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()); } }