public BasisPriceCurve(List <IAssetInstrument> instruments, List <DateTime> pillars, IIrCurve discountCurve, IPriceCurve baseCurve, DateTime buildDate, PriceCurveType curveType, INewtonRaphsonAssetBasisCurveSolver solver, List <string> pillarLabels = null)
{
Instruments = instruments;
Pillars = pillars;
DiscountCurve = discountCurve;
BaseCurve = baseCurve;
CurveType = curveType;
Solver = solver;
BuildDate = buildDate;
PillarLabels = pillarLabels ?? pillars.Select(x => x.ToString("yyyy-MM-dd")).ToList();
Curve = solver.SolveCurve(Instruments, Pillars, DiscountCurve, BaseCurve, BuildDate, CurveType);
}
public PriceCurve(DateTime buildDate, DateTime[] PillarDates, double[] Prices, PriceCurveType curveType, ICurrencyProvider currencyProvider, string[] pillarLabels = null)
{
_currencyProvider = currencyProvider;
Currency = currencyProvider["USD"];
BuildDate = buildDate;
_pillarDates = PillarDates;
_prices = Prices;
_curveType = curveType;
if (pillarLabels == null)
{
_pillarLabels = _pillarDates.Select(x => x.ToString("yyyy-MM-dd")).ToArray();
}
else
{
_pillarLabels = pillarLabels;
}
Initialize();
}
