public ParRateElf(int tenor, EnumTenorUnit unit, double rate, EnumRateMarket market, double fakeDays = 0)
{
this.Tenor = tenor;
this.Unit = unit;
this.Rate = rate;
this.Market = market;
this.FakeDays = fakeDays;
GetName(tenor, unit);
}
public YieldElf(int tenor, EnumTenorUnit unit, double rate, EnumRateMarket market, DateTime startDate, DateTime endDate, double days, double daysAct, double zero, double df, double fr)
{
this.Tenor = tenor;
this.Unit = unit;
this.Rate = rate;
this.Market = market;
this.IsParRate = false;
this.StartDate = startDate;
this.EndDate = endDate;
this.Days = days;
this.DaysAct = daysAct;
this.Zero = zero;
this.DF = df;
this.FR = fr;
GetName(tenor, unit);
}
private void GetName(int tenor, EnumTenorUnit unit)
{
switch (unit)
{
case EnumTenorUnit.Day:
if (tenor == 1)
{
TenorName = "O/N";
}
else if (tenor == 2)
{
TenorName = "T/N";
}
else
{
TenorName = $"{tenor}天";
}
break;
case EnumTenorUnit.Month:
int year = tenor / 12;
int month = tenor % 12;
if (year == 0)
{
TenorName = $"{month}月";
}
else if (month == 0)
{
TenorName = $"{year}年";
}
else
{
TenorName = $"{year}年{month}月";
}
break;
case EnumTenorUnit.Year:
TenorName = $"{tenor}年";
break;
}
}
public YieldElf[] GetCurve(int year)
{
List <YieldElf> yieldList = new List <YieldElf>();
//foreach (var item in this.ParRateList)
//{
// (double zero, double FR, double DF, double newZero, double rate) = GetYield_T(item.DaysAct, item.DaysAct - 90 / 365d);
// yieldList.Add(new YieldElf(item, FR));
//}
for (int i = 0; i < year; i++)
{
for (int j = 1; j <= 4; j++)
{
int tenor = i * 12 + j * 3; //#每3個月
EnumTenorUnit unit = EnumTenorUnit.Month;
double rate = 0;
EnumRateMarket market = EnumRateMarket.None;
DateTime startDate = DateTime.Today;
(DateTime endDate, bool isLastDay, double days) = m_tradeDateAx.GetSettlementDate(startDate, (i * 4) + j);
double daysAct = days / 365d;
(double zero, double fr, double df, double newZero, double swap) = GetYield_T(daysAct);
YieldElf yieldElf = new YieldElf(tenor, unit, rate, market, startDate, endDate, days, daysAct, zero, df, fr);
bool exist = (from item in yieldList
where item.Days == days
select item).Any();
if (!exist) //# 如果已經存在就不要加入了
{
yieldList.Add(yieldElf);
}
}
}
var query = (from item in yieldList
orderby item.Days
select item).ToArray();
return(query);
}
