Ejemplo n.º 1
0
        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);
        }
Ejemplo n.º 2
0
        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);
        }