private CurvePoint ResolveMaturity(Maturity maturity, IEnumerable <CurvePoint> points)
{
var alreadyExistingPoint = points.FirstOrDefault(p => p.Maturity == maturity);
if (alreadyExistingPoint != null)
{
return(alreadyExistingPoint);
}
var minPoint = points
.OrderBy(p => p.Maturity)
.First();
if (maturity < minPoint.Maturity)
{
return(ExtrapolationShort.Solve(minPoint, maturity));
}
var maxPoint = points
.OrderBy(p => p.Maturity)
.Last();
if (maturity > maxPoint.Maturity)
{
return(ExtrapolationLong.Solve(maxPoint, maturity));
}
var before = points
.Where(p => p.Maturity < maturity)
.OrderBy(p => p.Maturity)
.Last();
var after = points
.Where(p => p.Maturity > maturity)
.OrderBy(p => p.Maturity)
.First();
return(Interpolation.Solve(before, after, maturity));
}
public OutputFrequency(OutputSeries outputSeries, Maturity maximumMaturity)
{
OutputSeries = outputSeries;
MaximumMaturity = maximumMaturity;
}
public static CurvePoint Solve(this Interpolation interpolation, CurvePoint a, CurvePoint b, Maturity maturity)
{
if (a.Price.Currency != b.Price.Currency)
{
throw new NotImplementedException("Converting between currencies is not supported");
}
var pointA = a.ToPoint();
var pointB = b.ToPoint();
var x = maturity.ToX();
var point = interpolation.SolveForY(pointA, pointB, x);
return(CurvePoint.FromPoint(point, a.Price.Currency));
}
public static CurvePoint Solve(this ExtrapolationLong extraShort, CurvePoint min, Maturity maturity)
{
var p = min.ToPoint();
var x = maturity.ToX();
var point = extraShort.GetPoint(p, x);
return(CurvePoint.FromPoint(point, min.Price.Currency));
}
public CurvePoint(Maturity maturity, Price price)
{
Maturity = maturity;
Price = price;
}
public static CurvePoint FromPoint(Point point, string currency) => new CurvePoint(Maturity.FromX(point.X), Price.FromY(point.Y, currency));
public Point ToPoint() => new Point(Maturity.ToX(), Price.ToY());
