private static Market Market()
{
var refDate = DateTime.Parse("07/06/2009");
var time = TimeMeasure.Act365(refDate);
var pillars = new[] { refDate + Duration.Year, refDate + 2 * Duration.Year, refDate + 3 * Duration.Year, refDate + 5 * Duration.Year };
var zcRates = new[] { 0.0010, 0.003, 0.005, 0.008 };
var zcs = zcRates.Select((r, i) => Math.Exp(-time[pillars[i]] * r)).ToArray();
DiscountCurve discountCurve = DiscountCurve.LinearRateInterpol(
FinancingId.RiskFree(Currency.Eur),
pillars, zcs, time);
var market = new Market(new[] { discountCurve }, new AssetMarket[0]);
return(market);
}
private static AssetMarket[] ProcessAssetMkt(object[,] bag, DateTime refDate, DiscountCurve[] discountCurves)
{
var eqtyTime = TimeMeasure.Act365(refDate);
var assetRawDatas = bag.ProcessLabelledMatrix("Asset", o => o.ToString(), o => o.ToString(), o => o);
TimeMatrixDatas repoRawDatas = bag.ProcessTimeMatrixDatas("Repo");
var repoPillars = repoRawDatas.RowLabels
.Select(dOrDur => dOrDur.ToDate(refDate)).ToArray();
var assetMkts = new List <AssetMarket>();
for (int i = 0; i < assetRawDatas.RowLabels.Length; i++)
{
var assetName = assetRawDatas.RowLabels[i];
var rawCurrency = assetRawDatas.GetColFromLabel("Currency")[i].ToString();
object rawSpot = assetRawDatas.GetColFromLabel("Spot")[i];
var currency = Currency.Parse(rawCurrency);
var assetId = new AssetId(assetName, currency);
double spot;
if (!NumberConverter.TryConvertDouble(rawSpot, out spot))
{
throw new ArgumentException(String.Format("AssetMarketFactory, invalid {0} spot : {1}", assetName, rawSpot));
}
double[] repoRates = repoRawDatas.GetColFromLabel(assetName);
var repoZcs = repoRates.Select((r, idx) => Math.Exp(-eqtyTime[repoPillars[idx]] * r)).ToArray();
var repoCurve = DiscountCurve.LinearRateInterpol(FinancingId.AssetCollat(assetId), repoPillars, repoZcs, eqtyTime);
var divQuotes = ProcessDiv(bag, refDate, assetName);
var volMatrix = AssetVolMatrix(bag, eqtyTime, assetName);
var riskFreeDiscount = discountCurves.Single(curve => curve.Financing.Equals(FinancingId.RiskFree(currency)));
var mkt = new AssetMarket(assetId, refDate, eqtyTime,
spot, riskFreeDiscount, repoCurve,
divQuotes, volMatrix);
assetMkts.Add(mkt);
}
return(assetMkts.ToArray());
}
