpolation);
//}
_curveXInYears = new Curve <double>(0.0,
KeyPoints.Select(x => Tuple.Create(DayCount.CalcDayCountFraction(ReferenceDate, x.Item1), x.Item2)).ToArray(),
x => x,
Interpolation);
}
