public static IsdaRate GetIsdaRates(string currency, string date_yyyyMMdd)
{
string url = "https://www.markit.com/news/InterestRates_[ccy]_[date].zip";
url = url.Replace("[ccy]", currency.ToUpper());
url = url.Replace("[date]", date_yyyyMMdd);
IsdaRate isda = new IsdaRate();
using (WebClient wc = new WebClient())
{
try
{
var data = wc.DownloadData(url);
var stream = new MemoryStream(data);
using (ZipArchive archive = new ZipArchive(stream))
{
foreach (ZipArchiveEntry entry in archive.Entries)
{
if (entry.FullName.EndsWith(".xml",
StringComparison.OrdinalIgnoreCase))
{
XDocument doc = XDocument.Load(entry.Open());
isda = ProcessIadaRates(doc, currency);
}
}
}
}
catch { }
}
return(isda);
}
private static IsdaRate ProcessIadaRates(XDocument doc, string currency)
{
IsdaRate isda = new IsdaRate();
isda.DepositRates = new List <ParRate>();
isda.SwapRates = new List <ParRate>();
XElement asof = doc.Root.Element("effectiveasof");
//Process deposits:
XElement deposits = doc.Root.Element("deposits");
string dayConvention = deposits.Element("daycountconvention").Value;
string[] ss = deposits.Element("snaptime").Value.Split('T');
string ts = ss[0] + " " + ss[1].Split('Z')[0];
DateTime snapDate = Convert.ToDateTime(ts);
string spotDate = deposits.Element("spotdate").Value;
foreach (var e in deposits.Elements())
{
if (e.Name.ToString() == "curvepoint")
{
isda.Currency = currency;
isda.EffectiveAsOf = asof.Value;
isda.SnapTime = snapDate;
isda.SpotDate = spotDate;
isda.DepositDayCountConvention = dayConvention;
isda.DepositRates.Add(new ParRate
{
Tenor = e.Element("tenor").Value,
Rate = e.Element("parrate").Value,
Maturity = e.Element("maturitydate").Value
});
}
}
//Process swaps:
XElement swaps = doc.Root.Element("swaps");
dayConvention = swaps.Element("floatingdaycountconvention").Value;
string fixDayConvention = swaps.Element("fixeddaycountconvention").Value;
ss = swaps.Element("snaptime").Value.Split('T');
ts = ss[0] + " " + ss[1].Split('Z')[0];
snapDate = Convert.ToDateTime(ts);
spotDate = swaps.Element("spotdate").Value;
string floatPay = swaps.Element("floatingpaymentfrequency").Value;
string fixPay = swaps.Element("fixedpaymentfrequency").Value;
foreach (var e in swaps.Elements())
{
if (e.Name.ToString() == "curvepoint")
{
isda.SwapFixedDayCountConvention = fixDayConvention;
isda.SwapFloatingDayCountConvention = dayConvention;
isda.SwapFixedPaymentFrequency = fixPay;
isda.SwapFloatingPaymentFrequency = floatPay;
isda.SwapRates.Add(new ParRate
{
Tenor = e.Element("tenor").Value,
Rate = e.Element("parrate").Value,
Maturity = e.Element("maturitydate").Value
});
}
}
return(isda);
}
