public static void LinearRateModel_Make(string baseName, string fwdCurveCollectionName, string discCurveName, InterpMethod interpolation)
{
FwdCurveContainer fwdCurves = ObjectMap.FwdCurveCollections[fwdCurveCollectionName];
Curve discCurve = ObjectMap.DiscCurves[discCurveName];
LinearRateModel model = new LinearRateModel(discCurve, fwdCurves, interpolation);
ObjectMap.LinearRateModels[baseName] = model;
}
public static void FwdCurveCollection_MakeFromCalibrationProblemAndExistingCurves(string baseName, string calibrationProblem, string fwdCurveCollectionHandle)
{
FwdCurveConstructor constructor = ObjectMap.FwdCurveConstructors[calibrationProblem];
FwdCurveContainer fwdCurves = ObjectMap.FwdCurveCollections[fwdCurveCollectionHandle];
constructor.SetExistingFwdCurves(fwdCurves);
constructor.CalibrateAllCurvesBasedOnOrder_AD(true);
ObjectMap.FwdCurveCollections[baseName] = constructor.GetFwdCurves();
}
public static string FwdCurveCollection_Make(string baseName, string[] fwdCurveNames, CurveTenor[] tenors)
{
try
{
FwdCurveContainer fwdCurves = new FwdCurveContainer();
for (int i = 0; i < fwdCurveNames.Length; i++)
{
fwdCurves.AddCurve(ObjectMap.FwdCurves[fwdCurveNames[i]], tenors[i]);
}
ObjectMap.FwdCurveCollections[baseName] = fwdCurves;
return(baseName);
}
catch (Exception e)
{
return(e.ToString());
}
}
