protected override void PostProcessData()
{
// adapt DF from DateDf to PostProcessInterpo according to <DoInterpOn>
IEnumerable <double> adaptedDF = from c in DateDf
select interpAdapter.FromDfToInterp(c.Value, c.Key);
// Inizialize PostProcesInterpo
PostProcessInterpo.Ini(DateDf.Keys, adaptedDF.ToArray());
}
private delegate double SwapRate(SwapStyle S); // used in function to calculate swap rate
// used in Solve() function on which best fit works
private void function_fvec(double[] x, double[] fi, object obj)
{
// fi is output should be vector of zeros (i.e. swap calculated - swap value from input)
int N = x.Count(); // size of x (set of guess)
// I update PreProcessedDate with new set of guess(x[]), for all Key (dates) in IniGuessData,
for (int i = 0; i < N; i++)
{
PreProcessedData[IniGuessData.ElementAt(i).Key] = x[i];
}
// set up interpolator with updated data
PostProcessInterpo.Ini(PreProcessedData.Keys.ToArray(), PreProcessedData.Values.ToArray());
// Lambda expression: calculate Par Rate given a SwapStyle building block
SwapRate SwapCalc = BB =>
{
// fixed leg data
double[] yfFixLeg = BB.scheduleLeg1.GetYFVect(BB.swapLeg1.DayCount); // fixed is leg 1
// dfs array of fixed lag
double[] dfDates = Date.GetSerialValue(BB.scheduleLeg1.payDates); // serial date of fixed lag (each dates we should find df)
// Vector<double> k = PostProcessInterpo.Curve(new Vector<double>(dfDates, 0));
double[] dfFixLeg = PostProcessInterpo.Curve(dfDates); // get interpolated value (i.e. log df or log r or...
// transform interpolated value back to discount factor
for (int i = 0; i < yfFixLeg.Length; i++)
{
dfFixLeg[i] = interpAdapter.FromInterpToDf(dfFixLeg[i], dfDates[i]);
}
// Interpolation Methods for Curve Construction PATRICK S. HAGAN & GRAEME WEST Applied Mathematical Finance,Vol. 13, No. 2, 89–129, June 2006
// Formula 2) page 4
return(Formula.ParRate(yfFixLeg, dfFixLeg)); // Calculate par rate
};
// iterate building block and calculate difference between starting data and recalculated data: best fit if each fi[i]==0
for (int i = 0; i < N; i++)
{
// SwapCalc((SwapStyle)SwapStyleArray[i]) is recalculated data
// SwapStyleArray[i].rateValue is starting data to match
fi[i] = (SwapCalc((SwapStyle)OnlyGivenSwap[i]) - OnlyGivenSwap[i].rateValue) * 10000; // best fit if fi[i] ==0!, for each i
}
}
