public QLNet.YieldTermStructure yieldTSBuild()
{
//QLNet.YieldTermStructure ts = new QLNet.YieldTermStructure();
List <QLNet.Date> dates = new List <QLNet.Date>();
List <double> yields = new List <double>();
//ProgramVariable.ReferenceDate_.AddMonths();
foreach (var item in this.Tenor_)
{
int len = item.Length;
string periodMultiplier = item.Substring(0, len - 1);
string period = item.Substring(len - 1, 1);
if (periodMultiplier == "D")
{
int addDays = Convert.ToInt32(period);
dates.Add(ProgramVariable.ReferenceDate_.AddDays(addDays));
}
else if (periodMultiplier == "M")
{
int addMonths = Convert.ToInt32(period);
dates.Add(ProgramVariable.ReferenceDate_.AddMonths(addMonths));
}
else
{
throw new Exception("unknown type tenor : " + item);
}
}
foreach (var item in this.Data_)
{
yields.Add(Convert.ToDouble(item));
}
QLNet.DayCounter dc = new QLNet.Actual365Fixed();
QLNet.InterpolatedZeroCurve <QLNet.Linear> curve = new QLNet.InterpolatedZeroCurve <QLNet.Linear>(
dates, yields, dc, new QLNet.Linear());
return(curve);
}
// TODO : Linear 말고 딴거는 또 구현해야함.
public QLNet.YieldTermStructure yieldCurve()
{
List <QLNet.Date> dates = new List <QLNet.Date>();
List <double> yields = new List <double>();
foreach (var item in this.excel_rateDataViewModel_)
{
string tenor = item.Tenor_;
int len = tenor.Length;
string periodMultiplier = tenor.Substring(0, len - 1);
string period = tenor.Substring(len - 1, 1);
if (period == "D")
{
int addDays = Convert.ToInt32(periodMultiplier);
dates.Add(ProgramVariable.ReferenceDate_.AddDays(addDays));
}
else if (period == "M")
{
int addMonths = Convert.ToInt32(periodMultiplier);
dates.Add(ProgramVariable.ReferenceDate_.AddMonths(addMonths));
}
else
{
throw new Exception("unknown type tenor : " + tenor);
}
yields.Add(Convert.ToDouble(item.Value_));
}
QLNet.DayCounter dc = new QLNet.Actual365Fixed();
QLNet.InterpolatedZeroCurve <QLNet.Linear> curve = new QLNet.InterpolatedZeroCurve <QLNet.Linear>(
dates, yields, dc, new QLNet.Linear());
return(curve);
}
public YieldTermStructure buildQLNet_YieldTS(Excel_irCurveDataViewModel e_irCurveData)
{
QLNet.YieldTermStructure ql_yts = new YieldTermStructure();
List <QLNet.Date> dates = new List <QLNet.Date>();
List <double> yields = new List <double>();
foreach (var item in e_irCurveData.Excel_rateDataViewModelList_)
{
string tenor = item.Tenor_;
if (tenor.Substring(0, 1) == "D")
{
int addDays = Convert.ToInt32(tenor.Substring(1, 3));
dates.Add(ProgramVariable.ReferenceDate_.AddDays(addDays));
}
else if (tenor.Substring(0, 1) == "M")
{
int addMonths = Convert.ToInt32(tenor.Substring(1, 3));
dates.Add(ProgramVariable.ReferenceDate_.AddMonths(addMonths));
}
else
{
throw new Exception("unknown type tenor : " + tenor);
}
yields.Add(Convert.ToDouble(item.Value_));
}
QLNet.DayCounter dc = new QLNet.Actual365Fixed();
QLNet.InterpolatedZeroCurve <QLNet.Linear> curve = new QLNet.InterpolatedZeroCurve <QLNet.Linear>(
dates, yields, dc, new QLNet.Linear());
return(ql_yts);
}
// TODO : Linear 말고 딴거는 또 구현해야함.
public QLNet.YieldTermStructure yieldCurve()
{
List<QLNet.Date> dates = new List<QLNet.Date>();
List<double> yields = new List<double>();
foreach (var item in this.excel_rateDataViewModel_)
{
string tenor = item.Tenor_;
int len = tenor.Length;
string periodMultiplier = tenor.Substring(0, len - 1);
string period = tenor.Substring(len - 1, 1);
if (period == "D")
{
int addDays = Convert.ToInt32(periodMultiplier);
dates.Add(ProgramVariable.ReferenceDate_.AddDays(addDays));
}
else if (period == "M")
{
int addMonths = Convert.ToInt32(periodMultiplier);
dates.Add(ProgramVariable.ReferenceDate_.AddMonths(addMonths));
}
else
{
throw new Exception("unknown type tenor : " + tenor);
}
yields.Add(Convert.ToDouble(item.Value_));
}
QLNet.DayCounter dc = new QLNet.Actual365Fixed();
QLNet.InterpolatedZeroCurve<QLNet.Linear> curve = new QLNet.InterpolatedZeroCurve<QLNet.Linear>(
dates, yields, dc, new QLNet.Linear());
return curve;
}
public QLNet.YieldTermStructure yieldTSBuild()
{
//QLNet.YieldTermStructure ts = new QLNet.YieldTermStructure();
List<QLNet.Date> dates = new List<QLNet.Date>();
List<double> yields = new List<double>();
//ProgramVariable.ReferenceDate_.AddMonths();
foreach (var item in this.Tenor_)
{
int len = item.Length;
string periodMultiplier = item.Substring(0, len - 1);
string period = item.Substring(len - 1, 1);
if (periodMultiplier == "D")
{
int addDays = Convert.ToInt32(period);
dates.Add(ProgramVariable.ReferenceDate_.AddDays(addDays));
}
else if (periodMultiplier == "M")
{
int addMonths = Convert.ToInt32(period);
dates.Add(ProgramVariable.ReferenceDate_.AddMonths(addMonths));
}
else
{
throw new Exception("unknown type tenor : " + item);
}
}
foreach (var item in this.Data_)
{
yields.Add(Convert.ToDouble(item));
}
QLNet.DayCounter dc = new QLNet.Actual365Fixed();
QLNet.InterpolatedZeroCurve<QLNet.Linear> curve = new QLNet.InterpolatedZeroCurve<QLNet.Linear>(
dates, yields, dc, new QLNet.Linear());
return curve;
}
public YieldTermStructure buildQLNet_YieldTS(Excel_irCurveDataViewModel e_irCurveData)
{
QLNet.YieldTermStructure ql_yts = new YieldTermStructure();
List<QLNet.Date> dates = new List<QLNet.Date>();
List<double> yields = new List<double>();
foreach (var item in e_irCurveData.Excel_rateDataViewModelList_)
{
string tenor = item.Tenor_;
if (tenor.Substring(0, 1) == "D")
{
int addDays = Convert.ToInt32(tenor.Substring(1, 3));
dates.Add(ProgramVariable.ReferenceDate_.AddDays(addDays));
}
else if (tenor.Substring(0, 1) == "M")
{
int addMonths = Convert.ToInt32(tenor.Substring(1, 3));
dates.Add(ProgramVariable.ReferenceDate_.AddMonths(addMonths));
}
else
{
throw new Exception("unknown type tenor : " + tenor);
}
yields.Add(Convert.ToDouble(item.Value_));
}
QLNet.DayCounter dc = new QLNet.Actual365Fixed();
QLNet.InterpolatedZeroCurve<QLNet.Linear> curve = new QLNet.InterpolatedZeroCurve<QLNet.Linear>(
dates, yields, dc, new QLNet.Linear());
return ql_yts;
}