public IPriceCurve RebaseDate(DateTime newAnchorDate)
{
var newSpotDate = newAnchorDate.SpotDate(SpotLag, SpotCalendar, SpotCalendar);
var newSpot = GetPriceForDate(newSpotDate);
var fwds = PillarDates.Select(p => GetPriceForDate(p)).ToArray();
var times = PillarDates.Select(p => newSpotDate.CalculateYearFraction(p, Basis)).ToArray();
var newCtgos = fwds.Select((f, ix) => times[ix] == 0 ? 0.0 : (f / newSpot - 1.0) / times[ix]).ToArray();
var o = new ContangoPriceCurve(newAnchorDate, newSpot, newSpotDate, PillarDates, newCtgos, _currencyProvider, Basis, PillarLabels)
{
AssetId = AssetId,
Currency = Currency,
Name = Name,
SpotCalendar = SpotCalendar,
SpotLag = SpotLag
};
return(o);
}
private void Initialize()
{
var pillarsAsDoubles = PillarDates.Select(x => x.ToOADate()).ToArray();
_interp = InterpolatorFactory.GetInterpolator(pillarsAsDoubles, Contangos, Interpolator1DType.Linear);
}
public IrCurve Clone() => new IrCurve((DateTime[])PillarDates.Clone(), (double[])_rates.Clone(), BuildDate, Name, _interpKind, Currency, CollateralSpec, RateStorageType)
{
SolveStage = SolveStage
};
