/// <summary>
/// Bootstraps the specified priceable assets.
/// </summary>
/// <param name="priceableAssets">The priceable assets.</param>
/// <param name="referenceCurve">The reference curve.</param>
/// <param name="baseDate">The base date.</param>
/// <param name="termCurve">The term Curve with pre-existing points. This will not work if there are no points.</param>
/// <param name="tolerance">Solver tolerance to use.</param>
/// <returns></returns>
public static TermPoint[] Bootstrap(IList <IPriceableRateSpreadAssetController> priceableAssets,
IRateCurve referenceCurve, DateTime baseDate, TermCurve termCurve,
Double tolerance)
{
const double min = 0.000000001;
const double max = 1;
Dictionary <DateTime, Pair <string, decimal> > items
= new Dictionary <DateTime, Pair <string, decimal> > ();
// Add the elements (date : discount factor) to the list
IDictionary <DateTime, double> dfs = new Dictionary <DateTime, double>();
foreach (var point in termCurve.point)
{
dfs.Add((DateTime)point.term.Items[0], (double)point.mid);
items.Add((DateTime)point.term.Items[0], new Pair <string, decimal>(point.id, point.mid));
}
var solver = new Brent();
foreach (var priceableAsset in priceableAssets)
{
var assetMaturityDate = priceableAsset.GetRiskMaturityDate();
if (dfs.ContainsKey(assetMaturityDate))
{
continue;
}
//The first guess, which should be correct for all priceable assets with analytical solutions that have been implemented.
//So far this is only wrt Depos and Futures...This now should automatically extrapolate the required discount factor on a flat rate basis.
dfs.Add(assetMaturityDate, (double)priceableAsset.CalculateDiscountFactorAtMaturity(referenceCurve));
var objectiveFunction = new RateSpreadAssetQuote(priceableAsset, referenceCurve, baseDate,
termCurve.extrapolationPermitted, dfs, tolerance);
// check accuracy so that solver is only called if outside the tolerance.
if (!objectiveFunction.InitialValue())
{
dfs[assetMaturityDate] = solver.Solve(objectiveFunction, tolerance, dfs[assetMaturityDate], min, max);
}
items.Add(assetMaturityDate, new Pair <string, decimal>(priceableAsset.Id, (decimal)dfs[assetMaturityDate]));
}
return(TermPointsFactory.Create(items));
}
/// <summary>
/// Bootstraps the specified priceable assets.
/// </summary>
/// <param name="priceableAssets">The priceable assets.</param>
/// <param name="referenceCurve">The reference curve.</param>
/// <param name="baseDate">The base date.</param>
/// <param name="extrapolationPermitted">The extrapolationPermitted flag.</param>
/// <param name="tolerance">The tolerance for the solver</param>
/// <returns></returns>
public static TermPoint[] Bootstrap(IEnumerable <IPriceableRateSpreadAssetController> priceableAssets,
IRateCurve referenceCurve, DateTime baseDate, bool extrapolationPermitted, double tolerance)
{
const double defaultGuess = 0.9;
const double min = 0.000000001;
const double max = 2;
//only works for linear on zero.
InterpolationMethod interp = InterpolationMethodHelper.Parse("LogLinearInterpolation");
// Add the first element (date : discount factor) to the list
var points = new Dictionary <DateTime, double> {
{ baseDate, 1d }
};
var items
= new Dictionary <DateTime, Pair <string, decimal> > {
{ baseDate, new Pair <string, decimal>("", 1m) }
};
var solver = new Brent();
bool first = true;
foreach (var priceableAsset in priceableAssets)
{
DateTime assetMaturityDate = priceableAsset.GetRiskMaturityDate();
if (points.Keys.Contains(assetMaturityDate))
{
continue;
}
if (assetMaturityDate < points.Keys.Last())
{
throw new InvalidOperationException("The maturity dates of the assets must be consecutive order");
}
if (first)
{
first = false;
// Add the first point
points.Add(assetMaturityDate, defaultGuess);
IRateCurve curve = IsSpreadAsset(priceableAsset) ? referenceCurve : new SimpleDiscountFactorCurve(baseDate, interp, extrapolationPermitted, points);
points[assetMaturityDate] = (double)priceableAsset.CalculateDiscountFactorAtMaturity(curve);
}
else
{
//This now should automatically extrapolate the required discount factor on a flat rate basis.
IRateCurve curve = IsSpreadAsset(priceableAsset) ? referenceCurve : new SimpleDiscountFactorCurve(baseDate, interp, extrapolationPermitted, points);
//The first guess, which should be correct for all priceable assets with analytical solutions that have been implemented.
points.Add(assetMaturityDate, (double)priceableAsset.CalculateDiscountFactorAtMaturity(curve));
}
IObjectiveFunction objectiveFunction;
bool initialValue;
if (IsSpreadAsset(priceableAsset))
{
objectiveFunction = new RateSpreadAssetQuote(priceableAsset, referenceCurve, baseDate,
extrapolationPermitted, points, tolerance);
initialValue = ((RateSpreadAssetQuote)objectiveFunction).InitialValue();
}
else
{
objectiveFunction = new RateAssetQuote(priceableAsset, baseDate, interp, extrapolationPermitted,
points, tolerance);
initialValue = ((RateAssetQuote)objectiveFunction).InitialValue();
}
// Check whether the guess was close enough
if (!initialValue)
{
double guess = Math.Max(min, points[assetMaturityDate]);
points[assetMaturityDate] = solver.Solve(objectiveFunction, tolerance, guess, min, max);
}
items.Add(assetMaturityDate, new Pair <string, decimal>(priceableAsset.Id, (decimal)points[assetMaturityDate]));
}
return(TermPointsFactory.Create(items));
}
