public static object CreateDiscountCurveFromDFs(
[ExcelArgument(Description = "Object name")] string ObjectName,
[ExcelArgument(Description = "Curve name")] object CurveName,
[ExcelArgument(Description = "Build date")] DateTime BuildDate,
[ExcelArgument(Description = "Array of pillar dates")] double[] Pillars,
[ExcelArgument(Description = "Array of discount factors")] double[] DiscountFactors,
[ExcelArgument(Description = "Type of interpolation")] object InterpolationType,
[ExcelArgument(Description = "Currency - default USD")] object Currency,
[ExcelArgument(Description = "Collateral Spec - default LIBOR.3M")] object CollateralSpec,
[ExcelArgument(Description = "Rate storage format - default Exponential")] object RateStorageType)
{
return(ExcelHelper.Execute(_logger, () =>
{
var curveName = CurveName.OptionalExcel(ObjectName);
var curveTypeStr = InterpolationType.OptionalExcel("Linear");
var ccyStr = Currency.OptionalExcel("USD");
var colSpecStr = CollateralSpec.OptionalExcel("LIBOR.3M");
var rateTypeStr = RateStorageType.OptionalExcel("CC");
if (!Enum.TryParse(curveTypeStr, out Interpolator1DType iType))
{
return $"Could not parse interpolator type - {curveTypeStr}";
}
if (!Enum.TryParse(rateTypeStr, out RateType rType))
{
return $"Could not parse rate type - {rateTypeStr}";
}
var pDates = Pillars.ToDateTimeArray();
ContainerStores.SessionContainer.GetService <ICalendarProvider>().Collection.TryGetCalendar(ccyStr, out var ccyCal);
var ccy = ContainerStores.GlobalContainer.GetRequiredService <ICurrencyProvider>()[ccyStr];
var zeroRates = DiscountFactors
.Select((df, ix) =>
DateTime.FromOADate(Pillars[ix]) == BuildDate ? 0.0
: IrCurve.RateFromDF(BuildDate.CalculateYearFraction(DateTime.FromOADate(Pillars[ix]), DayCountBasis.ACT365F), df, rType))
.ToArray();
if (DateTime.FromOADate(Pillars[0]) == BuildDate && zeroRates.Length > 1)
{
zeroRates[0] = zeroRates[1];
}
var cObj = new IrCurve(pDates, zeroRates, BuildDate, curveName, iType, ccy, colSpecStr, rType);
return ExcelHelper.PushToCache <IIrCurve>(cObj, ObjectName);
}));
}
public void IrCurveConversionFacts()
{
Assert.Equal(1.0, IrCurve.DFFromRate(0.0, 0.1, RateType.Annual));
Assert.Equal(1.0, IrCurve.DFFromRate(0.0, 0.1, RateType.CC));
Assert.Equal(1.0, IrCurve.DFFromRate(0.0, 0.1, RateType.Linear));
Assert.Equal(1.0, IrCurve.DFFromRate(0.0, 0.1, RateType.SemiAnnual));
Assert.Equal(1.0, IrCurve.DFFromRate(0.0, 0.1, RateType.Quarterly));
Assert.Equal(1.0, IrCurve.DFFromRate(0.0, 0.1, RateType.Monthly));
Assert.Equal(0.1, IrCurve.DFFromRate(0.0, 0.1, RateType.DiscountFactor));
Assert.Equal(0.0, IrCurve.RateFromDF(1.0, 1.0, RateType.Annual));
Assert.Equal(0.0, IrCurve.RateFromDF(1.0, 1.0, RateType.CC));
Assert.Equal(0.0, IrCurve.RateFromDF(1.0, 1.0, RateType.Linear));
Assert.Equal(0.0, IrCurve.RateFromDF(1.0, 1.0, RateType.SemiAnnual));
Assert.Equal(0.0, IrCurve.RateFromDF(1.0, 1.0, RateType.Quarterly));
Assert.Equal(0.0, IrCurve.RateFromDF(1.0, 1.0, RateType.Monthly));
Assert.Equal(1.0, IrCurve.RateFromDF(1.0, 1.0, RateType.DiscountFactor));
}