public ICurve SetRate(int pillarIx, double rate, bool mutate)
{
if (mutate)
{
_rates[pillarIx] = rate;
_interpolator.UpdateY(pillarIx, rate, true);
return(this);
}
else
{
var returnCurve = new IrCurve(_pillars.ToArray(), _rates.Select((r, ix) => ix == pillarIx ? rate : r).ToArray(), _buildDate, _name, _interpKind);
return(returnCurve);
}
}
public IrCurve BumpRate(int pillarIx, double delta, bool mutate)
{
if (mutate)
{
_rates[pillarIx] += delta;
_interpolator.UpdateY(pillarIx, _rates[pillarIx], true);
return(this);
}
else
{
var returnCurve = new IrCurve(_pillars.ToArray(), _rates.Select((r, ix) => ix == pillarIx ? r + delta : r).ToArray(), _buildDate, _name, _interpKind);
return(returnCurve);
}
}
public IrCurve BumpRateFlat(double delta, bool mutate)
{
if (mutate)
{
for (var i = 0; i < _rates.Length; i++)
{
_rates[i] += delta;
_interpolator.UpdateY(i, _rates[i], true);
}
return(this);
}
else
{
var returnCurve = new IrCurve(_pillars.ToArray(), _rates.Select(r => r + delta).ToArray(), _buildDate, _name, _interpKind, Currency, CollateralSpec, RateStorageType);
return(returnCurve);
}
}
public IrCurve BumpRate(int pillarIx, double delta, bool mutate)
{
if (mutate)
{
_rates[pillarIx] += delta;
_interpolator.UpdateY(pillarIx, _rates[pillarIx], true);
return(this);
}
else
{
var returnCurve = new IrCurve(_pillars.ToArray(), _rates.Select((r, ix) => ix == pillarIx ? r + delta : r).ToArray(), _buildDate, _name, _interpKind, Currency, CollateralSpec, RateStorageType)
{
SolveStage = SolveStage,
RateIndex = RateIndex,
};
return(returnCurve);
}
}
public IrCurve RebaseDate(DateTime newAnchorDate)
{
var pillarsDropped = _pillars.Count(x => x <= newAnchorDate);
var newLength = _pillars.Length - pillarsDropped;
var newPillars = new DateTime[newLength];
Array.Copy(_pillars, pillarsDropped, newPillars, 0, newLength);
var dfAdjust = GetDf(BuildDate, newAnchorDate);
var newDfs = newPillars.Select(x => GetDf(BuildDate, x) / dfAdjust).ToArray();
var newRates = newDfs.Select((x, ix) => RateFromDF(newAnchorDate.CalculateYearFraction(newPillars[ix], _basis), x, RateStorageType)).ToArray();
if (newPillars.First() == newAnchorDate && newRates.Length > 1)
{
newRates[0] = newRates[1];
}
var newCurve = new IrCurve(newPillars, newRates, newAnchorDate, Name, _interpKind, Currency, CollateralSpec, RateStorageType);
return(newCurve);
}
public BasisPriceCurve(TO_BasisPriceCurve transportObject, ICurrencyProvider currencyProvider, ICalendarProvider calendarProvider)
{
Instruments = transportObject.Instruments
.Select(x => (IAssetInstrument)InstrumentFactory.GetInstrument(x, currencyProvider, calendarProvider))
.ToList();
Pillars = transportObject.Pillars;
DiscountCurve = new IrCurve(transportObject.DiscountCurve, currencyProvider);
//need to re-link via the active model
Curve = PriceCurveFactory.GetPriceCurve(transportObject.Curve, currencyProvider, calendarProvider);
BaseCurve = PriceCurveFactory.GetPriceCurve(transportObject.BaseCurve, currencyProvider, calendarProvider);
Name = transportObject.Name;
AssetId = transportObject.AssetId;
BuildDate = transportObject.BuildDate;
PillarLabels = transportObject.PillarLabels;
Currency = currencyProvider.GetCurrencySafe(transportObject.Currency);
SpotCalendar = calendarProvider.GetCalendarSafe(transportObject.SpotCalendar);
if (transportObject.SpotLag != null)
{
SpotLag = new Frequency(transportObject.SpotLag);
}
CurveType = transportObject.CurveType;
}
