private void TransformToDiscountThenDesired(Curve curve)
{
var transformerFactory = new CurveTypeTransformerFactory();
var originalCurveTransformer = transformerFactory.GetTransformer(curve.CurveType);
var discountCurveTransformer = transformerFactory.GetTransformer(CurveType.Discount);
discountCurveTransformer.Transform(curve);
//Note: Discount factors are not dependent on CompoundingType/Frequency so this can be performed safely
curve.CompoundingType = _targetCompoundingType;
curve.CompoundingFrequency = TargetCompoundingFrequency;
originalCurveTransformer.Transform(curve);
}
static void Main()
{
var curveInfoFilePath = @"C:\Users\flori\OneDrive\Documents\Learning\C# Curves\Inputs\TestCurveInformation.csv";
var ratesFilePath = @"C:\Users\flori\OneDrive\Documents\Learning\C# Curves\Inputs\TestRates.csv";
var outputPathCurves = @"C:\Users\flori\OneDrive\Documents\Learning\C# Curves\Outputs\TransformedCurves.csv";
var curves = ParseCurves(curveInfoFilePath, ratesFilePath);
var adjustedCurves = new Dictionary <string, Curve>();
foreach (var curveWithName in curves)
{
var name = curveWithName.Key;
var curve = curveWithName.Value;
adjustedCurves.Add($"{name}_1base", curve);
//interpolated curve example
var interpolatedCurve = curve.Copy();
var interpolator = new InterpolationModifier(InterpolationType.Spline, curve.TermsAndRates);
interpolator.Interpolate(interpolatedCurve, MaturityType.Quarterly);
adjustedCurves.Add($"{name}_2interpolated", interpolatedCurve);
//extrapolated curve example
var extrapolatedCurve = interpolatedCurve.Copy();
var extrapolator = new ExtrapolationModifier(ExtrapolationType.Constant, interpolatedCurve.TermsAndRates);
extrapolator.Extrapolate(extrapolatedCurve, 100);
adjustedCurves.Add($"{name}_3extrapolated", extrapolatedCurve);
//transformed curve example forward
var transformedCurveDisc = extrapolatedCurve.Copy();
var curveTypeTransformerDisc = new CurveTypeTransformerFactory().GetTransformer(CurveType.Discount);
curveTypeTransformerDisc.Transform(transformedCurveDisc);
adjustedCurves.Add($"{name}_4transformedDisc", transformedCurveDisc);
//transformed curve example forward
var transformedCurveFwd = transformedCurveDisc.Copy();
var curveTypeTransformerFwd = new CurveTypeTransformerFactory().GetTransformer(CurveType.Forward);
curveTypeTransformerFwd.Transform(transformedCurveFwd);
adjustedCurves.Add($"{name}_5transformedFwd", transformedCurveFwd);
}
WriteRatesToCsv(adjustedCurves, outputPathCurves);
}
